The concept of the DAXplus Maximum Sharpe Ratio and the DAXplus Minimum Variance is based on the portfolio theory. With the minimum variance approach, the selection and weighting of the constituents are aimed at minimizing portfolio variance, while the Maximum Sharpe Ratio Index maximizes the Sharpe ratio. This performance indicator reflects the return of a portfolio, taking into account the risk potential of the equities it contains. The Sharpe ratio measures the extent to which the return on an investment exceeds the risk-free interest rate and the volatility at which this return was generated.
The new indices will contain the most liquid shares in each case. A maximum of 50 stocks will be accepted into the indices for the USA respectively, while 30 will be included for Japan, France and Switzerland. The indices will be adjusted on a quarterly basis, and calculated in EUR, USD and GBP, as well as in the form of both a price index and a total return index.
The new portfolio indices allow investors to benefit directly and systematically from the findings of the portfolio theory. Deutsche Börse is offering the world’s first strictly rule-based and easily replicable index innovation, which tracks passive risk/return-optimized investment strategies in a straightforward and cost-effective manner.
ABN Amro is issuing certificates on the new strategy indices for the countries Germany, Switzerland, Japan and the US.
“The DAXplus Minimum Variance and DAXplus Maximum Sharpe Ratio indices are revolutionizing the index landscape. For the first time, the findings of modern portfolio theory have been applied to the country index system. Index back-calculations prove that the systematic application of the Minimum Variance or Sharpe Ratio criterion leads not only to an improved risk/return profile, but also to better index performance as against the relevant blue chip indices,” said Stefan Gresse, Head of Public Distribution Central Europe, Private Investor Products at ABN AMRO Bank N.V.
DAX®, DAXplus® and DAXglobal® are registered trademarks of Deutsche Börse AG.
