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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Target

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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 USA 500 ESG Target N/A 111.5 0.6 0.3 8.2 0.0 7.4 0.0 7.6
STOXX USA 500 50,403.5 48,643.2 97.3 37.7 3,434.8 11.0 7.1 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 Target -1.8 19.9 37.0 22.9 97.0 N/A N/A 37.2 7.1 14.6
STOXX USA 500 -0.8 20.8 38.3 25.5 98.8 N/A N/A 38.4 7.9 14.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 ESG Target N/A N/A 12.8 18.1 21.7 N/A N/A 2.5 0.3 0.6
STOXX USA 500 N/A N/A 12.5 18.0 21.5 N/A N/A 2.5 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 ESG Target 1.0 1.0 1.0 1.0 1.0 1.6 1.2 1.2 1.2 1.3
Index to benchmark Beta Annualized information ratio
STOXX USA 500 ESG Target 1.1 1.0 1.0 1.0 1.0 -7.5 -0.7 -0.8 -0.6 -0.1

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

2Based on EURIBOR1M

(USD, Net Return), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 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 USA 500 ESG Target 28.8 22.7 27.5 27.5 5.1 1.4 2.8 29.7
STOXX USA 500 28.2 24.4 26.3 26.3 5.5 1.4 3.1 26.6

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
Net Return EUR CH1105447051 SU5REHA SU5REHA INDEX .SU5REHA
Price EUR CH1105447002 SU5PEHA SU5PEHA INDEX .SU5PEHA
Gross Return EUR CH1105446897 SU5WEHA .SU5WEHA
Price USD CH1105447168 SU5LEHA SU5LEHA INDEX .SU5LEHA
Gross Return USD CH1105447036 SU5ZEHA .SU5ZEHA
Net Return USD CH1105446764 SU5VEHA SU5VEHA INDEX .SU5VEHA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 15:30:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2016
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.

Top 10 Components4

Company Supersector Country Weight
NVIDIA Corp. Technology USA 7.398%
Microsoft Corp. Technology USA 6.948%
Apple Inc. Technology USA 6.895%
Amazon.com Inc. Retail USA 3.015%
META PLATFORMS CLASS A Technology USA 2.735%
S&P GLOBAL Financial Services USA 2.024%
ALPHABET CLASS C Technology USA 1.933%
INGERSOLL-RAND Industrial Goods and Services USA 1.608%
MetLife Inc. Insurance USA 1.566%
Eli Lilly & Co. Health Care USA 1.509%

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

4Based on the composition as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG Target

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.