STOXX Europe 600 and Derived Indices
June 2024

Copyright © 2024 STOXX Ltd.

Table of Contents

2

1

Introduction

2

STOXX Europe 600

3

STOXX Europe 600 ESG-X

4

STOXX Europe 600 SRI| Copyright © 2024 STOXX Ltd.

Introduction

The STOXX® Europe
600 Index was
launched in June 1998
as a broad and liquidmeasure of theEuropean market.

3| Copyright © 2024 STOXX Ltd.

The index offers
comprehensive
coverage across country
and industry allocations
to Europe’s developed
economies, replicating
almost 90% of theunderlying investable
market.

In addition to large cap
exposure, the STOXXEurope 600 also covers
mid- and small-cap
securities capturing
their historical return
premia.

The STOXX Europe 600
Index has evolved to be
used as the universe tomeasure specificmarket segments suchas region, size, ICB
sectors, Factors, ESG,
Low Carbon, PAB & CTB
and most recently
Biodiversity.

There is a strong
ecosystem supporting
the index family withmany ETFs and passive
funds available as well
as a vast portfolio of
exchange-tradedderivatives.

STOXX Europe 600

4| Copyright © 2024 STOXX Ltd.

Key Index Features
Universe
Weighting scheme

Free-float market capitalization

Weighting cap factors

20% on a component level

Base value and date

100 on December 31, 1991

Index types and currencies
Review frequency
Selection list
Fast exit, Fast entry

5

Developed Europe| Copyright © 2024 STOXX Ltd.

Price, net return and gross return in EUR and USD
Quarterly on third Friday of March, June, September and December
Most liquid security considered, 3M-ADTV > EUR 1m
Not applicableSTOXX Europe 600
Index Construction

Step 1: STOXX TMI’s fordeveloped countries in
Europe•Generate STOXX Total Market Index (“TMI”) for all
developed markets in Europe. For each country•

Rank stocks by free-float market cap•

Select 95% largest1)•

Weight selected stocks by free-float market cap

Simple, transparent,
fully rules-based
index construction
STOXX Europe 600
consists of stocks from17 developed
European countries
Ranking and weighting
by free-float market
cap

Step 2: STOXX Europe 600

Aggregate Country TMIs for developed Europe••

Rank stocks by free-float market cap•

Select largest 6001) having a minimum liquidity•

Weight selected stocks by free-float market
cap2)1) Simple buffer rule applies upon quarterly rebalancing
2) Technically, there is a cap of 20% at component level. Yet with a largest stock weight of typically around 2% this cap has no practical relevance6| Copyright © 2024 STOXX Ltd.

Stocks must have aminimum liquidity ofgreater than one
million EUR measured
over 3-month average
daily trading volume

STOXX Europe 600
Buffer Rule
Index Name

Components

Upper Buffer

Lower Buffer

STOXX Europe 600 Index

600

550

750

• For the STOXX Europe 600 Index the largest 550 stocks (upper buffer) on the selection list qualify forselection• The remaining 50 stocks (components needed minus the upper buffer) are selected from the largest
remaining current components ranked between 551 and 750 (lower buffer)• If the number of stocks selected is still below 600, the largest remaining stocks are selected until there
are enough stocks

7| Copyright © 2024 STOXX Ltd.

STOXX Europe Index Family
STOXX Europe 600 – Barometer for Overall European Market Sentiment
STOXX® Europe 600
SXXP <Index>
BenchmarkSTOXX® Europe 600
Size Indices3 sizes

STOXX® Europe Large 200
LCXP <Index>
STOXX® Europe Mid 200
MCXP <Index>
STOXX® Europe Small 200
SCXP <Index>

EURO STOXX®
Size Indices3 sizesEURO STOXX® Large
LCXE <Index>
EURO STOXX® Mid
MCXE <Index>
EURO STOXX® Small
SCXE <Index>
1)

8

STOXX® Europe 600
ICB Indices
20 Supersectors1)

