Dynamic VSTOXX

The Dynamic VSTOXX index is constructed as a combination of two indices, the VSTOXX Short-Term Futures index and the VSTOXX Mid-Term Futures index. The rationale behind dynamic allocation is to exploit in a timely manner the superior performance of short-term futures when the volatility forward curve is in backwardation (stressed markets) and of mid-term futures when the volatility forward curve is in contango (normal markets). To achieve this in a convenient time-to-market manner, the allocation can be changed on a daily basis, although a buffer is provided to avoid excessive turnover. The index is available in standard, long-only and alpha versions, according to the different allocation split triggered between the VSTOXX Short-Term Futures index and VSTOXX Mid-Term Futures index. For all these versions there is also a Net of Cost calculation which includes the execution costs for 0.10 % and replication costs for 1.00 % p.a. in order to better represent an actual replication process (VSTOXX is the abbreviation for the EURO STOXX 50 Volatility index).

Index Guides, Benchmark statement, and other reports are available under the Data tab.