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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America Ex Tobacco Industry Neutral ESG 150

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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX North America Ex Tobacco Industry Neutral ESG 150 750.6 736.1 4.9 2.0 179.0 0.3 24.3 0.0 35.6
STOXX North America 600 53,087.3 51,184.0 85.3 33.8 3,434.8 6.8 6.7 0.0 2.4

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 North America Ex Tobacco Industry Neutral ESG 150 -1.7 28.1 50.1 47.7 130.6 N/A N/A 50.8 14.0 18.4
STOXX North America 600 -0.8 20.8 38.5 26.6 100.9 N/A N/A 39.0 8.2 15.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX North America Ex Tobacco Industry Neutral ESG 150 N/A N/A 17.1 19.0 22.3 N/A N/A 2.5 0.6 0.7
STOXX North America 600 N/A N/A 12.4 17.7 21.3 N/A N/A 2.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX North America Ex Tobacco Industry Neutral ESG 150 0.9 0.9 0.9 1.0 1.0 8.7 8.2 7.8 5.8 5.0
Index to benchmark Beta Annualized information ratio
STOXX North America Ex Tobacco Industry Neutral ESG 150 1.3 1.3 1.3 1.0 1.0 -1.1 0.9 1.1 0.9 0.6

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America Ex Tobacco Industry Neutral ESG 150

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 North America Ex Tobacco Industry Neutral ESG 150 22.9 20.6 21.9 21.9 4.1 2.5 2.3 28.0
STOXX North America 600 27.7 23.8 25.9 25.9 5.1 2.0 3.0 26.4

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
Net Return EUR CH0342947121 SXNXT1EN .SXNXT1EN
Price EUR CH0342947113 SXNXT1EP .SXNXT1EP
Gross Return EUR CH0342946982 SXNXT1EG .SXNXT1EG
Gross Return USD CH0342947204 SXNXT1UG .SXNXT1UG
Net Return USD CH0342946883 SXNXT1UN .SXNXT1UN
Price USD CH0342946735 SXNXT1UP .SXNXT1UP

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.

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.

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX North America Ex Tobacco Industry Neutral ESG 150

Top 10 Components4

Company Supersector Country Weight
NVIDIA Corp. Technology USA 24.315%
DECKERS OUTDOOR Consumer Products and Services USA 3.332%
MasterCard Inc. Cl A Industrial Goods and Services USA 3.284%
Johnson & Johnson Health Care USA 2.586%
WILLIAMS SONOMA Retail USA 2.302%
PepsiCo Inc. Food, Beverage and Tobacco USA 2.297%
Estee Lauder Cos. Inc. Consumer Products and Services USA 2.182%
Aptiv Automobiles and Parts USA 2.052%
Merck & Co. Inc. Health Care USA 1.743%
ADVANCED MICRO DEVICES Technology USA 1.736%

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

4Based on the composition as of October 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.