Current values | Back to all benchmarks
We design 16 Solvency II benchmarks, combining time horizons of 3, 5, 10, 15 years and risk budgets of 5%, 10%, 15%, and 20%. The benchmarks are rebalanced on a monthly basis, based on parsimonious dynamic estimates for the equity risk premium and volatility. The risk budget for these benchmarks is reset at the end of each calendar year so as to meet the target capital requirement level. The benchmarks involve a time- and time horizon- dependent allocation between equity, proxied by the Russell Global Equity Index in its euro-hedged version, and cash, proxied by the EURIBOR 1M.
Last update: 01-May-2013
Select the horizon:
| Annual returns | δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | -1.98% | -5.92% | -9.86% | -13.72% |
| 2003 | 13.77% | 21.61% | 25.92% | 27.15% |
| 2004 | 5.82% | 8.77% | 11.51% | 13.03% |
| 2005 | 5.40% | 7.94% | 10.53% | 11.67% |
| 2006 | 5.33% | 7.13% | 8.89% | 10.16% |
| 2007 | 3.88% | 3.89% | 3.90% | 4.53% |
| 2008 | -3.12% | -7.79% | -12.45% | -17.12% |
| 2009 | 10.55% | 18.70% | 23.34% | 24.91% |
| 2010 | 1.42% | 2.15% | 2.88% | 5.22% |
| 2011 | -0.06% | -1.13% | -2.20% | -3.05% |
| 2012 | 3.33% | 6.23% | 9.08% | 10.90% |
• Returns are computed using the Russell Global index in its euro-hedged version as a proxy for the equity index, and the 1-month EURIBOR rate as a proxy for the cash.
• The benchmarks are designed so as to avoid a maximum loss greater than δ in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Max losses w.r.t 01-Jan |
δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | 4.09% | 8.62% | 13.14% | 17.63% |
| 2003 | 1.73% | 3.85% | 5.97% | 8.10% |
| 2004 | 0.00% | 0.60% | 1.39% | 1.44% |
| 2005 | 0.52% | 1.17% | 2.03% | 2.77% |
| 2006 | 0.00% | 0.67% | 1.45% | 1.44% |
| 2007 | 0.08% | 0.41% | 0.91% | 1.30% |
| 2008 | 4.33% | 9.23% | 14.12% | 19.01% |
| 2009 | 1.90% | 4.05% | 6.21% | 8.37% |
| 2010 | 1.68% | 3.48% | 5.28% | 5.09% |
| 2011 | 1.13% | 2.79% | 4.48% | 5.99% |
| 2012 | 0.37% | 0.91% | 1.46% | 1.45% |
• Year-to-date max losses are computed with respect to the value of the Solvency II benchmark at inception (i.e. on each January 1st) and using daily returns of the Russell Global index in its euro-hedged version as a proxy for the equity index, and the daily returns of the 1-month EURIBOR rateas a proxy for the cash.
• A value of 0.00% indicates that no loss has occured since the beginning of the year.
• The benchmarks are designed so as to avoid a maximum loss greater than delta in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Annual returns | δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | -2.21% | -6.30% | -10.39% | -14.41% |
| 2003 | 14.63% | 22.89% | 27.20% | 28.53% |
| 2004 | 5.90% | 8.90% | 11.69% | 13.22% |
| 2005 | 6.42% | 9.78% | 13.10% | 14.36% |
| 2006 | 6.09% | 8.45% | 10.66% | 12.38% |
| 2007 | 3.76% | 3.74% | 3.71% | 4.63% |
| 2008 | -3.42% | -8.22% | -13.03% | -17.84% |
| 2009 | 12.07% | 21.29% | 26.02% | 27.67% |
| 2010 | 1.55% | 2.38% | 3.20% | 5.86% |
| 2011 | -0.44% | -1.84% | -3.25% | -4.35% |
| 2012 | 3.49% | 6.55% | 9.53% | 11.78% |
• Returns are computed using the Russell Global index in its euro-hedged version as a proxy for the equity index, and the 1-month EURIBOR rate as a proxy for the cash.
• The benchmarks are designed so as to avoid a maximum loss greater than δ in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Max losses w.r.t 01-Jan |
δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | 4.13% | 8.68% | 13.23% | 17.75% |
| 2003 | 1.84% | 4.07% | 6.30% | 8.53% |
| 2004 | 0.00% | 0.52% | 1.28% | 1.27% |
| 2005 | 0.52% | 1.17% | 2.03% | 2.77% |
| 2006 | 0.24% | 1.31% | 2.37% | 2.30% |
| 2007 | 0.11% | 0.71% | 1.35% | 1.86% |
| 2008 | 4.70% | 9.73% | 14.76% | 19.80% |
| 2009 | 2.17% | 4.60% | 7.02% | 9.45% |
| 2010 | 1.98% | 4.06% | 6.15% | 6.17% |
| 2011 | 1.69% | 3.80% | 5.90% | 7.62% |
| 2012 | 0.54% | 1.24% | 1.95% | 1.84% |
• Year-to-date max losses are computed with respect to the value of the Solvency II benchmark at inception (i.e. on each January 1st) and using daily returns of the Russell Global index in its euro-hedged version as a proxy for the equity index, and the daily returns of the 1-month EURIBOR rateas a proxy for the cash.
