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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America 600 ESG Target TE

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Index Description

STOXX ESG Target TE Indices aim to provide a low tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma's Risk Model and Optimizer to construct the indices. Companies that are non-compliant based on the ISS ESG’ Norms-based research assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, high ESG risk, and ESG controversies. This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • STOXX ESG Target TE Indices minimize the tracking error to the benchmark index.
  • The aggregate ESG scores of the STOXX ESG Target TE Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 North America 600 ESG Target TE N/A 101.2 0.3 0.1 6.8 0.0 6.7 0.0 8.4
STOXX North America 600 40,195.2 38,619.2 64.4 27.2 2,550.6 7.2 6.6 0.0 2.7

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
STOXX North America 600 ESG Target TE 3.4 20.9 20.9 39.6 108.3 N/A N/A 21.3 11.9 16.0
STOXX North America 600 3.4 21.4 21.4 40.7 107.1 N/A N/A 21.8 12.2 15.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX North America 600 ESG Target TE N/A N/A 13.6 17.8 21.7 N/A N/A 1.1 0.6 0.7
STOXX North America 600 N/A N/A 13.6 17.7 21.6 N/A N/A 1.2 0.6 0.7
Index to benchmark Correlation Tracking error (%)
STOXX North America 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.4 0.5 0.5 0.8 0.8
Index to benchmark Beta Annualized information ratio
STOXX North America 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.3 -0.8 -0.8 -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 December 29, 2023

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America 600 ESG Target TE

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 North America 600 ESG Target TE 26.9 21.3 24.6 20.9 4.5 1.5 2.5 19.6
STOXX North America 600 26.4 21.8 23.8 21.3 0.1 1.4 2.6 21.2

Performance and annual returns

Methodology

STOXX ESG Target TE Indices aim to provide a low tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma's Risk Model and Optimizer to construct the indices. Companies that are non-compliant based on the ISS ESG’ Norms-based research assessment or are involved in controversial weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in tobacco production and distribution, thermal coal extraction and power generation, small arms manufacturing, military contracting, unconventional oil and gas exploration and production, high ESG risk, and ESG controversies.

This index applies screens in alignment with the ESMA guidelines on funds’ names using ESG or sustainability-related terms, which include controversial weapons, Tobacco, Coal (>1%), Oil fuels (>10%), Gaseous fuels (>50%/ Power generation), UNGC principles / OECD guidelines.
Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH1106779361 SXA1WETA .SXA1WETA
Net Return EUR CH1106779387 SXA1RETA SXA1RETA INDEX .SXA1RETA
Price EUR CH1106779403 SXA1PETA SXA1PETA INDEX .SXA1PETA
Gross Return USD CH1106779379 SXA1ZETA .SXA1ZETA
Net Return USD CH1106779395 SXA1VETA SXA1VETA INDEX .SXA1VETA
Price USD CH1106779411 SXA1LETA SXA1LETA INDEX .SXA1LETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution dayend
Calculation hours 22:15:00 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2056
Inception date Apr. 22, 2021
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
Microsoft Corp. Technology USA 6.692%
Apple Inc. Technology USA 6.609%
Amazon.com Inc. Retail USA 3.280%
NVIDIA Corp. Technology USA 2.970%
ALPHABET CLASS C Technology USA 2.065%
META PLATFORMS CLASS A Technology USA 1.939%
TESLA Automobiles and Parts USA 1.650%
JPMorgan Chase & Co. Banks USA 1.291%
UnitedHealth Group Inc. Health Care USA 1.265%
Eli Lilly & Co. Health Care USA 1.254%

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

4Based on the composition as of December 29, 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.