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STRATEGY INDICES

VSTOXX Short-Term Futures Inverse Investable

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Index Description

The VSTOXX Short-Term Futures Inverse Investable Index replicates the performance of a short position in constant-maturity one-month forward, one-month implied volatilities on the underlying EURO STOXX 50 Index. The index continuously rolls over on a daily basis from a short position in the first month VSTOXX Futures contract to a short position in the second month contract while taking into account the bid-ask spread in the roll procedure.

Key facts

  • Transparent and liquid access to EURO STOXX 50 implied volatility
  • Easy to replicate due to being based on Eurex futures and taking into account the bid-ask spread in the daily roll
  • Long and inverse versions available

Descriptive Statistics

Index Market Cap (USD ) Components (USD ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
VSTOXX Short-Term Futures Inverse Investable N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 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
VSTOXX Short-Term Futures Inverse Investable 1.4 -19.8 -19.8 N/A N/A N/A N/A -20.2 N/A N/A
EURO STOXX 50 -0.4 1.2 1.2 3.4 20.2 N/A N/A 1.2 1.1 3.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
VSTOXX Short-Term Futures Inverse Investable N/A N/A 67.2 N/A N/A N/A N/A -0.4 N/A N/A
EURO STOXX 50 N/A N/A 15.8 22.2 24.0 N/A N/A -0.2 -0.1 0.1
Index to benchmark Correlation Tracking error (%)
VSTOXX Short-Term Futures Inverse Investable 0.7 0.6 0.6 N/A N/A 50.6 58.4 58.4 N/A N/A
Index to benchmark Beta Annualized information ratio
VSTOXX Short-Term Futures Inverse Investable 2.8 2.7 2.7 N/A N/A 0.6 -0.3 -0.3 N/A N/A

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

2Based on EURIBOR1M

(USD, Excess Return), all data as of December 30, 2024

STRATEGY INDICES

VSTOXX Short-Term Futures Inverse Investable

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
VSTOXX Short-Term Futures Inverse Investable N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The detailed methodology, including calculation formula, can be found in the rulebook:
www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return EUR CH0354760123 VST1MISE VST1MISE INDEX .VST1MISE
Excess Return USD CH0354874031 VST1MISL VST1MISL INDEX .VST1MISL

Quick Facts

Weighting Rolling period: Daily
Calculation/distribution Realtime (every 15 seconds)
Calculation hours 9:00 am – 5:30 pm CET
Base value/base date 10,000 as of Dec. 30, 2016
Inception date Mar. 29, 2017
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.