EURO STOXX 50 ESG February 2021 - | Confidential - Not for Redistribution - Copyright 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
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EURO STOXX 50® ESG February 2021 | 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
Index Analytics
STOXX & DAX AXIOMA
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than 500 companies, including the world’s analytics tools.
largest financial product issuers, capital
owners and asset managers.
1 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.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
2 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
ESG Version of Europe’s Most Traded Benchmark
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
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
1) Source: Equity index derivatives: Introduction of futures and options on the EURO STOXX® 50 ESG and DAX® 50 ESG indexes
3 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Index Characteristics
EURO STOXX 50 EURO STOXX 50 ESG
Universe
EURO STOXX EURO STOXX
Controversial and low sustainable companies are
Selection
replaced based on ESG Integration criteria
50 50
Profile
2,448 (EUR billions)* 2,593 (EUR billions)*
Free Float Market Cap Free Float Market Cap
Weighting
Weight constituents by free-float market cap subject to Weight constituents by free-float market cap subject to
10% weight cap 10% weight cap
* Source: Qontigo. Data as of Dec 30, 2020.
4 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.ESG Integration Replacement Criteria
Exclusion Inclusion
ESG Scores Bottom 10% based on ESG score
Non-compliance with: UN Global Compact Principles
(UNGC), UN Guiding Principles on Business and
Global Standards Screening Human Rights (UNGPs), OECD Guidelines for
Multinational Enterprises and related conventions
Cluster weapons, anti-personal mines, biological and All excluded companies are replaced by companies
Controversial Weapons chemical weapons, depleted uranium, nuclear with a higher ESG score in the same ICB Supersector.
weapons and white phosphorus Ranked based on market capitalization
Tobacco producers (0% revenue threshold)
Tobacco
>25% revenue threshold from thermal coal mining and
exploration
Thermal Coal >25% coal power generating capacity
Weighting
5 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
Index Methodology
Universe
EURO STOXX 50 index
Universe
ESG integration replacement criteria:
Exclusion of least sustainable companies - lowest 10% based on ESG score
Global Standards Screening (if non-compliant)
Selection
Involvement in controversial weapons
Selection
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
Weighting
production)
Weighting
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 Exit
Fast Exit
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
6 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Fast-exit Rule Protects Against ESG-Incidents
ESG Corporate Action
Fast-exit Rule
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
7 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
Overview per ESG Criteria1)2)
No. of Exclusions Weight (%) in EURO STOXX 50
6 Universe 9.0
8.0
5
7.0
4 6.0
5.0
3
Exclusion 4.0
Criteria
2 3.0
2.0
1
1.0
0 0.0
Controversial Tobacco Global Standard Thermal Coal ESG Score Controversial Tobacco Global Standard Thermal Coal ESG Score
Weapons Screening Weapons Screening
1) Source: Qontigo. Data as of Dec 21, 2020 (post review)
8 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Deletions and Additions1)
Weight in EURO STOXX Weight in EURO STOXX
Constituent Name Supersector Reason for Exclusion2)
50 % 50 ESG %
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 5.90
1) Source: Qontigo. Data as of Dec 21, 2020 (post review)
9 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
Risk and Return Characteristics1)3)
210
EURO STOXX 50 ESG EURO STOXX 50
190
Perf. overall (annualized) 8.03% 7.56%
Perf. (1Y) 0.71% -2.61% 170
Perf. (3Y) (annualized) 4.71% 3.83%
150
Perf. (5Y) (annualized) 5.45% 5.27%
Vol. overall (annualized) 19.54% 19.91% 130
Volatility (1Y) (annualized) 30.92% 32.36%
110
Volatility (3Y) (annualized) 20.88% 21.67%
90
Volatility (5Y) (annualized) 19.47% 20.00%
Sharpe ratio2) (Overall) 0.50 0.48 70
2)
Sharpe ratio (5Y) 0.39 0.38
50
Tracking error (Overall) 1.26% 0.00% 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)
Tracking error (5Y) 1.43% 0.00%
Dividend yield (Overall) 5.06% 4.94% 1) Source: Qontigo, daily data. Relative figures calculated against Benchmark
2) EONIA used as a proxy for riskless returns
Maximum drawdown 35.83% 38.23% 3) Qontigo Data Mar 19, 2012 – Dec 31, 2020
Constituents 50 50
10 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
Maintains Diversification Across Countries and Industries
Country Allocation1) Industry Allocation1)
France Consumer Discretionary
Technology
Germany
Industrials
Netherlands Financials
Basic Materials
Spain
Health Care
Italy
Utilities
Finland Energy
Consumer Staples
Ireland
Telecommunications
Belgium Real Estate
0% 5% 10% 15% 20% 25% 30% 35% 40% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%
EURO STOXX 50 ESG EURO STOXX 50
1) Source: Qontigo. Data as of Dec 31, 2020.
11 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Top 10 Securities
EURO STOXX 50 ESG EURO STOXX 50
Constituent Name Weight (%) Constituent Name Weight (%)
ASML HLDG 6.94 ASML HLDG 6.56
LVMH MOET HENNESSY 5.56 LVMH MOET HENNESSY 5.25
SAP 4.81 SAP 4.54
LINDE 4.58 LINDE 4.33
TOTAL 3.84 TOTAL 3.63
SANOFI 3.68 SANOFI 3.48
SIEMENS 3.61 SIEMENS 3.41
ALLIANZ 3.39 ALLIANZ 3.21
L'OREAL 3.11 L'OREAL 2.94
IBERDROLA 2.78 IBERDROLA 2.63
Total 42.26 Total 39.98
1) Source: Qontigo. Data as of Dec 31, 2020.
12 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
EURO STOXX 50 ESG Profile Compared to EURO STOXX 50
ESG Score Comparison1)
78
76
74
72
70
68
66
64
62
60
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
1) Source: Qontigo
13 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
Cumulative Impact of ESG Integration on Total Returns1)
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
-1.0%
-2.0%
-3.0%
-4.0%
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
1) Source: Qontigo. EUR GR, Data till Dec 31, 2020 (Delta to EURO STOXX 50)
14 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.EURO STOXX 50 ESG
EURO STOXX 50 ESG Liquidity Profile Compared to EURO STOXX 50
Liquidity Comparison1)
0.7 18
16
0.6
14
0.5
Capacity (EUR billions)
Number of days to trade
12
0.4
10
0.3
8
0.2 6
4
0.1
2
0.0
0
Mar-12 Dec-13 Sep-15 Jun-17 Mar-19 Dec-20
EURO STOXX 50 ESG (# Days) EURO STOXX 50 (# Days) EURO STOXX 50 ESG (Capacity) EURO STOXX 50 (Capacity)
1) Source: Qontigo; based on EUR 1bn portfolio and 50% of ADTV
15 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.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
16 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Qontigo Offices and Contacts
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17 | Confidential – Not for Redistribution – Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.Disclaimer About Qontigo Qontigo 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 STOXX Qontigo’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. Legal disclaimer: STOXX Ltd. (STOXX) and Qontigo Index GmbH (together “Qontigo”) 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. Qontigo 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 Qontigo 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 Qontigo or their licensors, research partners or data providers. 18 | Copyright © 2021 Qontigo GmbH. Qontigo is part of Deutsche Börse Group.
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