euro stoxx® 50 volatility (vstoxx 360 days) index

Transcription

euro stoxx® 50 volatility (vstoxx 360 days) index
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STRATEGY INDICES
EURO STOXX® 50 VOLATILITY (VSTOXX 360
DAYS) INDEX
Stated objective
Key facts
The EURO STOXX 50® indices provide a key measure of market
expectations of near-term up to long-term volatility based on the
EURO STOXX 50 options prices. The EURO STOXX 50 Index is a
Blue-chip representation of sector leaders in the Eurozone.
Part of a consistent family of volatility indices: VSTOXX based on the
EURO STOXX 50 Index, VDAX-NEW® based on the DAX®
and VSMI® based on the SMI®.
Rules-based and transparent methodology, jointly developed by
Goldman Sachs and Deutsche Börse AG.
Calculation of the VSTOXX family is directly derived from the prices
of the underlying EURO STOXX 50 options.
The 12 VSTOXX, rolling indices of 30, 60, 90, 120, 150, 180, 210, 240,
270, 300, 330 and 360 days to expiration, are derived
via linear interpolation of the two nearest subindices.
Calculation of 8 sub-indices per option expiry (1, 2, 3, 6, 9, 12, 18 and
24 months) based on the square-root of the implied
variance.
»Easy to replicate due to being based on money market investments
and Eurex futures on the VSTOXX
»Transparent and liquid access to implied volatility
Risk and return figures1
Index returns
EURO STOXX 50 Volatility (VSTOXX 360 days) Index
EURO STOXX 50 Index
Return (%)
Annualized return (%)
Last month
YTD
1Y
3Y
5Y
Last month
YTD
1Y
3Y
5Y
-2.0
-3.4
-20.4
-40.3
-38.1
-21.0
-5.0
-20.2
-15.6
-9.0
1.8
2.0
16.6
37.8
14.3
24.1
3.0
16.2
11.0
2.6
Index volatility and risk
Annualized Sharpe ratio2
Annualized volatility (%)
EURO STOXX 50 Volatility (VSTOXX 360 days) Index
19.9
28.7
32.5
54.1
59.0
-1.4
-0.5
-0.9
-0.5
-0.4
EURO STOXX 50 Index
16.3
14.3
13.8
20.8
21.6
0.1
0.2
1.0
0.5
0.1
-0.7
-0.5
-0.4
-0.4
32.9
38.4
40.5
-0.2
-1.6
-2.2
-10.2
1.3
0.1
Index to benchmark
EURO STOXX 50 Volatility (VSTOXX 360 days) Index
Correlation
Tracking error (%)
Beta
Index to benchmark
EURO STOXX 50 Volatility (VSTOXX 360 days) Index
-0.4
-17.4
65.2
69.9
Annualized information ratio
0.8
0.2
0.0
Performance and annual returns3
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2
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For information on data calculation, please refer to STOXX calculation reference guide.
Based on Euribor1m
STOXX data from Jan. 04, 1999 to Aug. 29, 2014
(EUR, price), all data as of Aug. 29, 2014
INNOVATIVE. GLOBAL. INDICES.
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STRATEGY INDICES
EURO STOXX® 50 VOLATILITY (VSTOXX 360 DAYS) INDEX
Methodology
The detailed methodology, including calculation formula and full
requirements, can be found in our rulebook:
www.stoxx.com/indices/rulebooks.html
Version and symbols
Index
Price
EUR
ISIN
Symbol
Bloomberg
Reuters
DE000A1A4L42
VSTX360
VSTX360 Index
.VSTX360
Complete list available here: www.stoxx.com/data/vendor_codes.html
High, low, mean
YTD
2013
2012
2011
High
Low
Mean
High
Low
Mean
High
Low
Mean
High
Low
Mean
VSTOXX 30 days
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null
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VSTOXX 60 days
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VSTOXX 90 days
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VSTOXX 120 days
null
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null
null
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null
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VSTOXX 150 days
null
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null
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VSTOXX 180 days
null
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VSTOXX 210 days
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VSTOXX 240 days
null
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VSTOXX 270 days
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VSTOXX 300 days
null
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null
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VSTOXX 330 days
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VSTOXX 360 days
null
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CONTACT DETAILS
STOXX customer support
P +41 58 399 5900
[email protected]
www.stoxx.com
Zurich/headquarters:
P +41 58 399 5300
Frankfurt: P +49 69 211 13243
Hong Kong: P +852 6307 9316
London: P +44 207 862 7680
Madrid: P +34 91 369 1229
New York: P +1 212 669 6426
STOXX is part of Deutsche Boerse and SIX
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 customization in almost
unlimited forms for example in terms of component selection, weighting schemes and personalized calculation methodologies.
DISCLAIMER
STOXX® indices are protected through intellectual property rights. 'STOXX' and 'EURO STOXX 50' are registered trademarks. The use of the STOXX® indices for financial products or for
other purposes requires a license from STOXX. STOXX does 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. STOXX is not providing investment advice through the publication of the
STOXX® 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 on the merits of that company. Financial instruments based on the STOXX® indices are in no way sponsored, endorsed, sold or promoted by STOXX.
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.
STRATEGY INDICES
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