Continue active refreshing of this index's data?

Continue active refreshing of this index's data?

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX ESG Target

Index Description

STOXX ESG Target indices aim to provide a strong ESG tilt to the benchmark index while maintaining low tracking error to the benchmark index. The weight of each constituent security is determined through an optimization process that is designed to ensures diversification and uses Axioma's Risk Models and Optimizer.

Key facts

  • STOXX ESG Target Indices maximize the ESG tilt while keeping tracking error to the benchmark index below 1% .
  • The aggregate ESG scores of the STOXX ESG Target Indices are substantially improved over the benchmark index.
  • Turnover is held to levels comparable to the benchmark index.

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 ESG Target N/A 101.0 0.6 0.3 7.7 0.0 7.6 0.0 10.2
EURO STOXX 7,415.7 5,416.0 18.2 6.6 385.3 1.4 7.1 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 ESG Target -2.3 7.3 10.1 11.2 35.4 N/A N/A 10.3 3.6 6.3
EURO STOXX -2.9 5.8 8.7 11.0 33.5 N/A N/A 8.9 3.6 6.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX ESG Target N/A N/A 11.4 16.8 19.7 N/A N/A 0.6 0.1 0.3
EURO STOXX N/A N/A 11.4 16.8 19.6 N/A N/A 0.5 0.1 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX ESG Target 1.0 1.0 1.0 1.0 1.0 1.1 1.3 1.2 1.2 1.4
Index to benchmark Beta Annualized information ratio
EURO STOXX ESG Target 1.0 1.0 1.0 1.0 1.0 6.7 2.3 1.0 0.1 0.2

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

2Based on EURIBOR1M

(EUR, Price), all data as of June 28, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

EURO STOXX ESG Target

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 ESG Target 16.9 13.1 14.6 14.6 1.7 3.9 1.2 19.5
EURO STOXX 16.6 13.1 14.6 14.6 1.7 3.6 1.2 19.2

Performance and annual returns

Methodology

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

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1105446988 SXXTEHA SXXTEHA INDEX .SXXTEHA
Gross Return EUR CH1105447135 SXXGEHA .SXXGEHA
Price EUR CH1105447028 SXXEEHA SXXEEHA INDEX .SXXEEHA
Gross Return USD CH1105446822 SXXEHA .SXXEHA
Price USD CH1105446863 SXXKEHA SXXKEHA INDEX .SXXKEHA
Net Return USD CH1105447093 SXXUEHA SXXUEHA INDEX .SXXUEHA

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 09:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2039
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

EURO STOXX ESG Target

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 7.605%
SAP Technology Germany 3.991%
SCHNEIDER ELECTRIC Industrial Goods and Services France 3.244%
LVMH MOET HENNESSY Consumer Products and Services France 2.998%
ALLIANZ Insurance Germany 2.813%
SIEMENS Industrial Goods and Services Germany 2.549%
L'OREAL Consumer Products and Services France 2.417%
TOTALENERGIES Energy France 2.286%
DEUTSCHE TELEKOM Telecommunications Germany 2.239%
INTESA SANPAOLO Banks Italy 2.173%

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

4Based on the composition as of June 28, 2024