Automobiles & Parts; Banks; Basic Resources;
Chemicals; Construction & Materials; Consumer
Products & Services; Energy; Financial Services; Food,
Beverage & Tobacco; Health Care; Industrial Goods &Services; Insurance; Media; Personal Care, Drug &Grocery Stores; Real Estate; Retail; Technology;
Telecommunications; Travel & Leisure; Utilities

EURO STOXX®
ICB Indices
20 Supersectors1)

Automobiles & Parts; Banks; Basic Resources;
Chemicals; Construction & Materials; Consumer
Products & Services; Energy; Financial Services; Food,
Beverage & Tobacco; Health Care; Industrial Goods &Services; Insurance; Media; Personal Care, Drug &Grocery Stores; Real Estate; Retail; Technology;
Telecommunications; Travel & Leisure; Utilities

STOXX® Europe 50
SX5P <Index>
Blue-chipEURO STOXX®
SXXE <Index>
Broad-based

EURO STOXX 50®
SX5E <Index>
Blue-chip

Effective September 2020 review, ICB 2 is replaced by ICB 5 consisting of 11 Industries, 20 Supersectors, 45 Sectors, 173 subsectors. See STOXX Index Methodology Guide for details.

| Copyright © 2024 STOXX Ltd.

STOXX Europe 600
Subsets1)
Benchmarks
STOXX® Europe 600 Equal WeightSTOXX® Europe 600 ex Financials
STOXX® Europe 600 Real Estate
STOXX® Europe 600 Banks…

Strategy and Themes
STOXX® Europe 600 Factor
STOXX® Europe Low Risk Weighted
STOXX® Europe Private Equity 20
STOXX® Europe 600 Minimum Variance
STOXX® Europe Maximum Dividend 40
STOXX® Europe Select Dividend 30

Sustainability

STOXX® Europe Strong Quality 30

STOXX® Europe 600 ESG-X

STOXX® Europe 600 EM Exposed

STOXX® Europe 600 SRISTOXX® Europe 600 Paris Aligned Benchmark
STOXX® Europe 600 Climate Transition Benchmark
STOXX® Europe ESG Leaders 50...
1) Representative list, not exhaustive.

9| Copyright © 2024 STOXX Ltd.

STOXX® Europe 600 Optimised Banks…

STOXX Europe 600
Risk and Return Overview1)2)3)
Risk and Return Characteristics

Performance (EUR GR): Mar 31, 2014 – Mar 28, 2024
225

STOXX Europe 600

STOXX Europe TMI
200

Overall return (ann.)

7.85%

7.74%

1Y return (ann.)

19.56%

19.17%

3Y return (ann.)

9.68%

9.14%

5Y return (ann.)

9.76%

9.47%

Overall volatility (ann.)

16.66%

16.61%

1Y volatility (ann.)

10.05%

10.10%

3Y volatility (ann.)

14.59%

14.65%

5Y volatility (ann.)

17.69%

17.71%Overall Sharpe ratio

0.53

0.52

5Y Sharpe ratio

0.59

0.57

Overall tracking error (ann.)

0.46%

5Y tracking error (ann.)
Overall dividend yield (ann.)

0.54%
4.71%

4.65%

Overall maximum drawdown

35.34%

35.90%

600

1902

Number of constituents

1) Source: STOXX, daily data. Relative figures calculated against benchmark2) €STR used as a proxy for riskless returns3) STOXX Data, Mar 31, 2014 – Mar 28, 2024

10

| Copyright © 2024 STOXX Ltd.

175
150
125
100
75
Mar-14Jun-15

Sep-16

Dec-17STOXX Europe 600

Mar-19Jun-20

Sep-21

Dec-22Mar-24STOXX Europe TMI

Past returns are no guarantee of future performance. Please visit the Disclaimer for further information.

STOXX Europe 600
Country and Industry Allocation
Country Allocation

Industry Allocation
Health CareFranceFinancials

UK

Consumer Discretionary

Switzerland

Industrials

Germany

Consumer Staples
Netherlands

Technology

Denmark

EnergySpain

Basic Materials

Italy

Utilities

Belgium

Telecommunications

OthersReal Estate
0%

5%

STOXX Europe 600
Source: STOXX. Data as of March 28, 202411

| Copyright © 2024 STOXX Ltd.

