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STRATEGY INDICES

VSTOXX Short-Term Futures Investable

Index Description

The VSTOXX Short-Term Futures Investable Index replicates the performance of a long position in constant-maturity one-month forward, one-month implied volatilities on the underlying EURO STOXX 50 Index. The index continuously rolls over on a daily basis from the first month VSTOXX Futures contract to the second month contract while taking into account the bid-ask spread in the roll procedure.

Key facts

  • Transparent and liquid access to EURO STOXX 50 implied volatility
  • Easy to replicate due to being based on Eurex futures and taking into account the bid-ask spread in the daily roll
  • Long and inverse versions available

Descriptive Statistics

Index Market Cap (USD ) Components (USD ) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
VSTOXX Short-Term Futures Investable 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
VSTOXX Short-Term Futures Investable 0.8 -27.3 -42.7 -80.7 -87.5 N/A N/A -43.4 -42.7 -34.5
EURO STOXX 50 4.1 9.9 17.7 10.8 45.4 N/A N/A 18.0 3.5 7.9
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
VSTOXX Short-Term Futures Investable N/A N/A 64.4 65.9 73.6 N/A N/A -1.0 -0.9 -0.6
EURO STOXX 50 N/A N/A 15.4 22.3 23.8 N/A N/A 0.7 0.1 0.3
Index to benchmark Correlation Tracking error (%)
VSTOXX Short-Term Futures Investable -0.6 -0.6 -0.6 -0.7 -0.7 178.1 81.3 74.6 83.0 92.3
Index to benchmark Beta Annualized information ratio
VSTOXX Short-Term Futures Investable -6.3 -2.6 -2.4 -2.0 -2.2 -0.3 -0.9 -1.1 -0.9 -0.7

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

2Based on EURIBOR1M

(USD, Excess Return), all data as of August 30, 2024

STRATEGY INDICES

VSTOXX Short-Term Futures Investable

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
VSTOXX Short-Term Futures Investable 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 detailed methodology, including calculation formula, can be found in the rulebook:
www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Excess Return EUR CH0354759968 VST1MSE VST1MSE INDEX .VST1MSE
Excess Return USD CH0354873926 VST1MSL VST1MSL INDEX .VST1MSL

Quick Facts

Weighting Rolling period: Daily
Calculation/distribution Realtime (every 15 seconds)
Calculation hours 9:00 am – 5:30 pm CET
Base value/base date 10,000 as of Dec. 30, 2016
Inception date Mar. 29, 2017
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.