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Solactive Defensive Indices

Published in Alternative Indices

Solactive indices include licensing broad benchmark indices which are developed, calculated and distributed worldwide and link global exchange-traded funds with the availability of unique sustainable bond indices, enabling investment banks, ETF providers and asset managers to automate and secure index calculation and push innovation in the area of responsible investment, while holding value for the risk-adjusted return chances inherent in responsible investment strategies.

Credit Derivative Indices include:

  • Euro Equity Defensive Covered Call Index: The index is designed to reflect the performance of a notional call option writing strategy, which consists of selling listed index call options on the Euro Stoxx 50 Index and a long investment in the Euro Stoxx 50 Index. The INDEX is calculated and published in EUR.
  • US Equity Defensive Covered Call Index: The index is designed to reflect the performance of a notional call option writing strategy, which consists of selling listed index call options on the S&P 500 Index and a long investment in the S&P 500 Index. The INDEX is calculated and published in USD.
  • US Equity Defensive Put Write Index: The index is designed to reflect the performance of a notional put option writing strategy, which consists of selling listed index put options on the S&P 500 Index and a notional cash exposure linked to a three-month US treasury bill rate. The INDEX is calculated and published in USD.
  • Euro Equity Defensive Put Write Index: The index is designed to reflect the performance of a notional put option writing strategy, which consists of selling listed index put options on the Euro Stoxx 50 Index and a notional cash exposure linked to a three-month German Bubil rate. The INDEX is calculated and published in EUR.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 4 Credit Derivative Indices, including:

  • Euro Equity Defensive Covered Call Index
  • US Equity Defensive Covered Call Index
  • US Equity Defensive Put Write Index
  • Euro Equity Defensive Put Write Index

Some of the data items available include:

  • Clean Price, Database Domain Code, Database Source, Database Symbol, Date of Portfolio, Description, Index Symbol (Source), Investable Weight in Index (Source),
  • Portfolio Headline Index Symbol, Reuters Identification Code (RIC), RIMES Portfolio Facet Type, Shares Outstanding, Total Return, etc.

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