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THEME INDICES

STOXX USA Low Carbon 50 Equal Weight

Index Description

The STOXX Industry Leaders Low Carbon Indices represent the top industry (as defined by the ICB Industry classification) leaders with the lowest carbon emissions considering estimated and reported carbon intensity data. The indices are available for various regions and countries, including Global, Europe and USA. They are blue-chip indices with a fixed component number at the annual rebalance, and are price weighted with a weight factor based on the free-float market cap multiplied by the corresponding Z-score carbon intensity factor of each constituent. Components with lower carbon intensities are overweighted, while those with higher carbon emission are underweighted. Additionally, STOXX also calculates an equal weight version for this group of indices. The indices also exlcude companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas. STOXX uses ISS ESG as reliable and professional data sources for the estimated and reported data. Data considered comprise Scope 1 (All direct GHG emissions) and Scope 2 (Indirect GHG emissions from consumption of purchased electricity, heat or steam) emissions.

Key facts

  • Derived from STOXX broad, yet liquid broad indices to ensure tradability.
  • As indices derived from those well-known broad indices, investor can easily use it for benchmark purposes.
  • Comprehensive offering by covering global, Europe and USA regions.
  • Usage of ISS ESG data.
  • Components with the lowest carbon intensities within each ICB Industry are selected.
  • Indices are offered in two weight versions: 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 and an equal weighted version.

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 USA Low Carbon 50 Equal Weight N/A 103,230.4 2,064.6 2,063.6 2,457.1 1,511.8 2.4 1.5 49.1
STOXX USA 50 24,490.3 23,582.2 471.6 243.9 2,585.5 147.7 11.0 0.6 13.7

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 USA Low Carbon 50 Equal Weight 2.1 12.6 24.8 18.9 83.3 N/A N/A 25.2 6.0 13.0
STOXX USA 50 2.1 30.0 40.6 48.4 138.1 N/A N/A 41.1 14.2 19.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA Low Carbon 50 Equal Weight N/A N/A 12.5 18.8 23.1 N/A N/A 1.6 0.2 0.5
STOXX USA 50 N/A N/A 15.5 19.4 22.6 N/A N/A 2.1 0.6 0.7
Index to benchmark Correlation Tracking error (%)
STOXX USA Low Carbon 50 Equal Weight 0.8 0.7 0.7 0.9 0.9 9.2 11.2 11.2 9.5 10.5
Index to benchmark Beta Annualized information ratio
STOXX USA Low Carbon 50 Equal Weight 0.6 0.5 0.6 0.8 0.9 0.0 -1.6 -1.2 -0.8 -0.5

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

2Based on EURIBOR1M

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

THEME INDICES

STOXX USA Low Carbon 50 Equal Weight

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 USA Low Carbon 50 Equal Weight 26.9 20.0 21.8 21.8 3.4 2.0 1.4 22.7
STOXX USA 50 29.3 26.4 29.1 29.1 7.4 1.6 4.8 32.3

Performance and annual returns

Methodology

Base universe is the STOXX Global 1800 Index; excluding the companies that are non-compliant based on the ISS ESG Norms Based Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Thermal Coal, Unconventional Oil & Gas, Civilian Firearms, and Military Contracting. Only those stocks with reported or estimated low carbon emission data are eligible for inclusion. STOXX uses estimated and reported Carbon Intensity data ((Scope 1 + Scope 2 emission data) / Revenue in $ million) provided byISS ESG. The remaining stocks are sorted by ICB Industry and ranked in descending order by carbon intensity. The top 5 & 10 (Regional) and Top 10 & 40 (Global) stocks with the lowest carbon intensity figures are selected to create both global, regional and country Industry top 50 / 100 / 400 indices. The remaining stocks are sorted by ICB Industry and a Z-score per Industry is calculated. Indices are 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. The resulting tilt overweights stocks with lower carbon intensities and underweights those with higher emissions. Individual components are subject to a 5% cap.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH0304746792 SXU5CEEN .SXU5CEEN
Gross Return EUR CH0304746818 SXU5CEEG .SXU5CEEG
Price EUR CH0304746776 SXU5CEEP .SXU5CEEP
Net Return USD CH0304746800 SXU5CEUN .SXU5CEUN
Gross Return USD CH0304746826 SXU5CEUG .SXU5CEUG
Price USD CH0304746784 SXU5CEUP .SXU5CEUP

Quick Facts

Weighting Price weighted-weight factor based on FF M-cap multiplied by Z-score carbon intensity factor of each constituent; Equal weighted
Cap Factor 5% on component level
No. of components Fixed at December review, variable thereafter
Review frequency Components: Annually. Shares, Free Float and Weight Factor: Quarterly
Calculation/distribution See https://www.stoxx.com/data-vendor-codes
Calculation hours End-of-day
Base value/base date 100 on Dec. 19, 2011
History Yes
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.

THEME INDICES

STOXX USA Low Carbon 50 Equal Weight

Top 10 Components4

Company Supersector Country Weight
BOOKING HOLDINGS Travel and Leisure USA 2.380%
Capital One Financial Corp. Industrial Goods and Services USA 2.332%
Expedia Group Inc Travel and Leisure USA 2.329%
AIRBNB A Travel and Leisure USA 2.263%
BAKER HUGHES Energy USA 2.253%
SPOTIFY TECHNOLOGY Media USA 2.248%
ATLASSIAN 'A' Technology USA 2.242%
BLOCK CL.A Industrial Goods and Services USA 2.238%
Fastenal Co. Basic Resources USA 2.206%
CBRE GP. Real Estate USA 2.196%

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.