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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Ex Tobacco Industry Neutral ESG

Index Description

The STOXX Regional Excluding Tobacco 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, while excluding the sub-sector Tobacco. 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. Additionally, the sub-sector Tobacco (ICB Code 45103010) is also excluded.

Key facts

  • Derived from STOXX broad, yet liquid broad 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.
  • Exclude the sub-sector Tobacco.
  • 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 Ex Tobacco Industry Neutral ESG 12,498.6 9,940.2 18.5 6.6 387.1 0.7 3.9 0.0 4.9
STOXX Europe 600 13,511.4 10,716.1 17.9 5.9 392.7 1.1 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 Ex Tobacco Industry Neutral ESG -0.6 6.4 11.2 27.4 51.6 N/A N/A 11.3 8.5 8.8
STOXX Europe 600 -0.8 6.9 11.9 26.8 50.3 N/A N/A 12.0 8.3 8.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Ex Tobacco Industry Neutral ESG N/A N/A 10.2 14.6 17.7 N/A N/A 0.7 0.5 0.4
STOXX Europe 600 N/A N/A 10.2 14.6 17.7 N/A N/A 0.8 0.4 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe Ex Tobacco Industry Neutral ESG 1.0 1.0 1.0 1.0 1.0 0.6 0.5 0.5 0.6 0.7
Index to benchmark Beta Annualized information ratio
STOXX Europe Ex Tobacco Industry Neutral ESG 1.0 1.0 1.0 1.0 1.0 4.4 -3.1 -1.2 0.3 0.2

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of April 30, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe Ex Tobacco 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 Ex Tobacco Industry Neutral ESG 16.3 13.7 14.8 14.8 1.9 3.7 1.3 8.0
STOXX Europe 600 17.0 13.8 14.9 14.9 1.9 3.7 1.3 7.9

Performance and annual returns

Methodology

The STOXX Regional Excluding Tobacco Industry Neutral ESG indices are selected from the STOXX Global 1800 universe, excluding the sub-sector Tobacco (ICB Code 45103010). 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 Europe Excluding Tobacco version there are 2 further indices selecting the 200 and 250 companies with the highest Total Rating Score. For the North America Excluding Tobacco 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
Gross Return EUR CH0342947220 SXEXTEG .SXEXTEG
Price EUR CH0342946552 SXEXTEP .SXEXTEP
Net Return EUR CH0342947238 SXEXTEN .SXEXTEN
Gross Return USD CH0342947212 SXEXTUG .SXEXTUG
Net Return USD CH0342946958 SXEXTUN .SXEXTUN
Price USD CH0342946594 SXEXTUP .SXEXTUP

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 Ex Tobacco Industry Neutral ESG

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.894%
ASML HLDG Technology Netherlands 3.151%
NESTLE Food, Beverage and Tobacco Switzerland 2.600%
ASTRAZENECA Health Care UK 2.172%
SHELL Energy UK 2.029%
LVMH MOET HENNESSY Consumer Products and Services France 1.974%
NOVARTIS Health Care Switzerland 1.846%
SAP Technology Germany 1.743%
SIEMENS Industrial Goods and Services Germany 1.576%
ROCHE HLDG P Health Care Switzerland 1.567%

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

4Based on the composition as of April 30, 2024