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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Governance Leaders

Index Description

The STOXX Global ESG Governance Leaders indices consist of one broad and three specialized indices for the areas of environmental, social and governance. The three specialized indices form the broad STOXX Global ESG Leaders Index. The indices provide access to global sustainability leaders through quantitative selection. The sustainability data in environmental, social and governance areas are provided by Sustainalytics. The indices follow a bottom-up approach and are based on companies' ESG scores.

Key facts

  • Scoring methodology looks at each company individually and makes clear differentiations between different types of companies.
  • Specialized indices - STOXX Global ESG Environmental Leaders, Social Leaders and Governance Leaders - are also available separately and may be combined in all variations.
  • Methodology allows a detailed attribution of sustainability performance for index components and non-components.

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 Global ESG Governance Leaders N/A 1.1 0.0 0.0 0.0 0.0 0.6 0.3 54.4
STOXX Global 1800 71,892.3 65,694.3 36.5 11.8 3,085.4 0.9 4.7 0.0 2.9

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 Global ESG Governance Leaders 6.0 7.1 20.8 9.0 55.6 N/A N/A 21.0 2.9 9.4
STOXX Global 1800 4.5 9.6 25.2 21.5 84.3 N/A N/A 25.5 6.8 13.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global ESG Governance Leaders N/A N/A 14.0 17.8 19.9 N/A N/A 1.0 0.1 0.4
STOXX Global 1800 N/A N/A 10.3 14.9 17.9 N/A N/A 1.7 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global ESG Governance Leaders 0.8 0.6 0.7 0.8 0.8 6.2 9.3 9.5 11.8 12.0
Index to benchmark Beta Annualized information ratio
STOXX Global ESG Governance Leaders 1.1 0.8 1.0 0.9 0.9 2.6 -0.6 -0.4 -0.3 -0.3

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global ESG Governance Leaders

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 Global ESG Governance Leaders 23.2 13.6 14.9 14.9 1.5 4.7 1.0 17.5
STOXX Global 1800 23.8 19.1 21.9 21.9 3.2 2.5 2.1 5.8

Performance and annual returns