The fourth chapter of the SRP Index Report 2023 is available for download now.

The SRP Index Report 2023: Strategy & Custom Indices is the final of four chapters on indices released throughout the year, following ESG, Market Cap/Industry Sector, and Thematic/Decrement indices.

The analysis is based on 280 indices developed by index providers and investment banks which featured between 2019 and 2022 in the structured products market

Strategy & Custom indices have become popular in the structured products market over the last few years since they contribute to improving the pricing of products and enable investment banks to deliver systematic rules-based strategies aimed at outperforming benchmark indices.

They also provide dynamic exposure to factor-based strategies which have historically delivered a premium over the long run and deploy overlays to embed risk management features such as risk control or synthetic dividends.

Scope

For Strategy & Custom indices, SRP’s classification includes indices embedding any of the most common market risk factors on their own or in combination with other factors - quality, value, growth, size, dividend, momentum, volatility, as well as multi-factor, quantitative investment strategies (QIS) with risk control and decrement overlays.

The analysis is based on 280 indices developed by index providers and investment banks which featured between 2019 and 2022 in the structured products market.

Besides a global overview, the report also includes exclusive interviews with key suppliers of Strategy & Custom indices to the structured products market.

Key points

  • Global overview of the structured products linked to strategy & custom indices with a focus on risk control
  • Spotlight on strategy indices including QIS, risk premia and smart beta
  • Proprietary/custom indices for structured products from 2019 to 2022
  • Exclusive interviews with The Index Standard, MerQube, Solactive, FTSE Russell, Stoxx, MSCI, HSBC, RBC Capital Markets and Société Générale

The SRP Index Report 2023: Strategy & Custom Indices is available for download here.