Dow Jones Indexes has expanded the Dow Jones LSP Position Sizing Index family to include three new size-segment indexes: Dow Jones LSP Position Sizing US Large-Cap 250 Index; Dow Jones LSP Position Sizing US Mid-Cap 250 Index; Dow Jones LSP Position Sizing US 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 US 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 maximise the probability of positive performance, rather than seeking to maximise 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 Michael A Petronella (pictured), President, Dow Jones Indexes. “The indexes launched today are designed to offer the flexibility to track multiple segments of the US 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 US market. The equity component of each index consists of the 250 largest stocks selected from the respective size-segment index within the Dow Jones US Total Stock Market Index family.
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.