STOXX USA 900 Minimum Variance Unconstrained Index to Underlie Exchange-Traded Fund in the US
STOXX – ZURICH – STOXX Ltd., the operator of Deutsche Boerse Group’s index business, and a global provider of innovative and tradable index concepts, today announced that the STOXX USA 900 Minimum Variance Unconstrained Index has been licensed to Recon Capital Partners as the underlying for an exchange-traded fund (ETF). The ETF will be available on New York Stock Exchange (NYSE) as of today. Recon Capital Partners is an investment adviser and provides investment solutions for institutional investors, financial professionals, and individual investors.
“By licensing the STOXX USA 900 Minimum Variance Unconstrained Index to Recon Capital Partners, market participants in the United States are able to benefit from this innovative low volatility investment strategy that reduces the risk of a portfolio and potentially improves its long-term returns,” said Matteo Andreetto, chief executive officer, STOXX Limited. “The unconstrained version is a novelty as it provides a strategy index that is minimized for volatility, but is not restricted to follow the underlying base index too closely.”
“We are excited to license the STOXX USA 900 Minimum Variance Unconstrained Index that has a systematic, risk-controlled approach that responds to changing market conditions by analyzing fundamental and technical factors such as volatility, momentum, value, liquidity, and leverage,” said Kevin R. Kelly, chief investment officer of Recon Capital Partners. “Investors are looking for solutions that incorporate an intelligent risk management process that seeks to create a smoother investment experience and defends against losses during sustained market declines. Part of managing risk includes rebalancing risk factors on a monthly basis versus quarterly or semi-annually.”
The STOXX USA 900 Minimum Variance Unconstrained Index weights the components of the STOXX USA 900 Index in such a way that the overall portfolio of the index has the lowest possible volatility. In order to achieve robust results, a covariance matrix that is estimated using a fundamental factor model developed by Axioma, a leading provider of portfolio constructions tools and risk models, is used. The unconstrained versions of the STOXX Minimum Variance Indices might differ more strongly from the underlying index, while offering the potential benefit of an even better risk profile.
The STOXX USA 900 Minimum Variance Unconstrained Index is rebalanced on a monthly basis. It is calculated in price, net and gross return versions and is available in euro and US dollar. Price return versions are calculated in real-time, while net and gross return versions are available at the end of day.