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STRATEGY INDICES

iSTOXX Europe ESG Select 30

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Index Description

The iSTOXX Europe ESG Select 30 Index gathers all European stocks from the STOXX Global ESG Leaders Index with low volatility and high dividend yields. The STOXX Global ESG Leaders Index offers a representation of the leading global companies in terms of environmental, social and governance criteria, based on ESG indicators provided by Sustainalytics. All European stocks from the STOXX Global ESG Leaders index are screened for their dividend yield and volatility. Those with the best set of data are selected for inclusion.

Key facts

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

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe ESG Select 30 1,128.2 943.2 31.4 18.1 95.9 3.0 10.2 0.3 43.3
STOXX Europe 600 14,448.3 11,510.3 19.2 6.7 356.2 1.4 3.1 0.0 3.5

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
iSTOXX Europe ESG Select 30 -3.7 12.8 26.7 39.5 28.5 N/A N/A 27.0 11.8 5.2
STOXX Europe 600 -5.9 6.9 23.7 9.8 43.9 N/A N/A 24.0 3.2 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe ESG Select 30 N/A N/A 11.7 15.7 20.1 N/A N/A 1.9 0.6 0.2
STOXX Europe 600 N/A N/A 12.8 18.7 20.5 N/A N/A 1.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe ESG Select 30 0.9 0.8 0.8 0.9 0.9 4.9 7.4 7.3 9.0 9.1
Index to benchmark Beta Annualized information ratio
iSTOXX Europe ESG Select 30 0.8 0.8 0.8 0.7 0.9 5.3 0.8 0.3 0.8 -0.3

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

STRATEGY INDICES

iSTOXX Europe 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 Europe ESG Select 30 10.4 9.5 10.0 10.0 1.3 7.2 0.9 19.6
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 4.0 1.3 20.5

Performance and annual returns

Methodology

At each review date, all European stocks are screened for their one-year historical dividend yield and one-year historical volatility. For each company, a score is calculated as following: rank its dividend yield in descending order, rank its volatility in ascending order, calculate the average of both ranks. Thirty companies with the highest score (i.e. the highest average of both ranks) are included in the index.


Each component has a free-float market cap weighting, with a 10% capping at the component level.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0258574877 SXEESLEG SXEESLEG INDEX .SXEESLEG
Net Return EUR CH0258574836 SXEESLEN SXEESLEN INDEX .SXEESLEN
Price EUR CH0258574810 SXEESLEP SXEESLEP INDEX .SXEESLEP
Net Return GBP CH0258575049 SXEESLGN
Gross Return GBP CH0258575056 SXEESLGG
Price GBP CH0258575015 SXEESLGP
Net Return USD CH0258574950 SXEESLUN
Price USD CH0258574927 SXEESLUP
Gross Return USD CH0258574992 SXEESLUG

Quick Facts

Weighting Free-float market cap
Cap Factor 10%
No. of components Fixed, acc. to index name
Review frequency Annually
Calculation/distribution Price, net return, gross return in EUR, GBP and USD
Calculation hours 09:00 - 18:00 for EUR (Price), End-of-Day for the others
Base value/base date 100 as of Dec. 31, 2004
History available since Sep. 20, 2004
Inception date Nov. 27, 2014
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
ALLIANZ Insurance Germany 10.164%
TOTALENERGIES Energy France 9.423%
ZURICH INSURANCE GROUP Insurance Switzerland 9.166%
IBERDROLA Utilities Spain 9.125%
AXA Insurance France 7.332%
INTESA SANPAOLO Banks Italy 7.311%
ING GRP Banks Netherlands 5.960%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 4.522%
NORDEA BANK Banks Finland 4.344%
ENI Energy Italy 3.682%

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

4Based on the composition as of October 31, 2024

STRATEGY INDICES

iSTOXX Europe ESG Select 30

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.