Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
Description
The S&P Europe 350 ESG Index is a broad-based, market-cap-weighted index that is designed to measure the performance of
securities meeting sustainability criteria, while maintaining similar overall industry group weights as the S&P Europe 350.
Quick Facts
WEIGHTING METHOD Float-adjusted market cap weighted
REBALANCING FREQUENCY Annually in May
CALCULATION FREQUENCY Real time
CALCULATION CURRENCIES EUR
LAUNCH DATE May 6, 2019
FIRST VALUE DATE April 30, 2010
For more information, view the methodology document at https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-esg-index-series.pdf.
All information for an index prior to its Launch Date is hypothetical back-tested, not actual performance, based on the index methodology in effect on the Launch Date.
Back-tested performance reflects application of an index methodology and selection of index constituents with the benefit of hindsight and knowledge of factors that may
have positively affected its performance, cannot account for all financial risk that may affect results and may be considered to reflect survivor/look ahead bias. Actual
returns may differ significantly from, and be lower than, back-tested returns. Past performance is not an indication or guarantee of future results. This back-tested data
may have been created using a “Backward Data Assumption”. For more information on “Backward Data Assumption” and back-testing in general, please see the
Performance Disclosure at the end of this material.
Historical Performance
Depending on index launch date, all charts below may include back-tested data.
* Data has been re-based at 100
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S&P Europe 350 ESG Index (EUR) TR S&P EUROPE 350 (TR) (EUR)
AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
Performance
INDEX LEVEL RETURNS ANNUALIZED RETURNS
1 MO 3 MOS YTD 1 YR 3 YRS 5 YRS 10 YRS
Total Return
232.17 5.83% -5.22% -12.01% -9.1% 3.53% 4% 7.55%
Price Return
151.39 5.74% -5.64% -14.73% -12.1% 0.42% 0.63% 4.05%
Net Total Return
214.2 5.82% -5.25% -12.54% -9.68% 2.91% 3.34% 6.88%
BENCHMARK* Total Return
3,623.73 6.21% -5.28% -11.5% -8.92% 4.39% 4.16% 7.67%
BENCHMARK* Price Return
1,669.65 6.12% -5.71% -14.12% -11.81% 1.37% 0.86% 4.22%
* The index benchmark is the S&P EUROPE 350
Calendar Year Performance
2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Total Return
24.89% -3.55% 27.82% -8.69% 11.25% 3.3% 8.11% 7.44% 20.82% 18.12%
Price Return
21.33% -6.28% 23.15% -11.89% 7.49% -0.53% 4.65% 4.24% 17.05% 13.89%
Net Total Return
24.18% -4.11% 26.92% -9.29% 10.54% 2.58% 7.49% 6.82% 20.08% 17.34%
BENCHMARK* Total Return
26.07% -2.79% 27.24% -9.9% 10.75% 3.44% 8.61% 7.89% 20.97% 18.02%
BENCHMARK* Price Return
22.62% -5.44% 22.58% -13.04% 7.11% -0.37% 5.18% 4.7% 17.12% 13.75%
* The index benchmark is the S&P EUROPE 350
AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
Risk
ANNUALIZED RISK ANNUALIZED RISK-ADJUSTED RETURNS
3 YRS 5 YRS 10 YRS 3 YRS 5 YRS 10 YRS
Total Return
18.1% 15.63% 13.71% 0.19 0.26 0.55
Price Return
18.1% 15.64% 13.69% 0.02 0.04 0.3
Net Total Return
18.09% 15.62% 13.7% 0.16 0.21 0.5
BENCHMARK* Total Return
18.11% 15.71% 13.73% 0.24 0.26 0.56
BENCHMARK* Price Return
18.11% 15.73% 13.72% 0.08 0.05 0.31
Risk is defined as standard deviation calculated based on total returns using monthly values.
