Dow Jones Indexes has launched four new indices within its Required Business Performance range, available as a basis for financial products.
Three of the new indices are based on directional strategies. These are the Dow Jones RBP US Large-Cap Aggressive index, the US Large-Cap Defensive index, and the US Large-Cap Market index.
The provider has also launched the Dow Jones US Large-Cap Total Stock Market index, a fundamentally weighted benchmark using rules-based information to measure the valuation of publicly traded companies.
The three strategy indices have been licensed to Transparent Value to underlie three mutual funds.
Dow Jones Indexes president Michael Petronella says: "Dow Jones RBP Indexes are quantitative strategy indexes built upon rules-based analytics providing a powerful tool set for measuring and evaluating component company valuation."
The RBP indices are designed to measure the likelihood that companies can generate the performance required to support their current stock prices. The index components are selected based on their RBP probabilities, as well as beta and momentum factors.
The aggressive index seeks to measure the performance of stocks with a potentially high momentum and above-average betas, while the defensive index is designed to measure stocks with a high momentum and below-average betas.
The Dow Jones US RBP Large-Cap Market index reflects the performance of stocks with a high momentum and betas close to one.
The indices are reconstituted on a quarterly basis.
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