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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment

Index Description

The STOXX Europe Sustainability Index ex AGTAFA offers a consistent, flexible and investable representation of the largest European sustainability leaders, excluding companies which generate revenues from alcohol, gambling, tobacco, armaments, firearms and adult entertainment. With a variable number of components, the STOXX Europe Sustainability Index ex AGTAFA 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 (EUR bn) Components (EUR 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 Adult Entertainment 10,414.1 8,446.4 18.1 6.2 383.4 0.7 4.5 0.0 8.5
STOXX Europe 600 13,765.0 10,882.8 18.1 6.2 383.4 1.1 3.5 0.0 3.3

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 Adult Entertainment 3.6 6.9 15.1 25.7 56.2 N/A N/A 15.4 8.0 9.4
STOXX Europe 600 4.0 7.7 15.0 28.6 53.0 N/A N/A 15.4 8.9 9.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment N/A N/A 9.8 14.3 16.8 N/A N/A 1.2 0.4 0.5
STOXX Europe 600 N/A N/A 10.0 14.6 17.7 N/A N/A 1.1 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment 1.0 1.0 1.0 1.0 1.0 1.3 1.2 1.3 2.2 2.6
Index to benchmark Beta Annualized information ratio
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment 107.3 99.5 97.5 97.1 94.1 -4.5 -2.5 0.0 -0.4 0.1

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of March 29, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment

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 Adult Entertainment 18.5 15.6 16.6 16.6 2.3 2.7 1.6 22.3
STOXX Europe 600 17.3 14.1 15.1 15.1 2.0 3.0 1.4 19.8

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, firearms and adult entertainment. 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
Net Return EUR CH0030846841 SUYR SUYR INDEX .SUYR
Price EUR CH0030846817 SUYP SUYP INDEX .SUYP
Net Return USD CH0030846890 SUYV SUYV INDEX .SUYV
Price USD CH0030846882 SUYL SUYL INDEX .SUYL

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 Jan. 21, 2008
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 Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 0.0453863
ASML HLDG Technology Netherlands 0.0422048
NESTLE Food, Beverage and Tobacco Switzerland 0.0311128
SHELL Energy UK 0.0236872
SAP Technology Germany 0.0231797
ASTRAZENECA Health Care UK 0.0229205
NOVARTIS Health Care Switzerland 0.0217922
ROCHE HLDG P Health Care Switzerland 0.0196397
TOTALENERGIES Energy France 0.0179343
SIEMENS Industrial Goods and Services Germany 0.0156901

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

4Based on the composition as of March 29, 2024