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Index Description

The STOXX Europe 600 Plus Index tracks the performance of the STOXX Europe 600 after a set of compliance, involvement and ESG performance screens are applied. 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. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX Europe 600 Plus Index select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

Key facts

  • ESG screened versions of STOXX Benchmark Indices
  • Indices select 80% of the securities from underlying indices
  • Screening provided by ISS ESG
  • Transparent free-float market-cap weighting scheme
  • Suitable as underlying for mandates, passive funds, ETFs, structured products and listed derivatives

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 Europe 600 ESG+ 11,228.1 8,983.1 18.8 6.6 328.1 1.3 3.7 0.0 7.3
STOXX Europe 600 13,308.4 10,602.2 17.7 6.2 328.1 1.3 3.1 0.0 3.5

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 Europe 600 ESG+ -3.7 5.6 17.2 5.5 30.1 N/A N/A 17.5 1.8 5.5
STOXX Europe 600 -3.3 5.5 16.5 6.3 27.4 N/A N/A 16.7 2.1 5.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 ESG+ N/A N/A 10.3 14.6 17.4 N/A N/A 1.6 0.0 0.3
STOXX Europe 600 N/A N/A 10.2 14.5 17.6 N/A N/A 1.6 0.1 0.2
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 ESG+ 1.0 1.0 1.0 1.0 1.0 0.9 0.9 0.9 1.2 1.4
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 ESG+ 1.0 1.0 1.0 1.0 1.0 -4.7 0.2 0.7 -0.2 0.3

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

2Based on EURIBOR1M

(EUR, Price), all data as of October 31, 2024

THEME INDICES

STOXX Europe 600 ESG+

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 Europe 600 ESG+ 16.9 15.1 15.3 15.3 2.0 3.1 1.4 22.6
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 3.1 1.3 20.5

Performance and annual returns

Methodology

The STOXX Europe 600 Plus Index tracks the performance of the STOXX Europe 600 after a set of compliance, involvement and ESG performance screens are applied. 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. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX Europe 600 Plus Index select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches 80% of the number of securities in the underlying index.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0462361806 SXXPESGP .SXXPESGP
Gross Return EUR CH0462361798 SXXWESGP .SXXWESGP
Net Return EUR CH0462361772 SXXRESGP SXXRESGP INDEX .SXXRESGP
Net Return USD CH0462361764 SXXVESGP .SXXVESGP
Gross Return USD CH0462361780 SXXZESGP .SXXZESGP
Price USD CH0462361814 SXXLESGP .SXXLESGP

Quick Facts

Weighting Free-float market capitalization
Cap Factor All components are capped at a maximum weight of 10%
No. of components 480
Review frequency Quarterly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Mar. 20, 2017
History Available from Mar. 20, 2017
Inception date May. 31, 2022
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.652%
ASML HLDG Technology Netherlands 2.763%
NESTLE Food, Beverage and Tobacco Switzerland 2.535%
SAP Technology Germany 2.440%
ASTRAZENECA Health Care UK 2.257%
NOVARTIS Health Care Switzerland 2.237%
ROCHE HLDG P Health Care Switzerland 2.232%
LVMH MOET HENNESSY Consumer Products and Services France 1.735%
HSBC Banks UK 1.728%
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 1.572%

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

4Based on the composition as of October 31, 2024

THEME INDICES

STOXX Europe 600 ESG+