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STRATEGY INDICES

EURO STOXX 50 Monthly Hedged JPY TTM

Index Description

A currency-hedged index represents returns for global index investment strategies that involve hedging currency risk, but not the underlying constituent risk. Market participants who employ a currency-hedged investment strategy are generally willing to forgo potential currency gains in exchange for a reduction in the risks associated with foreign exchange fluctuations. To achieve this, the index combines the performance of the underlying index (e.g. the STOXX Europe 600 Index) with a hypothetical, rolling investment into one-month foreign exchange forward contracts. By selling foreign exchange forward contracts, global investors are able to lock in current exchange forward rates and manage their currency risk. Profits (losses) from the forward contracts are offset by losses (profits) in the value of the currency, thereby negating exposure to the currency.

Key facts

  • Eliminates the risk of currency fluctuations at the cost of potential currency gains.
  • Index values are calculated using the Japanese Telegraphic Transfer Midrate (TTM).
  • History available from 2011.
  • JPY Price, Net and Gross Return Types available.

Descriptive Statistics

Index Market Cap (JPY ) Components (JPY ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX 50 Monthly Hedged JPY TTM N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 JPY TTM 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 Monthly Hedged JPY TTM 1.1 5.7 8.9 8.9 35.9 N/A N/A 8.9 2.9 6.3
EURO STOXX 50 JPY TTM -1.0 11.4 14.6 45.1 97.0 N/A N/A 14.6 13.2 14.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Monthly Hedged JPY TTM N/A N/A 12.4 17.9 20.7 N/A N/A 0.4 0.0 0.2
EURO STOXX 50 JPY TTM N/A N/A 16.0 22.1 24.0 N/A N/A 0.7 0.5 0.5
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Monthly Hedged JPY TTM 0.9 0.9 0.9 0.9 0.9 12.4 8.2 8.5 9.8 9.0
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Monthly Hedged JPY TTM 0.6 0.7 0.7 0.7 0.8 2.0 -1.1 -0.7 -1.1 -1.0

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

2Based on EURIBOR1M

(JPY, Price), all data as of August 30, 2024

STRATEGY INDICES

EURO STOXX 50 Monthly Hedged JPY TTM

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 Monthly Hedged JPY TTM N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 JPY TTM N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The STOXX Hedged indices are an innovative investment tool that measures the performance of an underlying index while at the same time eliminating foreign currency fluctuations. The indices therefore combine the performance of the underlying STOXX index with a hypothetical, rolling investment into one-month foreign exchange forward contracts.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Net Return JPY CH1169653453 SX5HJTMN SX5HJTMN INDEX .SX5HJTMN
Gross Return JPY CH1169653461 SX5HJTMG SX5HJTMG INDEX .SX5HJTMG
Price JPY CH1169653289 SX5HJTMP SX5HJTMP INDEX .SX5HJTMP

Quick Facts

Weighting n.a.
No. of components n.a.
Calculation/distribution Realtime
Calculation hours 07:00:00 19:15:00
Base value/base date 1000 as of Dec. 30, 2011
History Available from Dec. 30, 2011
Inception date June. 24, 2022
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.