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WFE Focus April 2011

Bulgarian Stock Exchange to launch a corporate governance index

The National Corporate Governance Commission in Bulgaria has approved the methodology for calculating the index, which will include publicly traded companies strictly applying corporate governance principles. The index will be named CGIX (Corporate Governance IndeX). Technical calculation and information dissemination will initially be performed by the Bulgarian Stock Exchange. It will include seven companies and will be market capitalization weighted, adjusted by free-float. Its base value is 100 points and the initial calculation date is set for 19 September 2011.

CBOE begins publishing values for CBOE VIX Tail Hedge index

The Chicago Board Options Exchange began publishing values for the CBOE VIX Tail Hedge Index, the latest addition to a suite of CBOE strategy indexes designed to manage equity risk. The new index, which tracks the performance of a hypothetical S&P 500 investment portfolio protected against tail risk by using VIX calls, provides investors with a benchmark for VIX-based “tail risk” hedge strategies. Tail risk is the risk of a sudden and steep drop in the S&P index.

NYSE Euronext launches single commodity indices

NYSE Euronext extended its range of indices into the commodity asset class with the launch of four single commodity indices based on its NYSE Liffe milling wheat futures contract and cocoa futures contract respectively. The new single commodity indices will measure the performance of a strategy which consists of investing in the most active delivery month of the relevant futures contract measured by level of open interest.

Shanghai Stock Exchange launches new indices

To further enhance its index family as well as to provide new analysis tool and underlying instrument for investors, the Shanghai Stock Exchange and China Securities Index launched the SSE 380 Equal Weight index on 12 August 2011, as well as the SSE Sustainable development industry Index and the CSI Commodity Equity Index on 22 August 2011.

Tokyo Stock Exchange launches new indices

Next fall, the Tokyo Stock Exchange will begin calculating and publishing two new indices: the “Tokyo Stock Exchange Mothers Core Index” and the “TOPIX Active In Asia”. The Mother Core Index will be comprised of the leading issues in the TSE Mothers Market based on factors such as market capitalization, trading value and financial statistics and will be calculated based on the modified average method. The “TOPIX Active in Asia” index will focus on companies that have a high degree of exposure to the Asian region. It is a price index whose constituents are selected based on the proportion of sales made in Asia.


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