STOXX Introduces New Suite Of Smart Beta Indices

STOXX Limited, a leading provider of innovative, tradable and global index concepts, today introduced the STOXX Select and STOXX Diversification Select index families. These new indices are derived from major STOXX benchmarks, measure the performance of companies with low volatility, high dividend yield, and – in case of the STOXX Diversification Select Indices – low correlations. Index components are weighted by the inverse of their volatility.

The STOXX Select and STOXX Diversification Select index families are specifically designed as liquid underlyings for financial products such as exchange traded-funds and structured products. The combination of low volatility, high dividend and low correlation screens in the index methodology sets an attractive pricing framework especially for the latter of these products.

“STOXX, as the marketing agent for the DAX indices, is the leading index provider in the structured products space, both in Europe and on a global level,” said Hartmut Graf, chief executive officer, STOXX Limited. “Drawing from this extensive experience, we have now introduced the STOXX Select and STOXX Diversification Select Indices, which meet both structured products issuers and end-investor needs by introducing screens for low volatility, high dividends and low correlation, paired with an inverse volatility weighting scheme.”

The universe for each index in the STOXX Select and STOXX Diversification Select families is the respective parent index. For the STOXX Select Indices, all companies are screened for data availability and liquidity. From the remaining stocks, those with high volatility are excluded, and those with high dividend payments are selected. For the STOXX Diversification Select Indices, an extra screening is added at as a first step: those stocks whose average correlation with other stocks from the base universe is too high are excluded as well. In order to ensure that these screens are applied in a balanced way, an “Equal Strength Ratio” is calculated, which sets a variable threshold for the exclusions and additions, according to the number of stocks that remain in each index after the initial data availability and liquidity screens.

The volatility and correlation are calculated on prices which are in the currency of the final index. Thus, one index calculated in euro might have a different composition than another similar index based on the same benchmark but calculated in US dollar. For example, the STOXX Global Select 100 EUR and the STOXX Global Select 100 USD should be seen as two different indices, since the first one’s composition has been calculated based on parameters calculated on euro prices while the second one used parameters calculated on US dollar prices.

The constituents in the STOXX Select and STOXX Diversification Select indices are weighted according to the inverse of their volatility, with a cap at 10%.

Please see the table below for a full list of available indices in different currencies and versions:

Parent Index	STOXX Select Index	STOXX Diversification Select Index
STOXX Global 1800	STOXX Global Select 100 EUR	STOXX Global Diversification Select 100 EUR
STOXX Global 1800	STOXX Global Select 100 USD	STOXX Global Diversification Select 100 USD
STOXX Europe 600	STOXX Europe Select 50 EUR	STOXX Europe Diversification Select 50 EUR
STOXX North America 600	STOXX North America Select 50 USD	STOXX North America Diversification Select 50 USD
STOXX Asia/Pacific 600	STOXX Asia/Pacific Select 50 JPY	STOXX Asia/Pacific Diversification Select 50 JPY
EURO STOXX	EURO STOXX Select 50 EUR	EURO STOXX Diversification Select 50 EUR
STOXX Emerging Markets 1500	STOXX Emerging Markets Select 100 EUR	STOXX Emerging Markets Diversification Select 100 EUR
STOXX Emerging Markets 1500	STOXX Emerging Markets Select 100 USD	STOXX Emerging Markets Diversification Select 100 USD
STOXX USA 900	STOXX USA Select 50 USD	STOXX USA Diversification Select 50 USD
STOXX Japan 600	STOXX Japan Select 50 JPY	STOXX Japan Diversification Select 50 JPY
STOXX Canada Total Market	STOXX Canada Select 30 CAD	STOXX Canada Diversification Select 30 CAD
STOXX Global ESG Leaders	STOXX Global ESG Leaders Select 50 EUR	STOXX Global ESG Leaders Diversification Select 50 EUR
STOXX Global ESG Leaders	STOXX Global ESG Leaders Select 50 USD	STOXX Global ESG Leaders Diversification Select 50 USD
All European stocks from the Global ESG Leaders index	STOXX Europe ESG Leaders Select 30 EUR	STOXX Europe ESG Leaders Diversification Select 30 EUR
STOXX Europe Sustainability	STOXX Europe Sustainability Select 30 EUR	STOXX Europe Sustainability Diversification Select 30 EUR
STOXX Europe Christian	STOXX Europe Christian Select 30 EUR	STOXX Europe Christian Diversification Select 30 EUR
STOXX Europe Islamic	STOXX Europe Islamic Select 30 EUR	STOXX Europe Islamic Diversification Select 30 EUR
STOXX Europe True Exposure 50%	STOXX Europe True Exposure 50% Select 30 EUR	STOXX Europe True Exposure 50% Diversification Select 30 EUR
STOXX Europe True Exposure 50%	STOXX Europe True Exposure 50% Select 30 USD	STOXX Europe True Exposure 50% Diversification Select 30 USD
STOXX Europe International Exposure	STOXX Europe International Exposure Select 30 EUR	STOXX Europe International Exposure Diversification Select 30 EUR
STOXX Europe International Exposure	STOXX Europe International Exposure Select 30 USD	STOXX Europe International Exposure Diversification Select 30 USD

Please visit www.stoxx.com for further information.