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BLUE CHIP INDICES

EURO STOXX 50 Futures Switch

Index Description

The EURO STOXX 50 Futures Switch Indices replicate a hypothetical portfolio of a series of long position EURO STOXX 50 futures contracts traded on Eurex. The portfolio is invested into the first nearby futures contract and then switched to the next nearby contract on the fourth day preceding the expiry date of the futures contract series, which is the third Friday in March, June, September and December. The excess return index replicates the financial outcome of a portfolio switching the 1st nearby STOXX index futures contract into the 2nd nearby contract; the total return index, in addition, replicates the remuneration of the cash component at risk-free rate.

Key facts

  • Offers an alternative way to replicate the returns of the EURO STOXX 50 Index without need for physical investment as the replication is via futures.
  • Used as an underlying for EURO iSTOXX 50 Futures Leverage Long and Short Indices.
  • History available from 2000.
  • EUR Total Return and Excess Return available.

Descriptive Statistics

Index Market Cap (EUR ) Components (EUR ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
EURO STOXX 50 Futures Switch 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 STOXX 50 Futures Switch -1.8 8.7 9.9 26.0 57.1 N/A N/A 10.2 8.2 9.6
EURO STOXX 50 -1.7 11.1 14.9 32.8 63.7 N/A N/A 15.2 10.0 10.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Futures Switch N/A N/A 12.8 18.0 21.1 N/A N/A 0.5 0.3 0.4
EURO STOXX 50 N/A N/A 12.5 18.0 20.9 N/A N/A 0.9 0.4 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Futures Switch N/A 0.0 0.1 0.0 0.0 N/A 16.8 16.4 25.4 29.4
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Futures Switch N/A 0.0 0.1 0.0 0.0 N/A -1.3 -0.2 -0.2 -0.1

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

2Based on EURIBOR1M

(EUR, Excess Return), all data as of June 28, 2024

BLUE CHIP INDICES

EURO STOXX 50 Futures Switch

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 STOXX 50 Futures Switch 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 STOXX 50 Futures Switch Indices replicate a hypothetical portfolio of a series of long position EURO STOXX 50 futures contracts traded on Eurex. The portfolio is invested into the first nearby futures contract and then switched to the next nearby contract on the fourth day preceding the expiry date of the futures contract series, which is the third Friday in March, June, September and December.

The excess return index replicates the financial outcome of a portfolio switching the 1st nearby STOXX index futures contract into the 2nd nearby contract; the total return index, in addition, replicates the remuneration of the cash component at risk-free rate.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return EUR CH1169655581 SX5EFSER SX5EFSER INDEX .SX5EFSER
Total Return EUR CH1169655599 SX5EFSTR SX5EFSTR INDEX .SX5EFSTR

Quick Facts

Weighting Alternative weighting schema (index of index strategy)
Cap Factor N/A
No. of components Variable
Review frequency Quarterly
Calculation/distribution Realtime 1 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 1000 as of December. 29, 2000
History Available from December. 29, 2000
Inception date August. 30, 2022
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.