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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Canada 60 ESG-X

Index Description

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 based on Sustainalytics Global Standards Screening assessment, that are involved in Controversy Rating, ESG Risk Rating, Unconventional Oil & Gas, Small Arms, Military Weapons, Controversial Weapons, are tobacco producers, or that either derive revenues from thermal coal extraction or exploration or 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.

Key facts

  • ESG screened versions of STOXX Benchmark Indices
  • Screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • Screening provided by award-winning ESG data provider Sustainalytics
  • Transparent free-float market cap weighting scheme
  • Low tracking error with similar risk-return profile compared to their underlying indices.
  • Suitable as underlying for mandates, passive funds, ETFs, structured products.

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
STOXX Canada 60 ESG-X 1,506.2 1,377.1 29.3 22.2 141.2 5.1 10.3 0.4 16.2
STOXX Canada 60 1,884.3 1,714.1 28.6 21.9 123.9 4.9 7.2 0.3 5.0

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
STOXX Canada 60 ESG-X 2.6 3.9 11.5 24.5 53.0 N/A N/A 11.6 7.6 9.0
STOXX Canada 60 2.7 6.5 14.5 27.4 56.7 N/A N/A 14.7 8.5 9.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Canada 60 ESG-X N/A N/A 11.6 14.1 20.2 N/A N/A 0.6 0.4 0.4
STOXX Canada 60 N/A N/A 11.8 14.2 20.0 N/A N/A 0.8 0.4 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Canada 60 ESG-X 1.0 1.0 1.0 1.0 1.0 2.3 2.7 2.8 1.9 1.7
Index to benchmark Beta Annualized information ratio
STOXX Canada 60 ESG-X 1.0 1.0 1.0 1.0 1.0 -0.3 -2.3 -1.0 -0.4 -0.3

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of May 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Canada 60 ESG-X

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
STOXX Canada 60 ESG-X 18.6 14.5 18.2 18.2 1.9 3.1 1.9 -5.4
STOXX Canada 60 19.1 14.9 17.9 17.9 1.9 2.9 1.9 -9.9

Performance and annual returns

Methodology

The STOXX Benchmark ESG-X Indices are based on a selection of STOXX Benchmark Indices and apply standardized ESG exclusion screens.

STOXX excludes companies that Sustainalytics considers to be non-compliant based on Sustainalytics Global Standards Screening assessment, that are involved in Controversy Rating, ESG Risk Rating, Unconventional Oil & Gas, Small Arms, Military Weapons, Controversial Weapons (anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and white phosphorus weapons), are tobacco producers, or that either derive revenues from thermal coal extraction or exploration, or have power generation capacity that utilizes thermal coal.

The indices are reviewed quarterly and components are weighted by free float market cap, with a maximum capped weight of 10% for the EURO STOXX 50 ESG-X Index, and 20% for the remaining Benchmark ESG-X Indices.

Deleted companies are not replaced.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return CAD CH0476173577 SC6GESGX SC6GESGX INDEX .SC6GESGX
Price CAD CH0476172868 SC6ESGX SC6ESGX INDEX .SC6ESGX
Net Return CAD CH0476173536 SC6NESGX .SC6NESGX
Net Return EUR CH0476172744 SC6RESGX .SC6RESGX
Price EUR CH0476173650 SC6PESGX .SC6PESGX
Gross Return EUR CH0476172900 SC6WESGX .SC6WESGX
Net Return USD CH0476173098 SC6VESGX .SC6VESGX
Gross Return USD CH0476173254 SC6ZESGX .SC6ZESGX
Price USD CH0476173361 SC6LESGX .SC6LESGX

Quick Facts

Weighting Free-float market cap weighted
Cap Factor 0.2
No. of components Variable
Review frequency Quarterly
Calculation/distribution Dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of March. 19, 2012
History Available from Mar. 19, 2012
Inception date May. 29, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Canada 60 ESG-X

Top 10 Components4

Company Supersector Country Weight
Royal Bank of Canada Banks Canada 10.252%
Toronto-Dominion Bank Banks Canada 6.738%
Enbridge Inc. Energy Canada 5.198%
Canadian National Railway Co. Industrial Goods and Services Canada 4.988%
Canadian Pacific Kansas City Industrial Goods and Services Canada 4.961%
Bank of Montreal Banks Canada 4.325%
BROOKFIELD CORPORATION Financial Services Canada 4.073%
CONSTELLATION SOFTWARE Technology Canada 3.942%
Bank of Nova Scotia Banks Canada 3.844%
Manulife Financial Corp. Insurance Canada 3.138%

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

4Based on the composition as of May 31, 2024