S&P Indices and TMX Group have announced plans to launch two new indices that will provide market participants with unique measuring tools for specific stock characteristics within the S&P/TSX Composite, the principal broad market measure for the Canadian equity markets.
The S&P/TSX Composite Low Volatility Index measures the performance of the 50 least volatile stocks in the S&P/TSX Composite, and is designed to serve as a benchmark for low volatility strategies. Constituents are weighted relative to the inverse of their corresponding volatility with the least volatile stocks receiving the highest weights.
The S&P/TSX Composite High Beta Index will measure the performance of the 50 constituents of the composite that are the most sensitive to changes in market returns, and serves as a benchmark for investors with a bullish strategic or tactical view of the Canadian stock market.
Both indices have already been licensed by S&P Indices to PowerShares Canada and operate as the basis for potential PowerShares ETFs listed on Toronto Stock Exchange.
“Canadian investors and portfolio managers looking for unique, yet easy-to-understand methods for benchmarking specific market segments,” says Abigail Etches, director at S&P Indices. “Product issuers turned to the transparent methodology of these two indices to serve as the basis for new investing and trading strategies for their clients.”