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Hartmut Graf, chief executive officer, STOXX Limited.

STOXX introduces maximum dividend strategy index

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STOXX Limited has introduced the STOXX Europe Maximum Dividend 40 Index. The new index represents a hypothetical investment portfolio that aims to maximise the dividend yield of the STOXX Europe 600 Index by selecting those 40 companies in the underlying index that have the highest expected dividend yield.

The STOXX Europe Maximum Dividend 40 Index is designed to act both as a proper benchmark for actively managed funds, and to underlie exchange-traded funds and other investable products.
 
“With the launch of the STOXX Europe Maximum Dividend 40 Index we are further expanding our successful range of innovative dividend strategy indices,” says Hartmut Graf (pictured), chief executive officer, STOXX Limited. “This new index offers market participants a ground-breaking tool to follow the dividend return of Europe’s 40 top dividend yielding companies selected from Europe’s major benchmark index.”
 
The STOXX Europe Maximum Dividend 40 Index consists of those 40 companies in the STOXX Europe 600 Index which have the highest expected dividend yield and will pay a dividend within the forthcoming adjustment period. The expected dividend yield is determined by the announced and the estimated dividend amount, as well as the closing price of the stock at the time of selection. In order to improve the index’s liquidity, an additional liquidity screening is applied during the selection process. This results in a liquidity adjusted expected dividend yield used for selection and weighting of the index constituents.
 
To be eligible for inclusion in the STOXX Europe Maximum Dividend 40 Index, a company must be a component of the underlying STOXX Europe 600 Index, pay a dividend in the upcoming quarter, have a free-float market capitalization of at least 1 billion Euro and an average daily trading volume (ADTV) of at least 4 million Euro over the last three months at the time of selection. The composition of the index is reviewed quarterly at the last trading day of January, April, July and October. The composition becomes effective on the third Friday after the close of trading in March, June, September and December. If less than 40  companies meet the inclusion criteria, components from the last period will be added to the composition  until 40  components are reached.

The STOXX Europe Maximum Dividend 40 Index is weighted by components’ liquidity-adjusted expected dividend yield: the higher a company’s dividend yield and the more liquid it is, the higher is its weight in the index. The maximum component weight is capped at ten percent to prevent the index from being dominated by single companies.
 
The STOXX Europe Maximum Dividend 40 Index is calculated in price, net return and gross return versions and available in Euro and USD. Daily historical data is available back to 20 March 2000.

 

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