10%

15%

20%

STOXX Europe Total Market

25%

0%

5%

10%

15%

20%

STOXX Europe 600 Index Futures
Traded Contracts & Open Interest

Traded Contracts

Open Interest (EUR)

4.500.000

16.000.000.000

4.000.000

14.000.000.000

3.500.000

12.000.000.000

3.000.000

10.000.000.000

2.500.000

8.000.000.000

2.000.000

6.000.000.000

1.500.000

4.000.000.000

1.000.000
500.000

2.000.000.000

00
Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar

2022

STOXX Europe 600 Index Futures Inception Date: July 28, 2010
Source: STOXX. Data as of May 8, 202412

| Copyright © 2024 STOXX Ltd.

2023

2024

Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar

2022

2023

2024

STOXX Europe 600 Index Options
Traded Contracts & Open Interest

Traded Contracts

Open Interest (EUR)

700.000

25.000.000.000

600.000
20.000.000.000
500.000
15.000.000.000

400.000
300.000

10.000.000.000

200.000
5.000.000.000

100.000
0

0
Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar
2022

2023

STOXX Europe 600 Index Options Inception Date: July 28, 2010
Source: STOXX. Data as of May 8, 2024

13

| Copyright © 2024 STOXX Ltd.

2024

Jan Mar May Jul

Sep Nov Jan Mar May Jul

Sep Nov Jan Mar

2022

2023

2024

STOXX Europe 600 ESG-X

14| Copyright © 2024 STOXX Ltd.

STOXX Europe 600 ESG-X
Methodology Summary
Universe

STOXX Europe 600• Apply baseline and product involvement screens1):
•
•
•
•
•
•
•
•
•

Selection

Weighting• Free-float market cap weighted• Component capping of 20%

Maintenance

Quarterly review (Mar, Jun, Sep, Dec)

1) Based on Sustainalytics data

15

Global Standards Screening
ESG Controversy
ESG Risk Ratings
Controversial weapons
TobaccoThermal coal
Unconventional oil & gas
Military contracting
Small arms

| Copyright © 2024 STOXX Ltd.

STOXX Europe 600 ESG-X
Risk and Return Overview1)2)3)
Risk and Return Characteristics
STOXX Europe 600 ESG-X

Performance (EUR GR): Mar 31, 2014 – Mar 28, 2024
STOXX Europe 600

230
210

Overall return (ann.)

7.78%

7.85%

1Y return (ann.)

19.75%

19.56%

3Y return (ann.)

9.55%

9.68%

170

5Y return (ann.)

9.77%

9.76%

150

Overall volatility (ann.)

16.67%

16.66%

1Y volatility (ann.)

10.08%

10.05%

3Y volatility (ann.)

14.65%

14.59%

5Y volatility (ann.)

17.66%

17.69%Overall Sharpe ratio

0.52

0.53

5Y Sharpe ratio

0.59

0.59

Overall tracking error (ann.)

0.49%

5Y tracking error (ann.)

0.50%

Overall dividend yield (ann.)
Overall maximum
drawdown
Number of constituents

4.67%

4.71%

35.24%

35.34%

563

600

1) Source: STOXX, daily data. Relative figures calculated against benchmark2) €STR used as a proxy for riskless returns3) STOXX Data, Mar 31, 2014 – Mar 28, 2024

16

| Copyright © 2024 STOXX Ltd.

190

130
110
90
70
50
Mar-14STOXX Europe 600 ESG-X
Sep-15

Feb-17

Jul-18STOXX Europe 600
Dec-19

May-21

Oct-22

Past returns are no guarantee of future performance. Please visit the Disclaimer for further
information.

