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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG-X

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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 ISS ESG considers to be non-compliant based on ISS ESG's Norms-based screening Screening assessment, that are involved in 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. In February 2020, the STOXX USA 500 ESG-X Index became the underlying for the first listed derivative covering the US market which includes a screening for thermal coal mining and coal-fired power plants. The future is listed on Eurex. 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.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy. Index Guides, Benchmark statement, and other reports are available under the Data tab.

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 and listed derivatives

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 USA 500 ESG-X 40,088.2 38,624.0 96.6 38.2 3,230.9 9.2 8.4 0.0 15.7
STOXX USA 500 49,665.8 47,828.9 95.7 36.9 3,230.9 9.2 6.8 0.0 2.5

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 USA 500 ESG-X -0.3 -5.8 11.4 36.9 93.3 N/A N/A 11.5 11.1 14.2
STOXX USA 500 -0.5 -5.1 11.4 36.0 90.5 N/A N/A 11.5 10.9 13.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 ESG-X N/A N/A 20.2 19.2 18.6 N/A N/A 0.4 0.4 0.6
STOXX USA 500 N/A N/A 19.9 18.9 18.3 N/A N/A 0.4 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 ESG-X 1.0 1.0 1.0 1.0 1.0 1.9 1.5 1.2 1.0 0.9
Index to benchmark Beta Annualized information ratio
STOXX USA 500 ESG-X 1.0 1.0 1.0 1.0 1.0 1.3 -1.6 0.0 0.3 0.4

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

2Based on EURIBOR1M

(USD, Price), all data as of April 30, 2025

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 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 USA 500 ESG-X 27.2 21.7 25.8 21.6 5.4 1.0 3.1 27.6
STOXX USA 500 26.6 22.0 25.1 21.8 5.0 1.0 2.9 29.0

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. The screens are based on the responsible policies of leading asset owners and aim to reduce reputational and idiosyncratic risks.

STOXX excludes companies that ISS ESG considers to be non-compliant based on ISS ESG's Norms-based screening Screening assessment, that are involved in 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.

In February 2020, the STOXX USA 500 ESG-X Index became the underlying for the first listed derivative covering the US market which includes a screening for thermal coal mining and coal-fired power plants. The future is listed on Eurex.

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.Per the ESMA guidelines on funds’ names using ESG or sustainability-related terms, this index meets an 80% threshold linked to the proportion of investments used to meet environmental or social characteristic or sustainable investment objectives in accordance with the binding elements of the investment strategy.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0476174906 SU5PESGX .SU5PESGX
Net Return EUR CH0476174930 SU5RESGX .SU5RESGX
Gross Return EUR CH0476175382 SU5WESGX .SU5WESGX
Gross Return USD CH0476175168 SU5ZESGX SU5ZESGX INDEX .SU5ZESGX
Price USD CH0476175234 SU5LESGX SU5LESGX INDEX .SU5LESGX
Net Return USD CH0476175465 SU5VESGX SU5VESGX INDEX .SU5VESGX

Quick Facts

Weighting Fre-float market cap
Cap Factor 0.2
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 15:30 CET-22:15 CET
Base value/base date 100 as of Mar. 19, 2012
History 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.

Top 10 Components4

Company Supersector Country Weight
Apple Inc. Technology USA 8.365%
Microsoft Corp. Technology USA 7.607%
NVIDIA Corp. Technology USA 6.917%
META PLATFORMS CLASS A Technology USA 3.105%
BROADCOM Technology USA 2.327%
Eli Lilly & Co. Health Care USA 1.984%
JPMorgan Chase & Co. Banks USA 1.802%
VISA Inc. Cl A Industrial Goods and Services USA 1.542%
Netflix Inc. Media USA 1.257%
MasterCard Inc. Cl A Industrial Goods and Services USA 1.172%

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

4Based on the composition as of April 30, 2025

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.