* The index benchmark is the S&P EUROPE 350
Index Characteristics
NUMBER OF CONSTITUENTS 244
CONSTITUENT MARKET [USD MILLION]
MEAN TOTAL MARKET CAP 29,964.05
LARGEST TOTAL MARKET CAP 317,834.8
SMALLEST TOTAL MARKET CAP 1,152.79
MEDIAN TOTAL MARKET CAP 16,279.92
WEIGHT LARGEST CONSTITUENT [%] 4.9
WEIGHT TOP 10 CONSTITUENTS [%] 30
ESG Carbon Characteristics
CARBON TO VALUE INVESTED (METRIC TONS CO2e/$1M INVESTED)* 154.77
CARBON TO REVENUE (METRIC TONS CO2e/$1M REVENUES)* 257.69
WEIGHTED AVERAGE CARBON INTENSITY (METRIC TONS CO2e/$1M REVENUES)* 225.19
FOSSIL FUEL RESERVE EMISSIONS (METRIC TONS CO2/$1M INVESTED) 2,451.7
*Operational and first-tier supply chain greenhouse gas emissions.
For more information, please visit: www.spglobal.com/spdji/en/esg-metrics.
AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
Top 10 Constituents By Index Weight
CONSTITUENT SYMBOL SECTOR*
Nestle SA Reg NESN Consumer Staples
Roche Hldgs AG Ptg Genus ROG Health Care
Shell PLC SHEL Energy
Novartis AG Reg NOVN Health Care
ASML Holding NV ASML Information Technology
AstraZeneca Plc AZN Health Care
LVMH-Moet Vuitton MC Consumer Discretionary
TotalEnergies TTE Energy
Unilever ULVR Consumer Staples
BP BP. Energy
*Based on GICS® sectors
Sector* Breakdown
*Based on GICS® sectors
The weightings for each sector of the index are rounded to the nearest tenth of a percent; therefore, the aggregate weights for the index may not equal 100%.
Country/Region Breakdown
COUNTRY/REGION NUMBER OF CONSTITUENTS TOTAL MARKET CAP [USD MILLION] INDEX WEIGHT [%]
United Kingdom 59 1,729,222.9 26.9
France 39 1,522,925.01 18.8
Switzerland 21 1,211,655.58 18.4
AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
COUNTRY/REGION NUMBER OF CONSTITUENTS TOTAL MARKET CAP [USD MILLION] INDEX WEIGHT [%]
Germany 28 867,703.98 10.9
Netherlands 14 509,964.46 6.8
Spain 16 408,038.89 4.7
Italy 16 327,530.61 4.1
Sweden 22 306,245.49 4
Finland 9 143,656.34 2
Ireland 5 66,529.21 1
Denmark 5 92,120.78 1
Belgium 4 49,839.91 0.6
Norway 2 19,888.03 0.2
Luxembourg 1 19,655.1 0.2
Austria 2 28,420.06 0.1
Portugal 1 7,831.47 0.1
Based on index constituents’ country of domicile.
Tickers
TICKER REUTERS
Net Total Return SPEESEN .SPEESEN
Total Return SPEESET .SPEESET
Price Return SPEESEP .SPEESEP
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AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
CONTACT US
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AS OF OCTOBER 31, 2022 www.spglobal.com/spdji/en [email protected]
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
Equity
S&P EUROPE 350 ESG INDEX
AS OF OCTOBER 31, 2022
PERFORMANCE DISCLOSURE
Source: S&P Dow Jones Indices LLC.
The launch date of the S&P Europe 350 ESG Index (EUR) was May 6, 2019. The launch date of the S&P EUROPE 350 was October 7, 1998.
