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Indices

Dynamic VSTOXX Alpha Net Of Costs

Summary

The Dynamic VSTOXX index is constructed as a combination of two indices, the VSTOXX Short-Term Futures index and the VSTOXX Mid-Term Futures index. The rationale behind dynamic allocation is to exploit in a timely manner the superior performance of short-term futures when the volatility forward curve is in backwardation (stressed markets) and of mid-term futures when the volatility forward curve is in contango (normal markets). To achieve this in a convenient time-to-market manner, the allocation can be changed on a daily basis, although a buffer is provided to avoid excessive turnover. The index is available in standard, long-only and alpha versions, according to the different allocation split triggered between the VSTOXX Short-Term Futures index and VSTOXX Mid-Term Futures index. For all these versions there is also a Net of Cost calculation which includes the execution costs for 0.10 % and replication costs for 1.00 % p.a. in order to better represent an actual replication process (VSTOXX is the abbreviation for the EURO STOXX 50 Volatility index).

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Details

Symbol
DVSTXANT
Calculation
Realtime
Dissemination Period
09:00-17:30 CET
ISIN
CH0189468348
Bloomberg
DVSTXANT INDEX
Last Value
188.41 +1.10 (+0.59%)
As of 05:30 pm CET
52 Week Change
24.11%
Year to Date Change
13.43%
Daily Low
186.22
Daily High
188.83
52 Week Low
147.7129 Sep 2022
52 Week High
188.4130 Jun 2023
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