STOXX Limited announced that the newly launched EURO STOXX 50 Volatility-Balanced Index has been exclusively licensed to Barclays Capital. The new index aims to provide improved risk-adjusted returns relative to…
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“As equity volatility historically shows negative correlation to the underlying equity market, it can serve as a valuable hedge in volatile times. The EURO STOXX 50 Volatility-Balanced Index, which is the latest addition to our range of innovative strategy indices, applies this concept in a novel, transparent and strict index methodology,” said Hartmut Graf, chief executive officer, STOXX Limited.
Benedict Redmond, director in equities and funds structuring at Barclays Capital, said: “With the prospect for continued macro uncertainty in Europe, the Euro STOXX 50 Volatility-Balanced Index allows investors to keep upside potential while mitigating possible equity losses with a single investment allocating dynamically to both European Volatility and European Equity.”
The EURO STOXX 50 Volatility-Balanced Index dynamically changes allocation to equity and volatility based on the prevailing market environment increasing the exposure to volatility during unstable periods, and conversely keeping a lower exposure during more stable or up-trending markets. The prevailing volatility environment is determined by comparing the market expectation of short-term volatility to the actual realized volatility in that period.
The VSTOXX Short-Term Futures Index is an investable volatility index that measures the returns from a rolling investment made into the first two VSTOXX futures contracts traded on EUREX.
The EURO STOXX 50 Volatility-Balanced Index is rebalanced daily and calculated at the end of each trading day at 7.15pm CET. It is available in euro.
Source: ETFWorld – STOXX Limited