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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global 1800 ESG Target TE

Index Description

STOXX ESG Target TE Indices aim to minimize tracking error to the benchmark index while ensuring an improved ESG score. The weighting of each constituent security is determined through an optimization process that is designed to ensure diversification and uses Axioma�s Risk Model and Optimizer to construct the indices.

Key facts

  • STOXX ESG Target TE Indices minimize the tracking error to the benchmark index.
  • The aggregate ESG scores of the STOXX ESG Target TE Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 1800 ESG Target TE N/A 107.4 0.2 0.1 5.5 0.0 5.1 0.0 9.3
STOXX Global 1800 72,861.9 66,861.6 37.1 11.6 3,321.0 1.4 5.0 0.0 2.6

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 1800 ESG Target TE 1.9 11.3 19.3 19.7 72.9 N/A N/A 19.7 6.3 11.7
STOXX Global 1800 1.9 11.4 19.7 20.3 71.9 N/A N/A 20.1 6.4 11.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global 1800 ESG Target TE N/A N/A 10.0 15.0 18.0 N/A N/A 1.5 0.3 0.6
STOXX Global 1800 N/A N/A 10.0 14.9 17.9 N/A N/A 1.6 0.3 0.6
Index to benchmark Correlation Tracking error (%)
STOXX Global 1800 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.6 0.7 0.6 0.7 0.8
Index to benchmark Beta Annualized information ratio
STOXX Global 1800 ESG Target TE 1.0 1.0 1.0 1.0 1.0 1.6 -0.4 -0.6 -0.2 0.1

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

2Based on EURIBOR1M

(USD, Net Return), all data as of June 28, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Global 1800 ESG Target TE

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 1800 ESG Target TE 24.5 19.1 22.7 22.7 3.4 1.9 2.1 24.3
STOXX Global 1800 24.4 19.6 22.4 22.4 3.3 1.8 2.2 25.3

Performance and annual returns

Methodology

The weighting of each constituent security in STOXX ESG Target TE Indices is determined by optimization to minimize the tracking error to the benchmark index. In addition, the methodology constrains the ESG to a minimum value, quarterly turnover to a maximum value, and limits the active country and industry exposures.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0583522781 SXWWETA .SXWWETA
Price EUR CH0583522641 SXWPETA SXWPETA INDEX .SXWPETA
Net Return EUR CH0583522716 SXWRETA SXWRETA INDEX .SXWRETA
Price USD CH0583522682 SXWLETA SXWLETA INDEX .SXWLETA
Net Return USD CH0583522740 SXWVETA SXWVETA INDEX .SXWVETA
Gross Return USD CH0583522492 SXWZETA .SXWZETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution realtime 15 sec
Calculation hours 00:00:01 22:15:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2045
Inception date Apr. 22, 2021
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 Global 1800 ESG Target TE

Top 10 Components4

Company Supersector Country Weight
Microsoft Corp. Technology USA 5.085%
NVIDIA Corp. Technology USA 4.586%
Apple Inc. Technology USA 4.577%
Amazon.com Inc. Retail USA 2.591%
META PLATFORMS CLASS A Technology USA 1.686%
ALPHABET CLASS C Technology USA 1.575%
Eli Lilly & Co. Health Care USA 1.233%
BROADCOM Technology USA 1.064%
JPMorgan Chase & Co. Banks USA 0.942%
TESLA Automobiles and Parts USA 0.841%

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

4Based on the composition as of June 28, 2024