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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX Sustainability 40

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Index Description

The EURO STOXX Sustainability 40 Index offers a consistent, flexible and investable blue-chip representation of the largest sustainability leaders in the Eurozone, i.e. the Eurozone leaders in terms of long-term environmental, social and governance criteria. Compared to other equity indices the EURO STOXX Sustainability 40 Index is weighted according to sustainability scores. Based on the broad EURO STOXX Sustainability Index, the EURO STOXX Sustainability 40 Index covers 40 stocks from various Eurozone countries. The ratings are based on the proprietary research approach of Bank Sarasin. Their analysis is based on industry-specific and other criteria that cover the three most important dimensions of sustainability: environmental, social and governance.

Key facts

  • Very suitable for asset managers, as they provide them with comprehensive and accurate benchmarks for European sustainability portfolios

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX Sustainability 40 N/A 1.0 0.0 0.0 0.0 0.0 3.3 1.2 41.1
EURO STOXX 6,975.4 5,010.0 17.2 6.5 251.2 1.6 5.0 0.0 3.5

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
EURO STOXX Sustainability 40 8.0 16.3 11.6 20.9 37.4 N/A N/A 11.7 6.6 6.6
EURO STOXX 7.9 12.1 8.1 17.9 31.7 N/A N/A 8.2 5.7 5.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Sustainability 40 N/A N/A 14.1 17.4 19.6 N/A N/A 0.6 0.3 0.3
EURO STOXX N/A N/A 13.9 17.0 19.9 N/A N/A 0.4 0.3 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX Sustainability 40 1.0 1.0 1.0 1.0 1.0 2.5 2.5 2.5 3.0 3.4
Index to benchmark Beta Annualized information ratio
EURO STOXX Sustainability 40 0.9 1.0 1.0 1.0 1.0 0.5 1.6 1.3 0.3 0.2

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

2Based on EURIBOR1M

(EUR, Price), all data as of November 30, 2023

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX Sustainability 40

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
EURO STOXX Sustainability 40 13.5 12.3 12.9 11.7 1.9 2.9 1.2 17.8
EURO STOXX 13.7 11.3 11.8 10.9 1.5 2.7 1.0 9.2

Performance and annual returns

Methodology

Components are selected from the EURO STOXX Index according to their sustainability rating (combination of company and sector rating). All companies with a positive sustainability rating are selected for the next step.

A rating is defined as positive if the combination of the company and the sector rating results in a shaded matrix field in the Sarasin Sustainability Matrix. All companies are ranked according to their free-float market capitalization. The top 40 companies are selected, however, only a maximum of five companies per supersector can be included in the index.

In deviation from Bank J. Safra Sarasin's standard approach, STOXX is including tobacco, adult entertainment and defense & armament in the universe for STOXX Europe Sustainability and EURO STOXX Sustainability. These criteria are considered for exclusion in the indices STOXX Europe/ EURO STOXX Sustainability ex AGTAF/ ex AGTAFA respectively.

The detailed methodology including the calculation formula can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0022259722 SUBT SUBT INDEX .SUBT
Price EUR CH0022259680 SUBE SUBE INDEX .SUBE
Price USD CH0022259763 SUBK SUBK INDEX .SUBK
Net Return USD CH0022259813 SUBU SUBU INDEX .SUBU

Quick Facts

Weighting Sustainability score
Cap Factor No
No. of components 40
Review frequency Annually in September
Calculation/distribution Price (EUR): realtime (every 15 seconds) Price (USD), net return (EUR/USD): end-of-day
Calculation hours Realtime: 9:00 am CET - 6:00 pm CET End-of-day: 6:00 pm CET
Base value/base date 1,000 as of Oct. 15, 2001
History Oct. 15, 2001
Inception date Jan. 30, 2006
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
SAP Technology Germany 3.310%
ESSILORLUXOTTICA Health Care France 3.246%
AXA Insurance France 3.149%
ASML HLDG Technology Netherlands 3.117%
DANONE Food, Beverage and Tobacco France 3.095%
SCHNEIDER ELECTRIC Industrial Goods and Services France 3.093%
SIEMENS Industrial Goods and Services Germany 2.887%
ANHEUSER-BUSCH INBEV Food, Beverage and Tobacco Belgium 2.880%
MUENCHENER RUECK Insurance Germany 2.874%
TOTALENERGIES Energy France 2.826%

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

4Based on the composition as of November 30, 2023

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.