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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 -0.4 -2.2 7.8 0.1 94.9 N/A N/A 8.0 0.0 14.5
EURO STOXX 50 -3.3 10.1 22.8 25.2 55.5 N/A N/A 23.1 7.8 9.3
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX 50 Volatility-Balanced N/A N/A 16.3 16.2 16.9 N/A N/A 0.3 -0.1 0.7
EURO STOXX 50 N/A N/A 13.0 18.0 21.0 N/A N/A 1.7 0.4 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX 50 Volatility-Balanced 0.7 0.4 0.5 0.7 0.6 8.5 16.9 15.5 14.4 17.4
Index to benchmark Beta Annualized information ratio
EURO STOXX 50 Volatility-Balanced 0.6 0.5 0.6 0.6 0.5 3.8 -0.9 -0.9 -0.6 0.1

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

2Based on EURIBOR1M

(EUR, Total Return - NR), all data as of October 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

Methodology

To capture the anticipated changes in the volatility environment, the one-month realized volatility and the value of one-month implied volatility (VSTOXX) one-month back are observed. Depending on the relationship between realized and expected volatility, the exposure may be adjusted. To learn more about the adjustment level and the calculation formula, please see our rulebook: www.stoxx.com/indices/rulebooks.html

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Total Return - NR EUR CH0128045595 SX5EVBT SX5EVBT INDEX .SX5EVBT
Excess Return - NR EUR CH0128045587 SX5EVBE SX5EVBE INDEX .SX5EVBE

Quick Facts

Weighting 97.5%/90%/70%
Cap Factor 2.5%/10%/30%
No. of components Excess, gross return (EUR): end-of-day
Review frequency End-of-day: 7:15 pm CET
Calculation/distribution 100 as of Oct. 18, 2005
Calculation hours Available daily back to Oct. 18, 2005
Base value/base date Jun. 1, 2011

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.

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.