.jpg)
STOXX Limited, a global index provider and creator of the leading European equity indices, today announced the launch of the EURO STOXX 50 Risk Control 20% Index. The new index measures the performance of a hypothetical portfolio which aims to control the risk of the underlying EURO STOXX 50 Index. The portfolio consists of an investment into the EURO STOXX 50 Index and the money market (EONIA). In order to achieve risk control, the asset allocation is shifted between the two investments, targeting a risk of 20%.
"The EURO STOXX 50 Risk Control 20% Index is based on an innovative index concept which increases or decreases exposure to assets as volatility falls or rises," said Hartmut Graf, chief executive officer, STOXX Ltd. "With the launch of this index, we are offering market participants a tool to combine equity investing with risk control, based on Europe's leading equity index."
The EURO STOXX 50 Risk Control 20% Index replicates a portfolio that allocates varying investments into the EURO STOXX 50 Net Return Index and into the money market as measured by EONIA. The exposure to the underlying EURO STOXX 50 Index can be adjusted from 0% to 150% in order to meet the targeted risk of 20% for the portfolio. If the expected risk, which is measured by the VSTOXX, steadily exceeds the target risk level, the portfolio's exposure to the EURO STOXX 50 Index is decreased and that to the EONIA investment increased respectively. If the expected risk falls below the targeted risk level, the portfolio will be adjusted towards the EURO STOXX 50 Index, but only until a maximum exposure of 150% towards the underlying index is reached.
The EURO STOXX 50 Risk Control 20% Index is available in total and excess return version. The excess return index measures the return of the EURO STOXX 50 Risk Control (TR) Index less the EONIA return. The index is calculated in EUR. Daily history is available back to May 18, 1999.
The EURO STOXX 50 Risk Control 20% Index is part of the STOXX Strategy Index family. Further information on the STOXX Strategy Indices is available at www.stoxx.com.
