19 March 2013
FTSE Group (“FTSE”), and DPT Capital Management, based in Princeton New Jersey, announce the launch of the FTSE Target Exposure Commodity Index Series, a series of rules-based long-short commodity indices derived from Professor John M. Mulvey’s innovative 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. As such, 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.
For the full press release, please click here.