The new index is unique because it screens out stocks that are either lacking in liquidity or relatively expensive to borrow in the stock lending market based on analytics from Data Explorers, the leading global provider of stock lending and short interest information.
The optimized version of the NASDAQ-100 Index retains the return and volatility characteristics of the original index, with enhanced liquidity to support both the long and short sides of the trade.
John Jacobs, NASDAQ OMX Executive Vice President commented: âThe launch of the NASDAQ-100 Data Explorers Optimized Index offers investors the liquidity of the NASDAQ-100 Index components but with extra measures of liquidity. The inclusion of information from Data Explorers, the worldâs premier provider of stock loan data, reflects our constant innovation to improve the usability and effectiveness of our indexes.â
The constituents of the NASDAQ-100 Index are screened quarterly using methodology created by Data Explorers to identify stocks that are either lacking in liquidity or relatively expensive to borrow. The company analyzes daily stock lending and short interest information covering more than 3 million daily transactions, collected from the worldâs leading investment banks, prime brokers, lending agents, beneficial owners and hedge funds. Prior to the launch, the NASDAQ-100 Data Explorers Optimized Index screened out 18 stocks per the index methodology.
Donal Smith, CEO, Data Explorers added: âWe believe the application of our screening methodology to the NASDAQ-100 Data Explorers Optimized Index will help investors improve liquidity and manage risk. We are confident this new index will become a model for the construction of other new indexes and the basis of exchange-traded products.â
The NASDAQ-100 Index is the initial index universe for the NASDAQ Data Explorers Optimized series. Over the coming months, NASDAQ OMX and Data Explorers will launch additional indexes based on the optimized methodology.