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EURO STOXX 50® ESGFebruary 2021
1 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
STOXX is now Part of Qontigo…A New Financial Intelligence Driver, Modernizing Investment Management
Analytics
STOXX & DAXWorld-class indices that are licensed to more than 500 companies, including the world’s largest financial product issuers, capital owners and asset managers.
AXIOMABest of breed portfolio construction and risk analytics tools.
Index
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EURO STOXX 50®
Liquid, Diversified Access to the Eurozone
Features Regional Coverage Comprehensive and transparent: completely rules-based
coverage of the Eurozone
Balanced: selection mechanism ensures balanced representation of supersectors using Industry Classification Benchmark (ICB)
Representative and liquid: coverage of about 60% of total free-float through liquid supersector leaders. Components ranked and weighted by free-float subject to 10% cap
Continuous pulse on market changes: quarterly rebalancing, annual review
Established: launched on Feb. 26, 1998
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EURO STOXX 50 ESGESG Version of Europe’s Most Traded Benchmark
Comprehensive and transparent: completely rules-based coverage of the Eurozone
Balanced: selection mechanism ensures balanced representation of supersectors using Industry Classification Benchmark (ICB)
Representative and liquid: coverage of about 60% of total free-float through liquid supersector leaders. Components ranked and weighted by free-float subject to 10% cap
Sustainability: Integrating environmental, social and governance values
Continuous pulse on market changes: quarterly rebalancing, annual review
Established: launched on April 30, 2019
Derivatives: launched November 9, 20201) on Eurex
Features Regional Coverage
1) Source: Equity index derivatives: Introduction of futures and options on the EURO STOXX® 50 ESG and DAX® 50 ESG indexes
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Index Characteristics
EURO STOXX 50 EURO STOXX 50 ESG
EURO STOXX
502,448 (EUR billions)*
Weight constituents by free-float market cap subject to 10% weight cap
Weight constituents by free-float market cap subject to 10% weight cap
Free Float Market Cap Free Float Market Cap
502,593 (EUR billions)*
EURO STOXX
Controversial and low sustainable companies are replaced based on ESG Integration criteria
Uni
vers
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lect
ion
Wei
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gPr
ofile
* Source: Qontigo. Data as of Dec 30, 2020.
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Exclusion
Weighting
Inclusion
Tobacco
Cluster weapons, anti-personal mines, biological and chemical weapons, depleted uranium, nuclear
weapons and white phosphorus
Thermal Coal>25% revenue threshold from thermal coal mining and
exploration>25% coal power generating capacity
All excluded companies are replaced by companieswith a higher ESG score in the same ICB Supersector.
Ranked based on market capitalizationControversial Weapons
Global Standards Screening Non-compliance with: UN Global Compact Principles
(UNGC), UN Guiding Principles on Business and Human Rights (UNGPs), OECD Guidelines for
Multinational Enterprises and related conventions
Tobacco producers (0% revenue threshold)
ESG Integration Replacement Criteria
Bottom 10% based on ESG scoreESG Scores
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Uni
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EURO STOXX 50 index
ESG integration replacement criteria: Exclusion of least sustainable companies - lowest 10% based on ESG score Global Standards Screening (if non-compliant) Involvement in controversial weapons Anti-personnel mines, biological and chemical weapons, cluster weapons, depleted uranium, nuclear weapons and
white phosphorus Tobacco producers (0% revenue threshold) Thermal coal >25% revenue threshold from thermal coal mining and exploration >25% power generating capacity (coal-fired electricity, heat or steam generation capacity / thermal coal electricity
production) All excluded companies are replaced by companies with a higher ESG score in the same ICB Supersector. Ranked
based on market capitalization
