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Portfolio Risk Management
Most Recent Portfolio Risk Management

Index | Index spotlight
VSTOXX turns 20: Experts appraise the volatility index’s standing in equity markets
As the main gauge for Eurozone equity volatility enters its third decade of existence, we asked experts at Eurex and STOXX what the index represents in the current trading environment.

Index | Factor Investing
BlackRock’s Jamie Forbes: Implementing ‘evolutionary’ factor advancements in investments
The Director for EMEA Equity Factor Product Strategy at BlackRock discusses in this article how a balanced multifactor portfolio with risk controls in place can harness the potential upside of factors over the long term.

Index | Portfolio Risk Management
Europe’s ‘GRANOLAS’ stocks: A sustainability and climate perspective
This article examines six ESG and climate metrics of the group of stocks that have led gains in the STOXX Europe 600. It is useful to understand the dispersion within this group and that of the ‘Magnificent 7’ at the security level, and the specific risks and opportunities individual corporate performance presents, argues Hernando Cortina of ISS ESG.

Volatility is playing an increasingly important role in markets and portfolios. We sat down with two experts to ask them how investors use listed derivatives such as VSTOXX and VIX futures and options to trade market swings.

STOXX has published its most complete study to date of VSTOXX, the flagship gauge of equity market volatility in the Eurozone. Explore the methodology behind the index, the concept of volatility, and available trading strategies — from theory to use cases.

This whitepaper takes a comprehensive and in-depth look at the objective, methodology, coverage and calculation of the VSTOXX indices in the most complete study on the topic from STOXX to date. It also reviews the strategies and available derivatives tracking the main VSTOXX, which have underpinned volatility’s status as a separate asset class.

New regulation and industry efforts point to sources of portfolio risk — particularly of the Social ESG type — for both developers and deployers of AI systems. As the technology advances quickly, governments and companies are stepping up efforts to ensure it is not prone to misuse and abuse.

Index | Portfolio Risk Management
August market turmoil highlights benefit of dynamic volatility allocation
The EURO STOXX 50 Volatility-Balanced index, which combines an investment in stocks with a dynamic allocation to volatility futures, jumped 8% on August 5 amid a broad equities sell-off. The volatility strategy has returned an average of 3.2 percentage points a year above its benchmark since 2006 as tail-risk protection paid off.

A portfolio’s decarbonization becomes more difficult once an emissions reduction of 60% is achieved, as high-emissions sectors become depleted. Thereafter, the portfolio construction approach — whether exclusion or optimization — will make a difference to the resulting tracking error and size of the portfolio.

Index | ESG & Sustainability
Natural capital ‘wake-up call’: Understanding portfolios’ impact and dependencies on biodiversity
As biodiversity garners increased attention and data availability expands, understanding its effect on portfolios becomes paramount. In our first edition of Perspectives, we spotlight how ISS ESG’s innovative methodologies can help assess a portfolio’s impact and natural capital dependencies.

Index | Factor Investing
Multifactor strategies: Proving their worth in the factor investment landscape
A new study from specialists at BlackRock and STOXX explores the potential benefits of low tracking-error, multifactor portfolios. While factor investing has historically been dominated by single-factor strategies with relatively strong tilts, the authors show that diversification across multiple factors with smaller tilts and less tracking error can pay off in the long run.

Recent market developments and investing trends have prompted investors to reconsider their investment allocations. Factors assist investors in understanding the present market and informing their investment decisions. Melissa Brown, Managing Director of Applied Research, joins two experts to discuss factor investing in this video.