S&P launches dynamic asset exchange indices

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S&P Indices has launched the S&P Dynamic Asset Exchange Indices, designed as a dynamic asset allocation strategy by replicating the option pricing formula developed by William Margrabe.

The index series seeks to capture the better performance of two uncorrelated underlying assets in the medium term that are held in a portfolio with a constantly changing mix.   The index family consists of the S&P Dynamic Asset Exchange (US Index) and the S&P Dynamic Asset Exchange (Europe Index). The indices use tradeable instruments to represent the underlying asset classes, facilitating index replication and creation of index-linked investment products. The indices are long-only and dynamically allocate between equity and bonds to replicate the payout profile of an exchange option.   ...

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