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EMIX Europe Low Volatility - Brochure

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EMIX Europe Low Volatility Index

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EMIX Europe Low Volatility - Brochure

  1. 1. The EMIX Europe LowVolatility Index
  2. 2. “Sinceweacquiredourindex business inautumn2013we havebeencarefullyassessing thebenchmarkingneeds ofthe financial industry.Wehave identifiedapressingneed amonginvestors foraccess to costeffective,robustindices whicharesuitedtotoday’s investmentenvironment.The inclusionofsmallercompanies inour indices offers amore completerepresentationofthe Europeanmarketthroughan investable,liquidindex.” Sui Chung, Managing Director, Euromoney Indices.
  3. 3. The EMIX Europe Low Volatility Index at a glance Introducing EMIX Europe Low Volatility TheEMIXEuropeLowVolatilityIndexoffersalowervolatility alternativeto thebenchmark EMIXEuropeIndex,abroadcapitalisationindexcomprisingEurope’slargestcompaniesand itsmostliquidsmallercompanies. Byselectingthestockswiththelowestvolatilities, whilstexcludingthosewithpoor liquidityandallowingforabroadindustry coverage, theEMIXEuropeLowVolatility Index bringstheadditionalbenefitsof: • Lower risk • High correlation with EMIX Europe • Access to the Low Volatility Premium Companiesintheindex 128 644 EMIX Europe Low Volatility EMIX Europe Weightingmethodology Inverse volatility Free float market cap Annualisedvolatility 11.6% 15.6% CorrelationvsEMIXEurope 93.6% 100.0% Valuesasat23March2015
  4. 4. Building EMIX Europe Low Volatility Liquidity screening AlthoughEMIX Europehas beendesignedwithliquidityinmind,itisafreefloatmarketcapitalisationweighted index. Assuch,asmallercompanywithlowervolatilitymightbeconsideredliquidatitsfreefloatmarket capitalisationweighting,butitwillbeless liquidatitsinversevolatilityweighting,whichisthemethodusedfor theEMIX EuropeLowVolatilityIndex.Consequently,allpotentialconstituentsoftheEMIXEuropeLow VolatilityIndexareexpectedtodemonstrateanaveragedailytradedvalue(ADTV)ofEUR5millionormore. Companies representedinEMIX Europebymorethanoneconstituenthaveonlytheirmostliquidconstituent consideredfortheEMIX EuropeLowVolatilityIndex. Distribution of constituents by volatility and liquidity, showing EUR 5m requirement Volatility ranking EachconstituentofEMIX Europehas its volatilitycalculatedasits252-daystandarddeviationofitsdaily returnsinEuros.Constituents withfewerthan252daysoftradingareexcluded. Constituentsarethenranked firstby whetherornottheypass theLiquidityScreeningandsecondbyascendingvolatilitywithintheirEMICS Industry Group.Finallyanoverallrankingis calculatedusingtherelativerankingacrossindustrygroupsofeach oftheconstituents. Quarterly rebalancing Eachquarter,theEMIX EuropeIndexis rebalanced.Followingthatrebalancing,theEMIXEuropeLowVolatility Index isrebalancedusingtheVolatilityRankingasthequantitywhichdeterminesaconstituent’sinclusionor exclusion. Any existingEMIX EuropeLowVolatilityIndexconstituentwhichranksinthefirst40%bynumberremainsin theindex.Existingconstituents rankingoutsidethefirst40%,orwhicharenolongerconstituentsoftheEMIX EuropeIndex,areremoved.Non-constituentsarethenadded,startingwiththestockwiththelowest VolatilityRanking,tomakethenumberofconstituentsoftheEMIXEuropeLowVolatilityIndexequalto20% ofthenumberofcompanies representedinEMIXEurope,andwhichhave252daysoftrading. Constituents areweightedbyInverseVolatility,withalimitplacedonthelowestvolatilityconstituentstoavoid disproportionatelyhighweightings. Volatility (%) ADTV(EUR) 100k 1m 1007550250 10m 100m 1000m EMIX Europe Low Volatility EMIX Europe
  5. 5. EMIX Europe Low Volatility Index Market weightings EMIX Europe Low Volatility EMIX Europe No. of Weight No. of Weight Market companies % companies % Austria 1 0.7 10 0.4 Belgium 3 2.5 14 2.1 Denmark 2 1.6 20 2.6 Finland 4 3.1 16 1.3 France 20 15.4 90 15.2 Germany 17 13.6 75 14.4 Greece 8 0.2 Ireland 1 0.8 8 0.8 Italy 2 1.3 45 4.1 Netherlands 8 6.5 27 4.1 Norway 1 0.6 15 1.1 Portugal 8 0.3 Spain 9 6.9 40 5.3 Sweden 6 4.5 42 4.9 Switzerland 20 17.0 50 13.6 UK 34 25.5 176 29.6 Total 128 100.0 644 100.0 Industry group weightings EMIX Europe Low Volatility EMIX Europe No. of Weight No. of Weight Industry group companies % companies % Natural resources 6 3.6 32 8.4 Basic materials 11 8.7 70 7.1 Industrial goods 10 7.3 72 10.0 Technology 6 4.2 30 3.9 Consumer goods 28 22.7 94 27.2 Business providers 33 25.4 150 16.3 Retail providers 8 6.4 46 4.1 Financial 26 21.6 150 22.9 Total 128 100.0 644 100.0 Index gross total returns since inception Dec06 Jun08 Jun09 Jun10 Jun11 Jun12 Jun13Jun07 Dec14Jun14Dec08 Dec09 Dec10 Dec11 Dec12 Dec13Dec07 50 0 100 150 200 –EMIX Europe Low Volatility –EMIX Europe
  6. 6. Committing to value EuromoneyIndices provides arangeoffullycomprehensivedataservices,includingdailyconstituentfiles, daily divisorandtraderfiles andafivedayforwardlookingcorporateactionscalendar. EMIXEurope’s fullytransparentlicences permittheuseoftheindexnameanddatainallmarketingmaterials, anywhereintheworld,bothinprintandonline. The EMIX Europe licences • IndexValues only • IntraDayIndexValues • MonthlyConstituents • Daily Constituents • Daily CorporateActions Licences include • Allregion,country,currencyandreturnindices • Useofindices forin-houseblendedindices • Useofindices forfundpublications • Performancelicenceincluded • Custodianlicenceincluded • EMICSclassificationlicenceincluded • Index values sinceinception • Multi-platformdelivery For more information: Scott Thomson Phone: 01312209090 Email: scott.thomson@euromoneyplc.com Sui Chung Phone: 02077798647 Email: schung@euromoney.com Euromoney Indices HobartHouse, 80 HanoverStreet, Edinburgh EH21EL,UK To viewthefulllistofindices withintheEMIXEuropeIndexSeriesseeBloomberg, ThomsonReuters orvisiteuromoneyindices.com
  7. 7. EuromoneyIndicesisan independentteamofanalysts providinganindexservice dedicatedexclusivelytothe needsoftoday’sinvestment professionals. Wefocusondevisingthe comprehensiveindextoolsthat underpinandvalidatesuccessful assetmanagementstrategies. Withovertwentyfiveyears’ experience,wecombine intellectualrigourwith operationalflexibility.Wedeliver aservicetoourcustomersthat hasapersonaldimensionand transparentpricingstructure that’suniqueintheindustry.
  8. 8. Issued by Euromoney Trading Limited. Registered office: 8 Bouverie Street, London EC4Y8AX. Registration Number: 5935420 – England. Part of the Euromoney Institutional Investor PLC group.

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