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STRATEGY INDICES

Dynamic VSTOXX Alpha Net Of Costs

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Index Description

The Dynamic VSTOXX and Dynamic VSTOXX Net Of Costs indices are constructed as a combination of two indices, the VSTOXX Short-Term Futures and the VSTOXX Mid-Term Futures indices. To better represent an actual replication process, execution costs for 0.10% and replication costs for 1.00% per year are included in the calculation. 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 and unnecessary turnover. The indices are available in standard, long-only and alpha versions, according to the different allocation split triggered between the VSTOXX Short-Term Futures and VSTOXX Mid-Term Futures indices. Dynamic VSTOXX Net of Costs Index additionally accounts for average market costs which are typically associated with the replication of an index for a financial product.

Key facts

  • Transparent methodology which solely relies on publicly available data
  • All costs are clearly identified in the index formulas, ensuring transparency
  • Relies on EUREX traded and highly liquid VSTOXX futures as basic components
  • Constituent's weights are capped at 5% to avoid excessive daily turnover changes
  • To comply with investor's needs, three versions with the following ranges of weights (VSTOXX Short-Term Futures/VSTOXX Mid-Term Futures indices) are available: standard version: -30%/70% to 50%/50%; long-only version: 0%/0% to 50%/50%; alpha version: -50%/50% to 50%/50%

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
Dynamic VSTOXX Alpha Net Of Costs 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
Dynamic VSTOXX Alpha Net Of Costs -5.6 -9.7 9.8 -7.0 -10.0 N/A N/A 10.1 -2.5 -2.1
EURO STOXX 50 -9.1 -3.5 9.5 42.1 65.8 N/A N/A 9.6 12.6 10.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
Dynamic VSTOXX Alpha Net Of Costs N/A N/A 10.0 46.6 58.4 N/A N/A 208.7 26.8 10.9
EURO STOXX 50 N/A N/A 17.3 14.8 17.2 N/A N/A 0.3 0.6 0.5
Index to benchmark Correlation Tracking error (%)
Dynamic VSTOXX Alpha Net Of Costs 0.3 -0.2 0.0 0.0 0.0 24.0 18.3 20.3 49.0 60.9
Index to benchmark Beta Annualized information ratio
Dynamic VSTOXX Alpha Net Of Costs 0.0 0.0 0.0 0.0 0.0 101.9 126.0 101.8 25.4 10.3

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

2Based on EURIBOR1M

(EUR, Total Return), all data as of March 31, 2026

STRATEGY INDICES

Dynamic VSTOXX Alpha Net Of Costs

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
Dynamic VSTOXX Alpha Net Of Costs 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

Specific values of the ratio of the VSTOXX 30 days Index and the VSTOXX 120 days Index may trigger, on a daily basis, a rebalancing of the Dynamic VSTOXX Net of Costs. Conversion tables are used to derive from this ratio the target weights of VSTOXX Short-Term Futures and VSTOXX Mid-Term Futures indices, according to the specific Dynamic VSTOXX Net of Costs Index version (standard, long-only or alpha). Execution and replication costs are included in the index formulas. The detailed methodology, including calculation formula and full requirements, can be found in our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return EUR CH0189468306 DVSTXANE DVSTXANE INDEX .DVSTXANE
Total Return EUR CH0189468348 DVSTXANT DVSTXANT INDEX .DVSTXANT

Quick Facts

Weighting Daily
Calculation/distribution Total and excess return (EUR): realtime (every 15 seconds)
Calculation hours Realtime: 9:15 am – 5:30 pm CET
Base value/base date 100 as of Jun. 17, 2010
History Available daily back to Jun. 17, 2010
Inception date Jan. 16, 2013

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.