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CUSTOMISED INDICES

Europa Aktienindex mit ISC (Intelligent Stability Control)

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Index Description

The Index is a targeted volatility investment strategy. The Index simulates an excess return version of the Euro STOXX 50 Net Return Index by deducting the performance of a money market component. The strategy is designed to reduce exposure to the Risky Asset during times of heightened volatility in the EURO STOXX 50 Net Return Index and to increase exposure during periods of low volatility. The Index methodology controls the Index's risk level by dynamically adjusting the exposure to the Risky Asset so as to maintain the risk profile of the Index at a specific volatility target of 6%. As realised volatility of the EURO STOXX 50 Net Return Index rises, the Index shifts exposure away from the Risky Asset and into a notional cash balance. Conversely, as realised volatility falls, the Index shifts exposure away from the cash balance and the Index's exposure to the Risky Asset increases.

Key facts

  • The Index is a targeted volatility investment strategy.
  • Index exposure is rebalanced daily.
  • Index exposures reach maximum when index volatility is lower.
  • The Index methodology controls the Index's risk level by dynamically adjusting the exposure to the Risky Asset so as to maintain the risk profile of the Index at a specific volatility target.

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
Europa Aktienindex mit ISC (Intelligent Stability Control) 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
Europa Aktienindex mit ISC (Intelligent Stability Control) 0.3 4.1 7.7 8.4 -2.6 N/A N/A 7.9 2.8 -0.5
EURO STOXX 50 0.9 13.1 22.7 33.2 57.1 N/A N/A 23.1 10.1 9.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
Europa Aktienindex mit ISC (Intelligent Stability Control) N/A N/A 6.1 6.0 12.5 N/A N/A 0.6 0.1 -0.1
EURO STOXX 50 N/A N/A 13.2 18.1 21.0 N/A N/A 1.3 0.4 0.4
Index to benchmark Correlation Tracking error (%)
Europa Aktienindex mit ISC (Intelligent Stability Control) 1.0 1.0 1.0 0.9 0.8 11.5 7.5 7.3 12.7 12.9
Index to benchmark Beta Annualized information ratio
Europa Aktienindex mit ISC (Intelligent Stability Control) 0.4 0.5 0.5 0.3 0.5 -0.8 -1.6 -2.0 -0.7 -0.9

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

2Based on EURIBOR1M

(EUR, Excess Return), all data as of September 30, 2024

CUSTOMISED INDICES

Europa Aktienindex mit ISC (Intelligent Stability Control)

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
Europa Aktienindex mit ISC (Intelligent Stability Control) 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 Index is a targeted volatility investment strategy. As part of this strategy, the Index simulates an excess return version of the Euro STOXX 50 Net Return Index (the ‘Risky Asset’) by deducting the performance of a money market component (compounded at (i) the EONIA overnight interest rate prior to and excluding the Reference Rate Switch Date, and (ii) a rate equal to the sum of (a) the euro short term rate – known as “€STR” or “euroSTR”, and (b) 0.085 per cent, from and including the Reference Rate Switch Date) from the performance of the Euro STOXX 50 Net Return.

Quick Facts

Weighting dynamically adjusting exposure to the Risky Asset to maintain the risk profile of the Index at a specific volatility target
Cap Factor 2
No. of components 1
Review frequency daily
Calculation/distribution Dayend
Calculation hours 11:00:00 on T+1
Base value/base date 1000 as of Jan. 14, 2014
History Available since 14 Jan 2014
Inception date Sep. 16 2024
To learn more about the inception date, currency versions, 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.