To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider without finding it. I typed the index name on Morningstar and on Datastream, but I was not be able to get even just the index ISIN. I'd like to know: how could I get monthly returns and where? What kind of index is it? If its data are so difficult to get, is there any other index similar in mean and risk? Thank in advance for your answer.
What kind of index is it ? It is an index of return in very short term (overnight) EUR money markets. I.e. what European banks can earn by lending money to another European bank. Currently the rate is negative so it is not too attractive an investment :D
It is probably similar to (or just another name for) Deutsche Bank EONIA Total Return Index - EUR
The Bloomberg code for it is DBDCONIA Index and the Reuters RIC is .DBDCONIA. "capitalisé" means it represents the return of an investor who earns EONIA for a day (jour[nalier] = daily) and re-invests the interest at the same rate. (So from EONIA (Euro OverNight Index Average) you could even calculate it yourself by compounding the interest daily, if you are familiar with interest rate calculations).