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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Japan 600 ESG Target

Index Description

STOXX ESG Target indices aim to provide a strong ESG tilt to the benchmark index while maintaining low tracking error to the benchmark index. The weight of each constituent security is determined through an optimization process that is designed to ensures diversification and uses Axioma's Risk Models and Optimizer.

Key facts

  • STOXX ESG Target Indices maximize the ESG tilt while keeping tracking error to the benchmark index below 1% .
  • The aggregate ESG scores of the STOXX ESG Target Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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
STOXX Japan 600 ESG Target N/A 107.0 0.5 0.3 5.3 0.0 4.9 0.0 7.5
STOXX Japan 600 5,711.7 4,909.3 8.2 2.5 251.1 0.7 5.1 0.0 2.1

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 Japan 600 ESG Target -0.7 6.8 13.6 5.5 37.6 N/A N/A 13.9 1.8 6.7
STOXX Japan 600 -1.1 4.6 11.2 3.7 31.5 N/A N/A 11.4 1.2 5.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Japan 600 ESG Target N/A N/A 15.9 17.6 18.0 N/A N/A 0.6 0.0 0.3
STOXX Japan 600 N/A N/A 15.7 17.5 17.9 N/A N/A 0.4 0.0 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Japan 600 ESG Target 1.0 1.0 1.0 1.0 1.0 1.1 1.3 1.2 1.2 1.2
Index to benchmark Beta Annualized information ratio
STOXX Japan 600 ESG Target 1.0 1.0 1.0 1.0 1.0 5.2 3.3 1.8 0.5 0.7

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

2Based on EURIBOR1M

(USD, Net Return), all data as of June 28, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Japan 600 ESG Target

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 Japan 600 ESG Target 17.0 15.5 16.4 16.4 1.5 1.8 1.1 24.3
STOXX Japan 600 16.6 15.4 15.9 15.9 1.5 1.7 1.1 23.7

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target Indices is determined by optimization to maximize the ESG tilt to the benchmark index. In addition, the methodology constrains the tracking error to a maximum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1105447119 SJ6PEHA SJ6PEHA INDEX .SJ6PEHA
Gross Return EUR CH1105446756 SJ6WEHA .SJ6WEHA
Net Return EUR CH1105446806 SJ6REHA SJ6REHA INDEX .SJ6REHA
Gross Return JPY CH1105446947 SJ6GEHA .SJ6GEHA
Net Return JPY CH1105446905 SJ6NEHA .SJ6NEHA
Price JPY CH1105446830 SJ6EHA .SJ6EHA
Price USD CH1105446954 SJ6LEHA SJ6LEHA INDEX .SJ6LEHA
Gross Return USD CH1105446939 SJ6ZEHA .SJ6ZEHA
Net Return USD CH1105447044 SJ6VEHA SJ6VEHA INDEX .SJ6VEHA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2041
Inception date Apr. 22, 2021
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 Japan 600 ESG Target

Top 10 Components4

Company Supersector Country Weight
Toyota Motor Corp. Automobiles and Parts Japan 4.921%
Mitsubishi UFJ Financial Group Banks Japan 3.866%
Hitachi Ltd. Industrial Goods and Services Japan 2.680%
SONY GROUP CORP. Consumer Products and Services Japan 2.387%
Mitsubishi Corp. Industrial Goods and Services Japan 2.212%
RECRUIT HOLDINGS Industrial Goods and Services Japan 2.087%
Tokyo Electron Ltd. Technology Japan 1.973%
Mizuho Financial Group Inc. Banks Japan 1.860%
Sumitomo Mitsui Financial Grou Banks Japan 1.738%
Kao Corp. Personal Care, Drug and Grocery Stores Japan 1.663%

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

4Based on the composition as of June 28, 2024