08.30.2016
By John D'Antona Editor, Traders Magazine

STOXX Launches Euro Multi-Asset Momentum Risk CapCAP Indices

08.30.2016 By John D'Antona Editor, Traders Magazine

STOXX- ZURICH –  STOXX Ltd., the operator of Deutsche Boerse Group’s index business, and a global provider of innovative and tradable index concepts, today introduced the EURO STOXX 50 Multi-Asset Momentum Risk Cap Indices. These indices implement a cross-asset strategy concept that is based on the EURO STOXX 50 and the EURO STOXX 50 Corporate Bond Indices, using the momentum factor for dynamic asset allocation to enhance returns, while maintaining the risk at pre-defined maximum volatility levels.

The EURO STOXX 50 Multi-Asset Momentum Risk Cap Indices are screened for high liquidity and therefore suited as underlyings for financial products such as exchange-traded funds (ETFs) and derivatives.

“Research shows that demand for multi-asset strategies has grown in recent years as has the need for innovative solutions. To meet this need, STOXX expands its range of multi-asset indices with the launch of the EURO STOXX 50 Multi-Asset Momentum Risk Cap Indices,” said Matteo Andreetto, chief executive officer, STOXX Limited. “Our multi-asset strategies are designed for market participants who want to benefit from the cross-asset exposure to core equities and fixed income within the EURO STOXX 50 universe. The dynamic allocation strategy of the newly launched versions potentially increases performance, while simultaneously being sensitive to risk. This combination allows to construct efficient portfolios in accordance with individual risk preferences.”

The EURO STOXX 50 Multi-Asset Momentum Risk Cap Indices combine the performance of the EURO STOXX 50 and EURO STOXX 50 Corporate Bond Indices. This cross-asset concept based on a momentum strategy allows a dynamic weighting of the returns of the underlying indices. Additionally a risk control component in form of a volatility-cap is applied. The offering is available at the following maximum volatility levels: 5%, 7.5%, 10%, 15% and 20%.

The indices are rebalanced on a quarterly basis at the last trading day of March, June, September and December. At any other calculation day, a daily volatility level control procedure is applied. All indices are available in price and total return versions and are calculated in euro. The base date is Mar. 31, 2011, with the base value set at 100.

Please see the table below for a full list of available indices:

Index versions
EURO STOXX 50 Multi-Asset Momentum 5% Risk Cap
EURO STOXX 50 Multi-Asset Momentum 7.5% Risk Cap
EURO STOXX 50 Multi-Asset Momentum 10% Risk Cap
EURO STOXX 50 Multi-Asset Momentum 15% Risk Cap
EURO STOXX 50 Multi-Asset Momentum 20% Risk Cap

 

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