Germany-based index provider Solactive AG has launched the Solactive SuperRegion Select Index, a new smart beta reference for high dividend firms with low price volatility listed in Asia, Europe and the US. The index can be used as a basis for investment products such as ETFs.
Astrid Ludwig, Head of Indexing, Solactive AG.
The strategy looks to blend high dividend payers with a low volatility screen, providing investors with an income buffer with added defensiveness through investing in names that have demonstrated less sensitivity to market movements.
The index is composed of 75 stocks, 25 per geographic region. Firms are selected by first choosing the top 100 securities ranked by realized dividend yield for every region and subsequently applying a historical volatility filter, whereby only the 25 least volatile shares per region make it to the final index composition.
The region with the highest historical performance by weighted returns, since the previous adjustment date, is assigned an index weight of 50%, while the other regions are allocated a weight of 25%, respectively.
Within each region, components are weighted according to the inverse of their 12 month historical volatilities.
Astrid Ludwig, Head of Indexing, Solactive AG, commented: “Asia, Europe and the US are home to the most important financial centres in the world. The depth and liquidity characterising some capital markets in these regions represent an invaluable resource for investors. The Solactive SuperRegion Select Index can provide investors with the possibility of taking advantage of potential regional momentum trends, while seeking to avoid geographical concentration.”
The index is available as a price return index, denominated in euros, and will be adjusted according to a quarterly reconstitution and rebalancing schedule.
Using back-tested data, the index has returned 6.4% per annum since its base date of 12 November 2003 with an annualized volatility of 11.3%. It is currently assigning half the index’s weight to stocks from Europe with the remainder split between US- and Asia-listed shares.
Source: Solactive.
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PowerShares S&P 500 High Dividend Low Volatility UCITS ETF (LON: HDLV): TER – 0.30%
PowerShares FTSE UK High Dividend Low Volatility UCITS ETF (LON: UKHD): TER – 0.39%
PowerShares EURO STOXX High Dividend Low Volatility UCITS ETF (LON: EUHD): TER – 0.30%
PowerShares FTSE Emerging Markets High Dividend Low Volatility ETF (LON: EMHD): TER – 0.49%