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ISTOXX INDICES

EURO iSTOXX ESG Core Leaders 50

Index Description

The EURO iSTOXX ESG Core Leaders 50 Index selects 50 companies that are classed as leaders with regard to environmental, social and governance (ESG) criteria. Companies that are in contravention of the UN Global Compact Principles or are involved in Controversial Weapons activities, as identified by Sustainalytics, are excluded. Companies that are involved in Tobacco Production or Thermal Coal are also excluded. Further ESG screens are applied to result in a selection of 50 companies that rank highly in terms of their environmental, social and governance performance. The index is price-weighted with a weighting factor based on the environmental, social and governance scores.

Key facts

  • Selects 50 large securities from the EURO STOXX Index that are classed as ESG leaders
  • ESG screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening using ESG ratings provided by Sustainalytics, the award-winning ESG data provider
  • Index is reviewed quarterly, and constituents are price-weighted with a weighting factor based on the environmental, social and governance scores.

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 ESG Core Leaders 50 N/A 98.9 2.0 2.0 2.4 1.5 2.4 1.5 44.8
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 ESG Core Leaders 50 -3.2 8.2 12.6 26.8 54.7 N/A N/A 12.8 8.3 9.2
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 ESG Core Leaders 50 N/A N/A 10.9 16.5 20.0 N/A N/A 0.8 0.4 0.4
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 ESG Core Leaders 50 1.0 0.9 1.0 1.0 1.0 2.7 3.6 3.3 3.3 3.7
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG Core Leaders 50 0.9 0.9 0.9 1.0 1.0 -2.6 0.1 0.3 0.6 0.2

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 ESG Core Leaders 50

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 ESG Core Leaders 50 14.2 10.5 11.9 11.9 1.3 3.3 1.0 14.3
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 ESG Core Leaders 50 Index selects 50 large securities from the EURO STOXX Index that are classed as leaders with regard to environmental, social and governance criteria.


STOXX will exclude companies that Sustainalytics considers to be non-compliant with the UN Global Compact Principles, are involved in Controversial Weapons, are Tobacco Producers or derive revenues from Thermal Coal. EURO STOXX securities that meet these criteria are then screened for their individual environment, social and governance scores. Only companies that rank in the top 50% in all three criteria and rank in the top 25% in at least one area will be eligible for selection. From the remaining universe, the index selects 50 companies with the highest free-float market capitalization. The index is reviewed quarterly, and constituents are price-weighted with a weighting factor based on the environmental, social and governance scores.


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 CH0492824484 IXECL5P .IXECL5P
Gross Return EUR CH0492824443 IXECL5GR .IXECL5GR
Net Return EUR CH0492824492 IXECL5R IXECL5R INDEX .IXECL5R
Net Return USD CH0492824468 IXECL5V .IXECL5V
Price USD CH0492824450 IXECL5L .IXECL5L
Gross Return USD CH0492824476 IXECL5GV .IXECL5GV

Quick Facts

Weighting Price-weighted based on ESG scores
Cap Factor -
No. of components 50
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 16, 2012
History Available since March 16, 2012
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.

ISTOXX INDICES

EURO iSTOXX ESG Core Leaders 50

Top 10 Components4

Company Supersector Country Weight
INTESA SANPAOLO Banks Italy 2.437%
ENI Energy Italy 2.357%
UNICREDIT Banks Italy 2.352%
UNICREDIT Banks Germany 2.352%
AXA Insurance France 2.334%
ASSICURAZIONI GENERALI Insurance Italy 2.269%
NOKIA Telecommunications Finland 2.249%
SCHNEIDER ELECTRIC Industrial Goods and Services France 2.240%
IBERDROLA Utilities Spain 2.217%
MUENCHENER RUECK Insurance Germany 2.214%

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

4Based on the composition as of June 28, 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.