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FTSE and DPT Capital launch series of long-short commodity indices

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FTSE Group and DPT Capital Management have launched the FTSE Target Exposure Commodity Index Series, a series of rules-based long-short commodity indices derived from Professor John M Mulvey’s risk management and portfolio allocation approach – Dynamic Portfolio Tactics.

The FTSE Target Exposure Commodity Index Series allocates dynamically across a broad basket of 18 commodity futures using a suite of rules-based quantitative investment tactics, designed to capture systemic sources of return embedded in global commodity markets, whilst avoiding over-concentration in certain commodity sectors.
The indices have been designed to act as performance benchmarks for quantitative commodity managers, and as a liquid, tradable foundation for new index tracking products.
Jonathan Horton, president of North America, FTSE, says: "Professor Mulvey is one of the world’s leading authorities on portfolio optimization. We are delighted to have had the opportunity to work with him to create an index series that will provide investors with new, intelligent means of gaining exposure to global commodity markets and assessing commodity portfolio performance."
Professor Mulvey, chairman of DPT Capital, says: "Many investors are turning to commodities to provide greater portfolio diversification as well as to protect themselves against a number of risks, including inflation, weather events and rapidly changing supply/demand dynamics.  Long-only commodity indices have not provided a good solution since they have become highly correlated with equities and have experienced sharp drawdowns. The FTSE Target Exposure Commodity Indices takes advantage of longstanding patterns in commodity prices and balances long and short positions.  We believe the indices will prove to be a convenient and effective way for investors to participate in this growing segment of the marketplace." 

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