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ISTOXX INDICES

EURO iSTOXX 50 Collar

Index Description

The EURO iSTOXX 50 Collar Index aims to replicate a hedging strategy on the EURO STOXX 50® using an option collar. It aims to implement a defensive strategy to smooth down the EURO STOXX 50 and reduce volatility. It is designed to provide long-term downside protection thanks to a long position on put options while forgoing large gains due to a short position on call options. The strategy consists of purchasing a fraction of two quarterly put options daily, one expiring in 12 months and one at the expiry date following 12 months, and selling a fraction of two to six monthly call options daily, with expiry in one and two months, while holding a long position in the underlying EURO STOXX 50 Index. Each option remains in the option portfolio until its expiry. The quantity of options to be bought and sold daily is balanced in order to be on average long one put and short one call. All options are out-of-the-money with the strike level for put options set to 90% of the EURO STOXX 50 level. The call options position is split between options with strike at 102.5% and 104.5% of the EURO STOXX 50 level.

Key facts

  • Hedging strategy on the EURO STOXX 50 using an option collar
  • Long on quarterly put options to provide long-term downside protection
  • Short on monthly call options to offset costs

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO iSTOXX 50 Collar 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
EURO iSTOXX 50 Collar -1.2 6.3 5.2 6.7 2.4 N/A N/A 5.4 2.2 0.5
EURO STOXX 50 -1.8 8.2 11.3 20.4 40.9 N/A N/A 11.5 6.5 7.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX 50 Collar N/A N/A 8.8 9.8 9.8 N/A N/A 0.2 0.0 0.0
EURO STOXX 50 N/A N/A 12.5 18.0 21.0 N/A N/A 0.6 0.2 0.3
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX 50 Collar N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Index to benchmark Beta Annualized information ratio
EURO iSTOXX 50 Collar N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

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

2Based on EURIBOR1M

(EUR, Price), all data as of June 28, 2024

ISTOXX INDICES

EURO iSTOXX 50 Collar

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 iSTOXX 50 Collar 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 EURO iSTOXX 50 Collar Index aims to replicate a hedging strategy on the EURO STOXX 50 using an option collar. The collar consists of purchasing a fraction of two quarterly put options daily, one expiring in 12 months and one at the expiry date following 12 months, and selling a fraction of two to six monthly call options daily, with expiry in one and two months, while holding a long position in the underlying EURO STOXX 50 Index. The quantity of options to be bought and sold daily is balanced in order to be on average long one put and short one call. All options are out-of-the-money with the strike level for put options set to 90% of the EURO STOXX 50 level. The call options position is split between options with strike at 102.5% and 104.5% of the EURO STOXX 50 level. The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Quick Facts

Calculation/distribution dayend
Calculation hours 20:00:00 20:00:00
Base value/base date 100 as of 04, Jan. 2016
Inception date 31, Oct. 2018
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://qontigo.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.