Barclays Capital has licensed a new index that tracks the implied volatility on the Eurostoxx 50 index.
The VStoxx Mid-Term Futures index measures the performance of a hypothetical, rolling portfolio invested into constant maturity implied volatilities on the underlying Eurostoxx 50 index.
The rolling investment is made into four VStoxx futures contracts traded on Eurex, which have a remaining maturity of four, five, six and seven months.
Barclays says is will soon offer direct access to the index through the launch of an iPath exchange-traded note (ETN).
Barclays Capital head of origination, equity and fund structured markets Antti Suhonen says the new index complements the existing short-term futures version.
He says the latest launch offers longer-dated volatility exposure, which typically exhibits lower carry costs in stable markets.
He adds the index is therefore suitable for buy-and-hold investors seeking to allocate part of their portfolio to an asset class that could deliver positive returns in times of market distress.
Stoxx CEO Hartmut Graf says there is rising interest in volatility as an asset class.
He says: "We are now offering market participants an opportunity to also measure the return from rolling long positions in the mid-term Eurex VStoxx futures contracts through a sophisticated and rules-based index."
The VStoxx Mid-Term Futures index is available in excess and total return versions. With the latter type, the investment into the futures contracts is fully collateralised on a daily basis, with investment into the Eonia market.
The interest then earned from this collateralisation is re-invested into the portfolio on a daily basis.
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