FTSE Group, a leading global index provider, has announced the launch of the FTSE Super Liquid Index Series (SLQ), a broad family of real-time free float market-capitalisation-weighted indices designed to mimic the characteristics of key FTSE indices via a smaller, highly liquid universe of stocks.
The FTSE Super Liquid indices identify and select the most liquid stocks from within each industry of the underlying index.
The indices incorporate a unique quantitative liquidity screening methodology that identifies and selects the most liquid stocks from within each industry of the underlying index.
The resulting basket of stocks exhibits reduced implementation, maintenance and replication costs, whilst retaining the industry weightings and performance characteristics of the parent index.
As well as reducing trading costs, the indices are likely to appeal to investors who wish to help protect their portfolios from stock market stress. By targeting the most liquid stocks – and excluding smaller, less frequently traded names – the index portfolios are better positioned in the event that market liquidity dries up.
Commenting on the launch, Peter Gunthorp, Managing Director, Research & Analytics, FTSE Group, said: “With the launch of the FTSE SLQ index series we are taking an innovative approach to creating index products by focusing on liquidity and diversification characteristics. The greater degree of liquidity is achieved by using two established liquidity measures – traded value and market impact – allowing investors to replicate an index in a cost-effective way.”
Sudir Raju, Managing Director, ETP Relationships, FTSE Group, added: “We are very excited about the new FTSE SLQ index family and the opportunities that it will bring to the market. We believe that the result of this design process will offer significant value and choice to large trading counterparties on both the buy and sell side of the markets.”
The series includes 11 global, regional and single country indices, which are calculated in price, net and total return variations:
FTSE Developed Large Cap Super Liquid Index
FTSE Emerging Large Cap Super Liquid Index
FTSE Developed Europe Large Cap Super Liquid Index
FTSE Developed Europe ex UK Large Cap Super Liquid Index
FTSE Eurobloc Large Cap Super Liquid Index
FTSE Developed Asia-Pacific Large Cap Super Liquid Index
FTSE Developed Asia-Pacific ex Japan Large Cap Super Liquid Index
FTSE UK Large Cap Super Liquid Index
FTSE UK Mid Cap Super Liquid Index
FTSE USA Large Cap Super Liquid Index
FTSE Japan Large Cap Super Liquid Index
The indices are UCITS and CFTC compliant and have been designed to act as underlyings for investable products such as exchange-traded funds (ETFs) and other exchange-traded products (ETPs), and as performance benchmarks for managed funds.