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Index Description

The EURO STOXX 50 ESG Filtered Index tracks the performance of the EURO STOXX 50 after a set of compliance, involvement and ESG screens are applied. Each exclusion is replaced by a EURO STOXX company with the highest free-float market capitalization from the same ICB Supersector as the excluded company.

Key facts

  • ESG-screened version of one of Europe's flagship benchmarks, the EURO STOXX 50 Index.
  • EURO STOXX 50 companies are excluded based on compliance, involvement and ESG screens that aim to reduce reputational and idiosyncratic risks.
  • The excluded companies are replaced by eligible EURO STOXX companies from within the same ICB Supersector as the excluded companies.
  • Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives.
  • Screening provided by award-winning ESG data provider ISS.

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 Filtered 3,537.1 2,635.7 52.7 40.8 226.1 1.8 8.6 0.1 17.0
EURO STOXX 50 4,336.8 3,391.1 67.8 55.2 248.2 16.3 7.3 0.5 4.1

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 Filtered -3.7 12.0 24.6 19.3 55.1 N/A N/A 24.9 6.1 9.3
EURO STOXX 50 -3.3 9.3 21.9 22.4 50.2 N/A N/A 22.2 7.0 8.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 ESG Filtered N/A N/A 13.1 18.5 20.4 N/A N/A 1.8 0.3 0.4
EURO STOXX 50 N/A N/A 13.0 18.0 21.0 N/A N/A 1.6 0.3 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 ESG Filtered 1.0 1.0 1.0 1.0 1.0 1.6 1.9 1.9 2.7 3.0
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 ESG Filtered 1.1 1.0 1.0 1.0 1.0 -2.4 1.5 1.2 -0.3 0.2

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of October 31, 2024

THEME INDICES

EURO STOXX 50 ESG Filtered

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 Filtered 17.8 15.3 17.4 17.4 2.3 2.9 2.1 24.5
EURO STOXX 50 15.5 14.0 15.1 15.1 1.9 3.0 1.3 21.9

Performance and annual returns

Methodology

The EURO STOXX 50 ESG Filtered Index reflects the EURO STOXX 50 Index with ESG exclusion screens applied for Norms Based Screening, Human Rights controversy, Environmental Protection controversy, Controversial Weapons, Tobacco, Coal, Unconventional Oil and Gas, Fossil Fuels, Nuclear Power, Civilian Firearms, Military Contracting, emissions intensity and energy consumption intensity. Each exclusion is replaced by a EURO STOXX company with the highest market capitalization from the same ICB Supersector as the excluded company.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0462362028 SX5RESGF SX5RESGF INDEX .SX5RESGF
Price EUR CH0462362044 SX5PESGF SX5PESGF INDEX .SX5PESGF
Gross Return EUR CH0462362036 SX5WESGF .SX5WESGF
Price USD CH0462362077 SX5ZESGF .SX5ZESGF
Gross Return USD CH0462362069 SX5TESGF .SX5TESGF
Net Return USD CH0462362051 SX5NESGF .SX5NESGF

Quick Facts

Weighting free-float market capitalization
Cap Factor All components are capped at a maximum weight of 10%.
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 Mar. 20, 2017
History Available from Mar. 20, 2017
Inception date June. 27, 2022
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 8.578%
SAP Technology Germany 8.317%
LVMH MOET HENNESSY Consumer Products and Services France 5.913%
SCHNEIDER ELECTRIC Industrial Goods and Services France 5.180%
ALLIANZ Insurance Germany 4.301%
SANOFI Health Care France 4.238%
DEUTSCHE TELEKOM Telecommunications Germany 3.780%
L'OREAL Consumer Products and Services France 3.155%
HERMES INTERNATIONAL Consumer Products and Services France 2.765%
BCO SANTANDER Banks Spain 2.641%

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

4Based on the composition as of October 31, 2024

THEME INDICES

EURO STOXX 50 ESG Filtered