Indices

STOXX^® USA 500 ESG-X Ax Size

Summary

STOXX single and multi-factor indices aim to harvest the risk premia of several academically validated style factors – Value, Momentum, Quality, Size and Low Risk. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures.

STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX ESG-X single and multi-factor indices are based on the respective STOXX ESG-X country or regional benchmark indices.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

Details

EUR (Price Return)
USD (Net Return)
EUR (Net Return)
USD (Price Return)
EUR (Gross Return)
USD (Gross Return)

Symbol

SA5UESZL

Calculation

Realtime

Dissemination Period

15:30-22:30 CET

ISIN

CH0539523198

Last Value

399.76 +2.82 (+0.71%)

As of 10:30 pm CET

Week to Week Change

5.67%

52 Week Change

35.09%

Year to Date Change

20.32%

Daily Low

396.61

Daily High

400.49

52 Week Low

295.92 — 9 Nov 2023

52 Week High

399.76 — 8 Nov 2024

Data

Index Guide
BMR Statement
ESG Report

Index Updates
Dissemination
Methodology
Systems & IT

Top 10 Components

Boston Scientific Corp.	US
INTERCONTINENTALEXCHANGE INC	US
FORTINET	US
Roper Technologies Inc.	US
Paccar Inc.	US
ARISTA NETWORKS	US
Moody's Corp.	US
AON PLC	US
PG&E	US
TE CONNECTIVITY LTD.	US

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High

Featured indices

Companies that measure their environmental risk are better equipped to mitigate those risks. Those that are transparent about it and disclose this information provide critical insights to change market behavior. The STOXX Reported Low Carbon Indices cover only stocks with available reported carbon intensity data from companies, which are publicly committed to disclose their carbon emissions. These indices cover the regions Global, Europe, Eurozone and the USA. The indices have a variable number of components, and are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent. Components with lower carbon intensities are overweighted, while those with higher carbon emission are underweighted. The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

STOXX uses ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

STOXX calculates a comprehensive family of Low Carbon Indices. Click here to see all available indices.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

STOXX^® Europe Reported Low Carbon - EUR (Gross Return)

€342.67

+3.83

1Y Return

17.72%

1Y Volatility

0.10%

The STOXX Paris-Aligned Benchmark Indices are based on liquid securities from a selection of STOXX Benchmark Indices. The indices are constructed to follow the EU Paris-aligned Benchmark (EU PAB) requirements outlined in the Commission Delegated Regulation (EU) 2020/1818 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards minimum standards for EU Paris-aligned Benchmarks.

Companies identified as non-compliant based on Sustainalytics Global Standards Screening (GSS) assessment, are involved in Controversial Weapons or display a Severe (Category 5) Controversy Rating, as identified by Sustainalytics are not eligible for selection. Tobacco Producers, as identified by ISS ESG, are also not eligible. Securities that generate revenues above a certain threshold from coal, oil and gas exploration or processing activities are excluded. Additionally, securities that derive more than 10% of their revenues from thermal coal-based power generation, or more than 50% from power generation with carbon intensity of lifecycle emissions higher than 100gCO2e/kWh are not considered for selection. Furthermore, STOXX will exclude companies that ISS ESG assesses to have Significant Obstruction in the UN SDG 12,13,14,15.

The weighing process follows an optimization process to meet the minimum requirements detailed in the TEG report. The STOXX Paris-Aligned Benchmark Indices aim to reduce their greenhouse gas intensity by at least 50% when compared to their underlying benchmarks. They are also designed to meet the year on year 7% decarbonization target.

High climate impact sector weights of the STOXX Paris-Aligned Benchmark Indices are not underweighted relative to the underlying benchmark. The indices also overweigh securities with Science Based Targets, as verified by the Science Based Target initiative (SBTi).

Index Guides, Benchmark statement, and other reports are available under the Data tab.

STOXX^® Europe 600 Paris-Aligned Benchmark - EUR (Price Return)

€139.57

-2.79

1Y Return

10.60%

1Y Volatility

0.11%

The STOXX Benchmark ESG-X Indices are based on a selection of STOXX Benchmark Indices and apply standardized ESG exclusion screens. The screens are based on the responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks.

STOXX excludes companies that Sustainalytics considers to be non-compliant with its Global Standards Screening, that are involved in controversial weapons or severe controversies, are tobacco producers, or that either derive revenues from thermal coal ext have power generation capacity that utilizes thermal coal.

STOXX Benchmark ESG-X Indices are suitable as underlying indices for mandates, passive funds, ETFs, structured products and listed derivatives, with the ambition to increase liquidity and lower the cost of trading.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

STOXX^® Developed Markets Total Market ESG-X - EUR (Price Return)

€352.2

+3.65

1Y Return

31.45%

1Y Volatility

0.12%

The STOXX SRI (Socially Responsible Investing) Indices, track the performance of a selection of STOXX Indices after a set of emission intensity, compliance, involvement and ESG performance screens are applied.

Companies that rank in the highest 10% in terms of their emission intensities are not eligible for selection. Exclusion filters are applied, screening companies for compliance based on the Sustainalytics’ Global Standards Screening assessment, ESG Risk Rating and ESG Controversies and involvement in Controversial Weapons, Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Thermal Coal, Oil & Gas and Nuclear Power. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches a third of the number of securities in the underlying index.

Index Guides, Benchmark statement, and other reports are available under the Data tab.

STOXX^® North America 600 SRI - EUR (Price Return)

€479.37

+6.54

1Y Return

41.09%

1Y Volatility

0.15%

Index Guides, Benchmark statement, and other reports are available under the Data tab.

STOXX^® USA 500 Paris-Aligned Benchmark - EUR (Price Return)

€265.93

-0.19

1Y Return

32.81%

1Y Volatility

0.14%

STOXX® USA 500 ESG-X Ax Size

Summary

Details

Top 10 Components

Featured indices

STOXX^® USA 500 ESG-X Ax Size