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BLUE CHIP INDICES

EURO STOXX 50 ESG

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Index Description

The EURO STOXX 50 ESG Index reflects the EURO STOXX 50 Index with standardized ESG exclusion screens applied for Global Standards Screening, ESG Risk Rating, ESG Controversy, Controversial Weapons, Thermal Coal, Unconventional Oil&Gas, Military Contracting, Small Arms and Tobacco. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial EURO STOXX 50 components are excluded. Each exclusion is replaced by a EURO STOXX company with a higher ESG score from the same ICB Supersector as the excluded company.The index is free float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 20% ESG scorers. The EURO STOXX 50 ESG index is designed to have an improved ESG profile over the EURO STOXX 50 index and is thus benchmarked against the EURO STOXX 50 for its ESG score improvement exercise.

Key facts

  • ESG-screened version of one of Europe's flagship benchmarks, the EURO STOXX 50 Index.
  • The screens are based on responsible policies and aim to reduce reputational and idiosyncratic risks.
  • 20% EURO STOXX 50 companies are excluded based on compliance, Controversy Rating, ESG Risk Ratings, Product involvement and ESG performance screens.
  • The excluded companies are replaced by eligible EURO STOXX companies from within the same ICB Supersector as the excluded companies.
  • Replacement companies have higher ESG scores.
  • Screening provided by award-winning ESG data provider Sustainalytics.
  • Suitable as underlying for mandates, passive funds, ETFs, structured products, and listed derivatives.

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 50 ESG 2,928.0 2,358.9 47.2 34.8 237.1 7.3 10.0 0.3 26.8
EURO STOXX 50 4,051.3 3,123.2 62.5 47.3 251.2 17.1 8.0 0.5 5.7

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 50 ESG 8.2 21.9 16.7 43.3 74.3 N/A N/A 16.8 12.8 11.9
EURO STOXX 50 8.1 19.3 14.3 37.4 61.1 N/A N/A 14.4 11.3 10.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 ESG N/A N/A 14.6 17.8 20.5 N/A N/A 0.9 0.6 0.5
EURO STOXX 50 N/A N/A 14.9 18.2 21.1 N/A N/A 0.7 0.5 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 ESG 1.0 1.0 1.0 1.0 1.0 1.7 2.0 1.9 1.7 1.8
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 ESG 0.9 1.0 1.0 1.0 1.0 0.8 1.1 1.1 0.8 0.8

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of November 30, 2023

BLUE CHIP INDICES

EURO STOXX 50 ESG

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 50 ESG 11.3 10.5 10.9 10.9 1.6 4.1 1.1 15.9
EURO STOXX 50 12.3 11.2 11.9 11.9 1.8 3.7 1.1 17.0

Performance and annual returns

Methodology

The EURO STOXX 50 ESG Index reflects the EURO STOXX 50 Index with standardized ESG exclusion screens applied for Global Standards Screening, ESG Risk Rating, ESG Controversy, Controversial Weapons, Thermal Coal, Unconventional Oil&Gas, Military Contracting, Small Arms and Tobacco. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial EURO STOXX 50 components are excluded. Each exclusion is replaced by a EURO STOXX company with a higher ESG score from the same ICB Supersector as the excluded company.The index is reviewed quarterly, and the index is free float market capitalization weighted with cap factors imposed on the index components such that the index achieves an overall ESG score that exceeds that of the EURO STOXX 50 Index excluding its worst 20% ESG scorers. The EURO STOXX 50 ESG index is designed to have an improved ESG profile over the EURO STOXX 50 index and is thus benchmarked against the EURO STOXX 50 for its ESG score improvement exercise.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0469557521 SX5EESG SX5EESG INDEX .SX5EESG
Price USD CH0469557489 SX5KESG .SX5KESG
Gross Return EUR CH0469557497 SX5GTESG SX5GTESG INDEX .SX5GTESG
Net Return EUR CH0469557505 SX5TESG SX5TESG INDEX .SX5TESG
Gross Return USD CH0469557513 SX5GUESG .SX5GUESG
Net Return USD CH0469557539 SX5UESG .SX5UESG

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components 50
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March. 19, 2012
History Available from Mar. 19, 2012
Inception date April. 30, 2019
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
ASML HLDG Technology Netherlands 10.050%
TOTALENERGIES Energy France 6.594%
SAP Technology Germany 4.621%
L'OREAL Consumer Products and Services France 4.434%
SCHNEIDER ELECTRIC Industrial Goods and Services France 4.095%
ALLIANZ Insurance Germany 3.943%
SIEMENS Industrial Goods and Services Germany 3.582%
DEUTSCHE TELEKOM Telecommunications Germany 3.230%
SANOFI Health Care France 3.042%
BNP PARIBAS Banks France 2.868%

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.