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STRATEGY INDICES
LevDAX x2
Index Description
The LevDAX indices aim to replicate the daily performance of the German blue-chip index DAX with a multiplicative factor. A positive change in DAX will result in the corresponding positive leveraged performance of LevDAX and vice versa. The "x" in the index name represents the respective leverage factor of the LevDAX index.
Key facts
- Provides an exposure that reflects a strong, bullish conviction on the DAX.
- LevDAX indices with a leverage factor of 2, 3, 4, 5, 6, 7, 8, 9 and 10 are available.
- In addition to the leverage factor, LevDAX indices include an interest factor reflecting the spread over overnight interest rates as financing cost of the leveraged position.
Descriptive Statistics
Index | Market Cap (EUR ) | Components (EUR ) | Component weight (%) | Turnover (%) | |||||
---|---|---|---|---|---|---|---|---|---|
Full | Free-float | Mean | Median | Largest | Smallest | Largest | Smallest | Last 12 monts | |
LevDAX x2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
DAX | 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 | |
LevDAX x2 | 3.8 | 21.1 | 31.2 | 16.8 | 77.1 | N/A | N/A | 32.1 | 5.4 | 12.4 |
DAX | 2.2 | 12.1 | 17.7 | 16.6 | 52.7 | N/A | N/A | 18.1 | 5.3 | 8.8 |
Index volatility and risk | Annualized volatility (%) | Annualized Sharpe ratio2 | ||||||||
LevDAX x2 | N/A | N/A | 23.3 | 35.0 | 42.0 | N/A | N/A | 1.1 | 0.1 | 0.3 |
DAX | N/A | N/A | 11.6 | 17.5 | 21.0 | N/A | N/A | 1.1 | 0.2 | 0.3 |
Index to benchmark | Correlation | Tracking error (%) | ||||||||
LevDAX x2 | 1.0 | 1.0 | 1.0 | 1.0 | 1.0 | 17.0 | 11.9 | 11.7 | 17.5 | 21.0 |
Index to benchmark | Beta | Annualized information ratio | ||||||||
LevDAX x2 | 2.0 | 2.0 | 2.0 | 2.0 | 2.0 | 1.3 | 1.1 | 1.1 | 0.2 | 0.4 |
1For information on data calculation, please refer to STOXX calculation reference guide
2Based on EURIBOR1M
(EUR, Net Return), all data as of August 30, 2024
STRATEGY INDICES
LevDAX x2
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 | ||
LevDAX x2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
DAX | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
Performance and annual returns
Methodology
The adjustment of leverage takes place daily or (in case of monthly adjustment) on each third Friday of a month. The leverage of LevDAX indices is determined by the leverage factor and the finance factor. The leverage factor is the main driver of the return in the LevDAX indices. This return, however, is diminished by the finance factor, i.e., the interest paid to finance the leverage.
If a LevDAX index loses more than 50 percent at any point during one day, the leverage effect will be adjusted ad-hoc and the calculation continued based on the DAX level prior to that time.
The detailed methodology including the calculation formula can be found in the DAX Strategy Index Guide.
Index | ISIN | Symbol | Bloomberg | Reuters |
---|---|---|---|---|
Total Return EUR | DE000A0C4B34 | LEVDAX | LEVDAX INDEX | .LEVDAX |
Price EUR | DE000A0Z3JF9 | LEVDAX2P | LEVDAX2P INDEX | .LEVDAX2PR |
Net Return EUR | DE000A4AFBW1 | LEVDAX2N | LEVDAX2N INDEX | .LEVDAX2N |
Quick Facts
Cap Factor | Leveraged/Short |