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ISTOXX INDICES

EURO iSTOXX 50 Futures Roll Daily Short

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Index Description

The EURO iSTOXX® 50 Futures Roll Daily Leverage and EURO iSTOXX® 50 Futures Roll Daily Short Indices replicate a leveraged investment strategy based on the EURO STOXX 50® Futures Roll Index. Leveraged indices are linked to the changes in the underlying index, applying a leverage factor to movements in the underlying index. Therefore, a positive change of the EURO STOXX 50 Futures Roll Index will result in the corresponding leveraged performance of the EURO iSTOXX 50 Futures Roll Daily Leverage Index compared to the closing level from the last rebalancing. Short indices are linked inversely to the changes in the underlying index, applying a negative leverage factor to movements in the underlying index. As a result, investing in the EURO iSTOXX 50 Futures Roll Daily Index yields the reverse performance of the EURO STOXX 50 Futures Roll Index, compared to the closing level from the last rebalancing.

Key facts

  • Provides an exposure that reflects a strong, bearish conviction on the EURO STOXX 50 Futures Roll Index
  • Liquid underlying
  • Serves as an underlying for a variety of financial products such as options, futures and ETFs

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 Futures Roll Daily Short N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Futures Roll 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 Futures Roll Daily Short 0.1 -6.8 -9.3 -24.7 -44.0 N/A N/A -9.4 -9.1 -11.1
EURO STOXX 50 Futures Roll -0.4 5.4 8.2 20.6 43.1 N/A N/A 8.4 6.6 7.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX 50 Futures Roll Daily Short N/A N/A 13.7 18.0 21.3 N/A N/A -1.0 -0.6 -0.6
EURO STOXX 50 Futures Roll N/A N/A 13.7 18.0 21.3 N/A N/A 0.3 0.2 0.3
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX 50 Futures Roll Daily Short -1.0 -1.0 -1.0 -1.0 -1.0 33.1 28.2 27.5 36.1 42.5
Index to benchmark Beta Annualized information ratio
EURO iSTOXX 50 Futures Roll Daily Short -1.0 -1.0 -1.0 -1.0 -1.0 0.0 -0.6 -0.8 -0.6 -0.7

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

2Based on EURIBOR1M

(EUR, Excess Return), all data as of November 29, 2024

ISTOXX INDICES

EURO iSTOXX 50 Futures Roll Daily Short

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 Futures Roll Daily Short N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX 50 Futures Roll 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 Futures Roll Daily Short Index tracks the performance of an inverse leveraged position in the EURO STOXX 50 Futures Roll Index. A leverage factor of 1 applies; the exposure is rebalanced on a daily basis.
For additional information, please refer to the official iSTOXX Index Methodology Guide:
https://www.stoxx.com/document/Indices/Common/Indexguide/istoxx_index_guide.pdf

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return EUR CH0447007862 IX5FSER IX5FSER INDEX .IX5FSER
Total Return EUR CH0447619534 IX5FSTR nan .IX5FSTR

Quick Facts

Weighting Free-float market capitalization
No. of components 50
Calculation/distribution realtime 1 sec
Calculation hours 09:00:00 19:15:00
Base value/base date 1000 as of Dec. 29, 2000
History Available from Dec. 29, 2000
Inception date Nov. 29, 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://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.