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ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 SRI

Index Description

The STOXX SRI (Socially Responsible Investing) Indices, track the performance of a selection of STOXX Indices after a set of emission intensity, compliance, involvement and ESG performance screens are applied. Companies that rank in the highest 10% in terms of their emission intensities are not eligible for selection. Exclusion filters are applied, screening companies for compliance based on the Sustainalytics� Global Standards Screening assessment and involvement in Controversial Weapons, Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Thermal Coal, Oil & Gas and Nuclear Power. The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select the top-ranking securities in each of the ICB Industries until the number of selected securities reaches a third of the number of securities in the underlying index.

Key facts

  • STOXX SRI Indices target the best ESG performers within each of the ICB Industry groups
  • 10% of the highest emitters, based on ISS ESG emission intensity data, are not eligible for selection
  • Companies that are non-compliant based on the Sustainalytics' GSS screens or are involved in controversial weapons are not eligible for selection
  • Additional product involvement screens are applied to exclude companies that have negative environmental or social impact
  • 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 (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe 600 SRI 6,213.2 5,055.7 25.3 9.4 437.9 1.8 8.7 0.0 25.4
STOXX Europe 600 15,015.2 11,945.8 19.9 6.9 437.9 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 SRI 6.0 11.7 24.8 20.1 68.2 N/A N/A 25.1 6.3 11.1
STOXX Europe 600 5.1 8.8 20.7 13.4 59.0 N/A N/A 21.0 4.3 9.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe 600 SRI N/A N/A 13.1 18.0 19.2 N/A N/A 1.3 0.3 0.5
STOXX Europe 600 N/A N/A 13.3 18.7 20.4 N/A N/A 1.0 0.1 0.4
Index to benchmark Correlation Tracking error (%)
STOXX Europe 600 SRI 1.0 1.0 1.0 1.0 1.0 2.2 2.9 2.7 3.0 3.2
Index to benchmark Beta Annualized information ratio
STOXX Europe 600 SRI 0.9 1.0 1.0 0.9 0.9 4.2 2.2 1.2 0.6 0.3

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

2Based on EURIBOR1M

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

ENVIRONMENTAL SOCIAL GOVERNANCE INDICES

STOXX Europe 600 SRI

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 SRI 19.3 15.5 17.7 17.7 2.3 4.1 1.8 22.0
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 rank in the highest 10% in terms of their emission intensities are not eligible for selection. Companies that are non-compliant based on the Sustainalytics� Global Standards Screening assessment or are involved in Controversial Weapons are not eligible for selection. Additional exclusion filters are applied, screening companies for involvement in Tobacco, Alcohol, Adult Entertainment, Gambling, Weapons, Thermal Coal, Oil & Gas and Nuclear Power.

The remaining securities are ranked in descending order of their ESG scores within each of the 11 ICB Industry groups. The STOXX SRI Indices select a third of the number of securities from their underlying universes. The selection is applied across all industry groups, selecting the highest scorers and targeting the 33.3% selection ratio within each of the industry groups.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return EUR CH1110575805 SXXRSRI SXXRSRI INDEX .SXXRSRI
Price EUR CH1110576233 SXXPSRI SXXPSRI INDEX .SXXPSRI
Gross Return EUR CH1110575938 SXXWSRI .SXXWSRI
Net Return USD CH1110575896 SXXVSRI SXXVSRI INDEX .SXXVSRI
Price USD CH1110576076 SXXLSRI SXXLSRI INDEX .SXXLSRI
Gross Return USD CH1110576225 SXXZSRI .SXXZSRI

Quick Facts

Weighting Fre-float market cap
Cap Factor 0.1
No. of components A third of the underlying universe
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. 24, 2014
History Available from Mar. 24, 2014
Inception date Apr. 21, 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 SRI

Top 10 Components4

Company Supersector Country Weight
NOVO NORDISK B Health Care Denmark 8.662%
ASML HLDG Technology Netherlands 7.472%
NOVARTIS Health Care Switzerland 4.187%
SAP Technology Germany 3.867%
UNILEVER PLC Personal Care, Drug and Grocery Stores UK 2.712%
L'OREAL Consumer Products and Services France 2.343%
ALLIANZ Insurance Germany 2.257%
SANOFI Health Care France 2.210%
GSK Health Care UK 1.919%
ABB Industrial Goods and Services Switzerland 1.751%

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

4Based on the composition as of May 31, 2024