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ISTOXX INDICES

iSTOXX Europe ESG Leaders Additional Exclusions Select 30

Index Description

The iSTOXX Europe ESG Leaders Additional Exclusions Select 30 Index captures the performance of 30 European stocks with low volatility and high dividends from the STOXX Global ESG Leaders Index. STOXX will exclude companies that are non-compliant with the Global Standards Screening (GSS) or are involved in Controversial Weapon activities, as identified by Sustainalytics. Additionally, companies involved in Tobacco, Thermal Coal and Military Contracting are also excluded. The component selection process also excludes all stocks whose 3- or 12-month historical volatilities are the highest. Among the remaining stocks, the 30 with the highest 12-month historical dividend yields are selected to be included in the index. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The indices are reviewed quarterly.

Key facts

  • Index selects 30 European sustainability leaders with low volatility and high dividend yields
  • Companies are compliant with the Global Standard Screenings and are not involved in Controversial Weapons.
  • Product involvement filters are applied excluding companies involved in Thermal Coal, Tobacco and Military Contracting.
  • Liquidity filters ensure replicability

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
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 N/A 102.0 3.4 3.3 4.3 2.8 4.2 2.7 118.3
STOXX Europe ESG Leaders Select 30 EUR N/A 1.0 0.0 0.0 0.0 0.0 4.2 2.7 115.6

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
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 4.4 5.6 13.2 21.4 10.9 N/A N/A 13.6 6.8 2.1
STOXX Europe ESG Leaders Select 30 EUR 4.3 5.6 12.2 18.7 7.9 N/A N/A 12.5 6.0 1.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 N/A N/A 10.0 13.0 17.7 N/A N/A 1.0 0.4 0.1
STOXX Europe ESG Leaders Select 30 EUR N/A N/A 10.0 13.0 17.6 N/A N/A 0.9 0.3 0.1
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 1.0 1.0 1.0 1.0 1.0 0.4 0.2 0.7 1.0 1.4
Index to benchmark Beta Annualized information ratio
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 1.0 1.0 1.0 1.0 1.0 1.5 0.8 1.3 0.8 0.4

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

2Based on EURIBOR1M

(EUR, Gross Return), all data as of March 29, 2024

ISTOXX INDICES

iSTOXX Europe ESG Leaders Additional Exclusions Select 30

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
iSTOXX Europe ESG Leaders Additional Exclusions Select 30 12.7 10.4 11.0 11.0 1.4 6.9 0.9 173.0
STOXX Europe ESG Leaders Select 30 EUR 12.1 10.5 11.1 11.1 1.5 6.8 0.9 248.3

Performance and annual returns

Methodology

All stocks in the relevant base universe are screened to ensure companies engaged in Controversial Weapon activities, or non-compliant with the Global Standard Screenings (GSS), as identified by Sustainalytics, are excluded. Additionally, companies involved in Tobacco, Thermal Coal and Military Contracting are also excluded. Moreover, companies are screened for 12-month historical daily pricing and dividend yield data. If one or both values are not available for a stock, the company is removed from the base universe.

All remaining stocks are then ranked in ascending order in terms of volatility (maximum between the 3-month and 12-month historical volatility in EUR) and all stocks which do not belong to the top x% are excluded.

All remaining stocks are then ranked in descending order in terms of 12-month historical dividend yield and the top x% are selected to be included in the Select index. Those constituents are weighted according to the inverse of their volatility, with a cap at 10%. The composition is reviewed quarterly.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return EUR CH0560415751 IXESGS3G .IXESGS3G
Price EUR CH0560415983 IXESGS3P IXESGS3P INDEX .IXESGS3P
Net Return EUR CH0560415975 IXESGS3R .IXESGS3R

Quick Facts

Weighting Inverse Volatility Weighted
Cap Factor 0.1
No. of components 30
Review frequency Quarterly
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, 2012
Inception date Jul. 29, 2020
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

ISTOXX INDICES

iSTOXX Europe ESG Leaders Additional Exclusions Select 30

Top 10 Components4

Company Supersector Country Weight
Redeia Corporacion Utilities Spain 4.205%
ASSICURAZIONI GENERALI Insurance Italy 4.154%
ZURICH INSURANCE GROUP Insurance Switzerland 4.088%
NATIONAL GRID Utilities UK 3.780%
Naturgy Energy Group Utilities Spain 3.775%
SNAM RETE GAS Energy Italy 3.768%
POSTE ITALIANE Insurance Italy 3.606%
AGEAS Insurance Belgium 3.529%
AXA Insurance France 3.529%
ITALGAS Utilities Italy 3.500%

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

4Based on the composition as of March 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.