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Börse Frankfurt

Strategy Indices


Deutsche Börse has established a new index family for strategy indices with DAXplus®. These index products allow investors to chart different investment strategies in a transparent, rule-based and cost-effective manner. Another index, DivDAX, comprises the DAX companies with the highest dividend yields.


DivDAX


The dividend index comprises the 15 DAX companies with the highest dividend yields. The latter is calculated by dividing the dividend paid by the last price of the share on the trading day previous to the payout. Simultaneously to the composition of the DAX index, the members of the DivDAX are determined on an annual basis. The new index provides investors with an objective and transparent benchmark for the price development of companies with high dividend yields.

LevDAX - Index for DAX Investments with Leverage


The DAX®-Index is one of the most renowned indices worldwide – holding a highly distinguished position for Germany. It covers the performance of 30 selected German major companies. For investors with a greater risk appetite, Market Data & Analytics has developed the LevDAX® as the newest addition to the DAXplus® family. With LevDAX, Deutsche Börse calculates an index linked to the movements of the DAX benchmark index with a leverage factor of two. Any movement on the DAX results in double the movement on the LevDAX; in the case of both rising and falling prices.

ShortDAX


The DAX® Index is one of the most renowned indices worldwide – holding a highly distinguished position for Germany. It covers the performance of 30 selected major German companies. For strategic investors Market Data & Analytics has developed the ShortDAX® as member of the DAXplus® familiy.

With ShortDAX Deutsche Börse calculates an index that is linked inversely to the movements of its blue-chip index DAX. A negative change of DAX will result in a positive change of the same amplitude in ShortDAX. Investors with a negative outlook for stock market performance now have a chance to generate positive returns from their investments.

DAXplus Covered Call


In recent years, risk management has been growing in importance due to higher volatilities on financial markets and is becoming more integrated in the investors overall decision-making. Primary financial tools for hedging against risks are financial derivatives. One of the most successful and widespread option strategies is the Covered Call or so called Buy-Write strategy. Investors following the Covered Call strategy sell a call option and buy the underlying at the same time. Thus investors are able to protect themselves from a total loss and profit simultaneously from sideways market movements.

Deutsche Börse reproduces this well known and very successful investment strategy by means of the DAXplus® Covered Call index. The rolling index is based on the DAX® portfolio and a call option on DAX which is traded on the Eurex forward market.

DAXplus Protective Put - the Defensive DAX strategy


During times of non-uniform markets investors tend to prefer value-safeguarding investment products. Index-based option strategies, such as the Protective Put strategy, are especially suitable for this purpose.

With DAXplus Protective Put Deutsche Börse reproduces this well-known and highly successful investment strategy, which is based on one DAX portfolio and a put option on DAX traded on Eurex®. The aim of the Protective Put strategy is to protect a portfolio against price loss without having to forgo capital gains.

DAXplus Export Strategy


Export continues to be the main driver of the German economy and an essential pillar for the German economic cycle. Export-driven companies profit from a stable world economic cycle and a positive consumer and investment climate abroad (above all in Europe, the US and Asia).

With DAXplus® Export Strategy, Deutsche Börse tracks the performance of ten DAX® and MDAX® companies with the strongest export activities. It thus enables investments in German companies with a high share of turnover generated abroad.

DAXplus Seasonal Strategy


Analysis of historical index values shows seasonal trends at regular intervals with significantly lower performance. This is largely based on a decline of the markets in the summer months. "Sell in May and go away" characterizes an investment strategy that focus on this specific market behaviour. DAXplus® Seasonal Strategy Deutsche Börse calculates a strategy index for the German market which makes capital of this seasonal shortcoming. From a historical perspective, it has generated an outstanding performance. DAXplus® Seasonal Strategy is based on the German Blue-Chip index DAX® with a de-investment period in August and September.

DAXplus Minimum Variance


The core thesis of Harry M. Markowitz Minimum-Variance Strategy constitutes that efficient portfolios with a given return expectation show the least risk. Diversification enables a considerable total risk reduction of portfolios.

Basically, any combinations of diversification are conceivable. The diversification through various stocks that doesn’t show a perfect positive correlation of returns allows investors to reduce the portfolio variance. An additional yield compared to the risk-optimized portfolio is linked to additional risk.
 
Deutsche Börse now offers this investment strategy which is based on modern portfolio theory and awarded with the Nobel Price as a transparent, rule-based and investable index. DAXplus® Minimum Variance Indices are based on a variance-optimised portfolio compared to the corresponding national market index. The indices are adjusted and re-balanced on a quarterly basis.

DAXplus Maximum Sharpe Ratio


DAXplus® Maximum Sharpe Ratio Indices are based on the national market index portfolios that are optimized according to risk and return analyis. The analysis model is similar to DAXplus Minimum Variance Germany Indices. However the optimization formula was extended with regard to minimizing the portfolio risk and maximizing the excess return of the index portfolio referred to the risk-free yield.

Whereas the selection and weighting of the DAXplus Minimum Variance Indices are assigned to minimizing the portfolio variance, DAXplus Maximum Sharpe Ratio maximise the so-called Sharpe Ratio. This technical figure describes the portfolio yield bearing in mind the risk of the portfolio constituents. The higher the Sharpe Ratio of a portfolio, the higher the excess return related to the individual risk of the investor.

The new portfolio indices enable investors to profit in a direct and systematic way from the insights and findings of modern portfolio theory. With DAXplus Maximum Sharpe Ratio, Deutsche Börse offers a worldwide unique index innovation that is strongly rule-based, transparent and easy to replicate. In short a simple and cost efficient passive risk-return optimised investment strategy.

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