S&P Indices launches Italy LargeMidCap Capped Index

S&P Indices has launched today the S&P Italy LargeMidCap Capped Index, which comprises large and mid-cap segments of the S&P Italy Broad Marked Index (BMI).

The new index includes stocks representing the top 85% of the float-adjusted market capitalisation within the S&P Italy BMI and is designed with a focus on liquidity. It can be used to support investment products such as index funds, index portfolios and index futures and options.

S&P Indices has also launched a risk control version of the index, the S&P Italy LargeMidCap Capped Risk Control Index, intended to provide greater stability and control over the level of risk associated with the base index.

“The methodology establishes a specific volatility target and adjusts the exposure to the underlying S&P index based on its observed volatility. When the risk level reaches a threshold deemed too high, the cash level is increased in order to maintain the target volatility. The target risk level for the new index is 10% and exposure to the underlying index and cash is adjusted daily,” the company said in a statement.

Vinit Srivastava, director of strategy indices added: “The S&P Italy LargeMidCap Capped Index addresses the need of investors seeking to measure Italian large- and mid-cap equities. In addition, with the Risk Control version of the index, investors have the ability to gain exposure to this market while attempting to manage their level of risk.”

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