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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Industry Neutral ESG

Index Description

The STOXX Regional Industry Neutral ESG indices track the performance of the leading companies with regard to Environmental, Social and Governance criteria, based on ESG indicators based on a transparent rating model as provided by Sustainalytics. STOXX will exclude the companies that Sustainalytics considers to be non-compliant with the Sustainalytics Global Standards Screening assessment as well as companies identified to be involved with controversial weapons.

Key facts

  • Derived from STOXX broad, yet liquid indices to ensure tradability.
  • As the indices are derived from those well-known broad indices, investor can easily use it for benchmark purposes.
  • Exclude companies that Sustainalytics considers to be non-compliant with the Sustainalytics Global Standards Screening assessment as well as companies identified to be involved with controversial weapons.
  • Reliable, independent data source: Sustainalytics.

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 Industry Neutral ESG 12,894.3 10,289.7 19.1 7.0 400.5 0.9 3.9 0.0 4.9
STOXX Europe 600 13,831.5 11,004.0 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 Industry Neutral ESG 3.4 9.7 17.3 26.1 60.6 N/A N/A 17.5 8.1 10.0
STOXX Europe 600 3.3 10.1 17.8 25.5 58.7 N/A N/A 18.1 7.9 9.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Industry Neutral ESG N/A N/A 9.9 14.4 17.6 N/A N/A 1.1 0.4 0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe Industry Neutral ESG 1.0 1.0 1.0 1.0 1.0 0.4 0.5 0.5 0.6 0.7
Index to benchmark Beta Annualized information ratio
STOXX Europe Industry Neutral ESG 1.0 1.0 1.0 1.0 1.0 2.4 -2.0 -1.0 0.3 0.3

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Industry Neutral ESG

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 Industry Neutral ESG 17.5 13.8 15.4 15.4 2.0 3.2 1.3 7.8
STOXX Europe 600 17.7 14.1 15.6 15.6 2.0 3.1 1.4 7.8

Performance and annual returns

Methodology

The STOXX Regional Industry Neutral ESG indices are selected from the STOXX Global 1800 universe. STOXX will exclude the companies that Sustainalytics considers to be non-compliant with the Sustainalytics Global Standards Screening assessment as well as companies identified to be involved with controversial weapons. The indices are created by selecting companies with an Environmental (E), Social (S) and Governance (G) score >= 50. A capping algorithm is applied to calculate component weights so that the ICB Industry weight of the index is similar to the ICB Industry weight of the Benchmark.

Additionally, for the European version there are 2 further indices selecting the 200 and 250 companies with the highest Total Rating Score. For the North American version there are also 2 further indices, selecting the 150 and 200 companies with the highest Total Rating Score. The Total Rating Score is provided by Sustainalytics.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0342945950 SXESEP .SXESEP
Net Return EUR CH0342946933 SXESEN SXESEN INDEX .SXESEN
Gross Return EUR CH0342947105 SXESEG SXESEG INDEX .SXESEG
Gross Return USD CH0342946800 SXESUG .SXESUG
Price USD CH0342946974 SXESUP .SXESUP
Net Return USD CH0342946917 SXESUN .SXESUN

Quick Facts

Weighting Free Float Market Cap
Cap Factor Capping on ICB Industry level
No. of components Variable
Review frequency Components: Annually. Shares, Free Float and Cap Factor: Quarterly
Calculation/distribution See vendor code sheet
Calculation hours End-of-day
Base value/base date 100 on Sep. 24, 2012
History As of Sep. 24, 2012
Inception date Nov. 16, 2016
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Industry Neutral ESG

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.892%
ASML HLDG Technology Netherlands 3.205%
NESTLE Food, Beverage and Tobacco Switzerland 2.430%
ASTRAZENECA Health Care UK 2.138%
SHELL Energy UK 1.943%
NOVARTIS Health Care Switzerland 1.881%
LVMH MOET HENNESSY Consumer Products and Services France 1.823%
SAP Technology Germany 1.659%
ROCHE HLDG P Health Care Switzerland 1.599%
SIEMENS Industrial Goods and Services Germany 1.536%

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

4Based on the composition as of May 31, 2024