STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today announced the launch of the…
Sign up for our weekly Newsletter and receive the latest ETF and ETC news. Click here to register for your free copy
STOXX Global Strong Quality 50, STOXX Europe Strong Quality 30, STOXX Asia/Pacific Strong Quality 30 and STOXX USA Strong Quality 50 indices, which represent strong quality companies in the respective region. The new indices are designed to act as an underlying for exchange-traded products and other investable products, and as a benchmark for actively managed funds that share the same investment philosophy.
“With the launch of the STOXX Strong Quality Index family, we offer market participants a tool to access the performance of highly profitable companies that sell at attractive valuations when compared to their peers,” said Hartmut Graf, chief executive officer, STOXX Limited. “Strong quality companies tend to share the following traits: these businesses are less prone to distress, they tend to have longer cash flow durations and enjoy lower levels of operating leverage. Through a set of powerful fundamental screening metrics, our new indices offer market participants access to these companies.”
The index universe for the STOXX Strong Quality Indices is the STOXX Global 1800 Index. Each of the new regional indices is derived from the respective regional base index, i.e. the STOXX Europe 600, STOXX Asia/Pacific 600 and STOXX North America 600 indices. For the STOXX USA Strong Quality 50 Index, all Canadian stocks in the base index are excluded from the index universe.
To be eligible for inclusion in the STOXX Strong Quality Indices, companies must have a minimum 3 month average daily trading volume (ADTV) of Euro 10 million for the global and USA indices, and Euro 5 million for the remaining indices. Furthermore, a set of strict numerical thresholds must be passed in order to establish desired company profitability and liquidity levels, and to build an investment margin of safety. Firstly, a company’s return on capital (ROC) must be positive for each fiscal year during the last 36 months. Secondly, their operating liquidity – as measured by trailing 12 month current ratios – must be greater than one. Lastly, individual company EBITDA/EV readings are evaluated against the US AAA Bond Yield (where all companies with negative relative valuation yields are excluded). Companies are ranked from most to least attractive in each of the above three categories, and an average of the three is calculated. Companies with the best ranking are then selected for index inclusion until the respective number of components for the index is met.
The STOXX Strong Quality Indices are available in free float market capitalization weighted and equal weighted versions. Components are subject to a 10% weighting cap. The indices are reviewed annually and rebalanced on a quarterly basis. The STOXX Strong Quality Indices are calculated in price, net return and gross return versions, and are available in Euro and US dollar. Daily historical data is available back to June 23, 2003.
Source: ETFWorld – STOXX Limited
Lascia un commento