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STOXX Limited, a leading provider of innovative, tradable and global index concepts, today announced the launch of the EURO iSTOXX 50 Style Weighted and EURO iSTOXX 50 Style Weighted Decrement Indices. The latter has been licensed to Natixis for a structured product.
The EURO iSTOXX 50 Style Weighted Index, using three style factors – value, quality and size – reweights the components of the prominent EURO STOXX 50 benchmark. The index includes all the components of the EURO STOXX 50 but with a weighting scheme that is based not only on free-float market cap but also on a score calculated using style factors.
The EURO iSTOXX 50 Style Weighted Decrement Index is derived from the EURO iSTOXX 50 Style Weighted Index and replicates the return of an investment into the net return version with a constant markdown of 5.5% subtracted on an accrued basis.
“Through this unique concept, we offer market participants a smart-beta index based on the EURO STOXX 50 that takes the themes of value, quality and size into consideration,” said Hartmut Graf, chief executive officer, STOXX Limited. “While the EURO STOXX 50 weights components based on free-float market cap, the EURO iSTOXX 50 Style Weighted has an innovative weighting scheme that reflects more than just the size of a company.”
Selim Mehrez, global head of Equity Derivatives within the Corporate and Investment Banking division of Natixis, said: “The EURO iSTOXX 50 Style Weighted Index is part of a new generation of indices, whose objective is to optimize exposure to the 50 shares which compose the EURO STOXX 50, in order to favor Eurozone companies with the best business fundamentals. The index weightings are computed with a model that analyzes the financial structure (profitability, growth potential) of each company in the selection. This index will allow Natixis to expand the range of investment solutions to both its retail and institutional clients.”
For the EURO iSTOXX 50 Style Weighted Index, a score is calculated for each component. The score is based on return on equity, price-to-book ratio and free-float market cap. Companies ranked 1 to 10 get a weight of 5%, from 11 to 20 get a weight of 2.5%, from 21 to 30 get a weight of 1.5%, from 31 to 40 get a weight of 0.75% and from 41 to 50 get a weight of 0.25%.
The EURO iSTOXX 50 Style Weighted Index is available in euro for price, net and gross return versions. The EURO iSTOXX 50 Style Weighted Decrement Index is available in euro for the price return version. Historical data for both indices is available from Mar. 19, 2001.
For more information, please visit www.stoxx.com.
