Bringing you live news and features since 2013
Bringing you news, views and analysis since 2013

12180

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

RELATED TOPICS​

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." 

Latest News

New research from Carne Group reveals fund managers expect alternative asset classes to see the..
Brown Brothers Harriman & Co has expanded its relationship with AllianceBernstein (AB), by adding to..
The trading and investment platform eToro has extended its proxy voting feature to all stocks..

Related Articles

The trend of private equity firms acquiring businesses in the professional services sector continues with CVC Capital Partners eyeing a possible buyout of EY’s Italian consulting branch...
The trend of private equity firms acquiring businesses in the professional services sector continues with CVC Capital Partners eyeing a..
Pension funds
UK defined benefit (DB) pension plan sponsors could have access to GBP 1.2 trillion in surplus assets over the next decade, industry research reveals...
UK defined benefit (DB) pension plan sponsors could have access to GBP 1.2 trillion in surplus assets over the next..
Tim Crawmer, Payden & Rygel
Tim Crawmer and Frasat Shah of Payden & Rygel write that higher yields are attracting more demand from investors. Also, given that equities had a strong year last year, big funds have taken some chips off the table in equities and put them into fixed income...
Tim Crawmer and Frasat Shah of Payden & Rygel write that higher yields are attracting more demand from investors. Also,..
Lady justice
Top marks for the Pensions Regulator (TPR) whose efforts to improve resilience in the UK pension funds’ liability-driven investment (LDI) strategies received glowing commendations from the Bank of England in its March report...
Top marks for the Pensions Regulator (TPR) whose efforts to improve resilience in the UK pension funds’ liability-driven investment (LDI)..
Subscribe to the Institutional Asset Manager newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by