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In an effort to respond to the increasing demand for fundamental indexing strategies, Solactive is introducing the Solactive Deep Value Index family. This family encompasses four indices created around a deep value screening methodology which combines fundamental filters of stock selection with specific volatility and dividend filters. The indices included in the family offer exposure to targeted geographic regions.
Specifically, the Solactive European Deep Value Select 50 Index and the Solactive US Deep Value Select 50 Index are composed of 50 European and US shares, respectively.
Meanwhile, the Solactive Atlantic Deep Value Select Index combines European and US companies and the Solactive Deep Value World MV GTR Index is a global version of the index which also includes a minimum volatility optimization.
The deep value screening methodology is based on a scoring system involving several fundamental metrics. Specifically, the first layer of fundamental evaluation assesses a company’s ability to meet financial obligations via a series of solvency ratios. The second level of screening scores companies on the basis of past earnings and past dividends as an indication of future income and payout prospects. Lastly, shares are evaluated on a number of price multiples to estimate a company’s financial performance relative to its share price. Shares exhibiting low volatility and paying dividends are then chosen as final index members.
Steffen Scheuble, CEO of Solactive, commented: “The Solactive Deep Value Index family tilts exposure towards factors that can potentially be associated with premium returns. We are pleased that BNP is offering its clients this range of underlyings which can serve as the basis for index-linked products providing direct access to a fundamentals screening approach.”
Stanislas Mesland, Head of Structured Product Underlyings at BNP Paribas, added: “As we experience various stages of the economic cycles, it is vital to perform in-depth fundamental analysis on investible companies. The Deep Value Index Family uses investment methodology designed to select sound investments even in challenging market situations. Following the success of the European version, BNP Paribas is pleased to offer clients a full range of Solactive Deep Value Indices across different geographies that serves as a great vehicle in meeting clients’ risk-return profiles.”
All the indices in the Solactive Deep Value Family are calculated as price return, net total return and gross total return. The Solactive European Deep Value Select 50 Index and the Solactive US Deep Value Select 50 Index are equally-weighted. The Solactive Atlantic Deep Value Select Index is composed of the Solactive European Deep Value Select 50 Index and the Solactive US Deep Value Select 50 Index, with respective weights of 70% and 30%. The Solactive Deep Value World MV GTR Index is weighted according to minimum variance optimization. All indices are rebalanced monthly.
