STOXX Limited, the market-moving provider of innovative, tradable and global index concepts, today announced the expansion of its Maximum Dividend Strategy Index family with the launch of the STOXX Global Maximum Dividend 40, STOXX Asia/Pacific Maximum Dividend 40, STOXX North America Maximum Dividend 40 and STOXX Japan Maximum Dividend 40 indices. The new indices are designed to act both as a proper benchmark for actively managed funds, and as an underlying for exchange-traded funds and other investable products.
The new STOXX Maximum Dividend Indices represent a hypothetical investment portfolio that aims to maximize the dividend yield of the STOXX Global 1800, STOXX Asia/Pacific 600, STOXX North America 600 and STOXX Japan 600 indices by selecting those 40 companies in the underlying index that have the highest expected dividend yield.
“With the expansion of the STOXX Maximum Dividend Index family to further markets, we are adding global exposure to our successful range of innovative dividend strategy indices,” said Hartmut Graf, chief executive officer, STOXX Limited. “The new indices offer market participants sophisticated tools to follow the dividend return of the 40 top dividend yielding companies selected from major markets’ benchmark indices.”
The STOXX Global Maximum Dividend 40, STOXX Asia/Pacific Maximum Dividend 40, STOXX North America Maximum Dividend 40 and STOXX Japan Maximum Dividend 40 indices consist of those 40 companies in the STOXX Global 1800, STOXX Asia/Pacific 600, STOXX North America 600 and STOXX Japan 600 indices, respectively, which have the highest expected dividend yield and will pay a dividend within the forthcoming adjustment period. The expected dividend yield is determined by the announced and the estimated dividend amount, as well as the closing price of the stock at the time of selection. In order to improve the index’s liquidity, an additional liquidity screening is applied during the selection process. This results in a liquidity adjusted expected dividend yield used for selection and weighting of the index constituents.
To be eligible for inclusion in one of the STOXX Maximum Dividend Indices, a company must be a component of the respective underlying index, pay a dividend in the upcoming quarter, have a free-float market capitalization of at least 1 billion Euro and an average daily trading volume (ADTV) of at least 4 million Euro over the last three months at the time of selection. The composition of the indices is reviewed quarterly at the last trading day of January, April, July and October, with the exception of the STOXX Japan Maximum Dividend 40 Index, which is reviewed semi-annually in June and December. If less than 40 companies meet the inclusion criteria, components from the last period will be added to the composition until 40 components are reached.
The STOXX Maximum Dividend Indices are weighted by components’ liquidity-adjusted expected dividend yield: the higher a company’s dividend yield and the more liquid it is, the higher is its weight in the respective index. The maximum component weight is capped at ten percent to prevent the index from being dominated by single companies.
The STOXX Maximum Dividend Indices are calculated in price and net return versions and available in Euro and USD. Daily historical data is available back to March 22, March 2004.