S&P Dow Jones Indices has launched the DJSI Ethical Europe Low Volatility Index, combining its strength in developing both smart beta and ESG indices. The new index has been licensed to Commerzbank.

“As sustainability investments become increasingly widespread, there has been interest in whether advanced equity strategies may apply equally well to a sustainability benchmark as to a traditional benchmark,” says Julia Kochetygova, head of ESG indices at S&P Dow Jones Indices. 

“Low volatility is one such strategy. By applying low volatility to a sustainability benchmark, we are providing a measure for those investors who are sensitive to sustainability risks and opportunities and want to reduce their exposure to riskier stocks. Given our extensive experience in creating and governing sustainability and smart beta indices, this index is an exciting addition to our line-up and represents a unique, new offering.”

The DJSI Ethical Europe Low Volatility Index measures the performance of the 50 least volatile stocks within the Dow Jones Sustainability Europe excluding alcohol, tobacco, gambling, armaments and firearms and adult entertainment Index.

Constituents are weighted relative to their corresponding volatility, with the least volatile stocks receiving the highest weights.

Raphael Rollin, equity derivatives product engineering, Commerzbank corporates and markets, added, “We have observed a growing demand for sustainable and ethical investments from our clients across the world. We decided to collaborate with S&P Dow Jones Indices to bring a unique solution to the market by applying the low volatility mechanism on the most ethical European companies. The DJSI Ethical Europe Low Volatility Index has shown a better historical performance and a lower volatility compared to traditional benchmarks, providing a cost efficient derivative exposure.”