Dow Jones Europe Titans 80 Volatility Risk Control,
Dow Jones Eurozone Titans 80 Volatility Risk Control Indexes
Support Dow Jones Indexes’ expansion plans in Europe
Dow Jones BRIC 50 Volatility Risk Control Indexes to track performance
of leading stocks, at various levels of volatility, in four key countries
LONDON (September 13, 2011) — Dow Jones Indexes, a leading global index provider, today announced the launch of three series of indexes designed to target various levels of volatility.
The new index families are:
• the Dow Jones Europe Titans 80 Volatility Risk Control Indexes;
• the Dow Jones Eurozone Titans 80 Volatility Risk Control Indexes; and
• the Dow Jones BRIC 50 Volatility Risk Control Indexes.
Each series includes four indexes targeting predetermined levels of market volatility (5%, 10%, 15%, 20%) by dynamically allocating between an underlying index and a cash component represented by EONIA (Euro OverNight Index Average) . Volatility levels are reflected in the index by leveraging (up to 150%) or deleveraging (relative to cash) exposure to the equity components in the underlying index.
The Dow Jones Europe Titans 80 Volatility Risk Control and Dow Jones Eurozone Titans 80 Volatility Risk Control Indexes are the latest examples of Dow Jones Indexes’ expanded offerings for the European region; in June 2011, the firm launched two European blue-chip stock gauges, the Dow Jones Europe Titans 80 Index and the Dow Jones Eurozone Titans 80 Index, measuring leading companies within each region and the indexes on which the new volatility risk control indexes are based.
“In an uncertain marketplace, the volatility risk control indexes offer a tool for investors who are increasingly looking for ways to gauge levels of risk in their portfolio,” said Michael A. Petronella, President, Dow Jones Indexes. “And the new Europe and Eurozone indexes clearly underline our commitment to expanding our suite of indexes in Europe.”
In keeping with the long-established methodology Dow Jones Indexes uses to create and maintain its other “Titans”-branded indexes, the blue-chip indexes underlying the Dow Jones Europe Titans 80 Volatility Risk Control Indexes and Dow Jones Eurozone Titans 80 Volatility Risk Control Indexes follow a more-robust methodology than their competitors, with float-adjusted market capitalization, revenue and net profit used as selection criteria. The indexes track the performance of leading stocks that trade in the developed markets of Europe and the Eurozone.
The Dow Jones BRIC 50 Volatility Risk Control Indexes are based on the Dow Jones BRIC 50 Index, which measures — by size and liquidity — leading stocks traded in theBrazil,Russia,India and offshoreChina markets.
“With the Dow Jones BRIC 50 Volatility Risk Control Indexes, we are able to track the performance of leading companies, at various levels of volatility, in four key countries,” said Mr. Petronella.
The indexes’ 30-day realized volatility is calculated daily. Allocation adjustments are made only if the index formula specifies an allocation change (either positive or negative) of 5% or more relative to the previous day’s index level.
The indexes are weighted based on float-adjusted market capitalization, subject to a 10% cap.
Calculation of the Dow Jones Volatility Risk Control indexes began on September 13, 2011. Back-tested historical data have been calculated daily back to February 28, 2003 the date at which the indexes’ base value was set at 1000.