8624 new low vol index from sap dow jones


Print this article

New Low-Vol Index From S&P Dow Jones

Written by Journal of Indexes Europe Staff

October 29, 2012

S&P Dow Jones Indices has announced the launch of the S&P Europe 350 low volatility index, which is designed to measure the performance of the least volatile stocks from 17 major European markets, covering approximately 70 percent of the region’s market capitalisation.

The S&P Europe 350 low volatility index comprises the 100 least volatile stocks from the broader 350-stock benchmark, which are then weighted by the inverse of their volatility. The index’s sector exposure is unconstrained.

At launch, the main country weights of the index were: UK (47 percent), France (11 percent), Switzerland (10 percent), Germany (8 percent), Netherlands (6 percent), Belgium (4 percent) and Sweden (4 percent).

The index is rebalanced quarterly and the internal turnover during the last year was 54 percent, according to S&P Dow Jones.

Comment Using:

blog comments powered by Disqus





[yasr_overall_rating size="large"]
error: Alert: Content is protected !!