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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

Index Description

The STOXX Europe Sustainability Index ex AGTAF offers a consistent, flexible and investable representation of the largest European sustainability leaders, excluding companies which generate revenues from alcohol, gambling, tobacco, armaments and firearms. With a variable number of components, the STOXX Europe Sustainability Index ex AGTAF covers stocks from 17 European countries: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. 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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 11,150.2 9,047.1 19.3 6.7 356.2 1.4 3.9 0.0 7.2
STOXX Europe 600 14,448.3 11,510.3 19.2 6.7 356.2 1.4 3.1 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
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms -6.2 6.4 23.9 5.7 40.7 N/A N/A 24.2 1.9 7.1
STOXX Europe 600 -5.9 6.2 22.9 7.8 39.9 N/A N/A 23.2 2.6 7.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms N/A N/A 12.5 18.5 19.7 N/A N/A 1.9 0.0 0.3
STOXX Europe 600 N/A N/A 12.8 18.7 20.5 N/A N/A 1.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 1.0 1.0 1.0 1.0 1.0 1.4 1.3 1.2 2.0 2.6
Index to benchmark Beta Annualized information ratio
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 1.0 1.0 1.0 1.0 1.0 -2.2 0.2 0.6 -0.4 0.0

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 Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

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 Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms 17.5 15.2 15.9 15.9 2.2 3.0 1.6 22.3
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 3.2 1.3 20.5

Performance and annual returns

Methodology

Components are selected from the STOXX Europe 600 Index according to their sustainability rating (combination of company and sector rating) while excluding companies which generate revenues from alcohol, gambling, tobacco, armaments and firearms. All companies with a positive sustainability rating are included in the index.

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.


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
Price EUR CH0012767023 SUXP SUXP INDEX .SUXP
Net Return EUR CH0012767247 SUXR SUXR INDEX .SUXR
Net Return USD CH0012767452 SUXV SUXV INDEX .SUXV
Price USD CH0012767395 SUXL SUXL INDEX .SUXL

Quick Facts

Weighting Free-float market cap
Cap Factor No
No. of components Variable
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 100 as of Dec. 31, 1998
History Available daily back to 100 as of Dec. 31, 1998
Inception date Oct. 15, 2001
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet

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.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.937%
ASML HLDG Technology Netherlands 2.979%
NESTLE Food, Beverage and Tobacco Switzerland 2.732%
SAP Technology Germany 2.630%
ASTRAZENECA Health Care UK 2.433%
NOVARTIS Health Care Switzerland 2.411%
ROCHE HLDG P Health Care Switzerland 2.406%
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 1.695%
TOTALENERGIES Energy France 1.652%
SCHNEIDER ELECTRIC Industrial Goods and Services France 1.638%

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

4Based on the composition as of October 31, 2024

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.