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STRATEGY INDICES

EURO STOXX 50 Volatility-Balanced

Index Description

The EURO STOXX 50 Volatility-Balanced Index aims to provide higher risk-adjusted returns than the EURO STOXX 50 Index by coupling a base investment in the EURO STOXX 50 Index with an allocation to equity volatility (VSTOXX Short-Term Futures Index). Allocating a fixed percentage of the total portfolio into volatility investments provides tail risk protection but may cause a drag on performance in stable and/or bullish markets. Hence, the EURO STOXX 50 Volatility-Balanced Index dynamically changes allocation to volatility in an equity portfolio. The optimal allocation between equity (EURO STOXX 50 Index) and volatility (VSTOXX Short-Term Futures Index) is determined based on the prevailing volatility environment.

Key facts

  • Equity volatility historically tends to provide protection from worst-case equity scenarios
  • Investing a fixed asset allocation of a portfolio into equity volatility may enhance portfolio performance returns. A portfolio consisting of 15% asset allocation to a long volatility position via the investable VSTOXX Short-Term Futures Index has performed well during high volatility periods when volatility spikes. The same allocation has historically underperformed against a long equity-only portfolio in low volatility environments due to carry costs associated with rolling VSTOXX futures over the upward-sloping VSTOXX futures term structure
  • Daily rebalancing and stop-loss mechanism
  • Dynamic allocation between equities and implied volatility based on prevailing volatility environment

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 Volatility-Balanced 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 Volatility-Balanced 1.3 9.7 18.6 13.0 119.7 N/A N/A 18.9 4.2 17.4
EURO STOXX 50 1.3 10.2 18.2 23.4 51.9 N/A N/A 18.4 7.3 8.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Volatility-Balanced N/A N/A 10.4 14.6 15.9 N/A N/A 1.1 0.2 1.0
EURO STOXX 50 N/A N/A 12.0 17.9 20.9 N/A N/A 0.9 0.3 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Volatility-Balanced 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 STOXX 50 Volatility-Balanced 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, Excess Return - NR), all data as of May 31, 2024

STRATEGY INDICES

EURO STOXX 50 Volatility-Balanced

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 Volatility-Balanced 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