S&P Indices and TMX Group Inc. said Wednesday that they are launching two new indices designed to provide market participants with measuring tools for specific stock characteristics within the S&P/TSX Composite, the principal benchmark for 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. The index is designed to serve as a benchmark for low volatility strategies in the Canadian stock market. Constituents are weighted relative to the inverse of their corresponding volatility, or standard deviation, 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 S&P/TSX Composite that are the most sensitive to changes in market returns. It is designed to serve as a benchmark for investors with a bullish strategic or tactical view of the Canadian stock market. Constituents are weighted in proportion to their market sensitivity, or beta, with the highest beta stocks receiving the highest weights.
Both new indices have been licensed by S&P Indices to PowerShares Canada to serve as the basis for potential PowerShares ETFs listed on Toronto Stock Exchange.