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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 (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 Adult Entertainment 10,833.4 8,754.7 18.7 6.5 366.4 0.9 4.2 0.0 15.7
STOXX Europe 600 14,187.6 11,188.1 18.6 6.6 366.4 1.1 3.3 0.0 3.8

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 Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment -0.1 -0.1 11.4 14.6 49.7 N/A N/A 11.6 4.7 8.5
STOXX Europe 600 -0.2 -0.2 10.1 18.1 45.1 N/A N/A 10.3 5.8 7.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment N/A N/A 14.9 18.6 19.6 N/A N/A 0.5 0.2 0.4
STOXX Europe 600 N/A N/A 15.5 18.9 20.5 N/A N/A 0.4 0.2 0.4
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 1.2 1.2 1.5 2.3 2.6
Index to benchmark Beta Annualized information ratio
STOXX Europe Sustainability ex Alcohol Gambling Tobacco Armaments & Firearms Adult Entertainment 1.0 1.0 1.0 1.0 1.0 1.5 1.5 0.7 -0.5 0.2

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

2Based on EURIBOR1M

(USD, Net Return), all data as of January 31, 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 17.7 14.8 15.6 15.6 2.2 2.8 1.5 13.4
STOXX Europe 600 14.8 13.0 12.9 12.9 2.0 2.9 1.3 14.3

Performance and annual returns