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ISTOXX INDICES

iSTOXX North America ESG Select 30

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Index Description

The iSTOXX North America ESG Select 30 Index uses all the North American stocks from the STOXX Global ESG Leaders Index as the underlying. The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening 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, and ESG Controversies. Using this ESG index as the underlying, North American stocks with the lowest volatility and the highest dividend yields are selected. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly. Index Guides, Benchmark statement, and other reports are available under the Data tab.

Key facts

  • Hybrid strategy in the ESG space
  • Independent provider of sustainability data (Sustainalytics)
  • Suitable for structured products

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
iSTOXX North America ESG Select 30 N/A 1.0 0.0 0.0 0.0 0.0 4.7 1.9 100.6
STOXX Global ESG Leaders N/A 1.0 0.0 0.0 0.0 0.0 0.6 0.1 46.2

Supersector weighting (top 10)

Created with Highcharts 9.3.3Chart title20% Financial Services14.7% Utilities10.5% Insurance9.1% Real Estate7.1% Banks6.5% Industrial Goods and Services6.3% Energy5.9% Health Care4.7% Chemicals4.4% Food, Beverage and TobaccoHighcharts.com

Country weighting

Created with Highcharts 9.3.3Chart title82% USA18% CanadaHighcharts.com

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX North America ESG Select 30 1.9 5.2 29.0 39.5 76.6 N/A N/A 29.5 11.9 12.2
STOXX Global ESG Leaders 1.8 7.4 19.9 28.8 69.2 N/A N/A 20.2 8.9 11.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX North America ESG Select 30 N/A N/A 12.5 14.3 19.0 N/A N/A 1.8 0.6 0.5
STOXX Global ESG Leaders N/A N/A 10.3 13.0 16.9 N/A N/A 1.5 0.5 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX North America ESG Select 30 0.0 0.3 0.5 0.5 0.7 13.7 12.4 11.9 14.1 15.0
Index to benchmark Beta Annualized information ratio
iSTOXX North America ESG Select 30 0.0 0.4 0.6 0.5 0.7 0.1 -1.1 0.6 0.1 0.0

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of February 28, 2025

ISTOXX INDICES

iSTOXX North America ESG Select 30

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
iSTOXX North America ESG Select 30 19.5 15.2 19.5 15.2 2.0 4.1 1.7 32.1
STOXX Global ESG Leaders 18.5 13.7 15.0 15.0 1.5 4.2 1.1 0.4

Performance and annual returns

Created with Highcharts 9.3.3Chart titleiSTOXX North America ESG Select 3020062008201020122014201620182020202220240200400600800Highcharts.com
Created with Highcharts 9.3.3Chart titleiSTOXX North America ESG Select 30STOXX Global ESG Leaders20182019202020212022202320242025-200204060Highcharts.com

Methodology

The iSTOXX North America ESG Select 30 Index uses all the North American stocks from the STOXX Global ESG Leaders Index as the underlying.

The STOXX Global ESG Leaders index provides access to the leading global companies in terms of environmental, social and governance criteria, using a bottom-up selection approach based on ESG Risk Ratings provided by Sustainalytics. Companies that are non-compliant based on the Sustainalytics’ Global Standards Screening 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, and ESG Controversies.

Using this ESG index as the underlying, North American stocks with the lowest volatility and the highest dividend yields are selected.

Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.



Index Guides, Benchmark statement, and other reports are available under the Data tab.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0321941004 SXAESLEG .SXAESLEG
Price EUR CH0321940980 SXAESLEP SXAESLEP INDEX .SXAESLEP
Net Return EUR CH0321940998 SXAESLEN .SXAESLEN
Net Return USD CH0321941020 SXAESLEV .SXAESLEV
Price USD CH0321941012 SXAESLEL SXAESLEL INDEX .SXAESLEL
Gross Return USD CH0321941038 SXAESLEH .SXAESLEH

Quick Facts

Weighting Volatility weighted
Cap Factor 10%
No. of components 30
Review frequency Annually
Calculation/distribution Price, Net Return and Gross Return in EUR and USD
Calculation hours Real-time for Price; end-of-day for Net and Gross Return
Base value/base date 100 as of Jun. 21, 2004
History Available from Jun. 21, 2004
Inception date Apr. 29, 2016

Top 10 Components4

Company Supersector Country Weight
LINDE Chemicals USA 4.674%
Consolidated Edison Inc. Utilities USA 4.411%
S&P GLOBAL Financial Services USA 4.408%
Coca-Cola Europacific Partners Food, Beverage and Tobacco USA 4.367%
Cisco Systems Inc. Telecommunications USA 4.128%
Exelon Corp. Utilities USA 3.897%
Sun Life Financial Inc. Insurance Canada 3.844%
Williams Cos. Energy USA 3.765%
Canadian National Railway Co. Industrial Goods and Services Canada 3.740%
Principal Financial Group Inc. Financial Services USA 3.711%

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

4Based on the composition as of February 28, 2025

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.