New Gauge is the First in Dow Jones LSP Position Sizing Indexes Series
Index Methodology is Based on LSP Partners' Proprietary Investment Strategy Created by Noted Risk-Management Expert and Author, Ralph Vince
NEW YORK, Jan. 23, 2012 (GLOBE NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, today announced the launch of the Dow Jones LSP Position Sizing Equal Sector U.S. Large-Cap 50 Index, the first in the new Dow Jones LSP Position Sizing Indexes series.
The index series utilizes a proprietary strategy created by the risk-management-research consulting firm, LSP Partners LLC, and its founder and CEO, Ralph Vince.
The Dow Jones LSP Position Sizing Equal Sector U.S. Large-Cap 50 Index is a quantitative-strategy gauge that takes a dynamic approach to measuring U.S. large-cap stocks by allocating index-component weights between an equity segment and a cash segment represented by Treasury Bills. The allocation between the two segments is determined based on a proprietary quantitative algorithm.
The proprietary algorithm is a rules-based application of the Leverage Space Portfolio, or LSP, strategy which seeks to maximize the probability of positive performance, rather than seeking to maximize performance, by employing a risk-control process focused on drawdown management.
"With Ralph Vince's proprietary investment strategy serving as its foundation, we believe the Dow Jones LSP Position Sizing Indexes family represents a novel and conservative approach to evaluating the equity marketplace," said Michael A. Petronella, President, Dow Jones Indexes. "By coupling an innovative strategy with a systematic, rules-based methodology, Dow Jones Indexes and LSP Partners have developed a series of indexes that seek to dynamically account for stock-price fluctuations which can be important during periods of market volatility."
Dow Jones Indexes has fully automated all elements of the LSP strategy into a quantitative algorithm, allowing for universal, systematic, and transparent application of the strategy to a universe of equity components of any size or composition. A detailed description of the index methodology is available here.
Today's index launch follows the April 2011 announcement by Dow Jones Indexes and LSP Partners in which the firms announced an agreement to develop and co-brand an index family to serve as the basis of both passive and active investment funds, including exchange-traded funds, mutual funds, and institutional accounts around the world.
About Dow Jones Indexes
Dow Jones Indexes (www.djindexes.com) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes is part of a joint venture company owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company, Inc. (www.dowjones.com), a News Corporation company (Nasdaq:NWS), (Nasdaq:NWSA) (ASX:NWS) (ASX:NWSLV) (www.newscorp.com).
The Dow Jones Indexes logo is available at http://www.globenewswire.com/newsroom/prs/?pkgid=1289
About LSP Partners
Ralph Vince and Richard Wilkie formed LSP Partners to evolve the concepts introduced in Mr. Vince's series of books on portfolio management following a breakthrough discovery in portfolio position sizing algorithms. A recognized authority on position sizing in trading, Mr. Vince has worked with institutional asset management companies, sovereign wealth funds and private traders for more than 30 years. He has written numerous books and professional papers on money management for trading, and introduced new statistical techniques that are in widespread use throughout the industry today. Mr. Vince also conducts portfolio risk-management workshops for institutional portfolio managers. For more information about LSP Partners, please see www.ralphvince.com.
"Dow Jones®", "Dow Jones Indexes" and all other index names listed above are service marks of Dow Jones Trademark Holdings LLC ("Dow Jones"), and have been licensed for use by CME Group Index Services LLC ("CME Indexes"). . "LSP" is a service mark of LSP Partners, LLC. The Dow Jones LSP Indexes are published pursuant to an agreement between CME Indexes and LSP Partners, LLC. Investment products based on these indexes are not sponsored, endorsed, sold or promoted by Dow Jones, CME Indexes or their respective affiliates and none of Dow Jones, CME Indexes and their respective affiliates make any representation regarding the advisability of investing in such products. Inclusion of a company in any of these indexes does not in any way reflect an opinion of Dow Jones, CME Indexes or any of their respective affiliates on the investment merits of such company. None of Dow Jones, CME Indexes or any of their respective affiliates is providing investment advice in connection with these indexes.