ETFWorld.co.uk

Newly launched Euro Stoxx 50 Volatility-Balanced index licensed to Barclays Capital

EURO_BANDIERA 3

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

 


Sign up for our weekly Newsletter and receive the latest ETF and ETC news.

Click here to register for your free copy


the EURO STOXX 50 Index by replicating a hypothetical portfolio that combining a base investment into the EURO STOXX 50 Index with an investment into equity volatility, using the VSTOXX Short-Term Futures Index.

“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 

 

Related Articles

Solactive Indices chosen by Finex Limited for seven ETFs

Webmaster

Solactive relocates Frankfurt headquarters to new building

Webmaster

FTSE Russell: BetaShares has licenced the FTSE 100 Index for an ETF

Webmaster