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THEME INDICES

STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco

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Index Description

The STOXX Climate Awareness Ex UN Global Compact Principles Controversial Weapons & Tobacco indices will include companies with a CDP Performance Band A to C- (pre-2016 Performance Band A to C). Band A and A- includes companies that are seen as leading companies in terms of climate change: these companies are disclosing particular “actions” which mark them as leaders, as well as high scores across all other levels of the CDP Scoring matrix. Scoring requires detailed company-specific explanations. Band B & B- includes companies that “manage” climate change: companies seek evidence of climate actions implemented and requires company-specific understanding of cli-mate change related issues. Band C and C- identifies companies who have looked at implications of climate change for, and on, their business and recognizes a high level, contextual knowledge of environmental issues. The index also exlcudes companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

Key facts

  • Derived from STOXX's broad, yet liquid indices to ensure tradability.
  • The indices are unique in the sense that forward looking carbon emission data is used to create broad, well diversified indices that are suitable for ETFs, SPs as well as benchmark solutions.Exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.
  • Reliable, independent data sources: CDP and ISS ESG.

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 Climate Awareness Ex Global Compact Controversial Weapons & Tobacco N/A 102,834.2 220.7 73.9 5,038.8 2.4 4.9 0.0 10.9
STOXX Europe 600 13,831.3 11,003.9 18.3 6.4 403.4 1.0 3.7 0.0 3.3

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 Climate Awareness Ex Global Compact Controversial Weapons & Tobacco 3.7 11.4 18.3 29.8 64.0 N/A N/A 18.6 9.2 10.5
STOXX Europe 600 3.5 10.7 18.6 27.8 63.2 N/A N/A 18.8 8.6 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco N/A N/A 10.1 14.6 17.9 N/A N/A 1.2 0.5 0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco 1.0 1.0 1.0 1.0 1.0 0.8 1.2 1.1 1.2 1.4
Index to benchmark Beta Annualized information ratio
STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco 1.0 1.0 1.0 1.0 1.0 3.1 1.4 -0.2 0.4 0.1

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of May 31, 2024

THEME INDICES

STOXX Europe Climate Awareness Ex Global Compact Controversial Weapons & Tobacco

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 Climate Awareness Ex Global Compact Controversial Weapons & Tobacco 17.4 14.9 15.9 14.7 2.1 3.9 1.5 13.1
STOXX Europe 600 17.7 14.1 15.6 13.9 2.0 3.9 1.4 7.8

Performance and annual returns

Methodology

The indices are selected from the STOXX Global 1800 universe. Only companies with CDP Performance Bands A to C- (pre-2016 Performance Band A to C) are considered. STOXX will exclude the companies that are non-compliant based on the ISS ESG Norms Based Screening assessment , are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0355795912 SXECATEG .SXECATEG
Price EUR CH0355795540 SXECATEP .SXECATEP
Net Return EUR CH0355795565 SXECATEN .SXECATEN
Net Return USD CH0355796233 SXUCATUN .SXUCATUN
Price USD CH0355795938 SXUCATUP .SXUCATUP
Gross Return USD CH0355795656 SXUCATUG .SXUCATUG

Quick Facts

Weighting Price weighted with a weight factor based on the free-float market capitalization multiplied by the corresponding Z-score carbon intensity factor of each constituent
Cap Factor 5% on component level
No. of components Variable
Review frequency Components: Annually. Shares, Free Float and Weight Factor: Quarterly
Calculation/distribution See vendor code sheet
Calculation hours End-of-day
Base value/base date 100 on Dec. 24, 2012
Inception date Mar. 7, 2017
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
NOVO NORDISK B Health Care Denmark 4.899%
ASML HLDG Technology Netherlands 4.351%
NESTLE Food, Beverage and Tobacco Switzerland 2.974%
ASTRAZENECA Health Care UK 2.745%
NOVARTIS Health Care Switzerland 2.393%
LVMH MOET HENNESSY Consumer Products and Services France 2.354%
SAP Technology Germany 2.244%
HSBC Banks UK 1.944%
SIEMENS Industrial Goods and Services Germany 1.629%
SCHNEIDER ELECTRIC Industrial Goods and Services France 1.612%

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

4Based on the composition as of May 31, 2024

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.