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ISTOXX INDICES

EURO iSTOXX Responsibility Screened Select 30

Index Description

The EURO iSTOXX Responsibility Screened Select 30 Index tracks the performance of 30 liquid stocks with low volatility and high dividend yield. Industry and country neutrality filters are applied in the selection process to ensure diversification. Companies that are in contravention of the Global Standards Screening or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Additionally, companies involved in Military Contracting, Gambling, Adult Entertainment, Thermal Coal, Nuclear Power, Tobacco, and Genetically Modified Plants and Seeds are also excluded.

Key facts

  • Selection of 30 liquid stocks with low volatility and high dividend yield
  • Companies are Global Standards Screening-compliant and are not involved in Controversial Weapons.
  • Further product involvement filters are applied.
  • Companies with the lowest ESG scores in their respective peer groups are filtered out.

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
EURO iSTOXX Responsibility Screened Select 30 N/A 1.0 0.0 0.0 0.1 0.0 6.3 2.5 124.0
EURO STOXX 7,415.0 5,415.4 18.2 6.6 385.3 1.4 7.1 0.0 3.7

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
EURO iSTOXX Responsibility Screened Select 30 -4.0 5.5 8.7 7.1 10.8 N/A N/A 8.9 2.3 2.1
EURO STOXX -2.7 7.9 11.5 19.5 49.0 N/A N/A 11.7 6.2 8.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX Responsibility Screened Select 30 N/A N/A 10.1 13.2 17.3 N/A N/A 0.5 0.0 0.1
EURO STOXX N/A N/A 11.4 16.8 19.6 N/A N/A 0.7 0.2 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX Responsibility Screened Select 30 0.9 0.8 0.8 0.9 0.9 7.5 6.8 6.4 8.6 8.6
Index to benchmark Beta Annualized information ratio
EURO iSTOXX Responsibility Screened Select 30 0.7 0.7 0.7 0.7 0.8 -2.5 -0.7 -0.5 -0.5 -0.8

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

ISTOXX INDICES

EURO iSTOXX Responsibility Screened Select 30

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
EURO iSTOXX Responsibility Screened Select 30 13.1 9.7 10.4 10.4 1.2 4.8 0.7 13.1
EURO STOXX 16.6 13.1 14.6 14.6 1.7 2.7 1.2 19.2

Performance and annual returns

Methodology

The EURO iSTOXX Responsibility Screened Select 30 Index is based on the EURO STOXX Index.


STOXX will exclude companies that Sustainalytics considers to be non-compliant with Global Standards Screening, and companies involved in Controversial Weapons. Furthermore, companies involved in Military Contracting, Gambling, Adult Entertainment, Thermal Coal, Nuclear Power, Tobacco, and Genetically Modified Plants and Seeds are also excluded.


From the remaining companies, the bottom 25% in terms of ESG scores in their respective peer group are excluded from the selection process. Consequently, the remaining companies are ranked in ascending order based on their volatility. The top ranking 50%, i.e. those with the lowest volatility, then serve as a basis for the selection of the final 30 constituents with the highest dividend yields. Industry and country constraints apply.


The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0480773289 ISXERSP ISXERSP INDEX .ISXERSP
Gross Return EUR CH0480773305 ISXERSGR .ISXERSGR
Net Return EUR CH0480773297 ISXERSR .ISXERSR
Price USD CH0480773313 ISXERSL .ISXERSL
Gross Return USD CH0480773271 ISXERSGV .ISXERSGV
Net Return USD CH0480773255 ISXERSV .ISXERSV

Quick Facts

Weighting Volatility weighted
Cap Factor 0.1
No. of components 30
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 May. 31, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

EURO iSTOXX Responsibility Screened Select 30

Top 10 Components4

Company Supersector Country Weight
KPN Telecommunications Netherlands 6.306%
VINCI Construction and Materials France 4.457%
Redeia Corporacion Utilities Spain 4.089%
DEUTSCHE TELEKOM Telecommunications Germany 3.920%
ENI Energy Italy 3.815%
ACS Construction and Materials Spain 3.673%
ENAGAS Energy Spain 3.582%
AGEAS Insurance Belgium 3.556%
SNAM RETE GAS Energy Italy 3.511%
TERNA Utilities Italy 3.393%

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

4Based on the composition as of June 28, 2024