Free-float market cap
Fast
Exi
tEURO STOXX 50 ESGIndex Methodology
Uni
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Wei
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st E
xit
In case a company’s ESG Controversy Rating increases to Category 5 and it becomes non-compliant based on the Sustainalytics Global Standards Screening assessment, the company is deleted on the third dissemination day
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Fast-exit Rule Protects Against ESG-IncidentsESG Corporate Action
In case a company increases its ESG Controversy Rating to Category 5 and becomes non-compliant based on the Sustainalytics Global Standards Screening assessment, the respective company will be deleted from the index
The deletion will take place two dissemination days after the announcement, i.e. at the open of the 3rd dissemination day. The company will be replaced by a company with a higher ESG score in the same ICB supersector. Ranked based on market capitalization
A fast-entry is not applicable
Fast-exit Rule
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EURO STOXX 50 ESGOverview per ESG Criteria1)2)
Universe
Exclusion Criteria
No. of Exclusions Weight (%) in EURO STOXX 50
1) Source: Qontigo. Data as of Dec 21, 2020 (post review)
0
1
2
3
4
5
6
ControversialWeapons
Tobacco Global StandardScreening
Thermal Coal ESG Score0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
ControversialWeapons
Tobacco Global StandardScreening
Thermal Coal ESG Score
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Deletions and Additions1)
Constituent Name Supersector Weight in EURO STOXX 50 %
Weight in EURO STOXX 50 ESG % Reason for Exclusion2)
ADYEN Industrial Goods and Services 2.11 - Securities with lowest ESG Scores
AIRBUS Industrial Goods and Services 2.01 - Involvment in Controversial Weapons
ANHEUSER-BUSCH INBEV Food, Beverage and Tobacco 1.90 - Securities with lowest ESG Scores
SAFRAN Industrial Goods and Services 1.58 - Involvment in Controversial Weapons
Prosus Technology 1.55 - Securities with lowest ESG Scores
VOLKSWAGEN PREF Automobiles and Parts 1.09 - Securities with lowest ESG Scores
FLUTTER ENTERTAINMENT Travel and Leisure 1.01 - Securities with lowest ESG Scores
INFINEON TECHNOLOGIES Technology - 1.66
FERRARI Automobiles and Parts - 0.92
HEINEKEN Food, Beverage and Tobacco - 0.88
LEGRAND Industrial Goods and Services - 0.80
WORLDLINE Industrial Goods and Services - 0.73
TELEPERFORMANCE Industrial Goods and Services - 0.66
SODEXO Travel and Leisure - 0.25
11.25 5.901) Source: Qontigo. Data as of Dec 21, 2020 (post review)
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EURO STOXX 50 ESGRisk and Return Characteristics1)3)
EURO STOXX 50 ESG EURO STOXX 50
Perf. overall (annualized) 8.03% 7.56%
Perf. (1Y) 0.71% -2.61%
Perf. (3Y) (annualized) 4.71% 3.83%
Perf. (5Y) (annualized) 5.45% 5.27%
Vol. overall (annualized) 19.54% 19.91%
Volatility (1Y) (annualized) 30.92% 32.36%
Volatility (3Y) (annualized) 20.88% 21.67%
Volatility (5Y) (annualized) 19.47% 20.00%
Sharpe ratio2) (Overall) 0.50 0.48
Sharpe ratio2) (5Y) 0.39 0.38
Tracking error (Overall) 1.26% 0.00%
Tracking error (5Y) 1.43% 0.00%
Dividend yield (Overall) 5.06% 4.94%
Maximum drawdown 35.83% 38.23%
Constituents 50 50
50
70
90
110
130
150
170
190
210
Mar-12 Jun-13 Sep-14 Dec-15 Mar-17 Jun-18 Sep-19 Dec-20
EURO STOXX 50 ESG (EUR GR) EURO STOXX 50 (EUR GR)
1) Source: Qontigo, daily data. Relative figures calculated against Benchmark2) EONIA used as a proxy for riskless returns3) Qontigo Data Mar 19, 2012 – Dec 31, 2020
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EURO STOXX 50 ESGMaintains Diversification Across Countries and Industries
Country Allocation1) Industry Allocation1)
EURO STOXX 50EURO STOXX 50 ESG1) Source: Qontigo. Data as of Dec 31, 2020.
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%
Consumer Discretionary
Technology
Industrials
Financials
Basic Materials
Health Care
Utilities
Energy
Consumer Staples
Telecommunications
Real Estate
0% 5% 10% 15% 20% 25% 30% 35% 40%
France
Germany
Netherlands
Spain
Italy
Finland
Ireland
Belgium
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Top 10 Securities
EURO STOXX 50 ESG EURO STOXX 50
1) Source: Qontigo. Data as of Dec 31, 2020.
