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Deutsche Börse calculates DAXplus strategy indices for more countries

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Deutsche Börse has expanded the DAXplus strategy index family by calculating the DAXplus Minimum Variance and DAXplus Maximum Sharpe Ratio indices for Japan, the US, Switzerland and F

Deutsche Börse has expanded the DAXplus strategy index family by calculating the DAXplus Minimum Variance and DAXplus Maximum Sharpe Ratio indices for Japan, the US, Switzerland and France, while ABN Amro is issuing certificates based on the strategy indices for Germany, Switzerland, Japan and the US.

The concept of the DAXplus Maximum Sharpe Ratio and DAXplus Minimum Variance indices is based on portfolio theory. With the minimum variance approach, the selection and weighting of the constituents are aimed at minimising portfolio variance.

The Maximum Sharpe Ratio Index reflects the return of a portfolio, taking into account the risk potential of the equities it contains. The Sharpe ratio measures the extent to which the return on an investment exceeds the risk-free interest rate and the volatility at which this return was generated.

The new indices will contain the most liquid shares in each market. A maximum of 50 stocks will be accepted into the indices for the US, while 30 will be included for Japan, France and Switzerland. The indices 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.

According to Deutsche Börse, the portfolio theory benchmarks are the world’s first strictly rule-based and easily replicable indices to track passive risk/return-optimised investment strategies in a straightforward and cost-effective manner.

‘The DAXplus Minimum Variance and DAXplus Maximum Sharpe Ratio indices are revolutionizing the index landscape,’ says Stefan Gresse, head of public distribution for central Europe in the private investor products division at ABN Amro Bank.

‘For the first time, the findings of modern portfolio theory have been applied to the country index system. Index back-calculations prove that systematic application of the Minimum Variance or Sharpe Ratio criteria leads not only to an improved risk/return profile, but also to better index performance compared with the comparable blue-chip indices.’

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