STOXX Limited, a provider of innovative, tradable and global index concepts, has launched its new EURO iSTOXX 50 Style Weighted and EURO iSTOXX 50 Style Weighted Decrement Index offerings, according to a STOXX statement.
The EURO iSTOXX 50 Style Weighted Index is comprised of using three factors, i.e. value, quality and size. The index itself includes all the components of the EURO STOXX 50, coupled with a weighting scheme that is not only relegated to a free-float market cap.
Of the two new offerings, the EURO iSTOXX 50 Style Weighted Decrement Index has already been licensed to Natixis for use as a structured product. The EURO iSTOXX 50 Style Weighted Decrement Index is derived on the basis of the EURO iSTOXX 50 Style Weighted Index, replicating the return of an investment into a net return version with a constant markdown of 5.5% subtracted, per an accrued basis.
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More specifically, a score that is based on return on equity, price-to-book ratio, and free-float market cap determines the EURO iSTOXX 50 Style Weighted index. Companies are consequently ranked from a score ranging from 1 to 10 receive a weight of 5%, while 11 to 20 garner a weight of 2.5%. Additionally, the weighing schedule proceeds as follows: companies from 21 to 30 get a weight of 1.5%, from 31 to 40 get a weight of 0.75% and from 41 to 50 get a weight of 0.25%.
According to Hartmut Graf, Chief Executive Officer, STOXX Limited, in a recent statement on the launch, “Through this unique concept, we offer market participants a smart-beta index based on the EURO STOXX 50 that takes the themes of value, quality and size into consideration. While the EURO STOXX 50 weights components based on free-float market cap, the EURO iSTOXX 50 Style Weighted has an innovative weighting scheme that reflects more than just the size of a company.”
“The EURO iSTOXX 50 Style Weighted Index is part of a new generation of indices, whose objective is to optimize exposure to the 50 shares which compose the EURO STOXX 50, in order to favor Eurozone companies with the best business fundamentals. The index weightings are computed with a model that analyzes the financial structure (profitability, growth potential) of each company in the selection. This index will allow Natixis to expand the range of investment solutions to both its retail and institutional clients,” added Selim Mehrez, Global Head of Equity Derivatives within the Corporate and Investment Banking division of Natixis, in an accompanying statement.
Back in March, STOXX also launched daily currency-hedged versions based on a cascade of existing STOXX offerings. The indices offering aimed to target investors who were pursuing exposure to existing STOXX benchmarks.