Dow Jones Indexes, a leading global index provider, today announced the addition of four new indexes to its family of Dow Jones RBP Indexes. The new series of indexes include three directional strategy indexes and one fundamentally weighted U.S. market index. The three strategy indexes are the Dow Jones RBP U.S. Large-Cap Aggressive Index, the Dow Jones RBP U.S. Large-Cap Defensive Index, and the Dow Jones RBP U.S. Large-Cap Market Index. The fundamentally weighted market index, the Dow Jones U.S. Large-Cap Total Stock Market Index (RBP weighted), provides market participants with additional rules-based information to measure the valuation of publicly traded companies included in the index.
Dow Jones RBP U.S. Large-Cap Aggressive Index, the Dow Jones RBP U.S. Large-Cap Defensive Index, and the Dow Jones RBP U.S. Large-Cap Market Index are licensed to Transparent Value LLC, a Guggenheim Partners Company, to underlie three mutual funds.
"The strategy indexes licensed to Transparent Value represent a brand new approach to indexing that combines the innovative RBP methodology with aggressive, defensive and neutral views of the market, said Michael A. Petronella, president designate, Dow Jones Indexes. "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 Required Business Performance (RBP) indexes were designed to measure the likelihood that companies can deliver the performance required to support their current stock prices. The indexes are created using rules-based, published analytics, RBP probability scores, supplied by Transparent Value, LLC. Components of the Dow Jones RBP Indexes are selected based on their RBP probabilities.
The creation of the three Dow Jones RBP Directional Indexes begins with the Dow Jones U.S. Large-Cap Total Stock Market Index, which consists of approximately 750 components. The selection criteria for the components of the Dow Jones RBP U.S. Large-Cap Aggressive, the Dow Jones RBP U.S. Large-Cap Defensive, and the Dow Jones RBP U.S. Large-Cap Market Indexes include beta and momentum factors and RBP probabilities. Each index measures the performance of the 100 top U.S. large-cap stocks in the universe ranked by RBP probability. The 750 Large-Cap components are sorted by a three-month beta factor using the Dow Jones U.S. Large-Cap Total Stock Market index itself as the proxy for the market. Those indexes noted as aggressive seek to measure the performance of stocks with a potentially high momentum and above-average betas and those noted as defensive are intended to measure the performance of stocks with a high momentum and below-average betas. The Dow Jones U.S. RBP Large-Cap Market Indexes are intended to reflect performance of stocks with a high momentum and betas close to one.
The Dow Jones U.S. Large-Cap Total Stock Market Index (RBP weighted) is a benchmark index offered by Dow Jones Indexes using rules-based published analytics supplied by Transparent Value, L.L.C. It represents the largest 750 stocks in the Dow Jones U.S. TSM Index. Index components are weighted by their RBP probabilities.
The Dow Jones RBP U.S. Large-Cap Indexes are reconstituted on a quarterly basis. Index components are weighted by their RBP probabilities.
The Dow Jones RBP U.S. Large-Cap Aggressive Index, the Dow Jones RBP U.S. Large-Cap Defensive Index, and the Dow Jones RBP U.S. Large-Cap Market Index were first published on May 18, 2009. All estimated daily historical closing prices prior to that date are based on back-testing (i.e., calculations of how the index might have performed in the past if it had existed). Back-tested performance information is purely hypothetical and is solely for informational purposes. Back-tested performance does not represent actual performance, and past performance is not indicative of future results.
