NEW YORK, June 26, 2012 (GLOBE NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, today announced the launch of the Dow Jones RBP U.S. Directional Allocation Index, a unique gauge that automatically allocates weights among other indexes that reflect distinct viewpoints on the U.S. market. Constructed as an "index of indexes," the new gauge reallocates among an "aggressive" index, a "defensive" index and a "market" index—while also allowing the possibility to allocate fully to a cash component—based on an automated system that uses economic and market indicators as inputs.
The Dow Jones U.S. RBP Directional Allocation Index is the latest addition to the Dow Jones RBP Index series offered by Dow Jones Indexes and Transparent Value LLC, a New York-based asset management and financial information services company. The Dow Jones RBP Indexes are built upon a methodology using proprietary, rules-based analytics supplied by Transparent Value.
The proprietary metric upon which all Dow Jones RBP Indexes are built is RBP®, which stands for Required Business Performance. Transparent Value calculates RBP® by reversing a traditional discounted cash flow model to measure the future business performance required for a company to support its current stock price. The goal is to measure the likelihood that the company can deliver such required business performance by applying the RBP®methodology over specified time periods.
In May 2010, Dow Jones Indexes and Transparent Value announced that they had expanded the Dow Jones RBP Index family to include Dow Jones RBP Directional Series Indexes, which underlie the index launching today. These "directional" indexes were designed to reflect distinct market viewpoints, integrating the Dow Jones RBP Index methodology into measures geared toward investors with bullish, bearish and neutral views of the market.
"With today's launch we've further supplemented the toolkit available to those seeking sophisticated measures of the U.S. market," said Michael A. Petronella, President, Dow Jones Indexes. "The Dow Jones RBP U.S. Directional Allocation Index is the first index of its kind seeking to account for the current market environment."
Julian Koski, Managing Director and Co-Chief Executive Officer of Transparent Value, said: "We developed these indexes in response to feedback we received in the marketplace. Advisors liked the approach of the Dow Jones RBP Directional Series Indexes, but were looking for an automated solution that incorporated a cash component."
The allocation mechanism used in the new index's methodology utilizes a "moving average crossover system," as it is known, to generate signals for rebalancings by comparing moving averages of economic and market indicators. The primary indicators considered for the Dow Jones RBP U.S. Directional Allocation Index include:
- 12-month simple moving average (SMA) of The Conference Board® Consumer Confidence Index® (CCI) [Source: The Conference Board]
- 6-month SMA of The Conference Board Leading Economic Index® (LEI) [Source: The Conference Board]
- 250-day SMA of the Dow Jones U.S. Large Cap Total Stock Market Index
In addition, 250-day SMA of the Dow Jones RBP Directional Series Indexes is used as a secondary indicator to test the validity of the primary indicator.
The new index is rebalanced quarterly, and after the close of any Friday if LEI moves above or below its moving average on the snapshot day, which occurs three business days prior to the rebalance day. Back-tested historical index values are available daily back to December 31, 1999, the date at which the index base value is set at 1000.
Estimated back-tested historical data represents calculations of how the index might have performed in the past if it had existed. Back-tested performance information is purely hypothetical and is solely for informational purposes. Back-tested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Past performance is not indicative of future results. Index performance is not the same as fund performance as it does not reflect management and other fees.
Journalists may e-mail questions regarding this press release to media@djindexes.com.
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).
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About Transparent Value
Transparent Value, a Guggenheim Partners company, is an equity boutique with a highly differentiated and disciplined investment approach. Using a fact-driven, forecast-free approach to analysis, its proprietary Required Business Performance® (RBP®) Methodology aims to provide investors with market outperformance by seeking to invest in the companies with the highest likelihood of delivering the Required Business Performance® to support the stock price, while avoiding the companies with the most behavioral risk. For information, please visit www.transparentvalue.com
"Dow Jones Indexes" is the marketing name and a licensed trademark of CME Group Index Services LLC ("CME Indexes"). "Dow Jones®", "Dow Jones Indexes", "Dow Jones RBP 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 Indexes. "CME" is a trademark of Chicago Mercantile Exchange Inc. "Transparent Value®", "RBP®" and "Required Business Performance®" are registered trademarks of Transparent Value, LLC or one of its subsidiaries. Transparent Value, LLC is a subsidiary of Guggenheim Partners, LLC. Investment products based on the indexes listed herein 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 component in any of the indexes in this piece does not in any way reflect an opinion of Dow Jones, CME Indexes, Transparent Value or any of their respective affiliates on the investment merits of such component. None of Dow Jones, CME Indexes, Transparent Value or any of their respective affiliates is providing investment advice in connection with these indexes.