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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG-X

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Index Description

The STOXX® Europe 600 ESG-X index is based on the STOXX® Europe 600 index, one of Europe's key benchmarks, with standardized ESG exclusion screens applied. The screens are based on the responsible policies of leading asset owners and aims to reduce reputational and idiosyncratic risks. STOXX will exclude companies that ISS ESG considers to be non-compliant based on Norms-based research, are involved in Controversial Weapons, are Tobacco Producers and that either derive revenues from Thermal Coal extraction or exploration, or, have power generation capacity that utilises thermal coal. The STOXX® Europe 600 ESG-X index is suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading. In February 2019, the STOXX Europe 600 ESG-X Index became the underlying for "http://www.stoxx.com/stoxx-esgcore Europe’s first ESG futures contract, listed on Eurex. Since October 21, 2019 Eurex too offers options contracts on the STOXX Europe 600 ESG-X Index This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines. Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • ESG screened version of one of Europe's key benchmarks, the STOXX Europe 600 index.
  • Screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening provided by award-winning ESG data provider ISS.
  • Transparent free-float market cap weighting scheme, similar to parent index.
  • Low tracking error with similar risk-return profile compared to STOXX Europe 600.
  • Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives.

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe 600 ESG-X 12,441.1 9,883.9 17.6 5.8 392.7 1.1 4.0 0.0 4.1
STOXX Europe 600 13,511.6 10,716.2 17.9 5.9 392.7 1.1 3.7 0.0 3.3

Supersector weighting (top 10)

Created with Highcharts 9.3.3Chart title16% Health Care11.4% Industrial Goods and Services9.9% Banks9% Technology6.4% Consumer Products and Services6.3% Energy6% Food, Beverage and Tobacco5.9% Insurance4.2% Construction and Materials4.2% Financial ServicesHighcharts.com

Country weighting

Created with Highcharts 9.3.3Chart title22.6% UK17.7% France13.4% Switzerland12.7% Germany7.5% Netherlands5.9% Denmark5.2% Sweden4.5% Italy4.3% Spain1.8% FinlandHighcharts.com

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
STOXX Europe 600 ESG-X -1.5 5.3 8.4 15.0 28.9 N/A N/A 8.5 4.8 5.3
STOXX Europe 600 -1.5 5.4 8.2 15.4 29.0 N/A N/A 8.3 5.0 5.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 ESG-X N/A N/A 10.2 14.7 17.7 N/A N/A 0.5 0.2 0.3
STOXX Europe 600 N/A N/A 10.2 14.6 17.7 N/A N/A 0.5 0.2 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 ESG-X 1.0 1.0 1.0 1.0 1.0 0.6 0.5 0.5 0.4 0.5
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 ESG-X 1.0 1.0 1.0 1.0 1.0 -0.3 -0.7 0.3 -0.3 -0.1

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Price), all data as of April 30, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG-X

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
STOXX Europe 600 ESG-X 16.2 13.9 14.7 13.7 1.9 2.9 1.4 7.4
STOXX Europe 600 17.0 13.8 14.9 14.9 1.9 3.0 1.3 7.9

Performance and annual returns

Created with Highcharts 9.3.3Chart titleSTOXX Europe 600 ESG-X20132014201520162017201820192020202120222023202475100125150175200225Highcharts.com
Created with Highcharts 9.3.3Chart titleSTOXX Europe 600 ESG-XSTOXX Europe 60020172018201920202021202220232024-20-100102030Highcharts.com

Methodology

The STOXX® Europe 600 ESG-X index is based on the STOXX® Europe 600 index, one of Europe's key benchmarks, with standardized ESG exclusion screens applied. The screens are based on the responsible policies of leading asset owners and aims to reduce reputational and idiosyncratic risks. STOXX will exclude companies that ISS ESG considers to be non-compliant based on Norms-based research, are involved in Controversial Weapons, are Tobacco Producers and that either derive revenues from Thermal Coal extraction or exploration, or, have power generation capacity that utilises thermal coal. The STOXX® Europe 600 ESG-X index is suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.

In February 2019, the STOXX Europe 600 ESG-X Index became the underlying for "http://www.stoxx.com/stoxx-esgcore Europe’s first ESG futures contract, listed on Eurex.

Since October 21, 2019 Eurex too offers options contracts on the STOXX Europe 600 ESG-X Index

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines. Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0445431072 SXXWESGX SXXWESGX INDEX .SXXWESGX
Net Return EUR CH0445431056 SXXRESGX SXXRESGX INDEX .SXXRESGX
Price EUR CH0445431064 SXXPESGX SXXPESGX INDEX .SXXPESGX
Price USD CH0445431023 SXXLESGX .SXXLESGX
Net Return USD CH0445431031 SXXVESGX .SXXVESGX
Gross Return USD CH0445431049 SXXZESGX .SXXZESGX

Quick Facts

Weighting Free-float market cap weighted
Cap Factor 0.2
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2012
Inception date Nov. 15, 2018
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.973%
ASML HLDG Technology Netherlands 3.366%
NESTLE Food, Beverage and Tobacco Switzerland 2.540%
ASTRAZENECA Health Care UK 2.215%
SHELL Energy UK 2.206%
LVMH MOET HENNESSY Consumer Products and Services France 2.017%
NOVARTIS Health Care Switzerland 1.883%
SAP Technology Germany 1.863%
TOTALENERGIES Energy France 1.656%
ROCHE HLDG P Health Care Switzerland 1.599%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of April 30, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.