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EURO STOXX Low Risk Weighted 100 Index licensed to SSgA


The EURO STOXX Low Risk Weighted 100 Index has been licensed to State Street Global Advisors for a new ETF, the SPDR EURO STOXX Low Volatility UCITS ETF, which will trade on Deutsche Borse’s Xetra.

“The EURO STOXX Low Risk Weighted 100 Index singles out those 100 stocks in the EURO STOXX Index which show the lowest volatility over the past year, thus offering market participants Eurozone exposure with the least possible portfolio volatility through a transparent and easily understandable index concept,” says Hartmut Graf, chief executive officer, STOXX Limited.
Alexis Marinof, head of SPDR ETFs UK at SSgA, says: “This latest addition to SPDR ETFs capital preserving low-volatility range will give our clients access to stocks with low historic exposure to systematic risk. This simple low volatility weighting method has resonated well with asset managers and has proven to be an effective way of limiting downside losses.”
The EURO STOXX Low Risk Weighted 100 Index is derived from the EURO STOXX Index, and includes only those 100 stocks from the base index which have the lowest historical 12 month volatility. Only components which have been listed at an eligible exchange for at least 12 months are eligible for inclusion in the index, i.e. IPO companies need to trade for at least 12 months before being eligible for selection.
The EURO STOXX Low Risk Weighted 100 Index is weighted reversely by components’ volatility: the lower a components twelve month volatility is, the higher is its weight in the index. Components are subject to a 10 per cent weighting cap. The composition of the index is reviewed quarterly in February, May, August and November after the review of the underlying index. The maximum component weight is capped at ten percent to prevent the index from being dominated by single companies.
The EURO STOXX Low Risk Weighted 100 Index is calculated in price, net and gross return versions and available in Euro and USD. Daily historical data is available back to 16 March 2001.

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