Download - IndexUniverse.com

News
be added to MSCI’s global benchmarks.
The broad-market Global Small Cap
Indexes added 362 securities during
this rebalancing and deleted 165.
Among them, the largest additions
to the World Small Cap Index
were U.S.-based FTI Consulting and
Aqua America, as well as U.K.-based
Ladbrokes.
The changes reflect the growing
strength of emerging markets and recent
outperformance by small-cap names.
DJI Launches Islamic
Index For China
Investors interested in investing
according to the dictates of Islam now
have a benchmark that covers China.
The Dow Jones Islamic Market Greater
China Index tracks companies based
in Hong Kong, Taiwan and mainland
China, and applies Dow Jones’ methodology
for screening out stocks that
are not Shariah compliant.
Individual component weights in
the greater China index are capped at
10 percent of the index, and Taiwan’s
weight specifically is capped at 30 percent
of the index. At launch, the index
comprised 290 components; the top
five included China Mobile Ltd., China
Unicom (Hong Kong) Ltd., CNOOC
Ltd., Hon Hai Precision Industry
Co. Ltd. and Taiwan Semiconductor
Manufacturing Co. Ltd.
Use of the new index as a benchmark
has already been granted via
license to Malaysia-based Prudential
Fund Management Berhad, which
originally approached Dow Jones
about designing the index.
S&P Rolls Out UCITS-
Compliant S&P GSCI
In September, Standard & Poor’s
rolled out three new commodity indexes
that are designed to comply with the
requirements of the European Union
UCITS III rules for diversification.
The S&P GSCI Capped Commodity
35/20 Index covers all 24 of the commodities
in the S&P GSCI, but the first
component to reach 35 percent of the
index is capped at that weight. All
other components are capped at 20
percent, and sector weights are kept
in line with the original S&P GSCI.
The S&P GSCI Capped Component
35/20 Index covers only 18 of the 24
component commodities. It caps the
largest one at 35 percent of the index,
and the rest at 20 percent, but with
no regard for sector weights. The S&P
GSCI Enhanced Capped Component
35/20 Index uses a similar weighting
methodology but applies it to the S&P
GSCI Enhanced Index.
S&P Launches
Enhanced Oil Index
In September, Standard & Poor’s
launched the S&P GSCI Crude Oil
Enhanced Index, which covers the WTI
crude oil futures traded on the CME/
NYMEX. The new index is a subindex
of the broad S&P GSCI Enhanced Index.
Like its parent index, the oil index uses
an “enhanced” roll methodology that
takes “dynamic” factors into account in
its roll schedule, with the intention of
outperforming the standard index by
minimizing the effects of contango.
According to the methodology for the
S&P GSCI Enhanced Index, the WTI crude
oil contract “rolls from the 1st contract
month to the 6th contract month if the
contango between 1st and 2nd contract
month is more than 0.50%.”
S&P Launches VEQTOR Index
November saw the launch of the
S&P 500 Dynamic VEQTOR Index, a
strategy index that makes daily allocations
among the S&P 500, the S&P 500
Short-Term VIX Futures Index and the
overnight LIBOR rate, which represents
a cash component.
The daily adjustments to the weightings
of the three factors are determined
by realized and implied volatility trend
decision variables. A stop-loss provision
in the index’s methodology moves the
index’s entire allocation to cash should
the index drop more than 2 percent
during the previous five business days.
The VEQTOR index is designed with
the intention of providing investors
with a way to hedge against downside
risk in the market using volatility, an
indicator known for its negative correlation
to stock returns. The new index
is a member of S&P’s family of indexes
based on the volatility of the S&P 500.
Russell Unveils Target Date
Performance Index
In September, Russell Investments
announced the creation of its Russell
Target Date Metric.
Essentially a customized index to
measure the performance of individual
target date fund families—as
opposed to individual funds within a
family—it is targeted at investment
professionals, such as plan sponsors
and financial advisers, who need to
evaluate entire fund families rather
than just individual funds.
Technically, the RTDM is an index
that measures how well a fund family
performs against any corresponding
family of target date indexes, but
Russell uses a benchmark of its own
as a default. The RTDM also incorporates
active management, asset allocations,
glide path design and the
assumption of cash flows, according
to Russell.
At the time of the announcement,
Russell said it was calculating the
RTDM for 43 different target date fund
families, with the launch set for the
fourth quarter.
BNY Mellon Launches
Depositary Receipt Composite
In November, Bank of New York
Mellon announced the rollout of the
BNY Mellon Composite Depositary
Receipts Index, which essentially covers
the entire universe of American
and global depositary receipts listed
on the NYSE, NASDAQ, NYSE Amex
and London Stock Exchange, and
over-the-counter.
The broad index has 657 component
depositary receipts. It is weighted by
market capitalization and is adjusted for
free float using the float methodology
developed by Dow Jones Indexes.
As of the end of September, the largest
country in the index was the United
Kingdom, at 19.26 percent, followed by
Japan and France at 14.09 percent and
9.87 percent, respectively.
58
January/February 2010