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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG Broad Market

Index Description

The STOXX ESG Broad Market Indices track the performance of a selection of STOXX Indices after set of compliance, involvement and ESG performance screens are applied. Companies that are non-compliant based on the Sustainalytics Global Standards Screening assessment, ESG Risk Ratings 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, Small Arms and Military Weapons. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices 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 award-winning ESG data provider Sustainalytics.
  • 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 Broad Market 11,883.8 9,613.9 20.0 7.0 403.4 1.6 4.2 0.0 8.1
STOXX Europe 600 13,831.3 11,003.9 18.3 6.4 403.4 1.0 3.7 0.0 3.3

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 Broad Market 3.4 10.6 18.4 29.0 63.7 N/A N/A 18.6 8.9 10.5
STOXX Europe 600 3.5 10.7 18.6 27.8 63.2 N/A N/A 18.8 8.6 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 ESG Broad Market N/A N/A 9.8 14.4 17.5 N/A N/A 1.2 0.5 0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.5 0.5
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 ESG Broad Market 1.0 1.0 1.0 1.0 1.0 0.6 0.6 0.6 0.8 0.8
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 ESG Broad Market 1.0 1.0 1.0 1.0 1.0 -2.8 -0.4 -0.2 0.4 0.0

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG Broad Market

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 Broad Market 16.6 13.9 15.4 15.4 2.0 3.9 1.4 7.1
STOXX Europe 600 17.7 14.1 15.6 15.6 2.0 3.9 1.4 7.8

Performance and annual returns

Methodology

Companies that are non-compliant based on the Sustainalytics Global Standards Screening assessment,ESG Risk Ratings 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, Small Arms and Military Weapons. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX ESG Broad Market Indices 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. The selection is applied across all industry groups, selecting the highest scorers and preserving the 80% selection ratio within each of the industry groups. The indices are reviewed quarterly, and components are weighted by free-float market capitalization, with a maximum capped weight of 10%. Deleted companies are not replaced.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH1107032448 SXXPESGB SXXPESGB INDEX .SXXPESGB
Gross Return EUR CH1107032463 SXXWESGB SXXWESGB INDEX .SXXWESGB
Net Return EUR CH1107032455 SXXRESGB SXXRESGB INDEX .SXXRESGB
Gross Return USD CH1107032497 SXXZESGB .SXXZESGB
Price USD CH1107032471 SXXLESGB SXXLESGB INDEX .SXXLESGB
Net Return USD CH1107032489 SXXVESGB SXXVESGB INDEX .SXXVESGB

Quick Facts

Weighting Free-float market cap
Cap Factor 0.1
No. of components 80% of the underlying universe
Review frequency Quarterly
Calculation/distribution Realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of March. 19, 2012
History Available from Mar. 19, 2012
Inception date April. 09, 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 Europe 600 ESG Broad Market

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 4.196%
ASML HLDG Technology Netherlands 3.619%
NESTLE Food, Beverage and Tobacco Switzerland 2.710%
ASTRAZENECA Health Care UK 2.305%
SHELL Energy UK 2.232%
NOVARTIS Health Care Switzerland 2.028%
LVMH MOET HENNESSY Consumer Products and Services France 1.968%
SAP Technology Germany 1.873%
ROCHE HLDG P Health Care Switzerland 1.724%
TOTALENERGIES Energy France 1.664%

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

4Based on the composition as of May 31, 2024