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 (January 23, 2012) — 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.