The newly launched STOXX Europe Low Beta High Div 50 Index has been licensed to Deutsche Bank to be used as the basis for structured products.
The index selects the 50 stocks with the lowest beta out of the members of the STOXX Europe 600 Index with a dividend yield which is higher than the EURO STOXX 50 Index’s dividend yield.
It is designed to act as an underlying to structured products and other investable products, such as exchange-traded funds.
“The STOXX Europe Low Beta High Div 50 Index creates a hybrid portfolio of high dividend and low risk investment strategies based on Europe’s two most favoured benchmarks,” says Hartmut Graf, chief executive officer, STOXX Limited. “The innovative and transparent concept, combines screens based on the composition of the underlying STOXX Europe 600 Index with thresholds derived from the fundamental values of the EURO STOXX 50 Index.”
Giulio Alfinito, head of equity investor products Europe at Deutsche Bank, says: “STOXX Europe Low Beta High Div 50 Index is a significant development in the low volatility and low beta investment space. The intuitive selection mechanism provides access to stocks with low historic exposure to systematic risk. The index is an ideal candidate for investors seeking partial or full capital protection through options and other structured products.”
The STOXX Europe Low Beta High Div 50 Index is derived from the STOXX Europe 600 Index. To be eligible for inclusion in the new index, companies must have a net dividend yield for the past 12 months that is higher than the overall net dividend yield of the EURO STOXX 50 Index over the same time period. All those companies are then screened for their beta to the EURO STOXX 50 Index over the past 12 months, and only those 50 companies with the lowest beta are selected. A cap of eight companies per country is applied to ensure diversification in the index.
The STOXX Europe Low Beta High Div 50 Index is weighted by liquidity measured through components’ three month average daily trading volume (ADTV), with a single component’s weight cap of five per cent. The index is reviewed annually in December, with the cut-off date for dividend yield and beta data being the last trading day of the previous month.
The STOXX Europe Low Beta High Div 50 Index is calculated in price, net and gross return versions and available in Euro and USD. Daily historical data is available back to 23 December 2002.