Solactive AG, the German multi-asset class index provider, has launched the Solactive SuperRegion Select Index, which consists of a smart beta concept incorporating high dividend yield shares that also exhibit low historical volatility from Asia, Europe and the US.
The index is licensed to Credit Suisse and can be used as a basis for investment products such as ETFs or derivative instruments.
The index is composed of a total of 75 shares, 25 per geographic region. Shares are selected by choosing the top securities ranked by realised dividend yield for every region and applying a historical volatility filter, whereby only the least volatile shares make it to the final index composition. In addition, the construction rules require that the region with the highest performance in terms of weighted returns, is assigned an index weight of 50 per cent, while the other regions are allocated a weight of 25 per cent, respectively.
Astrid Ludwig, head of indexing, Solactive AG, says: “Asia, Europe and the US are home to the most important financial centres in the world. The depth and liquidity characterising some capital markets in these regions represent an invaluable resource for investors. The Solactive SuperRegion Select Index can provide investors with the possibility of taking advantage of potential regional momentum trends, while seeking to avoid geographical concentration.”
Julien Bieren, head of equity structuring EMEA, Credit Suisse, says: “Investors have shown a clear interest in strategies offering them not only a globally diversified exposure, but also the real possibility of outperforming a static portfolio. The Solactive SuperRegion Select Index applies a straightforward allocation methodology overweighting the best-performing region, whilst reducing the cost of downside protection via a low volatility tilt. The index is therefore particularly suited for those investors looking for medium to long-term equity exposure, with the additional benefits of dynamic regional allocation and potentially capital protection.”
The Solactive SuperRegion Select Index is available as a Price Return (PR) index denominated in EUR. The 75 composing shares are weighted according to the inverse of the 12-month historical volatility. The index is adjusted quarterly and is based on 100 at the close of trading on the start date, 12 November 2003.