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BLUE CHIP INDICES
DAX 50 ESG+
Index Description
The objective of the DAX 50 ESG+ Index is to reflect the performance of the 50 companies with the highest ESG score selected from the 75 largest companies in terms of free float Market Cap of the HDAX Index. Firms that fail to meet norms-based screening, controversial weapons screening,minimum ESG ratings and a series of business activity screenings will be excluded. The parent HDAX index focuses on large and medium sized companies by tracking the performance of 40 companies from DAX Index, the 50 companies from MDAX Index and the 30 companies from TecDAX index.
Key facts
- The index consists of securities from the HDAX index screened for ESG criteria and selected by ESG score.
- Screening and ESG scores are provided by award winning ESG data provider ISS ESG.
- The index applies a transparent free-float market capitalization weighting scheme, similar to the parent index.
- Diversification is achieved by incorporating a capping factor of 7% at component level, which ensures that no component can dominate the index.
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 | |
| DAX 50 ESG+ | 1,176.9 | 906.7 | 18.1 | 10.2 | 67.1 | 1.6 | 7.4 | 0.2 | 34.4 |
| HDAX | 1,881.1 | 1,464.1 | 14.2 | 4.4 | 153.4 | 0.3 | 10.5 | 0.0 | 6.1 |
Supersector weighting (top 10)
Country weighting
Risk and return figures1
| Index returns | Return (%) | Annualized return (%) | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Last month | YTD | 1Y | 3Y | 5Y | Last month | YTD | 1Y | 3Y | 5Y | |
| DAX 50 ESG+ | -2.3 | 12.5 | 28.1 | 15.3 | 49.7 | N/A | N/A | 28.6 | 4.9 | 8.4 |
| HDAX | -1.6 | 11.6 | 26.1 | 15.0 | 41.0 | N/A | N/A | 26.6 | 4.8 | 7.1 |
| Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
| DAX 50 ESG+ | N/A | N/A | 11.6 | 17.7 | 20.8 | N/A | N/A | 2.1 | 0.2 | 0.3 |
| HDAX | N/A | N/A | 11.7 | 17.5 | 20.5 | N/A | N/A | 1.9 | 0.1 | 0.2 |
| Index to benchmark | Correlation | Tracking error (%) | ||||||||
| DAX 50 ESG+ | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 2.2 | 2.3 | 2.2 | 2.5 | 2.6 |
| Index to benchmark | Beta | Annualized information ratio | ||||||||
| DAX 50 ESG+ | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | -3.7 | 0.4 | 0.7 | 0.0 | 0.5 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Total Return), all data as of October 31, 2024
BLUE CHIP INDICES
DAX 50 ESG+
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 | ||
| DAX 50 ESG+ | 16.5 | 12.7 | 13.5 | 13.5 | 1.3 | 3.2 | 0.7 | 16.5 |
| HDAX | 21.3 | 14.2 | 15.6 | 15.6 | 1.5 | N/A | 0.8 | 19.3 |
Methodology
The DAX 50 ESG+ index composition is derived from its parent index, the HDAX index.
STOXX will exclude companies that ISS ESG considers to be non-compliant based on UN Global Compact principles, are involved in controversial weapons, are tobacco producers or distributors and that either derive revenues from thermal coal mining, unconventional oil & gas, civilian firearms, military equipment, or, have power generation capacity that utilizes nuclear power or thermal coal, or plan to expand their activities in thermal coal mining or thermal coal power generation.
From the remaining companies, the top 50 companies in terms of ESG score, sourced from ISS-ESG ESG Performance Score, are then selected into the index. In case less than 50 companies are eligible for inclusion, no additional company will be added and the index will be constituted by less than 50 companies. In case the ESG Score is identical for two companies, the larger company in terms of free float market capitalization is selected.
The index weighting is based on the free-float market capitalization, whereby the maximum weighting per share is capped at 7 percent.
| Index | ISIN | Symbol | Bloomberg | Reuters |
|---|---|---|---|---|
| Net Return EUR | DE000A3DSHU1 | DAXESGPN | DAXESGPN INDEX | .DAXESGPN |
| Price EUR | DE000A3DSHT3 | DAXESGPK | DAXESGPK INDEX | .DAXESGPK |
| Total Return EUR | DE000A3DSHV9 | DAXESGP | DAXESGP INDEX | .DAXESGP |
Quick Facts
| Weighting | Free-float market cap |
| Cap Factor | 0.07 |
| No. of components | 50 |
| Review frequency | Quarterly |
| Calculation/distribution | realtime, 1 sec |
| Calculation hours | 9:00 - 18:00 CET |
| Base value/base date | 1,000 as of Mar. 17, 2017 |
| History | tbc |
| Inception date | Sep. 2, 2022 |
| To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet. | |
Top 10 Components4
| Company | Supersector | Country | Weight |
|---|---|---|---|
| SIEMENS | Industrial Goods and Services | Germany | 7.398% |
| SAP | Technology | Germany | 7.348% |
| DEUTSCHE TELEKOM | Telecommunications | Germany | 7.134% |
| ALLIANZ | Insurance | Germany | 6.926% |
| MUENCHENER RUECK | Insurance | Germany | 6.626% |
| DEUTSCHE BOERSE | Financial Services | Germany | 4.478% |
| BASF | Chemicals | Germany | 4.395% |
| MERCEDES-BENZ GROUP | Automobiles and Parts | Germany | 4.326% |
| INFINEON TECHNOLOGIES | Technology | Germany | 4.180% |
| ADIDAS | Consumer Products and Services | Germany | 4.024% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of October 31, 2024