Constituent Name Weight (%)ASML HLDG 6.94
LVMH MOET HENNESSY 5.56
SAP 4.81
LINDE 4.58
TOTAL 3.84
SANOFI 3.68
SIEMENS 3.61
ALLIANZ 3.39
L'OREAL 3.11
IBERDROLA 2.78
Total 42.26
Constituent Name Weight (%)ASML HLDG 6.56
LVMH MOET HENNESSY 5.25
SAP 4.54
LINDE 4.33
TOTAL 3.63
SANOFI 3.48
SIEMENS 3.41
ALLIANZ 3.21
L'OREAL 2.94
IBERDROLA 2.63
Total 39.98
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ESG Score Comparison1)
1) Source: Qontigo
EURO STOXX 50 ESGEURO STOXX 50 ESG Profile Compared to EURO STOXX 50
60
62
64
66
68
70
72
74
76
78
Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Aug-17 Jan-18 Jun-18 Nov-18 Apr-19 Sep-19 Feb-20 Jul-20 Dec-20
EURO STOXX 50 ESG EURO STOXX 50
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EURO STOXX 50 ESGCumulative Impact of ESG Integration on Total Returns1)
1) Source: Qontigo. EUR GR, Data till Dec 31, 2020 (Delta to EURO STOXX 50)
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Mar 12 Jun 13 Sep 14 Dec 15 Mar 17 Jun 18 Sep 19 Dec 20
Impact of ESG exclusions Impact of ESG integration EURO STOXX 50 ESG - EURO STOXX 50
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Liquidity Comparison1)
1) Source: Qontigo; based on EUR 1bn portfolio and 50% of ADTV
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
Num
ber o
f day
s to
trad
e
EURO STOXX 50 ESG (# Days) EURO STOXX 50 (# Days)
EURO STOXX 50 ESGEURO STOXX 50 ESG Liquidity Profile Compared to EURO STOXX 50
0
2
4
6
8
10
12
14
16
18
Mar-12 Dec-13 Sep-15 Jun-17 Mar-19 Dec-20
Cap
acity
(EU
R b
illion
s)
EURO STOXX 50 ESG (Capacity) EURO STOXX 50 (Capacity)
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EURO STOXX 50 ESG
Ticker ISIN Type Currency Bloomberg
SX5EESG CH0469557521 Price EUR BBG00NNQF8W7
SX5GTESG CH0469557497 Gross Return EUR BBG00NNQF8X6
SX5TESG CH0469557505 Net Return EUR BBG00NNQF8V8
SX5KESG CH0469557489 Price USD
SX5GUESG CH0469557513 Gross Return USD
SX5UESG CH0469557539 Net Return USD
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Disclaimer
About QontigoQontigo is a financial intelligence innovator and a leader in the modernization of investment management, from risk to return. The combination of the company’s world-class indices and best-of-breed analytics, with its technological expertise and customer-driven innovation enables its clients to achieve competitive advantage in a rapidly changing marketplace. Qontigo’s global client base includes the world’s largest financial products issuers, capital owners and asset managers. Created in 2020 through the combination of STOXX, DAX and Axioma, Qontigo is part of Deutsche Börse Group, headquartered in Eschborn with key locations in New York, Zug and London.
About STOXXQontigo’s index provider STOXX is part of Deutsche Börse Group, and the administrator of the DAX indices under the European Benchmark Regulation.STOXX Ltd. is Qontigo’s global index provider, currently calculating a global, comprehensive index family of over 10,000 strictly rules-based and transparent indices. Best known for the leading European equity indices EURO STOXX 50, STOXX Europe 50 and STOXX Europe 600, STOXX Ltd. maintains and calculates the STOXX Global index family which consists of total market, broad and blue-chip indices for the regions Americas, Europe, Asia/Pacific and sub-regions Latin America and BRIC (Brazil, Russia, India and China) as well as global markets.STOXX indices are licensed to more than 600 companies around the world as underlyings for Exchange Traded Funds (ETFs), futures and options, structured products and passively managed investment funds.
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