S&P Dow Jones launches S&P 500 Low Volatility Enhanced index

By Marisa Wong

Madison, Wis., Nov. 19 – S&P Dow Jones Indices announced it has created the S&P 500 Low Volatility Enhanced index, adding to its growing range of factor-based indexes.

The new index aims to balance low volatility, yield and liquidity and has been designed to be an investable index, according to a press release.

The index has been licensed to Deutsche Bank.

The S&P 500 Low Volatility Enhanced index is comprised of 50 constituents from the S&P 500 index. The constituents that have a dividend yield less than the S&P 500 are removed from the selection list. The remaining stocks are then ranked by their beta, which measures the sensitivity of the stocks’ returns relative to the S&P 500. The 50 stocks with the lowest beta are selected for the S&P 500 Low Volatility Enhanced index.

Vinit Srivastava, senior director, strategic indices at S&P Dow Jones, said in the release, “We are very pleased to add the S&P 500 Low Volatility Enhanced Index to our expanding family of factor-based indices. This simple, but innovative, index seeks to offer investors a means of measuring low volatility strategies, which tend to outperform in times of market turbulence.”

Giulio Alfinito, head of equity investor products Europe at Deutsche Bank added, “The S&P 500 Low Volatility Enhanced Index implements the low beta investment concept in a simple and transparent way. The index benefits from an innovative liquidity-based weighting system and low exposure to market risk, making it a potential underlying asset for capital protected structured products.”

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