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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 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 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 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 40,638.8 39,015.8 87.1 36.4 2,893.6 10.1 7.4 0.0 3.7
STOXX USA 500 44,240.2 42,573.0 85.1 36.6 2,893.6 10.1 6.8 0.0 2.9

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 -4.6 5.5 24.0 22.0 85.8 N/A N/A 24.1 6.9 13.3
STOXX USA 500 -4.3 5.7 22.8 21.5 80.7 N/A N/A 22.9 6.7 12.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 500 ESG-X N/A N/A 12.4 18.2 21.9 N/A N/A 1.5 0.3 0.5
STOXX USA 500 N/A N/A 11.9 17.8 21.5 N/A N/A 1.5 0.3 0.5
Index to benchmark Correlation Tracking error (%)
STOXX USA 500 ESG-X 1.0 1.0 1.0 1.0 1.0 1.1 1.1 1.0 0.8 0.9
Index to benchmark Beta Annualized information ratio
STOXX USA 500 ESG-X 1.1 1.1 1.0 1.0 1.0 -3.4 -0.4 1.0 0.2 0.7

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

2Based on EURIBOR1M

(USD, Net Return), all data as of April 30, 2024

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 28.9 22.1 27.1 27.1 5.1 1.2 2.9 27.6
STOXX USA 500 27.3 21.5 25.4 25.4 4.8 1.3 2.8 27.7

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 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.


The indices are subject to the fast-exit rule: in case an index constituent?s ESG Controversy Rating increases to Category 5, the respective constituent will be deleted from the index two dissemination days after the announcement, i.e. at the open of the third dissemination day.

Versions and symbols

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

Quick Facts

Weighting Free-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 15:30:00 22:15:00
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.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 500 ESG-X

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 7.416%
Apple Inc. Technology USA 6.355%
NVIDIA Corp. Technology USA 5.536%
Amazon.com Inc. Retail USA 4.214%
META PLATFORMS CLASS A Technology USA 2.426%
ALPHABET CLASS C Technology USA 2.402%
Eli Lilly & Co. Health Care USA 1.701%
BROADCOM Technology USA 1.560%
JPMorgan Chase & Co. Banks USA 1.421%
TESLA Automobiles and Parts USA 1.303%

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

4Based on the composition as of April 30, 2024