Commerz deploys new S&P EM low vol index

S&P Dow Jones Indices (S&P DJI) has licensed to Commerzbank the new S&P Emerging Markets Low Volatility Select Index, which the index provider has just launched in a move to expand its family of low volatility and factor indices.

Raphael Rollin, equity derivatives product engineering at Commerzbank Corporates & Markets, said that there is growing demand for emerging market exposure from investors across the world.

“However, the high volatility associated with these markets can make derivatives investments costly,” he said. “In our view, the S&P Emerging Markets Low Volatility Select Index addresses our clients’ needs by delivering an enhanced performance and nearly halving the volatility compared with traditional benchmarks, meaning the index should serve as a strong basis for a cost efficient derivative exposure to emerging market countries.”

The S&P Emerging Markets Low Volatility Select Index is an investable index that measures the performance of the 50 least volatile stocks within the S&P Emerging Plus LargeMidCap Index. Amongst the 50 stocks, those with the least volatility receive the highest weights in the new index, which is rebalanced quarterly.

“We have seen an increased demand for emerging market indices that provide a low volatility tilt,” said Vinit Srivastava, senior director, index strategy at S&P DJI. “The S&P Emerging Markets Low Volatility Select Index gives investors another way to measure and potentially access the emerging markets which continue to garner strong interest.”

The S&P Emerging LargeMidCap, which combines the S&P Emerging LargeCap and S&P Emerging MidCap indices, comprises the stocks representing the top 85% of float-adjusted market cap in each emerging country. It is a subset of the S&P Global BMI, a rules-based index measuring global stockmarket performance.

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Commerz deploys new S&P EM low vol index