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STRATEGY INDICES

STOXX Europe Large 200 Risk Control 5% RV

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Index Description

The STOXX Risk Control Indices are designed to control the risk of an investment in the underlying index. The targeted risk is measured by the index's volatility. The STOXX Risk Control Indices cover different target volatilities, e.g. 10%, 12%, 15% or 20%. The respective target volatility is indicated in the index name. In volatile markets, the asset allocation is shifted more heavily towards a specific for the region risk-free money market investment. In less volatile markets, the index concept allows for a leveraged investment in the relevant underlying index. The exposure to the underlying index can be adjusted from 0% to 150% (100% for the STOXX Europe Large 200 Risk Control Index). The Risk Control RV Indices (RV = realized volatility) apply the historical volatility of the index. All other indices are based on implied volatility using the estimated volatility of a stock's price.

Key facts

  • Provides steady returns with a much lower level of volatility than the underlying index
  • Based on very liquid instruments money market and underlying index
  • Offers full participation in less risky, booming equity markets while at the same time protecting investors when markets become turbulent
  • Improved risk-return profiles for bull and bear markets
  • Reacts immediately to changes in the prevailing market environment due to daily observation of volatility trigger levels

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Europe Large 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe Large 200 N/A N/A N/A N/A N/A N/A N/A N/A N/A

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
STOXX Europe Large 200 Risk Control 5% RV N/A 4.1 4.8 8.5 12.1 N/A N/A 4.8 2.8 2.3
STOXX Europe Large 200 -1.5 20.7 9.0 21.5 33.9 N/A N/A 9.1 6.8 6.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Europe Large 200 Risk Control 5% RV N/A N/A 4.8 4.9 5.0 N/A N/A 0.2 0.3 0.3
STOXX Europe Large 200 N/A N/A 9.9 14.3 17.5 N/A N/A 0.5 0.4 0.3
Index to benchmark Correlation Tracking error (%)
STOXX Europe Large 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Index to benchmark Beta Annualized information ratio
STOXX Europe Large 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Excess Return - NR), all data as of April 30, 2024

STRATEGY INDICES

STOXX Europe Large 200 Risk Control 5% RV

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
STOXX Europe Large 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Europe Large 200 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The index portfolio consists of an underlying index (e.g. blue-chip net return index) and an overnight money market investment. The rebalancing is done if the volatility changes by more than 5% since the last rebalancing to avoid high allocation turnover due to minimal deviations from the targeted risk level. In addition, a maximum exposure of 150% (resp. 100% for the STOXX Europe Large 200 Risk Control Index) toward the risky asset is introduced to avoid extreme leveraged positions.

The detailed methodology, including calculation formula and full requirements, can be found in our rulebook : http://www.stoxx.com/indices/rulebooks.html

Quick Facts

To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse 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, Deutsche Börse 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, Deutsche Börse Group 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 STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse 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, Deutsche Börse 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, Deutsche Börse Group 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 STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.