S&P Dow Jones Indices (“S&P DJI”), one of the world’s leading providers of financial market indices, announced that it has created the S&P 500 Low Volatility Enhanced Index adding to its growing range of factor-based indices. The Index aims to balance low volatility, yield and liquidity, and has been designed to be an investable index. The Index has been licensed to Deutsche Bank.
The S&P 500 Low Volatility Enhanced Index is comprised of 50 constituents from the S&P 500®. The constituents that have a dividend yield less than the S&P 500 are removed from the selection list. The remaining stocks are then ranked by their beta, which measures the sensitivity of the stocks’ returns relative to the S&P 500. The 50 stocks with the lowest beta are selected for the Index.
Giulio Alfinito, Head of Equity Investor Products Europe, Deutsche Bank added: “The S&P 500 Low Volatility Enhanced Index implements the low beta investment concept in a simple and transparent way. The index benefits from an innovative liquidity based weighting system and low exposure to market risk, making it a potential underlying asset for capital protected structured products.”
For more information: www.spdji.com
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