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STRATEGY INDICES

EURO STOXX Banks Futures Roll

Index Description

The EURO STOXX Banks Futures Roll is designed to reflect the returns generated over time through notional investments in a long position in a series of referenced futures contracts. The excess return index replicates the financial outcome of a portfolio rolling the 1st nearby 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 STOXX Indices without need for physical investment as the replication is via futures

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 Banks Futures Roll N/A N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX Banks 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 Banks Futures Roll 5.5 30.1 58.1 79.0 112.3 N/A N/A 59.5 21.8 16.6
EURO STOXX Banks 5.9 30.2 58.8 82.7 114.2 N/A N/A 59.7 22.5 16.6
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
EURO STOXX Banks Futures Roll N/A N/A 16.2 26.1 32.0 N/A N/A 2.5 0.7 0.4
EURO STOXX Banks N/A N/A 15.8 26.1 32.2 N/A N/A 2.6 0.7 0.4
Index to benchmark Correlation Tracking error (%)
EURO STOXX Banks Futures Roll N/A 0.0 0.1 0.0 0.0 N/A 25.9 20.6 37.7 45.8
Index to benchmark Beta Annualized information ratio
EURO STOXX Banks Futures Roll N/A 0.0 0.1 0.0 0.0 N/A -0.3 0.5 0.0 -0.1

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

2Based on EURIBOR1M

(EUR, Total Return), all data as of May 31, 2024

STRATEGY INDICES

EURO STOXX Banks Futures Roll

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 Banks Futures Roll N/A N/A N/A N/A N/A N/A N/A N/A
EURO STOXX Banks N/A N/A N/A N/A N/A N/A N/A N/A

Performance and annual returns