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THEME INDICES

STOXX Europe 50 ESG+

Index Description

The STOXX Europe 50 ESG+ Index reflects the STOXX Europe 50 Index after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial STOXX Europe 50 components are excluded. Each exclusion is replaced by a STOXX Europe 600 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 STOXX Europe 50 Index excluding its worst 22% ESG scorers.

Key facts

  • ESG screened versions of STOXX Benchmark Indices
  • Indices achieve an overall ESG score that exceeds the underlying
  • Screening provided by award-winning ESG data provider ISS
  • Transparent free-float market-cap weighting scheme
  • 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
STOXX Europe 50 ESG+ 5,400.4 4,653.2 93.1 62.9 432.4 15.2 9.3 0.3 21.4
STOXX Europe 600 13,536.1 10,813.2 18.0 6.0 432.4 1.4 4.0 0.0 3.6

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 50 ESG+ 0.8 10.3 13.7 28.7 50.5 N/A N/A 14.0 8.9 8.6
STOXX Europe 600 -1.3 6.8 10.7 12.9 32.9 N/A N/A 10.9 4.2 5.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 50 ESG+ N/A N/A 10.3 13.7 16.4 N/A N/A 1.0 0.5 0.5
STOXX Europe 600 N/A N/A 10.0 14.5 17.7 N/A N/A 0.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe 50 ESG+ 1.0 0.9 0.9 1.0 1.0 3.1 3.1 3.7 4.1 4.5
Index to benchmark Beta Annualized information ratio
STOXX Europe 50 ESG+ 1.0 1.0 1.0 0.9 0.9 8.9 2.2 0.7 1.0 0.5

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

2Based on EURIBOR1M

(EUR, Price), all data as of June 28, 2024

THEME INDICES

STOXX Europe 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
STOXX Europe 50 ESG+ 18.0 16.3 17.8 17.8 2.8 2.8 2.4 21.5
STOXX Europe 600 17.4 13.8 15.4 15.4 2.0 3.0 1.4 16.5

Performance and annual returns

Methodology

The STOXX Europe 50 ESG+ Index reflects the STOXX Europe 50 Index after a set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the ISS-ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. Furthermore, companies with the lowest ESG scores are excluded until a total of 20% (based on number of holdings) of the initial STOXX Europe 50 components are excluded. Each exclusion is replaced by a STOXX Europe 600 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 STOXX Europe 50 Index excluding its worst 22% ESG scorers.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1169655870 SX5GESGP .SX5GESGP
Net Return EUR CH1169655862 SX5NESGP SX5NESGP INDEX .SX5NESGP
Price EUR CH1169655888 SX5PESGP .SX5PESGP
Net Return USD CH1169655896 SX5ZESGP .SX5ZESGP
Gross Return USD CH1169655904 SX5LESGP .SX5LESGP
Price USD CH1169655912 SX5VESGP .SX5VESGP

Quick Facts

Weighting Free-float market capitalization
No. of components 50
Review frequency Quarterly
Calculation/distribution Realtime 15sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March. 20, 2017
History Available from March. 20, 2017
Inception date July. 21, 2022
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

THEME INDICES

STOXX Europe 50 ESG+

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 9.292%
ASML HLDG Technology Netherlands 8.280%
NESTLE Food, Beverage and Tobacco Switzerland 5.044%
ASTRAZENECA Health Care UK 4.855%
NOVARTIS Health Care Switzerland 4.362%
SAP Technology Germany 4.164%
ROCHE HLDG P Health Care Switzerland 3.912%
LVMH MOET HENNESSY Consumer Products and Services France 3.696%
HSBC Banks UK 3.060%
SIEMENS Industrial Goods and Services Germany 2.808%

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

4Based on the composition as of June 28, 2024