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S&P Introduces
Risk-Controlled Indexes
S&P rolled out two new strategy
indexes in mid-May designed for
risk-weary investors that are alternate
versions of two of its bestknown
benchmarks—the S&P 500
and the S&P/ASX 200, which tracks
the Australian market.
The S&P 500 Risk Control 10%
Index and the S&P/ASX 200 Risk
Control 15% Index target different
levels of volatility—10 percent and
15 percent, respectively, as the
indexes’ names would imply. The
indexes adjust their exposure to
match their volatility levels, either
decreasing exposure when volatility
of the original index is too high or
using leverage to increase exposure
when the volatility of the original
index is too low.
The index provider already offered
risk-controlled versions of its benchmark
indexes covering the BRIC countries,
Southeast Asia, Latin America
and the global infrastructure sector.
Barclays Unveils Global
Target ‘Exceed’ Index
May saw the launch of a new
strategy index from Barclays Capital
via its “Exceed” family of indexes.
The Barclays Capital Global Target
Exceed Index, like all the indexes
in the Exceed series, according to
Barclays, “aims to extract alpha from
term premium in the short end of
the yield curves in a fully transparent
and liquid way by trading libor
futures contracts.”
Barclays already has a few indexes
of this nature tracking the yield
curves of the U.S dollar and the
euro, alone and in combination, but
the new index provides exposure to
the yield curves of four currencies:―
the U.S. dollar, the euro, the British
pound and the Japanese yen.
Barclays says the index’s performance
can be accessed via a range of
investable products including swaps,
options and principal-protected
notes, among others.
News
FTSE And Renaissance Capital
Launch IPO Indexes
Index provider FTSE Group has
partnered with research house
Renaissance Capital to launch a
series of indexes tracking the performance
of initial public offerings
in the U.S. The launch of the flagship
index, the FTSE Renaissance IPO
Composite Index, was announced in
mid-April.
IPOs are added to the index on
their first day of trading and remain
for two years, or about 500 trading
days. According to FTSE, IPOs often
must wait three months before joining
most standard benchmarks, causing
investors to miss out on what can
be a very strong performance period.
Renaissance Capital focuses its
research on IPOs, and previously
calculated its own index tracking the
U.S. IPO market.
MSCI Launches ‘Tilt’ Indexes
In late March, MSCI announced
the launch of the first indexes of a
new series. The MSCI Factor indexes
are designed to maximize their
exposure to a single source of risk—
identified as a “factor” in the Barra
risk models—while controlling their
exposure to other sources of risk
and seeking to track the original
benchmark equity index as closely
as possible.
The first two members of the
new index family include the MSCI
Europe Momentum Tilt Index and
the MSCI Europe Value Tilt Index,
which are derived from the benchmark
MSCI Europe Index.
According to MSCI, the new indexes
are designed for use in portfolio
analysis and construction and also to
underlie investable products.
Markit And BlueNext
Create Emissions Indexes
Markit, a firm known for its fixedincome
and CDS indexes, is teaming
up with carbon-trading exchange
BlueNext in a partnership that
includes the creation of a new set of
carbon emission credit indexes.
The first two benchmarks to be
launched under the joint venture are
the Markit BlueNext EUA 1 Spot Index
and the Markit BlueNext CER Spot
Index. The former tracks the performance
of European Union allowances
(EUAs) under the EU Emission Trading
System, while the latter tracks the
performance of certified emission
reductions (CERs), which are defined
by the Kyoto Protocol. Both an EUA
and a CER are equal to one tonne of
carbon dioxide.
The announcement from Markit
and BlueNext implied that more products—indexes
and otherwise—would
be forthcoming, but it did not specify
what might be down the road.
DJI Suspends Distressed
Securities Hedge Index
Dow Jones temporarily suspended
publication of its Dow Jones Hedge
Fund Distressed Securities Strategy
Benchmark in early May. The suspension
is open-ended until further
notice, according to the company.
Dow Jones said the decision was
made jointly with the investment
manager of the managed account
platform that supports the Dow Jones
hedge fund index family and was
made due to market conditions.
Previously, on Jan. 2, the index
provider halted publication of the
Dow Jones Hedge Fund Convertible
Arbitrage Strategy Benchmark. That
index remains suspended. However,
Dow Jones noted that its remaining
strategies—Equity Long/Short, Equity
Market Neutral, Event Driven and
Merger Arbitrage—will continue to
be published on an end-of-day basis.
FTSE And Borsa Italiana
Debut Index Family
It was announced earlier this year
that FTSE would take over the calculation
of the indexes for the Borsa
Italiana from S&P, and the index provider
unveiled a preliminary index
lineup in April.
The indexes are constructed based
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July/August 2009