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STRATEGY INDICES

EURO STOXX 50 Quanto Futures Roll

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Index Description

The EURO STOXX 50 Quanto Futures Roll is designed to reflect the returns generated over time through notional investments in a long position in a series of referenced futures contracts. The excess return index replicates the financial outcome of a portfolio rolling the 1st nearby futures contract into the 2nd nearby contract; the total return index, in addition, replicates the remuneration of the cash component at risk free rate.

Key facts

  • Offers an alternative way to replicate the returns of STOXX Indices without need for physical investment as the replication is via futures

Descriptive Statistics

Index Market Cap (USD ) Components (USD ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX 50 Quanto Futures Roll N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Monthly Hedged 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
EURO STOXX 50 Quanto Futures Roll -2.2 12.6 18.4 56.0 61.3 N/A N/A 18.6 16.2 10.3
EURO STOXX 50 Monthly Hedged -2.8 11.4 24.1 36.2 38.1 N/A N/A 24.3 11.0 6.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Quanto Futures Roll N/A N/A 15.7 19.0 21.4 N/A N/A 0.9 0.8 0.5
EURO STOXX 50 Monthly Hedged N/A N/A 20.0 22.6 23.8 N/A N/A 0.9 0.4 0.3
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Quanto Futures Roll 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
EURO STOXX 50 Quanto Futures Roll 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

(USD, Total Return), all data as of October 31, 2023

STRATEGY INDICES

EURO STOXX 50 Quanto Futures Roll

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
EURO STOXX 50 Quanto Futures Roll N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Monthly Hedged N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The futures contract roll occurs over the four days preceding the last trading day of each futures contract series.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return USD CH0328366155 SX5HFETR SX5HFETR INDEX .SX5HFETR
Excess Return USD CH0328366148 SX5HFEER SX5HFEER INDEX .SX5HFEER

Quick Facts

Weighting Not Applicable
Cap Factor Not Applicable
No. of components Not Applicable
Review frequency Not Applicable
Calculation/distribution Dayend
Calculation hours 19:15 CET-19:15 CET
Base value/base date 100 as of January 2, 2001
History Available from January 2, 2001
Inception date July. 14, 2016
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.