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ISTOXX INDICES

iSTOXX Nordic ESG DW Decrement 4.5%

Index Description

The iSTOXX Nordic ESG DW Decrement 4.5% index replicates the performance of the iSTOXX Nordic ESG DW Gross Return SEK index assuming a constant 4.5% performance deduction per annum. The performance deduction accrues constantly on a daily basis. The iSTOXX Nordic ESG DW Index aims at investing at all the listed companies from the Nordic countries that qualify as global sustainability leaders (components of the STOXX Global ESG Leaders), excluding those which generate revenues from alcohol, gambling, tobacco, armaments, firearms and adult entertainment. The selected stocks are weighted according to their 12-month historical dividend yield. This index is subject of the STOXX Quality Charter.

Key facts

  • Rating methodology looks at each company individually and makes clear differentiations between different types of companies
  • Key performance indicators (KPI) for every company are made known to index licensees and the weighting and computation metrics are fully disclosed in guides
  • DVFA/EFFAS, as independent and neutral professional associations of investors and financial analysts, created the KPI for standard ESG 3.0, to which the index model has been mapped
  • Methodology allows a detailed attribution of sustainability performance for index components and non-components
  • Constant 4.5% performance deduction

Descriptive Statistics

Index Market Cap (SEK ) Components (SEK ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Nordic ESG DW Decrement 4.5% N/A N/A N/A N/A N/A N/A N/A N/A N/A
iSTOXX Nordic ESG DW N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Nordic ESG DW Decrement 4.5% -3.5 2.2 9.2 2.0 28.6 N/A N/A 9.4 0.7 5.2
iSTOXX Nordic ESG DW -2.9 1.2 9.8 2.0 32.6 N/A N/A 10.0 0.7 5.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Nordic ESG DW Decrement 4.5% N/A N/A 11.1 15.7 18.2 N/A N/A 0.5 -0.1 0.2
iSTOXX Nordic ESG DW N/A N/A 11.1 15.7 18.2 N/A N/A 0.6 -0.1 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Nordic ESG DW Decrement 4.5% 0.0 0.0 0.1 0.0 0.0 15.6 13.2 15.2 21.8 25.2
Index to benchmark Beta Annualized information ratio
iSTOXX Nordic ESG DW Decrement 4.5% 0.0 0.0 0.1 0.0 0.0 0.2 0.2 -0.1 -0.1 -0.2

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

2Based on EURIBOR1M

(SEK, Price), all data as of June 28, 2024

ISTOXX INDICES

iSTOXX Nordic ESG DW Decrement 4.5%

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
iSTOXX Nordic ESG DW Decrement 4.5% N/A N/A N/A N/A N/A N/A N/A N/A
iSTOXX Nordic ESG DW N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The iSTOXX Nordic ESG DW Decrement 4.5% Index replicates the performance of the iSTOXX Nordic ESG DW Index assuming a constant 4.5% performance deduction per annum. The performance deduction accrues constantly on a daily basis.

This index is subject of the STOXX Quality Charter.

Quick Facts

Calculation/distribution real-time (every 15’’)
Calculation hours 09:00 CET – 18:00 CET
Base value/base date 100 as of Mar. 22, 2004
History Available daily back to Mar. 22, 2004
Inception date Feb. 28, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

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