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STRATEGY INDICES

EURO STOXX Low Carbon Select 50

Index Description

The EURO STOXX Low Carbon Select 50 EUR Index captures the performance of low carbon emissions stocks with low volatility and high dividends from the EURO STOXX Index. The component selection process first excludes all stocks that belong to the ICB Subsector 1771 (Coal), then selects in each ICB industry all stocks whose Carbon Intensity is the lowest. Next, it excludes all stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 50 stocks with the highest 12-month historical dividend yields are selected to be included in the index. The percentage of exclusion/inclusion at each step is the same. The index also exlcudes companies violating international norms, are involved with controversial weapons, tobacco, thermal coal, civilian firearms, military equipment, and unconventional oil and gas. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Key facts

  • Stocks with the lowest carbon intensity within each ICB Industry are selected
  • Balanced approach between the different screenings
  • Lower volatility stocks get the highest weight
  • Liquid benchmark

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
EURO STOXX Low Carbon Select 50 N/A 1.0 0.0 0.0 0.0 0.0 3.8 1.3 93.4
EURO STOXX 7,542.3 5,512.5 18.6 6.8 324.5 1.6 5.9 0.0 3.7

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
EURO STOXX Low Carbon Select 50 2.8 11.5 16.2 16.9 37.3 N/A N/A 16.5 5.4 6.6
EURO STOXX 1.5 11.0 16.0 19.9 59.2 N/A N/A 16.3 6.3 9.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Low Carbon Select 50 N/A N/A 9.9 13.0 17.2 N/A N/A 1.1 0.2 0.3
EURO STOXX N/A N/A 11.7 16.9 19.6 N/A N/A 0.9 0.2 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX Low Carbon Select 50 0.9 0.8 0.9 0.9 0.9 7.4 6.5 6.0 7.7 7.5
Index to benchmark Beta Annualized information ratio
EURO STOXX Low Carbon Select 50 0.8 0.7 0.7 0.7 0.8 1.9 0.1 0.0 -0.2 -0.5

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

2Based on EURIBOR1M

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

STRATEGY INDICES

EURO STOXX Low Carbon Select 50

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
EURO STOXX Low Carbon Select 50 12.3 10.6 11.8 11.8 1.5 6.5 0.8 8.9
EURO STOXX 17.0 13.5 14.9 14.9 1.7 3.7 1.2 16.4

Performance and annual returns