Series to Include U.S. Large- , Mid- , and Small-Cap Indexes Based on LSP Partners' Proprietary Investment Strategy
Inaugural Dow Jones LSP Position Sizing Equal Sector U.S. Large-Cap 50 Index Launched in January
NEW YORK, May 17, 2012 (GLOBE NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, today announced the expansion of the Dow Jones LSP Position Sizing Index family to include three new size-segment indexes:
- Dow Jones LSP Position Sizing U.S. Large-Cap 250 Index
- Dow Jones LSP Position Sizing U.S. Mid-Cap 250 Index
- Dow Jones LSP Position Sizing U.S. Small-Cap 250 Index
The Dow Jones LSP Position Sizing Indexes are quantitative-strategy gauges based on a proprietary quantitative algorithm created by the risk-management-research consulting firm LSP Partners LLC. The new size-segment indexes supplement the Dow Jones LSP Position Sizing Equal Sector U.S. Large-Cap 50 Index, which launched in January.
Indexes in the Dow Jones LSP Position Sizing Index family take a dynamic approach to measuring 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 by a rules-based application of the Leverage Space Portfolio strategy, or LSP, 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.
"The market volatility over the past several years seems to have increased market risk sensitivities," said http://press.djindexes.com/index.php/bios/">Michael A. Petronella, President, Dow Jones Indexes. "The indexes launched today are designed to offer the flexibility to track multiple segments of the U.S. market using tools that seek to dynamically account for stock-price fluctuations."
The three new indexes apply the Dow Jones LSP Position Sizing Index methodology to the large-, mid- and small-cap segments of the U.S. market. The equity component of each index consists of the 250 largest stocks selected from the respective size-segment index within the Dow Jones U.S. Total Stock Market Index family. Detailed descriptions of the indexes' construction, calculation and maintenance procedures are provided in the index methodology documents at www.djindexes.com/positionsizing.
All indexes in the Dow Jones LSP Position Sizing Index series are available for licensing as the basis of both passive and active investment funds, including exchange-traded funds, mutual funds and institutional accounts globally.
Journalists may direct questions regarding this press release to Dow Jones Indexes press office.
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.