istoxx Europe Factor Indices Quarterly Introduction of Futures
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1 Riskpremia Made in Germany istoxx Europe Factor Indices Quarterly Introduction of Futures on the indices by EUREX is a major milestone for our idea of Riskpremia - Made in Germany. Thanks to all people involved in this project at EUREX, STOXX, FIS Global, Investment Banks and German Asset Managers. EUREX Futures In a circular, dated 5 th of April, the EUREX announced introduction of futures on six single factor indices as well as a designated market making scheme for the futures. Trading will start on 3 rd of May With the futures on the istoxx Europe Factor Indexes, products are offered which are targeted at collecting premium for the risk factors Value, Carry, Momentum, Size, Low Risk and Quality. The underlying indexes can be distinguished by the factor premium which they are using. The contract specifications are in line with the standard design of Eurex Index Futures on STOXX Indexes, EUREX wrote. Excerpt of the contract specifications: Underlying instruments istoxx Europe Low Risk, Momentum, Quality, Size, Value and Carry Factor Index Description of underlying instruments Contract value Settlement Price determination A detailed description of the various indexes and the index rules and regulations can be found on the STOXX website under EUR 50 per index point Cash settlement, due on the first exchange trading day after final settlement day In points, with one decimal place Minimum price change 0,1 points; corresponds to a value of EUR 5.00 Contract months Up to nine months the next three quarterly months of the March, June and September cycle Last trading day/ Final settlement day The third Friday of each contract month, if this is an exchange trading day at the Eurex Exchanges, otherwise the exchange trading day immediately preceding that day. Close of trading for maturing futures is 12:00 CET Final settlement price The average value of all index calculations of the respective istoxx Europe Factor Index in the time between 11:50 and 12:00 CET on the last trading day Source: EUREX circular 032/17
2 Live history review As the indices are live since 1 st of April 2016, we can have a prudent first look at how they compare vs. other concepts in risk and return space. Apart from the fact, that all providers refer to more or less the same empirical findings, there s no such thing as a standard of implementation. As this is quite typical in early stages of market developments, a standard like in market cap shouldn t be expected from our point of view. Beyond different philosophy and approaches per se, quality and availability of company data, different approaches in risk models and portfolio construction, large differences in total cost of ownership (beyond basic transaction costs) will prevent the development of a standard in the foreseeable future. The comparison naturally doesn t claim to present a complete picture as we don t have access to all concepts out there. Another point to bear in mind is that concepts differ with respect to transaction costs, management fees etc. The graphics show excess return and tracking error vs. parent indices, if implemented long only or absolute return and volatility, if implemented long/short, of seven different families we follow. From our point of view, the key takeaways are: in general, the istoxx Europe factor indices compare quite well with respect to return and risk in five out of six cases, the realized tracking error of the istoxx Europe factor indices is quite close to ex ante target; size is the exception defensive factors (low risk, quality, carry / growth) exhibited a difficult time during the last 12 month in general - except istoxx Carry, which has a defensive profile over longer time frames but outperformed more than indices underperformed across all families istoxx Europe Factor index in red: Value Factor Momentum Factor % -1% 5% 1 15% -3% -5% -7%
3 Carry Factor Quality Factor 1% 3% Low Risk Factor Size Factor Factor performance Q1/2017-1% -3% -5% 1% 3% 5% First quarter has been a rollercoaster to performance in aggregate. Driven by gains in Carry and Size, the aggregated single factor performance topped +3, only to give up 1% until mid of March before recovering some ground. Carry (+2,1%) and Low Risk (+0,) have been top performers, while Momentum (-1%) and Quality (-0,) underperformed. (6) underperformed (-1,3%) as well in the first three month, while (5) XC/ex Carry only lost 0, despite strong gains in Carry.
4 Alpha Centauri Indexing - Monitoring Description: The istoxx Europe Single Factor index family developed by STOXX in collaboration with Alpha Centauri offers investors a unique and very innovative way to target and capture premia. It consists of six single factors that aim to capture well-known risk premia and one multi-factor that aims at simultaneously capturing premia from the aggregate of all single factors rather than from just one source of risk alone. All indices are constructed to maximize the exposure to their particular factor and minimize unwanted risks. While constructing the final indices the FIS APT risk model is used to measure and restrict risk. For more information go to or Name Ticker Return 3 Months Performance and Volatility Breakdown Return Return 6 Months 12 Months Return Live (1.4.) Vola pa Vola pa Live (1.4.) Carry ISECFER Index 8, 15,7% 23, 23,9% 18,7% 15,7% Low Risk ISERRER Index 6,5% 11, 18,7% 19,9% 17, 14,5% Momentum ISEMFER Index 5,1% 12,3% 18, 19,3% 18, 15,3% Quality ISEQFER Index 5,3% 10,5% 15,3% 16, 18,7% 15,5% Size ISEZFER Index 6,1% 12, 22, 23, 18,3% 15,9% Value ISEVFER Index 5, 14, 20, 21, 19, 16, ISEXFER Index 4, 10,7% 16, 17, 17, 14,9% XC ISEXFCR Index 5,5% 12, 19, 20, 18, 15,3% Benchmark SXXR Index 6,1% 12,3% 16,3% 17, 19,5% 15,7% 3, 2, 1, 0, -1, -2, -3, 3 Months 6, 4, 2, 0, -2, -4, -6, 6 Months 10, 8, 6, 4, 2, 0, -2, -4, -6, XC XC 12 Months since going Live (1.4.) 8, 6, 4, 2, 0, -2, -4, XC XC
5 This document is provided for your information only and does not represent an offer nor a solicitation to make an offer for purchase or sale of certain products. The validity of information and recommendations is limited to the time of creation of these documents and can be subject to changes depending on the market situation and your objectives. We recommend consulting your tax consultant or legal advisor before investing. This document contains information obtained from public sources, which we deem to be reliable. However, we cannot guarantee the accuracy of such information. Past performance cannot be regarded as an indicator of future performance. It should also be considered that the products presented under certain circumstances are not adequate in regard to the individual investment objectives, portfolio and risk structure for the respective investor. Legal and tax subjects that may be resulting from these documents have to be regarded as nonbinding advice without exception which cannot replace a detailed counseling by your lawyer, tax consultant and / or auditor. Please note that these documents are not directed to citizens of the United States of America and are not to be distributed in the United States of America.
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