All information presented prior to an index’s Launch Date is hypothetical (back-tested), not actual performance, and is based on the index methodology in effect on the index
launch date. However, when creating back-tested history for periods of market anomalies or other periods that do not reflect the general current market environment, index
methodology rules may be relaxed to capture a large enough universe of securities to simulate the target market the index is designed to measure or strategy the index is
designed to capture. For example, market capitalization and liquidity thresholds may be reduced. In addition, forks have not been factored into the back-test data with
respect to the S&P Cryptocurrency Indices. For the S&P Cryptocurrency Top 5 & 10 Equal Weight Indices, the custody element of the methodology was not considered; the
back-test history is based on the index constituents that meet the custody element as of the Launch Date. Complete index methodology details are available at
www.spdji.com. Back-tested performance reflects application of an index methodology and selection of index constituents with the benefit of hindsight and knowledge of
factors that may have positively affected its performance, cannot account for all financial risk that may affect results and may be considered to reflect survivor/look ahead
bias. Actual returns may differ significantly from, and be lower than, back-tested returns. Past performance is not an indication or guarantee of future results.
Please refer to the methodology for the Index for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for
additions and deletions, as well as all index calculations. Back-tested performance is for use with institutions only; not for use with retail investors.
S&P Dow Jones Indices defines various dates to assist our clients in providing transparency. The First Value Date is the first day for which there is a calculated value (either
live or back-tested) for a given index. The Base Date is the date at which the index is set to a fixed value for calculation purposes. The Launch Date designates the date when
the values of an index are first considered live: index values provided for any date or time period prior to the index’s Launch Date are considered back-tested. S&P Dow Jones
Indices defines the Launch Date as the date by which the values of an index are known to have been released to the public, for example via the company’s public website or
its data feed to external parties. For Dow Jones-branded indices introduced prior to May 31, 2013, the Launch Date (which prior to May 31, 2013, was termed “Date of
introduction”) is set at a date upon which no further changes were permitted to be made to the index methodology, but that may have been prior to the Index’s public release
date.
Typically, when S&P DJI creates back-tested index data, S&P DJI uses actual historical constituent-level data (e.g., historical price, market capitalization, and corporate
action data) in its calculations. As ESG investing is still in early stages of development, certain datapoints used to calculate S&P DJI’s ESG indices may not be available for
the entire desired period of back-tested history. The same data availability issue could be true for other indices as well. In cases when actual data is not available for all
relevant historical periods, S&P DJI may employ a process of using “Backward Data Assumption” (or pulling back) of ESG data for the calculation of back-tested historical
performance. “Backward Data Assumption” is a process that applies the earliest actual live data point available for an index constituent company to all prior historical
instances in the index performance. For example, Backward Data Assumption inherently assumes that companies currently not involved in a specific business activity (also
known as “product involvement”) were never involved historically and similarly also assumes that companies currently involved in a specific business activity were involved
historically too. The Backward Data Assumption allows the hypothetical back-test to be extended over more historical years than would be feasible using only actual data.
For more information on “Backward Data Assumption” please refer to the FAQ https://www.spglobal.com/spdji/en/education/article/faq-esg-back-testing-backward-data-
assumption-overview/. The methodology and factsheets of any index that employs backward assumption in the back-tested history will explicitly state so. The methodology
will include an Appendix with a table setting forth the specific data points and relevant time period for which backward projected data was used.
Index returns shown do not represent the results of actual trading of investable assets/securities. S&P Dow Jones Indices maintains the index and calculates the index levels
and performance shown or discussed but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase
the securities underlying the Index or investment funds that are intended to track the performance of the Index. The imposition of these fees and charges would cause actual
and back-tested performance of the securities/fund to be lower than the Index performance shown. As a simple example, if an index returned 10% on a US $100,000
investment for a 12-month period (or US $10,000) and an actual asset-based fee of 1.5% was imposed at the end of the period on the investment plus accrued interest (or US
$1,650), the net return would be 8.35% (or US $8,350) for the year. Over a three-year period, an annual 1.5% fee taken at year end with an assumed 10% return per year
would result in a cumulative gross return of 33.10%, a total fee of US $5,375, and a cumulative net return of 27.2% (or US $27,200).
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