This portfolio includes an investment in the DAX Index and the money market rate, as measured by the Euro Overnight Index Average (EONIA).
According to Deutsche Boerse, the asset allocations of the new indices are shifted daily to maintain the desired risk levels.
The DAX Risk Control Index replicates a portfolio that controls for risk by shifting between the risk-free money market rate (EONIA) and the risky asset (DAX Index).
The index is calculated in four variants that aim to maintain a target volatility level of five percent, 10, 15 and 20 percent, respectively.
Deutsche Boerse said if the risk level of a DAX Risk Control Index falls below these targeted risk parameters, then the allocation is automatically adjusted towards the underlying DAX Index.
If the risk profile rises above the targeted levels, then the allocation moves towards the risk-free component (EONIA).
A maximum exposure of 150% also is introduced to avoid extremely leveraged positions.
The DAX Risk Control Indices are available in total and excess return versions. The excess return index measures the return of the DAX Risk Control (TR) Index less the EONIA return.