Mar-24

STOXX Europe 600 ESG-X
Country and Industry Allocation
Country Allocation

Industry Allocation
Financials

UK

Health CareFranceIndustrials

Switzerland

Consumer Discretionary

Germany

Technology

Netherlands

Consumer Staples

Denmark

EnergySwedenBasic Materials

Italy

Telecommunications

Spain

Utilities

OthersReal Estate

0%

5%
STOXX Europe 600 ESG-X

Source: STOXX. Data as of March 28, 202417

| Copyright © 2024 STOXX Ltd.

10%

15%

20%

STOXX Europe 600

25%

0%

5%

10%

15%

20%

25%

STOXX Europe 600 ESG-X Index Futures
Traded Contracts & Open Interest

Traded Contracts

Open Interest (EUR)

450.000

2.500.000.000

400.000
2.000.000.000

350.000
300.000

1.500.000.000

250.000
200.000

1.000.000.000

150.000

100.000

500.000.000

50.0000

0
Jan Mar May Jul

Sep Nov Jan Mar May Jul

Sep Nov Jan Mar

2022

2023

2024

STOXX Europe 600 ESG-X Index Futures Inception Date: February 18, 2019
Source: STOXX. Data as of May 8, 202418

| Copyright © 2024 STOXX Ltd.

Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar

2022

2023

2024

STOXX Europe 600 ESG-X Index Options
Traded Contracts & Open Interest

Traded Contracts

Open Interest (EUR)

90.0001.800.000.000

80.0001.600.000.000

70.0001.400.000.000

60.0001.200.000.000

50.0001.000.000.000

40.000800.000.000

30.000600.000.000

20.000400.000.000

10.000200.000.000

00
Jan Mar May

Jul

Sep Nov Jan Mar May

2022

Jul

Sep Nov Jan Mar

2023

2024

STOXX Europe 600 ESG-X Index Options Inception Date: October 21, 2019
Source: STOXX. Data as of May 8, 2024

19

| Copyright © 2024 STOXX Ltd.

Jan Mar May Jul Sep Nov Jan Mar May Jul Sep Nov Jan Mar
2022

2023

2024

STOXX Europe 600 SRI

20| Copyright © 2024 STOXX Ltd.

STOXX Europe 600 SRI
Methodology Summary
Universe

STOXX Europe 600• 10% of the highest emitters1) within their regional group are not eligible for selection• Apply baseline and product involvement screens2):
•
•
•
•
•
•
•
•
•
•
•
•
•
•

Selection

Global Standards Screening
Controversial weapons
ESG Controversy
ESG Risk Ratings
Adult entertainment
Alcohol
Gambling
TobaccoMilitary contracting
Small arms
Conventional oil & gas
Unconventional oil & gas
Thermal coal
Nuclear power• Companies with ESG score2) below 50 or no ESG score available are not eligible for selection• Within each of the 11 ICB Industry groups, securities are ranked in descending order of their ESG scores, and the top-ranking
securities are selected until the number of selected securities reaches one third of the number of companies in the underlying index

Weighting• Free-float market cap weighted• Component capping of 10%

Maintenance

Quarterly review (Mar, Jun, Sep, Dec)

1) Companies are screened for their Scope 1 and Scope 2 emission intensities based on the ISS ESG emissions data
2) Based on Sustainalytics data21

| Copyright © 2024 STOXX Ltd.

STOXX Europe 600 SRI
Risk and Return Overview1)2)3)
Risk and Return Characteristics

Performance (EUR GR): Mar 31, 2014 – Mar 28, 2024
250

STOXX Europe 600 SRISTOXX Europe 600

Overall return (ann.)

8.35%

7.85%

1Y return (ann.)

23.71%

19.56%

3Y return (ann.)

11.81%

9.68%

5Y return (ann.)

11.02%

9.76%

Overall volatility (ann.)

15.97%

16.66%

1Y volatility (ann.)

10.11%

10.05%

3Y volatility (ann.)

13.91%

14.59%

5Y volatility (ann.)

16.46%

17.69%Overall Sharpe ratio

0.57

0.53

5Y Sharpe ratio

0.69

0.59

Overall tracking error (ann.)

