Cboe Global Markets, Inc., an international derivatives and securities exchange network, and Metaurus Advisors, LLC, an asset management firm focused on financial innovation, today announced plans to partner on three new U.S. equity indices: the Cboe US Large Cap 100, the Cboe US Large Cap Lead 50 Index and the Cboe US Large Cap Lag 50 Index.
The indicators aim to start by the end of 2024.
The Cboe US Large Cap 100 Index is designed to be an equal weighted index consisting of 100 of the largest US stocks by market capitalization, rebalanced quarterly, that replicates the industry capitalization weightings of the largest US publicly traded companies. The Cboe Lead 50 and Cboe Lag 50, both dollar-weighted indices, are designed to measure the total returns of the top 50 and 50 performing companies, respectively, within the Cboe US Large Cap 100 Index on a quarterly basis.
In addition, pursuant to an agreement between Cboe Exchange, Inc. and Metaurus, Cboe has exclusive rights to use aspects of Metaurus’ patent application to create indices based on US equity securities, including the Cboe US Large Cap 100, Cboe Lead 50 and Cboe Lag 50 Indices. The two latest indices are designed to provide real-time information on how the returns of the top 50 and bottom 50 individual stocks that make up the Cboe US Large Cap 100 vary over a fixed quarterly timeframe and are expected to be an indicator of the realization of dispersion, a key element in portfolio returns.
The partnership advances Cboe’s growing global index business and builds on Cboe’s proven track record of creating and delivering some of the industry’s most innovative index offerings, including the Cboe Volatility Index® (VIX® Index) and performance benchmark series strategy and target Result indicators.
“These indicators will use Cboe’s world-class indicator innovation capabilities, combined with the simple yet powerful patent-pending technology developed by Metaurus, to help traders further understand how individual stocks contribute to the overall performance of the broader market,” said Rob. Hocking, Senior Vice President and Head of Product Innovation at Cboe Global Markets. “Dispersion is a critical aspect of market performance and Cboe is pleased to work with Metaurus to provide the market with indicators that can be used as a real-time measure of yield dispersion.”
“The Metaurus team has been in the financial engineering business for over 35 years,” said Richard Sandulli, Co-CEO of Metaurus. “Dynamic ReassignmentSM technology and our partnership with Cboe allow us to work with the leading derivatives exchange to develop new cutting-edge solutions and bring them to commercial viability. The Cboe US Large Cap 100, Cboe Lead 50 and Cboe Lag 50 indices build on our collective expertise in bringing new investment products to the broader market.”
Cboe Labs, Cboe’s product innovation hub, plans to develop tradable futures contracts based on the Cboe Lead 50 and Cboe Lag 50 indices to be listed on the Cboe Futures Exchange, subject to regulatory review.