.jpg)
Deutsche Börse launched two new indices. The new strategic index DAXplus® Maximum Sharpe Ratio Germany is based on the portfolio selection theory. The country index DAXglobal® Next-11 tracks the performance of seven countries from the Next-11 concept, which identifies emerging markets with above-average expected performance.
As with the DAXplus® Minimum Variance Germany, the concept of the DAXplus® Maximum Sharpe Ratio Germany is based on the portfolio theory. The selection and weightings of the constituents of the Minimum Variance Germany focus on minimizing the portfolio variance, while the new Maximum Sharpe Ratio Index also maximizes what is known as the Sharpe ratio. This ratio represents a portfolio’s yield taking into account the risk attached to the equities contained in the portfolio. The Sharpe ratio measures how much higher the rate of return of an investment was compared to the risk-free interest rate and with which volatility this rate of return was obtained.
The new portfolio indices offer investors the opportunity to benefit directly from portfolio theory findings in a systematic manner. This means that Deutsche Börse is the world’s first provider to offer a transparent and strictly rule-based index innovation that is easy to replicate and tracks passive risk/return-optimized investment strategies in a straightforward, cost-effective manner.
DAXplus® Maximum Sharpe Ratio Germany tracks a portfolio comprising a maximum of 30 DAX® stocks. The individual shares included in the index are selected primarily according to their variance and correlation with each other. Shares with a weighting of 0 percent according to the variance analysis are not included. The index is adjusted on a quarterly basis, and is calculated in EUR, USD and GBP, as well as in the form of both a price index and a total return index. The individual shares are capped at 10 percent.
DAXglobal® Next-11 is based on what is known as Next-11 concept of the Goldman Sachs investment bank. Goldman Sachs identified eleven emerging markets with an expected high growth potential -- as with the BRIC countries – over the next few years. This index bundles the 40 largest and most liquid stocks from Vietnam, Indonesia, Pakistan, South Korea, Turkey, Mexico and the Philippines. Shares of the remaining four Next-11-countries Egypt, Bangladesh, Iran and Nigeria are currently difficult for investors to access and are therefore not included in the index at present.
The level of a country’s gross domestic product determines how many of its stocks are included in the index. Weighting depends on market capitalization and daily trading volume. The maximum weight for each country is 25 percent; the company cap is at 10 percent. As a general rule, the calculation is based on the share prices on the respective country‘s domestic exchange; Mexico is represented by means of American Depository Receipts (ADRs) traded on the New York Stock Exchange and NASDAQ. For Vietnam, only shares listed on the Ho Chi Min City Exchange will be included. The index is adjusted and re-balanced on a quarterly basis, while the index composition is reviewed annually in September.
„With DAXglobal® Next-11 we have created a liquid index which enables investors to offer customized derivative products on regions that would otherwise be difficult to invest in”, says Hartmut Graf, Head of Issuer Data und Analytics at Deutsche Börse.
The index will be used exclusively by JPMorgan as an underlying for structured products. “The DAXglobal Next-11 Index is providing a transparent way of investing in these promising economies, which offer tremendous upside potential”, says Lucia Pelliccioli, executive director at JPMorgan in London, who will offer a range of structured products referencing the index.
Market Data & Analytics calculates and publishes a total of more than 2,100 indices in totalindices in total. Deutsche Börse thus ranks among the world’s major index providers. Market Data & Analytics also compiles, distributes, and markets independent capital market information, such as price data, trading statistics, and back office information for banks and financial institutions.
