New Index Series Targets Predetermined Levels of Market Volatility
LONDON (8 February, 2012) — Dow Jones Indexes, a leading global index provider, today announced that it has agreed to license the new Dow Jones Global Titans 50 Volatility Risk Control Indexes for trading to J.P. Morgan and Barclays Capital.
The Dow Jones Global Titans 50 Volatility Risk Control Indexes, also launched today, includes two gauges targeting predetermined levels of market volatility (10% and 15%) by dynamically allocating between a cash component and an underlying index; the underlying index is the Dow Jones Global Titans 50 Index, which represents 50 of the world’s largest stocks.
“Given the skittish markets in 2011, it’s understandable there is demand for index products that are able to capably target a volatility level for a defined equity basket,” said Mike A. Petronella, President, Dow Jones Indexes. “We believe these new indexes will serve as useful and reliable tools for those seeking to assess risk.”
In keeping with the long-established methodology Dow Jones Indexes uses to create and maintain its other “Titans”-branded indexes, the blue-chip gauges underlying the Dow Jones Global Titans 50 Volatility Risk Control Indexes follow a very robust methodology — float-adjusted market capitalisation, revenue and net profit are used as selection criteria.
The 20-day and 40-day realised volatilities are calculated daily. Allocation adjustments are made only when there is an allocation change of 10% or more relative to the previous day’s level.
Dow Jones Indexes introduced the Dow Jones Volatility Risk Control Index family in September 2011 with the launch of the Dow Jones Europe Titans 80 Volatility Risk Control Indexes, the Dow Jones Eurozone Titans 80 Volatility Risk Control Indexes and the Dow Jones BRIC 50 Volatility Risk Control Index.