2.80%

5Y tracking error (ann.)

3.20%

Overall dividend yield (ann.)

4.88%

4.71%

Overall maximum drawdown

32.29%

35.34%

200

600

Number of constituents

1) Source: STOXX, daily data. Relative figures calculated against benchmark2) €STR used as a proxy for riskless returns3) STOXX Data, Mar 31, 2014 – Mar 28, 2024

22

| Copyright © 2024 STOXX Ltd.

225
200
175
150
125

100
75
Mar-14Jun-15

Sep-16

Dec-17STOXX Europe 600 SRI

Mar-19Jun-20

Sep-21

Dec-22Mar-24STOXX Europe 600

Past returns are no guarantee of future performance. Please visit the Disclaimer for further information.

STOXX Europe 600 SRICountry and Industry Allocation
Country Allocation

Industry Allocation
Financials

Germany

Health CareFranceTechnology

Switzerland

Industrials

UK

Consumer Discretionary
Netherlands

Consumer Staples

Denmark

Telecommunications

Spain

Basic Materials

Italy

Utilities

SwedenReal Estate

OthersEnergy0%

5%

STOXX Europe 600 SRI
Source: STOXX. Data as of March 28, 2024

23

| Copyright © 2024 STOXX Ltd.

10%

15%

20%

STOXX Europe 600

25%

0%

5%

10%

15%

20%

25%

STOXX Europe 600 SRI
Average ESG Score and Carbon Emission Intensity
ESG Performance1)

Emission Intensity (as % of STOXX Europe 600 Emissions)2)

82

120%

80
100%

78
76

80%

74

72

60%

70
40%

68
66

20%

64

62
Mar-14Jun-15

Sep-16

Dec-17Mar-19STOXX Europe 600* Higher ESG Score indicates better ESG performance.
1)
2)

Source: STOXX, Sustainalytics
Source: STOXX, ISS ESG

Source: STOXX. Data as of March 18, 2024

24

| Copyright © 2024 STOXX Ltd.

Jun-20

Sep-21

Dec-22STOXX Europe 600 SRI

Mar-240%
Mar-14Jun-15

Sep-16

Dec-17STOXX Europe 600

Mar-19Jun-20

Sep-21

Dec-22STOXX Europe 600 SRI

Mar-24

STOXX Europe 600 SRI
Top 10 Holdings
STOXX Europe 600 SRISTOXX Europe 600 ESG-X

Name

WeightRank SXXPNOVO NORDISK B

8.71%

1

NOVO NORDISK B

3.97%

NOVO NORDISK B

3.67%

ASML HLDG

7.59%

2

ASML HLDG

3.46%

ASML HLDG

3.20%

SAP

4.13%

7

NESTLE

2.67%

NESTLE

2.47%

NOVARTIS

4.04%

8

LVMH MOET HENNESSY

2.24%

LVMH MOET HENNESSY

2.07%

UNILEVER PLC

2.51%

14

SHELL

1.97%

SHELL

1.82%

L'OREAL

2.38%

15

ASTRAZENECA

1.89%

ASTRAZENECA

1.74%

ALLIANZ

2.31%

16

SAP

1.88%

SAP

1.74%

SANOFI

2.24%

19

NOVARTIS

1.84%

NOVARTIS

1.70%

HERMES INTERNATIONAL

1.86%

22

ROCHE HLDG P

1.70%

ROCHE HLDG P

1.57%

GSK

1.84%

23

TOTALENERGIES

1.51%

TOTALENERGIES

1.39%

Source: STOXX. Data as of March 18, 2024

25

| Copyright © 2024 STOXX Ltd.

