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ISTOXX INDICES

EURO iSTOXX ESG Performance 50 NR Decrement 5%

Index Description

The EURO iSTOXX ESG Performance 50 NR Decrement 5% Index replicates the performance of the net return version of the EURO iSTOXX ESG Performance 50 Index assuming a constant 5% performance deduction per annum. The performance deduction accrues constantly on a daily basis.

Key facts

  • The index components and weights exactly match those of the base index, the EURO iSTOXX ESG Performance 50 Index
  • It replicates the performance of the net return version of the base index assuming a constant 5% performance deduction per annum
  • The performance deduction accrues constantly on a daily basis. All changes and adjustments to the base index are reflected in the decrement index
  • Incorporates screening based on ADTV to improve liquidity
  • Decrement to enforce stable dividend that enhances the pricing of the underlying product

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX ESG Performance 50 NR Decrement 5% N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
EURO iSTOXX ESG Performance 50 NR Decrement 5% -4.9 6.4 21.0 -5.6 20.1 N/A N/A 21.2 -1.9 3.8
EURO STOXX -3.3 5.3 17.2 5.8 28.4 N/A N/A 17.4 1.9 5.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG Performance 50 NR Decrement 5% N/A N/A 13.4 17.3 20.0 N/A N/A 1.2 -0.2 0.1
EURO STOXX N/A N/A 11.8 16.8 19.6 N/A N/A 1.4 0.0 0.2
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG Performance 50 NR Decrement 5% 1.0 0.9 0.9 1.0 1.0 4.5 4.6 4.5 5.0 5.3
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG Performance 50 NR Decrement 5% 1.2 1.1 1.1 1.0 1.0 -4.2 0.3 0.7 -0.8 -0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of October 31, 2024

ISTOXX INDICES

EURO iSTOXX ESG Performance 50 NR Decrement 5%

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 Performance 50 NR Decrement 5% N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The index components and weights exactly match those of the base index, the EURO iSTOXX ESG Performance 50 Index. It replicates the performance of the net return version of the base index assuming a constant 5% performance deduction per annum. The performance deduction accrues constantly on a daily basis. All changes and adjustments to the base index are reflected in the decrement index.

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

Quick Facts

Weighting Free-float market capitalization
Cap Factor 0.1
No. of components 50
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 19:15:00
Base value/base date 1000 as of Mar. 24, 2014
History Available since Mar. 24, 2021
Inception date Apr. 19, 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 Performance 50 NR Decrement 5%