Solactive launches European factor index series

Ridhima Sharma
clock • 1 min read

Solactive has launched a family of European factor indices, which will be used as the reference indices for five Invesco PowerShares ETFs. Specifically, the Solactive tradable European factor index series includes five indices targeting strategies such as value, quality, low beta, price momentum, and earnings momentum.

Each index in the Solactive tradable European factor index series is composed of 50 European-listed companies chosen from a starting universe of 675 stocks. The selected companies have a high degree of exposure to the equity risk factor specified for that index, and are subject to certain liquidity requirements, and sector caps in order to avoid industry concentration.

The weight of each component is assigned depending on how its liquidity compares with that of other stocks in the same index. In this way, the index methodology allows investors to gain exposure to factors, while tilting the composition towards more liquid companies.

The new indices and tracking ETFs are:
– Solactive Tradable European Value Factor Index tracked by the PowerShares Tradable European Value Factor Ucits ETF
– Solactive Tradable European Quality Factor Index tracked by the PowerShares Tradable European Quality Factor Ucits ETF
– Solactive Tradable European Low Beta Factor Index tracked by the PowerShares Tradable European Low Beta Factor Ucits ETF
– Solactive Tradable European Price Momentum Factor Index tracked by the PowerShares Tradable European Price Momentum Factor Ucits ETF
– Solactive Tradable European Earnings Momentum Factor Index tracked by the PowerShares Tradable European Earnings Momentum Factor Ucits ETF

The Solactive tradable European factor indices are calculated as price return and net total return indices, and are published in Euro. Composition is rebalanced monthly.