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ISTOXX INDICES

EURO iSTOXX 50 Futures Leveraged

Index Description

The EURO iSTOXX 50 Futures Leveraged Index aims to achieve a leveraged exposure to the EURO STOXX 50® Index with no requirement to raise additional capital for reinvestment in the underlying index. It accomplishes that by combining a 100% long position in the equity index with an additional long position in a futures-rolling strategy, in this case a 50% exposure to the EURO STOXX 50® Traded Futures Roll Index.

Key facts

  • Innovative way to leverage
  • No additional capital raising required for the leverage
  • Liquid assets

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 50 Futures Leveraged 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 iSTOXX 50 Futures Leveraged -1.3 15.0 17.3 46.1 82.2 N/A N/A 17.6 13.7 13.0
EURO STOXX 50 -0.3 10.8 12.6 31.5 63.3 N/A N/A 12.7 9.6 10.4
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO iSTOXX 50 Futures Leveraged N/A N/A 18.7 27.0 32.5 N/A N/A 0.7 0.4 0.4
EURO STOXX 50 N/A N/A 12.3 17.9 21.0 N/A N/A 0.7 0.4 0.4
Index to benchmark Correlation Tracking error (%)
EURO iSTOXX 50 Futures Leveraged 1.0 1.0 1.0 1.0 1.0 8.3 6.3 6.4 9.1 11.7
Index to benchmark Beta Annualized information ratio
EURO iSTOXX 50 Futures Leveraged 1.5 1.5 1.5 1.5 1.5 -0.4 1.3 0.9 0.6 0.4

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

2Based on EURIBOR1M

(EUR, Total Return - GR), all data as of July 31, 2024

ISTOXX INDICES

EURO iSTOXX 50 Futures Leveraged

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 50 Futures Leveraged 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 iSTOXX 50 Futures Leveraged Index is tracking the performance of a 100% position in the EURO STOXX 50 Index combined with a 50% exposure to the EURO STOXX 50 Traded Futures Roll Index.
The index is re-balanced on a quarterly basis after close of trading on the third Friday in March, June, September and December, respectively.
Six versions of the index are available (all of them in EUR), resulting from all possible combinations of the index versions of the underlying indices: Price, Net Return and Gross Return for the EURO STOXX 50 Index; Total Return and Excess Return for the EURO STOXX 50 Traded Futures Roll Index.

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return - GR EUR CH0375453013 SX5FLEGR SX5FLEGR INDEX .SX5FLEGR
Excess Return - NR EUR CH0375452973 SX5FLENR SX5FLENR INDEX .SX5FLENR
Excess Return - P EUR CH0375452932 SX5FLEP SX5FLEP INDEX .SX5FLEP
Total Return - GR EUR CH0375452916 SX5FLTGR nan .SX5FLTGR
Total Return - P EUR CH0375452858 SX5FLTP nan .SX5FLTP
Total Return - NR EUR CH0375333561 SX5FLTNR nan .SX5FLTNR

Quick Facts

Weighting Fixed; 100% allocated to EURO STOXX 50 and 50% to EURO iSTOXX 50 Traded Futures at review
No. of components 2
Review frequency Quarterly
Calculation/distribution According to selected version (Price, Net Return or Gross Return combined with Total Return / Price, Net Return or Gross Return combined with Excess Return); event-driven calculation; in EUR
Calculation hours 9:00–19:15 CET
Base value/base date 1000 as of Feb. 28, 2003
History Available daily back to Feb. 28, 2003
Inception date Aug. 16, 2017
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.