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STRATEGY INDICES

EURO iSTOXX Select Dividend 30 Dynamic Gold Hedge

Index Description

The iSTOXX Dynamic Gold Hedge Indices replicate the performance of a dynamic risk control overlay that aims to mitigate downside risk by dynamically allocating equity index exposure to gold in distressed markets. A lower correlation between the two asset classes or a higher relative volatility of equity result in a higher gold exposure.

Key facts

  • The index weight is shifted to gold in case of a negative correlation between EURO STOXX®
  • Select Dividend 30 Price index and gold.
  • A lower correlation between the two asset classes and a higher relative volatility of equity result in a higher gold exposure.
  • Gold allocation is capped at 50%.

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 Select Dividend 30 Dynamic Gold Hedge N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX Select Dividend 30 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 Select Dividend 30 Dynamic Gold Hedge -5.1 N/A -2.7 -8.4 -15.7 N/A N/A -2.8 -3.0 -3.5
EURO STOXX Select Dividend 30 -5.0 1.6 3.8 -13.5 -16.2 N/A N/A 3.9 -4.8 -3.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX Select Dividend 30 Dynamic Gold Hedge N/A N/A 10.4 12.0 18.1 N/A N/A -0.6 -0.4 -0.2
EURO STOXX Select Dividend 30 N/A N/A 10.8 15.9 21.2 N/A N/A 0.1 -0.4 -0.2
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX Select Dividend 30 Dynamic Gold Hedge 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 Select Dividend 30 Dynamic Gold Hedge 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

STRATEGY INDICES

EURO iSTOXX Select Dividend 30 Dynamic Gold Hedge

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 Select Dividend 30 Dynamic Gold Hedge N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX Select Dividend 30 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The iSTOXX Dynamic Gold Hedge indices replicate the performance of a dynamic risk control overlay that aims to mitigate downside risk by dynamically allocating the exposure from the equity index to gold in distressed markets. The weight is shifted to gold in case of negative correlation between the two assets. A higher relative volatility of equity returns as compared to gold returns or a lower correlation between the assets result in a larger allocation to gold in the index.

Quick Facts

Weighting Correlation- and volatility-based
Cap Factor Gold allocation is capped at 50%
No. of components 2
Review frequency Daily
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 19:15:00
Base value/base date 1000 as of Jul. 13, 2004
History Available since Jul. 13, 2004
Inception date Nov. 06, 2019
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.