• A value of 0.00% indicates that no loss has occured since the beginning of the year.
• The benchmarks are designed so as to avoid a maximum loss greater than delta in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Annual returns | δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | -2.50% | -6.74% | -10.99% | -15.18% |
| 2003 | 14.20% | 22.16% | 26.43% | 27.73% |
| 2004 | 5.90% | 8.90% | 11.69% | 13.22% |
| 2005 | 7.19% | 11.13% | 14.81% | 16.08% |
| 2006 | 7.08% | 10.22% | 12.97% | 14.87% |
| 2007 | 4.02% | 4.27% | 4.94% | 6.07% |
| 2008 | -3.75% | -8.69% | -13.62% | -18.56% |
| 2009 | 13.23% | 22.98% | 28.00% | 29.68% |
| 2010 | 2.14% | 3.48% | 4.83% | 7.86% |
| 2011 | -1.15% | -3.18% | -5.22% | -6.94% |
| 2012 | 3.35% | 6.27% | 9.20% | 12.32% |
• Returns are computed using the Russell Global index in its euro-hedged version as a proxy for the equity index, and the 1-month EURIBOR rate as a proxy for the cash.
• The benchmarks are designed so as to avoid a maximum loss greater than δ in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Max losses w.r.t 01-Jan |
δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | 4.15% | 8.72% | 13.28% | 17.83% |
| 2003 | 1.92% | 4.24% | 6.56% | 8.88% |
| 2004 | 0.00% | 0.52% | 1.28% | 1.27% |
| 2005 | 0.52% | 1.17% | 2.03% | 2.77% |
| 2006 | 0.49% | 1.76% | 2.98% | 2.92% |
| 2007 | 0.23% | 1.02% | 1.80% | 2.44% |
| 2008 | 5.13% | 10.29% | 15.46% | 20.63% |
| 2009 | 2.54% | 5.32% | 8.10% | 10.88% |
| 2010 | 2.01% | 4.12% | 6.24% | 6.62% |
| 2011 | 2.72% | 5.75% | 8.78% | 11.52% |
| 2012 | 0.80% | 1.76% | 2.68% | 2.26% |
• Year-to-date max losses are computed with respect to the value of the Solvency II benchmark at inception (i.e. on each January 1st) and using daily returns of the Russell Global index in its euro-hedged version as a proxy for the equity index, and the daily returns of the 1-month EURIBOR rateas a proxy for the cash.
• A value of 0.00% indicates that no loss has occured since the beginning of the year.
• The benchmarks are designed so as to avoid a maximum loss greater than delta in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Annual returns | δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | -2.61% | -6.91% | -11.20% | -15.46% |
| 2003 | 14.13% | 22.04% | 26.30% | 27.60% |
| 2004 | 5.90% | 8.90% | 11.69% | 13.22% |
| 2005 | 7.19% | 11.13% | 14.81% | 16.08% |
| 2006 | 7.28% | 10.57% | 13.41% | 15.32% |
| 2007 | 4.14% | 4.50% | 5.53% | 6.73% |
| 2008 | -3.86% | -8.83% | -13.80% | -18.77% |
| 2009 | 13.43% | 23.23% | 28.30% | 29.97% |
| 2010 | 2.21% | 3.62% | 5.02% | 8.15% |
| 2011 | -1.46% | -3.79% | -6.11% | -8.16% |
| 2012 | 3.32% | 6.21% | 9.18% | 12.73% |
• Returns are computed using the Russell Global index in its euro-hedged version as a proxy for the equity index, and the 1-month EURIBOR rate as a proxy for the cash.
• The benchmarks are designed so as to avoid a maximum loss greater than δ in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
| Max losses w.r.t 01-Jan |
δ=5% | δ=10% | δ=15% | δ=20% |
|---|---|---|---|---|
| 2002 | 4.15% | 8.72% | 13.28% | 17.83% |
| 2003 | 1.94% | 4.27% | 6.60% | 8.94% |
| 2004 | 0.00% | 0.52% | 1.28% | 1.27% |
| 2005 | 0.52% | 1.17% | 2.03% | 2.77% |
| 2006 | 0.49% | 1.76% | 2.98% | 2.92% |
| 2007 | 0.23% | 1.02% | 1.80% | 2.44% |
| 2008 | 5.31% | 10.54% | 15.77% | 20.99% |
| 2009 | 2.69% | 5.61% | 8.53% | 11.45% |
| 2010 | 2.01% | 4.12% | 6.24% | 6.95% |
| 2011 | 3.16% | 6.57% | 9.99% | 13.25% |
| 2012 | 0.90% | 1.94% | 2.93% | 2.30% |
• Year-to-date max losses are computed with respect to the value of the Solvency II benchmark at inception (i.e. on each January 1st) and using daily returns of the Russell Global index in its euro-hedged version as a proxy for the equity index, and the daily returns of the 1-month EURIBOR rateas a proxy for the cash.
• A value of 0.00% indicates that no loss has occured since the beginning of the year.
• The benchmarks are designed so as to avoid a maximum loss greater than delta in each calendar year.
• Each table is generated with a different investment horizon target T fixed at the inception of the Solvency II benchmarks (i.e. on each January 1st) and decreasing over the calendar year.
