NEW YORK, Feb. 9, 2015 (GLOBE NEWSWIRE) -- The Index Committee has approved the following changes to the Quest Tracker Index's composition and methodology. The changes are expected to take effect the week of February 16, 2014. The changes are designed to increase market diversification while maintaining volatility and correlation targets. The changes also better address the possibility of a long-term simultaneous down market in equity and fixed income.
1. Conditional short trades will be added to QTI's short-term model, QTI1. The overall weight of QTI1 among the three (3) models will remain unchanged.
2. The sector weight for Commodities will be increased to 34% from 31% (+3%). The sector weight for Fixed Income will be reduced to 26% from 29% (-3%). Sector weights for Equity Indices and FX will remain unchanged.
3. The number of Index Components will be increased to 62 from 47 (+15) with the addition of: a) Equity Indices - Russell mini, FTSE, Italian MIB, French Cac, Spanish Ibex, Eurostoxx, Topix, Aussie SP200 and ChinaA50, b) Fixed Income - German Bobl (5Y), German Buxl (30Y), Gilts (10Y), Italian BTP (10Y) and French Oat (10Y) and c) Commodities - Lean Hogs.
4. The session closing time for the Euribor 3M contract will change from 13:00 to 11:30 and its weighting will be decreased by 40% due to a decrease in volatility-weighted liquidity.
About QTI
QTI won the 2015 CTA Intelligence US Performance Award for "Best Investible CTA Index".
QTI is designed to track generally the performance generated by the broad class of managed futures strategies employed by most trend-following CTAs and to match on a risk-adjusted basis the performance of well-known CTA indices. QTI systems generate signals on a daily basis diversified over three models: short, medium and long-term. QTI trades 62 markets across four sectors: Commodities, Equity Indices, Fixed Income and Foreign Currencies. Live trading commenced in August 2011. QTI is calculated by S&P Dow Jones Indices. "S&P Dow Jones Indices" is a service mark of Dow Jones Trademark Holdings LLC.
About Quest
Quest is a research driven alternative investment firm headquartered in New York. The firm was founded by Nigol Koulajian in 2001. Quest employs a quantitative trading process across multiple asset classes in over 80 liquid global markets. Distinct programs are designed to generate alpha, replicate CTA performance and hedge specific market risks. Clients include family offices, foundations, fund-of-funds and the some of the world's largest pension plans. Quest is registered with the CFTC as a CTA and a CPO and is a member of the NFA.