S&P Europe 350 Low Volatility Index Launched by S&P Dow Jones Indices

New Index Measures the Performance of the 100 Least Volatile Stocks
In the S&P Europe 350 Index

London, August 21, 2012 – S&P Dow Jones Indices announced today the launch of the S&P Europe 350 Low Volatility index, which is designed to measure the performance of the least volatile stocks within the S&P Europe 350, an equity index drawn from 17 major European markets, covering approximately 70% of the region’s market capitalization. The launch of the S&P Europe 350 Low Volatility index follows similar low volatility launches of indexes covering emerging markets and developed countries ex-US.

The constituents of the S&P Europe 350 Low Volatility index are weighted by the inverse of their volatility, with the least-volatile stocks receiving the highest weights. The Index’s sector exposure is unconstrained and dynamic, responding only to volatility signals.

Vinit Srivastava, director of strategy indices at S&P Dow Jones Indices comments, “Given the volatility in the European equity markets, the S&P Europe 350 Low Volatility index provides market participants with a unique measuring tool for specific stock characteristics within the S&P Europe 350. This new, transparent Index exhibits strong risk and return characteristics, which could be expected to continue given the existence of low volatility anomalies in the equity markets.”

The S&P Europe 350 Low Volatility index follows the recent launch of the S&P 500 Low Volatility index and the S&P/TSX Composite Low Volatility index in the beginning of 2011, as well as the launch of the S&P Emerging Markets Low Volatility index and the S&P International Developed (ex US) Low Volatility index late 2011.

S&P Dow Jones Indices recently published a white paper on the low volatility effect. To access this paper, please visit http://us.spindices.com/resource-center/thought-leadership/research/.

Below is a table of S&P Europe 350 Low Volatility index’s country weight (all data as of 29 June 2012):

Country

Country Weight

 
UK

46.96%

 
France

10.79%

 
Switzerland

10.12%

 
Germany

7.67%

 
Netherlands

6.40%

 
Belgium

4.04%

 
Sweden

3.60%

 
Norway

2.55%

 
Luxembourg

2.02%

 
Spain

1.77%

 
Ireland

0.93%

 
Italy

0.92%

 
Denmark

0.92%

 
Austria

0.81%

 
Portugal

0.50%

 
Grand Total

100.00%

 

Source: S&P Dow Jones Indices

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