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Indices

Dynamic VSTOXX

Summary

The Dynamic VSTOXX index is constructed as a combination of two indices, the VSTOXX Short-Term Futures index and the VSTOXX Mid-Term Futures index. The rationale behind dynamic allocation is to exploit in a timely manner the superior performance of short-term futures when the volatility forward curve is in backwardation (stressed markets) and of mid-term futures when the volatility forward curve is in contango (normal markets). To achieve this in a convenient time-to-market manner, the allocation can be changed on a daily basis, although a buffer is provided to avoid excessive turnover. The index is available in standard, long-only and alpha versions, according to the different allocation split triggered between the VSTOXX Short-Term Futures index and VSTOXX Mid-Term Futures index. For all these versions there is also a Net of Cost calculation which includes the execution costs for 0.10 % and replication costs for 1.00 % p.a. in order to better represent an actual replication process (VSTOXX is the abbreviation for the EURO STOXX 50 Volatility index).

Index Guides, Benchmark statement, and other reports are available under the Data tab.

Details

Symbol
BVSEG
Calculation
Realtime
Dissemination Period
09:00-17:30 CET
ISIN
CH0185353767
Bloomberg ID
BBG002Z9P0W4
Last Value
102.41 +0.34 (+0.33%)
As of 05:30 pm CET
Week to Week Change
0.17%
52 Week Change
-3.20%
Year to Date Change
-0.23%
Daily Low
101.71
Daily High
103.02
52 Week Low
93.6429 Mar 2022
52 Week High
111.87 Mar 2022
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