euro stoxx® 50 volatility (vstoxx 360 days) index
1 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 1 2 3 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. 2 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 null null null null null null null null null null null null VSTOXX 60 days null null null null null null null null null null null null VSTOXX 90 days null null null null null null null null null null null null VSTOXX 120 days null null null null null null null null null null null null VSTOXX 150 days null null null null null null null null null null null null VSTOXX 180 days null null null null null null null null null null null null VSTOXX 210 days null null null null null null null null null null null null VSTOXX 240 days null null null null null null null null null null null null VSTOXX 270 days null null null null null null null null null null null null VSTOXX 300 days null null null null null null null null null null null null VSTOXX 330 days null null null null null null null null null null null null VSTOXX 360 days null null null null null null null null null null null null 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 3
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