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ISTOXX INDICES

EURO iSTOXX ESG Weighted Additional Exclusions 50

Index Description

The EURO iSTOXX ESG Weighted Additional Exclusions 50 Index tracks the performance of the 50 largest securities from the EURO STOXX� Index that are not involved in tobacco production and distribution, fossil fuels and military contracting. Industry neutrality filters are applied in the selection process to ensure diversification. STOXX will exclude companies that are not compliant based on the Sustainalytics Global Standards Screening assessment, have Severe Controversy Rating (Category 5) or are involved in Controversial Weapons. Moreover, companies involved in Tobacco Production and Distribution, Conventional and Unconventional Oil & Gas, Thermal Coal and Military Contracting Weapons are also not eligible for selection.

Key facts

  • The index selects 50 large and liquid securities from the EURO STOXX Index
  • Companies that are non-compliant with the Global Standards Screening (GSS) or display a Severe Controversy Rating are excluded
  • Companies involved in Controversial Weapons activities are also not eligible
  • Product involvement filters are applied for Fossil Fuels, Tobacco Production and Distribution and Military Contracting Weapons
  • Securities' weights depend on their ESG scores
  • Screening and ESG scores provided by Sustainalytics, the award winning ESG data provider
  • Industry neutrality filters are applied in the selection process to ensure diversification

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 Weighted Additional Exclusions 50 N/A 1.0 0.0 0.0 0.0 0.0 4.0 0.4 45.9
EURO STOXX 50 4,457.5 3,458.3 69.2 53.4 306.5 18.0 8.9 0.5 5.2

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
EURO iSTOXX ESG Weighted Additional Exclusions 50 -1.3 7.8 10.6 12.0 34.3 N/A N/A 10.7 3.9 6.1
EURO STOXX 50 -3.2 8.8 12.9 23.8 40.0 N/A N/A 13.0 7.5 7.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG Weighted Additional Exclusions 50 N/A N/A 11.2 16.6 19.4 N/A N/A 0.6 0.1 0.3
EURO STOXX 50 N/A N/A 12.3 18.0 21.0 N/A N/A 0.7 0.3 0.3
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG Weighted Additional Exclusions 50 0.9 0.9 1.0 1.0 1.0 5.3 4.5 3.8 4.1 4.3
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG Weighted Additional Exclusions 50 0.9 0.8 0.9 0.9 0.9 4.5 -0.7 -0.6 -0.9 -0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of April 30, 2024

ISTOXX INDICES

EURO iSTOXX ESG Weighted Additional Exclusions 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 Weighted Additional Exclusions 50 16.2 13.3 14.0 14.0 1.8 3.1 1.5 21.0
EURO STOXX 50 15.3 13.4 15.1 15.1 2.0 3.0 1.3 20.1

Performance and annual returns

Methodology

STOXX will exclude companies that are not compliant based on the Sustainalytics Global Standards Screening assessment, have Severe Controversy Rating (Category 5) or are involved in Controversial Weapons. Companies that generate revenues from Tobacco Production and Distribution, Conventional and Unconventional Oil & Gas, Thermal Coal, Military Contracting Weapons or with below 50 ESG scores are not eligible for selection.

Constituents of the EURO STOXX index that meet the aforementioned criteria are ranked in descending order of their free float market capitalization. The index selects the largest 50 securities from this list, subject to ICB Industry constraints. These securities are then ranked in ascending order of their ESG scores and issued linearly increasing weights. Securities with higher ESG scores will have larger weights than those with lower ESG 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
Gross Return EUR CH0588489606 IXESGA5G .IXESGA5G
Price EUR CH0588489630 IXESGA5 IXESGA5 INDEX .IXESGA5
Net Return EUR CH0588489648 IXESGA5R .IXESGA5R
Gross Return USD CH0588489580 IXESGA5U .IXESGA5U
Net Return USD CH0588489572 IXESGA5V .IXESGA5V
Price USD CH0588489598 IXESGA5L .IXESGA5L

Quick Facts

Weighting Weight based on ESG performance rank
Cap Factor 0.035
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. 19, 2012
History Available since 19 March 2012
Inception date Jan. 15, 2021
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 ESG Weighted Additional Exclusions 50

Top 10 Components4

Company Supersector Country Weight
INTESA SANPAOLO Banks Italy 3.953%
PHILIPS Health Care Netherlands 3.906%
UNICREDIT Banks Italy 3.615%
UNICREDIT Banks Germany 3.615%
AENA SME Industrial Goods and Services Spain 3.322%
AXA Insurance France 3.274%
BCO SANTANDER Banks Spain 3.211%
BNP PARIBAS Banks France 3.167%
TELEFONICA Telecommunications Spain 3.130%
LEGRAND Industrial Goods and Services France 3.072%

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

4Based on the composition as of April 30, 2024