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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 fixed-income 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 on FTSE’s rules and methodologies for the most part, but the FTSE MIB will be the same index as the existing S&P/MIB index, just rebranded. The new index regime will feature liquidity screens and minimum float requirements, among other modifications, and foreign-listed stocks will be excluded from all but the FTSE MIB and the all-share index.
Other notable changes include the replacement of the mid-cap and all-share indexes by FTSE-designed indexes and replacement sector indexes based on FTSE’s ICB classification system. FTSE will also launch a small-cap index and a micro-cap index.
Perhaps most interestingly, the blue-chip MIB 30 will be discontinued, along with a few other indexes.
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