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Global Russell Indexes Target Stability
In October, Russell Investments launched global versions of the U.S.-focused “stability” factor-based indexes it debuted in February that are designed to separate companies based on whether they are likely to thrive in a healthy economy or reliably weather the storm of a downturn. The benchmarks include the Russell Global Defensive and Dynamic Indexes.
The cap-weighted benchmarks blend various fundamental factors—such as leverage, returns on assets and earnings at a company level—with market volatility in an effort to determine how susceptible a company is to a changing economic environment.
After being ranked, the chosen equities are then split into halves—one more stable and the other riskier. Those halves are then grouped into so-called Defensive indexes on the one hand and Dynamic indexes on the other, the company said in a press release.
In the global version, stocks are ranked by sector and style across regions rather than by country in an effort to better reflect the way investors approach global market exposure, the company said in the release.
FTSE Expands IPO Indexes
In late September, FTSE announced it would be adding another 53 indexes to its IPO index series. Newly rechristened the FTSE Renaissance Global IPO Index Series, it covers 518 stocks from developed and emerging markets around the world, and can be broken out into country and regional benchmarks.
According to the press release, customized sector-based indexes derived from FTSE’s Industry Classification Benchmark are also available, in addition to other types of bespoke indexes.
Eligible components of FTSE’s IPO indexes are typically added to the series when they begin trading and remain for roughly two years, the release said.
MSCI Launches Blue-Chip ‘EM 50’
MSCI launched a version of its popular MSCI Emerging Market Index in early October that cherry-picks 50 of the broader index’s largest components, thereby alleviating some of the replication challenges associated with smaller, less liquid constituents.
The MSCI EM 50 Index remains highly correlated to the flagship index, and so is very tradable, the company said in a press release.
In the interests of liquidity, the methodology screens out markets with weightings of less than 3 percent in the MSCI Emerging Markets Index. Also, stocks from Brazil, India, Mexico and Russia are excluded from the selection universe due to investability issues; instead, those markets are represented through depositary receipts. Other screens are applied to maximize liquidity and investability for foreign investors, and the largest 50 securities are selected from the resulting selection pool based on free-float market capitalization, according to the index methodology.
New S&P Indexes Cover Asian Commodities Producers
In October, S&P introduced two indexes covering commodities producers in Asia, a press release said.
The S&P Asia Commodity Producers Oil, Gas and Coal Index and the S&P Asia Commodity Producers Agribusiness Index include securities from Asian markets, with the exception of China and India, and certain types of securities listed on the Thailand market. However, Hong Kong-listed securities for Chinese companies are eligible.
The indexes pull their components from the S&P Pan Asia BMI, according to the press release. The energy-commodities index includes stocks from the oil & gas exploration & production and the coal & consumable fuels categories of the Global Industry Classification Standard. The agribusiness index covers stocks from the agricultural products, the construction & farm machinery & heavy trucks, the fertilizers & agricultural chemicals and the packaged foods & meats designations.
The indexes are weighted by modified-market capitalization, and cap the weightings of China and Hong Kong listings at a total of 40 percent, the press release said.
Markit Leveraged Loan Index Debuts
Markit unveiled its Markit iBoxx USD Liquid Leveraged Loan Index in mid-October.
Leveraged loans are typically made to heavily indebted borrowers and carry a higher rate of interest due to their greater likelihood of default. The Markit index draws its 100 components from a universe of 3,000 such loans denominated in U.S. dollars. They are selected based on a variety of liquidity factors, with prices based on multiple independent sources, the press release said.
The company already had a broad leveraged loan index with 850 components, the Markit iBoxx USD Leveraged Loan Index, according to the press release.
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2012
