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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 900 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 USA 900 ESG Target N/A 112.5 0.5 0.3 8.0 0.0 7.1 0.0 9.1
STOXX USA 900 49,849.6 47,814.7 53.1 15.4 3,085.4 2.3 6.5 0.0 2.8

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 900 ESG Target 5.2 11.2 28.1 27.0 109.2 N/A N/A 28.3 8.3 16.0
STOXX USA 900 4.7 10.6 28.2 26.8 103.5 N/A N/A 28.6 8.3 15.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 ESG Target N/A N/A 11.8 18.0 21.8 N/A N/A 1.7 0.4 0.6
STOXX USA 900 N/A N/A 11.8 17.8 21.7 N/A N/A 1.7 0.4 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 ESG Target 1.0 1.0 1.0 1.0 1.0 1.1 1.2 1.2 1.2 1.7
Index to benchmark Beta Annualized information ratio
STOXX USA 900 ESG Target 1.0 1.0 1.0 1.0 1.0 4.7 1.5 -0.2 0.0 0.3

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of May 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX USA 900 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 900 ESG Target 27.7 20.5 26.1 26.1 4.4 2.0 2.4 24.5
STOXX USA 900 28.1 22.1 25.6 25.6 4.7 1.9 2.7 25.4

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 CH1105446913 SU9PEHA SU9PEHA INDEX .SU9PEHA
Net Return EUR CH1105446921 SU9REHA SU9REHA INDEX .SU9REHA
Gross Return EUR CH1105446855 SU9WEHA .SU9WEHA
Price USD CH1105446780 SU9LEHA SU9LEHA INDEX .SU9LEHA
Net Return USD CH1105446723 SU9VEHA SU9VEHA INDEX .SU9VEHA
Gross Return USD CH1105446848 SU9ZEHA .SU9ZEHA

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, 2023
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 USA 900 ESG Target

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 7.144%
NVIDIA Corp. Technology USA 6.568%
Apple Inc. Technology USA 5.888%
Amazon.com Inc. Retail USA 2.806%
ALPHABET CLASS C Technology USA 2.364%
META PLATFORMS CLASS A Technology USA 2.307%
Eli Lilly & Co. Health Care USA 1.625%
Bank of America Corp. Banks USA 1.597%
INGERSOLL-RAND Industrial Goods and Services USA 1.567%
Trane Technologies Construction and Materials USA 1.389%

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

4Based on the composition as of May 31, 2024