NameSTOXX Europe 600
WeightName

WeightSTOXX Europe 600 SRI
Top 10 Holdings from the STOXX Europe 600 Not Held in SRI Index & Reasons for Exclusions
Name

Currency

Weight in STOXX Europe 600

Reason for Exclusion from STOXX Europe 600 SRI Index

NESTLE

CHF

2.47%

The security is eligible but not part of top 200

LVMH MOET HENNESSY

EUR

2.07%

Security is rejected due to Product Involvement

SHELL

EUR

1.82%

Security is rejected due to Product Involvement

ASTRAZENECA

GBP

1.74%

The security is eligible but not part of top 200

ROCHE HLDG P

CHF

1.57%

The security is eligible but not part of top 200

TOTALENERGIES

EUR

1.39%

Security is rejected due to Product Involvement

SIEMENS

EUR

1.29%

The security is eligible but not part of top 200

HSBC

GBP

1.25%

The security is eligible but not part of top 200

SCHNEIDER ELECTRIC

EUR

1.15%

Security is rejected due to Product Involvement

AIR LIQUIDE

EUR

0.96%

Security breaches ISS threshold26| Copyright © 2024 STOXX Ltd.

Source: STOXX. Data as of March 18, 2024

STOXX Europe 600 SRI Index Futures
Traded Contracts & Open Interest

Traded Contracts

Open Interest (EUR)

160

800.000140

700.000

120

600.000100

500.00080

400.00060

300.000

40

200.000

20

100.000

0

0
Jan

Feb

Mar
2024

STOXX Europe 600 SRI Index Futures Inception Date: January 22, 2024
Source: STOXX. Data as of May 8, 2024

27

| Copyright © 2024 STOXX Ltd.

Apr

Jan

Feb

Mar
2024

Apr

Offices and Contacts
Learn more about STOXX & DAX Indices on stoxx.com

29

Zug

LondonFrankfurt

Paris

PragueTheilerstrasse 1A
6300 Zug
Switzerland
P | +41 43 430 71 60

8 Old Jewry
4th Floor
London EC2R 8DN
United Kingdom
P | +44 20 7862 7680

Taunus Tower
Mergenthalerallee 73-75
65760 Eschborn
Germany
P | +49 69 2 11 0

5 Rue du Renard
75004 Paris
FranceP | +33 1 55 27 38 38

Futurama Business Park Bldg. E
Sokolovska 662/136e
186 00 Prague 8
Czech Republic
P | +420 228 889 234

New York

Hong Kong

Singapore

Sydney1177 Avenue of the Americas,
14th Floor
New York, NY 10036
USA
P | +1 646 680 6350

Unit 901, 9/F
100 Queen’s Road Central
Hong Kong
P | +852 3107 8030

80 Robinson Road, #02-00
Singapore 068898
Singapore
P | +852 3107 8030

68 Pitt Street
Level 17
Sydney, NSW 2000
Australia
P | +61 2 8074 3104

| Copyright © 2024 STOXX Ltd.

Call a STOXX
representative
Customer support
customersupport@stoxx.com+41 43 430 72 72

About STOXX & Disclaimer
About STOXXSTOXX® and DAX® indices comprise a global and comprehensive family of more than 17,000 strictly rules-based and transparent indices.
Best known for the leading European equity indices EURO STOXX 50®, STOXX® Europe 600 and DAX®, the portfolio of index solutions
consists of total market, benchmark, blue-chip, sustainability, thematic and factor-based indices covering a complete set of world,
regional and country markets.
STOXX and DAX indices are licensed to more than 550 companies around the world for benchmarking purposes and as underlyings for
ETFs, futures and options, structured products, and passively managed investment funds.
STOXX Ltd., part of Deutsche Boerse Group, is the administrator of the STOXX and DAX indices under the European Benchmark
Regulation.
Legal disclaimer
STOXX Ltd., ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Boerse 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, ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Boerse 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, ISS
STOXX GmbH, ISS STOXX Index GmbH, Deutsche Boerse Group or their licensors, research partners or data providers on the merits ofthat company. Financial instruments based on the STOXX® indices, DAX® indices or on any other indices supported by STOXX are in noway sponsored, endorsed, sold or promoted by STOXX, ISS STOXX GmbH, ISS STOXX Index GmbH, Deutsche Boerse Group or theirlicensors, research partners or data providers.
30| Copyright © 2024 STOXX Ltd.