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ISTOXX INDICES

EURO iSTOXX ESG Performance 50

Index Description

The EURO iSTOXX ESG Performance 50 Index tracks the performance of 50 securities with the best ESG Risk Rating scores from the EURO STOXX Index that are not involved in fossil fuels. Industry neutrality filters are applied in the selection process to ensure diversification. The 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 are excluded. Moreover, companies involved in Conventional Oil & Gas, Unconventional Oil & Gas (Arctic Oil and Gas Exploration, Oil Sands and Shale Energy) or Thermal Coal are also not eligible for selection.

Key facts

  • The index selects 50 liquid securities with the best ESG Risk Rating scores 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
  • Screening and ESG Risk Rating scores provided by Sustainalytics, the award winning ESG data provider
  • Securities are free float market capitalization weighted, with a maximum cap of 10%
  • Industry neutrality filters are applied in the selection process to ensure diversification

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX ESG Performance 50 1,161.4 977.2 19.5 10.1 105.1 2.0 10.8 0.2 72.2
EURO STOXX 7,947.8 5,804.6 19.5 7.1 412.9 1.5 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 Performance 50 -1.2 8.0 12.0 -2.0 41.2 N/A N/A 12.3 -0.7 7.2
EURO STOXX -4.1 2.6 6.8 0.3 25.6 N/A N/A 6.9 0.1 4.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX ESG Performance 50 N/A N/A 16.5 21.5 23.0 N/A N/A 0.5 -0.1 0.3
EURO STOXX N/A N/A 15.2 21.2 22.6 N/A N/A 0.3 -0.1 0.2
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX ESG Performance 50 1.0 0.9 1.0 1.0 1.0 4.4 4.8 4.6 5.1 5.3
Index to benchmark Beta Annualized information ratio
EURO iSTOXX ESG Performance 50 0.9 1.0 1.0 1.0 1.0 8.5 2.2 1.1 -0.2 0.4

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

2Based on EURIBOR1M

(USD, Price), all data as of June 28, 2024

ISTOXX INDICES

EURO iSTOXX ESG Performance 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 Performance 50 24.8 16.0 17.9 17.9 2.0 3.5 1.9 20.7
EURO STOXX 16.6 13.1 14.6 14.6 1.7 3.5 1.2 19.2

Performance and annual returns

Methodology

The EURO iSTOXX ESG Performance 50 Index selects 50 liquid securities from the EURO STOXX Index that are not involved in Fossil Fuels.

The 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 are excluded. Companies that generate revenues from Conventional Oil & Gas, Unconventional Oil & Gas or Thermal Coal are not eligible for selection.

Constituents of the EURO STOXX Index that meet the aforementioned criteria and with 3M ADTV equal to or exceeding 10 million EUR are ranked in ascending order of their ESG Risk Rating scores (low score implies good ESG Risk Rating performance). The index selects the top ranking 50 securities from this list, subject to ICB Industry constraints. The securities are free float market capitalization weighted, with a maximum cap of 10%.

The detailed methodology can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1109511977 IXESGP5G IXESGP5G INDEX .IXESGP5G
Net Return EUR CH1109511944 IXESGP5R .IXESGP5R
Price EUR CH1109511951 IXESGP5 IXESGP5 INDEX .IXESGP5
Gross Return USD CH1109511993 IXESGP5U .IXESGP5U
Price USD CH1109511985 IXESGP5L .IXESGP5L
Net Return USD CH1109511969 IXESGP5V .IXESGP5V

Quick Facts

Weighting free-float market capitalization
Cap Factor 0.1
No. of components 50
Review frequency Quarterly
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 24, 2014
History Available since Mar. 24, 2014
Inception date Apr. 14, 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

Top 10 Components4

Company Supersector Country Weight
SAP Technology Germany 10.752%
ALLIANZ Insurance Germany 10.223%
ASML HLDG Technology Netherlands 10.073%
INTESA SANPAOLO Banks Italy 6.142%
INFINEON TECHNOLOGIES Technology Germany 4.914%
DEUTSCHE BOERSE Financial Services Germany 3.982%
ASM INTERNATIONAL Technology Netherlands 3.648%
AMADEUS IT GROUP Technology Spain 3.070%
MICHELIN Automobiles and Parts France 2.832%
STMICROELECTRONICS Technology Italy 2.672%

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

4Based on the composition as of June 28, 2024