NO 238 – DECEMBER 2012
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WFE Focus December 2012
Indices

African Securities Exchanges Association launches pan African benchmark

The African Securities Exchanges Association in cooperation with FTSE Group launched the FTSE ASEA Pan Africa Index Series, an independently calculated, rules-based performance benchmark for Pan African equity portfolios. The index series measures the performance of eligible securities domiciled in 19 African countries (Botswana, Cameroon, Cape Verde, Egypt, Ghana, Ivory Coast, Kenya, Libya, Mauritius, Morocco, Mozambique, Nigeria, Rwanda, Sudan, Tanzania, Tunisia, Uganda, Zambia and Zimbabwe).

CBOE launches CBOE low volatility index

On 30 November 2012, the Chicago Board Options Exchange introduced a new benchmark index, the CBOE Low Volatility Index, designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The new index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500 stocks while still preserving the bulk of market gains.

NASDAQ OMX launches global index family

On 3 December 2012, the NASDAQ OMX Group launched the first group of the NASDAQ Global Index Family. It consists of global securities broken down by market segment, region, country, size and sector. The NASDAQ Global Index Family covers 9,000 securities and will result in the development of 24,000 indexes. The first phase of the launch was marked by the introduction of approximately 4,000 indexes that are calculated in US dollars. The remaining indexes will be unveiled in subsequent phases in other currencies.

NASDAQ OMX Copenhagen switches to OMXC20 CAP as main blue chip index

From 4 February 2013, NASDAQ OMX Copenhagen will use the capped version (OMXC20CAP) as the main blue chip index for the Danish equity market. The OMXC20 will remain in its index offering.

Shenzhen Stock Exchange launches performance indices

On 19 November 2012, the Shenzhen Stock Exchange, in cooperation with Shenzhen Securities Information, issued a series of performance indices, which encompass SZSE Performance Index, SZSE 100 Performance Weighted Index, SZSE 300 Performance Weighted Index, SME Performance Weighted Index, and CNINFO Performance Index. They introduce relative indicators in measuring enterprises’ performance.

Shenzhen Stock Exchange launches indexation indices

On 23 November 2012, the Shenzhen Stock Exchange, in cooperation with Shenzhen Securities Information, launched three new indices: the SZSE Component EW Index, SME-CHINEXT 100 EW Index, and CNINFO-CEI GDP Index. The newly issued indices provide more diverse indexation investment targets for the market.

TMX Group launches preferred share laddered and equal weight sector indices

TMX Group, in cooperation with S&P Dow Jones Indices, launched three new Canadian indices: the S&P/TSX Preferred Share Laddered index, the S&P/TSX Equal Weight Global Gold index and the S&P/TSX Equal Weight Industrials index. The S&P/TSX Preferred Share Laddered index was created in response to investors’ ongoing demand for income producing securities. The S&P/TSX Equal Weight Global Gold index is a sub-index of the S&P/TSX Global Gold index and includes constituents that meet specific market cap and liquidity ratios. The S&P/TSX Equal Weight Industrials index includes the constituent stocks of the S&P/TSX Composite that are classified as industrials according to the Global Industry Classification Standard.

Tokyo Stock Exchange launches pound hedged index

To satisfy market demand for TOPIX index values that hedge foreign currency risk, the Tokyo Stock Exchange began calculating the TOPIX Total Return Index hedged in GBP, after having introduced the same index hedged in EUR in January 2011. It is calculated by hedging beginning-of-period balances using rolling one-month GBP/JPY currency forward contracts.

Vienna Stock Exchange launches distributing indices

On 10 December 2012, the Vienna Stock Exchange started to calculate and publish the ATX Distributing index and the ATX Top Dividend Distributing index, a dividend distributing version of their underlying indices. Distributing indices take the payout of dividends into account. They therefore introduce a theoretical cash component that replicates the net dividend payments plus daily accrued interest according to the EONIA interbank rate.

Warsaw Stock Exchange launches WIG20TR index

On 3 December 2012, the Warsaw Stock Exchange started to calculate and publish the WIG20TR index. It is calculated by taking into account income from shares, in particular dividend and pre-emptive right income. The index is based on the WIG 20 companies.