S&P Dow Jones Indices (S&P DJI) has created the S&P 500 Low Volatility Enhanced Index adding to its growing range of factor-based indices.

Licensed to Deutsche Bank, the index aims to balance low volatility, yield and liquidity, and has been designed to be an investable index.

“We are very pleased to add the S&P 500 Low Volatility Enhanced Index to our expanding family of factor-based indices. This simple, but innovative, index seeks to offer investors a means of measuring low volatility strategies, which tend to outperform in times of market turbulence,” said Vinit Srivastava, senior director, strategic indices, S&P DJI.

The S&P 500 Low Volatility Enhanced Index is comprised of 50 constituents from the S&P 500.

The constituents that have a dividend yield less than the S&P 500 are removed from the selection list. The remaining stocks are then ranked by their beta, which measures the sensitivity of the stocks’ returns relative to the S&P 500. The 50 stocks with the lowest beta are selected for the Index.

“The index implements the low beta investment concept in a simple and transparent way. The index benefits from an innovative liquidity based weighting system and low exposure to market risk, making it a potential underlying asset for capital protected structured products," said Giulio Alfinito, head of equity investor products Europe, Deutsche Ban