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Deutsche Börse launches new portfolio selection and renewables indices

Deutsche Börse has launched two new indices, the DAXplus Minimum Variance Germany strategy index which claims to be the world’s first tradable index based on the theory of portfolio s

Deutsche Börse has launched two new indices, the DAXplus Minimum Variance Germany strategy index which claims to be the world’s first tradable index based on the theory of portfolio selection, and the ÖkoDAX, which tracks the 10 largest stocks from the renewable energies sector.

According to the German stock market operator, the DAXplus Minimum Variance Germany strategy index further expands its offering in the DAXplus index family. The aim of the strategy is to develop a risk-optimised portfolio that involves weighting in such a way as to minimise portfolio variance.

The Minimum Variance Germany index tracks a portfolio comprising a maximum of 30 DAX stocks, which are selected primarily according to their variance and correlation with each other.

The index will be adjusted on a quarterly basis, and calculated in euros, US dollars and sterling, as well as in the form of both a price and a total return index. The maximum weighting of individual shares will be capped at 10 percent. Shares with a weighting of 0 percent according to the variance analysis will not be included in the index.

Minimum Variance Germany is the eighth index in Deutsche Börse’s DAXplus strategy index family, which also comprises the DivDAX, DAXplus Seasonal Strategy, DAXplus Export Strategy, DAXplus Covered Call, LevDAX and DAXplus Protective Put, and ShortDAX.

The ÖkoDAX selection index currently tracks the 10 largest stocks from the renewable energies sector in terms of market capitalisation, and is based on a transparent set of rules. The composition is reviewed every quarter and all index constituents have equal weighting. Deutsche Bank has issued an X-pert certificate on the ÖkoDAX.

‘With DAXplus Minimum Variance Germany, we are worldwide the first to offer an index designed by the findings of modern portfolio theory and which especially addresses the risk component of investors,’ says Dr. Holger Wohlenberg, managing director for stock market business development at Deutsche Börse.

Says Nicolai Tietze, a derivatives expert with the x-markets team at Deutsche Bank: ‘The concept of ÖkoDAX is very convincing. Investors are focusing on a rule-based and transparent methodology with this product that comes from a well-accepted index provider.’ 

Deutsche Börse’s market data and analytics business calculates and publishes a total of more than 2,100 indices, ranking it among the world’s leading index providers. The division also compiles, distributes, and markets independent capital market information, such as price data, trading statistics, and back office information for banks and financial institutions.

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