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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 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 Europe 600 ESG Target TE N/A 106.2 0.3 0.1 3.4 0.0 3.2 0.0 7.5
STOXX Europe 600 14,448.3 11,510.3 19.2 6.7 356.2 1.4 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 Target TE -5.9 6.7 23.7 9.1 44.5 N/A N/A 24.0 3.0 7.7
STOXX Europe 600 -5.9 6.9 23.7 9.8 43.9 N/A N/A 24.0 3.2 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 ESG Target TE N/A N/A 12.8 18.8 20.5 N/A N/A 1.8 0.1 0.4
STOXX Europe 600 N/A N/A 12.8 18.7 20.5 N/A N/A 1.8 0.1 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 0.4 0.6 0.6 0.8 0.8
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 ESG Target TE 1.0 1.0 1.0 1.0 1.0 -1.8 -0.3 0.1 -0.2 0.1

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

2Based on EURIBOR1M

(USD, Gross Return), all data as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 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 Europe 600 ESG Target TE 16.7 14.5 15.3 15.3 2.0 4.1 1.4 21.5
STOXX Europe 600 17.1 14.6 15.3 15.3 2.0 4.0 1.3 20.5

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 CH0583522633 SXXWETA .SXXWETA
Price EUR CH0583522468 SXXPETA SXXPETA INDEX .SXXPETA
Net Return EUR CH0583522732 SXXRETA SXXRETA INDEX .SXXRETA
Gross Return USD CH0583522435 SXXZETA .SXXZETA
Net Return USD CH0583522708 SXXVETA SXXVETA INDEX .SXXVETA
Price USD CH0583522690 SXXLETA SXXLETA INDEX .SXXLETA

Quick Facts

Weighting Optimization
Cap Factor 4.5% / 8% / 35%
No. of components Variable
Review frequency Quarterly (Mar., Jun., Sep., Dec)
Calculation/distribution dayend
Calculation hours 18:00:00 18:00:00
Base value/base date 100 as of Mar. 19, 2012
History Available from Mar. 19, 2016
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.

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 3.247%
ASML HLDG Technology Netherlands 2.408%
SAP Technology Germany 2.286%
NESTLE Food, Beverage and Tobacco Switzerland 2.211%
NOVARTIS Health Care Switzerland 1.982%
ASTRAZENECA Health Care UK 1.939%
ROCHE HLDG P Health Care Switzerland 1.916%
SHELL Energy UK 1.783%
SCHNEIDER ELECTRIC Industrial Goods and Services France 1.669%
LVMH MOET HENNESSY Consumer Products and Services France 1.569%

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

4Based on the composition as of October 31, 2024

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 ESG Target TE