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BLUE CHIP INDICES

MDAX ESG+

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Index Description

The MDAX® ESG+ index objective is to reflect the performance of the MDAX index while using ESG exclusion filters to remove at least 20% of the MDAX constituents. Companies that fail to meet norms-based screening, controversial weapons screening, minimum ESG ratings and a series of business activity screenings, as identified by ISS ESG, are excluded. If less than 20% of the components of the MDAX are excluded, the worst performing companies in terms of ESG Score are excluded. Removed companies are not replaced, therefore the MDAX ESG+ index will have fewer holdings than the parent MDAX index (MDAX focuses on midcap companies by tracking the performance of the 50 stocks which follow DAX® companies in terms of free-float market capitalization)Index Guides, Benchmark statement, and other reports are available under the "Data ; Methodology" tab. This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • The index consists of securities from the MDAX index screened for ESG criteria.
  • Screening is provided by award winning ESG data provider ISS ESG.
  • The index applies a transparent free-float market capitalization weighting scheme, similar to the parent index.
  • Diversification is achieved by incorporating a capping factor of 10% at component level, which ensures that no component can dominate the index.

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
MDAX ESG+ 197.2 108.9 2.7 2.1 7.1 0.3 6.5 0.3 24.7
MDAX 247.4 136.7 2.7 2.1 7.1 0.3 5.2 0.3 17.3

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
MDAX ESG+ -5.5 -7.7 -8.3 -24.1 6.2 N/A N/A -8.5 -8.8 1.2
MDAX -5.8 -7.2 -8.8 -26.1 -1.7 N/A N/A -9.0 -9.6 -0.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
MDAX ESG+ N/A N/A 15.5 19.5 20.1 N/A N/A -0.7 -0.6 0.0
MDAX N/A N/A 15.7 20.0 20.8 N/A N/A -0.7 -0.6 -0.1
Index to benchmark Correlation Tracking error (%)
MDAX ESG+ 1.0 1.0 1.0 1.0 1.0 2.2 3.4 3.0 3.5 4.0
Index to benchmark Beta Annualized information ratio
MDAX ESG+ 1.0 1.0 1.0 1.0 0.9 1.8 -0.3 0.2 0.3 0.4

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

2Based on EURIBOR1M

(EUR, Total Return), all data as of June 28, 2024

BLUE CHIP INDICES

MDAX ESG+

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
MDAX ESG+ -315.3 13.8 14.1 13.4 1.1 1.7 0.5 45.7
MDAX -122.0 16.0 15.1 14.2 1.3 N/A 0.6 40.6

Performance and annual returns

Methodology

The MDAX® ESG+ index objective is to reflect the performance of the MDAX index while using ESG exclusion filters to remove at least 20% of the MDAX constituents. Companies that fail to meet norms-based screening, controversial weapons screening, minimum ESG ratings and a series of business activity screenings, as identified by ISS ESG, are excluded. If less than 20% of the components of the MDAX are excluded, the worst performing companies in terms of ESG Score are excluded. Removed companies are not replaced, therefore the MDAX ESG+ index will have fewer holdings than the parent MDAX index (MDAX focuses on midcap companies by tracking the performance of the 50 stocks which follow DAX® companies in terms of free-float market capitalization)Index Guides, Benchmark statement, and other reports are available under the "Data ; Methodology" tab.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return EUR DE000A3DMSK2 MDXESGP MDXESGP INDEX .MDXESGP
Net Return EUR DE000A3DMSJ4 MDXESGPN MDXESGPN INDEX .MDXESGPN
Price EUR DE000A3DMSH8 MDXESGPK MDXESGPK INDEX .MDXESGPK

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components Variable
Review frequency Quarterly
Calculation/distribution realtime, 1 sec
Calculation hours 9:00 - 18:00 CET
Base value/base date 1,000 as of Mar. 17, 2017
History Available since Mar. 17, 2017
Inception date May 30, 2022
To learn more about the inception date, currency versions, calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
FRESENIUS MEDICAL CARE Health Care Germany 6.538%
GEA GRP Industrial Goods and Services Germany 5.616%
LUFTHANSA Travel and Leisure Germany 5.335%
LEG IMMOBILIEN Real Estate Germany 5.191%
SCOUT24 Technology Germany 4.905%
EVONIK INDUSTRIES Chemicals Germany 4.361%
KNORR BREMSE Industrial Goods and Services Germany 4.330%
PUMA Consumer Products and Services Germany 4.158%
TALANX Insurance Germany 4.113%
RATIONAL Industrial Goods and Services Germany 3.642%

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.

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.