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STRATEGY INDICES

STOXX Global 200 Risk Control 5% RV

Index Description

The STOXX Risk Control Indices are designed to control the risk of an investment in the underlying index. The targeted risk is measured by the index's volatility. The STOXX Risk Control Indices cover different target volatilities, e.g. 10%, 12%, 15% or 20%. The respective target volatility is indicated in the index name. In volatile markets, the asset allocation is shifted more heavily towards a specific for the region risk-free money market investment. In less volatile markets, the index concept allows for a leveraged investment in the relevant underlying index. The exposure to the underlying index can be adjusted from 0% to 150% (100% for the STOXX Europe Large 200 Risk Control Index). The Risk Control RV Indices (RV = realized volatility) apply the historical volatility of the index. All other indices are based on implied volatility using the estimated volatility of a stock's price.

Key facts

  • Provides steady returns with a much lower level of volatility than the underlying index
  • Based on very liquid instruments money market and underlying index
  • Offers full participation in less risky, booming equity markets while at the same time protecting investors when markets become turbulent
  • Improved risk-return profiles for bull and bear markets
  • Reacts immediately to changes in the prevailing market environment due to daily observation of volatility trigger levels

Descriptive Statistics

Index Market Cap (USD ) Components (USD ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX Global 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Global 200 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
STOXX Global 200 Risk Control 5% RV -0.4 9.4 15.6 18.2 34.0 N/A N/A 15.8 5.8 6.1
STOXX Global 200 -1.6 20.3 37.2 29.1 96.9 N/A N/A 37.7 9.0 14.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX Global 200 Risk Control 5% RV N/A N/A 4.8 4.9 5.0 N/A N/A 2.3 0.7 1.0
STOXX Global 200 N/A N/A 11.9 16.0 18.8 N/A N/A 2.6 0.4 0.7
Index to benchmark Correlation Tracking error (%)
STOXX Global 200 Risk Control 5% RV 1.0 1.0 1.0 0.9 0.9 7.0 7.6 7.3 11.5 14.8
Index to benchmark Beta Annualized information ratio
STOXX Global 200 Risk Control 5% RV 0.3 0.4 0.4 0.3 0.2 1.8 -1.6 -2.5 -0.4 -0.7

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

2Based on EURIBOR1M

(USD, Total Return - GR), all data as of October 31, 2024

STRATEGY INDICES

STOXX Global 200 Risk Control 5% RV

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
STOXX Global 200 Risk Control 5% RV N/A N/A N/A N/A N/A N/A N/A N/A
STOXX Global 200 N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns

Methodology

The index portfolio consists of an underlying index (e.g. blue-chip net return index) and an overnight money market investment. The rebalancing is done if the volatility changes by more than 5% since the last rebalancing to avoid high allocation turnover due to minimal deviations from the targeted risk level. In addition, a maximum exposure of 150% (resp. 100% for the STOXX Europe Large 200 Risk Control Index) toward the risky asset is introduced to avoid extreme leveraged positions.

The detailed methodology, including calculation formula and full requirements, can be found in our rulebook : http://www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return - NR EUR CH0119595079 SGR5EE SGR5EE INDEX .SGR5EE
Total Return - GR EUR CH0147246349 SGR5EG SGR10EG INDEX .SGR10EG
Total Return - GR USD CH0147246612 SGR5DG SGR10DG INDEX .SGR10DG

Quick Facts

To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

STRATEGY INDICES

STOXX Global 200 Risk Control 5% RV