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BLUE CHIP INDICES
MDAX ESG+
Index Description
The objective of the MDAX ESG+ index is to reflect the performance of the MDAX index, while using ESG exclusion filters to remove at least 20% of companies from the parent index. Firms that fail to meet norms-based screening, controversial weapons screening, minimum ESG ratings and a series of business activity screenings will be excluded. Removed companies are not replaced, therefore the MDAX ESG+ index will typically have fewer holdings than the parent MDAX index. The parent MDAX index focuses on midcap companies by tracking the performance of the 50 stocks which follow DAX companies in terms of size or that are not eligible for DAX inclusion.
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+ | 193.6 | 114.3 | 2.9 | 2.2 | 7.8 | 0.5 | 6.8 | 0.5 | 20.4 |
MDAX | 237.6 | 139.6 | 2.8 | 2.2 | 7.8 | 0.5 | 5.6 | 0.4 | 14.9 |
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+ | 1.9 | -2.4 | 0.6 | -17.3 | 14.2 | N/A | N/A | 0.6 | -6.2 | 2.7 |
MDAX | 1.7 | -1.5 | 0.7 | -19.5 | 7.8 | N/A | N/A | 0.7 | -7.0 | 1.5 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
MDAX ESG+ | N/A | N/A | 15.1 | 19.4 | 20.0 | N/A | N/A | -0.3 | -0.4 | 0.0 |
MDAX | N/A | N/A | 15.4 | 19.9 | 20.8 | N/A | N/A | -0.3 | -0.5 | -0.1 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
MDAX ESG+ | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 3.4 | 3.6 | 3.0 | 3.5 | 4.0 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
MDAX ESG+ | 0.8 | 0.9 | 1.0 | 1.0 | 0.9 | 0.6 | -0.6 | -0.1 | 0.3 | 0.3 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Total Return), all data as of May 31, 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+ | -112.5 | 15.2 | 16.3 | 16.3 | 1.2 | 1.7 | 0.6 | 21.3 |
MDAX | -82.3 | 17.1 | 16.6 | 16.6 | 1.4 | N/A | 0.7 | 22.4 |
Performance and annual returns
Methodology
The MDAX ESG+ index composition is derived from its parent index, the MDAX index. STOXX will exclude companies that ISS ESG considers to be non-compliant based on UN Global Compact principles, are involved in controversial weapons, are tobacco producers or distributors and that either derive revenues from thermal coal mining, unconventional oil & gas, civilian firearms, military equipment, or, have power generation capacity that utilizes nuclear power or thermal coal, or plan to expand their activities in thermal coal mining or thermal coal power generation. In case the ESG screening will result in a removal of less than 20% of the parent index constituents, the companies with the lowest ESG score, as computed by ISS ESG, will be additionally excluded until the goal is reached. The index weighting is based on the free-float market capitalization, whereby the maximum weighting per share is capped at 10 percent. Removed companies are not replaced.
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. |
BLUE CHIP INDICES
MDAX ESG+
Top 10 Components4
Company | Supersector | Country | Weight |
---|---|---|---|
FRESENIUS MEDICAL CARE | Health Care | Germany | 6.821% |
LUFTHANSA | Travel and Leisure | Germany | 5.714% |
LEG IMMOBILIEN | Real Estate | Germany | 5.267% |
GEA GRP | Industrial Goods and Services | Germany | 5.263% |
SCOUT24 | Technology | Germany | 4.540% |
PUMA | Consumer Products and Services | Germany | 4.392% |
NEMETSCHEK | Technology | Germany | 4.145% |
KNORR BREMSE | Industrial Goods and Services | Germany | 4.083% |
EVONIK INDUSTRIES | Chemicals | Germany | 3.864% |
TALANX | Insurance | Germany | 3.843% |
3Net dividend yield is calculated as net return index return minus price index return
4Based on the composition as of May 31, 2024