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BLUE CHIP INDICES

DAX ESG Target

Index Description

The objective of the DAX ESG Target Index is to reflect the DAX Index while maximizing its ESG score and at the same time reducing its carbon intensity by at least 30%. The predicted tracking error is constrained with respect to the parent index. The index uses Sustainalytics’ Global Standards Screening as well as ESG exclusion filters for Severe Controversies, Weapons (Controversial Weapons, Military Contracting, Small Arms), Tobacco, Thermal Coal, Nuclear Power and Oil Sands.

Key facts

  • The index consists of 40 large ESG screened German securities listed on the Frankfurt Stock Exchange (FSE).
  • The screens applied are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening is provided by award winning ESG data provider Sustainalytics.
  • The component weights are derived through an optimization process with the goal of maximizing the portfolio ESG score and reducing carbon intensity relative to the DAX Index by at least 30%.
  • The Index is aligned with the SFDR Article 8 and is considered as an ESG-Product (3) under the German associations concept.
  • The index is suitable as underlying for ETFs, mandates, passive funds, 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
DAX ESG Target N/A 100.5 2.5 1.5 10.6 0.2 10.6 0.2 61.9
DAX 1,635.8 1,318.4 33.0 20.4 193.5 5.2 14.7 0.4 3.2

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 ESG Target -0.3 9.6 N/A N/A N/A N/A N/A N/A N/A N/A
DAX -1.4 8.1 12.1 14.6 41.9 N/A N/A 12.4 4.7 7.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
DAX ESG Target N/A N/A 180.9 180.9 180.9 N/A N/A 1.0 1.0 1.0
DAX N/A N/A 11.4 17.4 21.0 N/A N/A 0.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
DAX ESG Target 1.0 1.0 0.0 0.0 0.0 2.4 2.0 181.5 181.5 181.5
Index to benchmark Beta Annualized information ratio
DAX ESG Target 0.9 0.9 -0.5 -0.2 -0.1 6.2 1.5 0.9 0.9 0.9

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of June 28, 2024

BLUE CHIP INDICES

DAX ESG Target

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 ESG Target 17.1 12.8 14.9 14.9 1.5 N/A 0.9 15.7
DAX 18.7 12.9 15.6 15.6 1.4 2.5 0.9 18.7

Performance and annual returns

Methodology

The universe for the DAX ESG Target is defined by all stocks included in the HDAX Index, which comprises the joint set of companies included in DAX, MDAX and TecDAX.

Companies identified as non-compliant based on Sustainalytics’ Global Standards Screening assessment, or which are involved in Weapons (Controversial Weapons, Military Contracting, Small Arms), Tobacco, Thermal Coal, Nuclear Power and Oil Sands are not eligible for selection.

The selection is a twostep approach: First, companies from the DAX Index that pass ESG screens are selected. Secondly, to reach the same number of constituents as in DAX Index, the largest companies from the HDAX with suitable ESG scores are selected. The weights are derived through an optimization process with the goal of maximizing the portfolio ESG Score. Securities are capped at 10% on a component level.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return EUR DE000A3CLUH8 DAXESGT DAXESGT INDEX .DAXESGT
Price EUR DE000A3CLUK2 DAXESGTK DAXESGTK INDEX .DAXESGTK
Net Return EUR DE000A3CLUJ4 DAXESGTN DAXESGTN INDEX .DAXESGTN
Net Return USD DE000A3CLUM8 DXESGTNU .DAXESGTV
Price USD DE000A3CLUN6 DXESGTPU .DAXESGTL
Total Return USD DE000A3CLUL0 DXESGTU .DAXESGTU

Quick Facts

Weighting Price-weighted
Cap Factor No cap factor
No. of components 40
Review frequency Quarterly
Calculation/distribution realtime, 1 sec
Calculation hours 9:00 - 18:00 CET
Base value/base date 1,000 as of Sep. 24, 2012
History tbc
Inception date Mar. 31, 2021
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

BLUE CHIP INDICES

DAX ESG Target

Top 10 Components4

Company Supersector Country Weight
SAP Technology Germany 10.592%
SIEMENS Industrial Goods and Services Germany 10.115%
ALLIANZ Insurance Germany 8.996%
DEUTSCHE TELEKOM Telecommunications Germany 7.689%
MUENCHENER RUECK Insurance Germany 6.026%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 4.351%
DEUTSCHE BOERSE Financial Services Germany 3.822%
INFINEON TECHNOLOGIES Technology Germany 3.752%
DEUTSCHE POST Industrial Goods and Services Germany 3.568%
BASF Chemicals Germany 3.155%

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

4Based on the composition as of June 28, 2024