Table 2 Description of financial indices used
Index | Full name | Start value | End value | Mean return | Std. dev. | Comment |
|---|---|---|---|---|---|---|
SnP500 | S&P 500 | 1418.3 | 3585.62 | 0.00040 | 0.0124 | a stock market index that tracks the stock performance of 500 large companies listed on U.S. stock exchanges |
Stoxx600 | Stoxx600 | 365.26 | 387.85 | 0.00020 | 0.0120 | a stock market index that tracks the performance of 600 large, mid-sized, and small companies in 17 European countries |
N100 | Euronext | 962.84 | 1113.98 | 0.00023 | 0.0127 | stock market index that tracks the performance of the 100 largest and most liquid companies listed on Euronext Paris |
N225 | Nikkei 225 | 17,225.83 | 25,937.21 | 0.00007 | 0.0151 | a stock market index that represents the performance of the top 225 companies listed on the Tokyo Stock Exchange (TSE) |
MSCI_world | MSCI World Daily Net Total Return | 114.885 | 267.071 | 0.00036 | 0.0102 | a stock market index that represents the performance of large and mid-cap stocks across 23 developed countries, including the United States, Canada, Japan, and countries in Europe and the Asia-Pacific region |
EURO_bonds | Bloomberg Series-E Euro Govt 1â5 Yr Bond | 134.5671 | 175.3489 | 0.00003 | 0.0011 | a bond index that represents the performance of short-term fixed-income securities issued by eurozone governments, with a maturity of between 1 and 5 years |
FVX | CBOE Treasury Yield Index for the 5-Year Treasury note | 4.701 | 4.041 | 0.00054 | 0.0393 | 5-Year Treasury Constant Maturity Rate (Futures contract traded on the CBOT), which is a yield curve benchmark used in the United States to measure the interest rate on US Treasury securities with a maturity of 5 years |