Dow Jones adds four indexes to required business performance family

By Susanna Moon

Chicago, May 3 - Dow Jones Indexes announced four new indexes to its family of Dow Jones RBP indexes.

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. Each index measures the performance of the 100 top U.S. large-cap stocks in the universe ranked by RBP probability. The selection criteria include beta and momentum factors.

The fundamentally weighted market index is the Dow Jones U.S. Large-Cap Total Stock Market index, which is RBP-weighted and provides additional rules-based information to measure the valuation of publicly traded companies included in the index. The index consists of about 750 components.

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.

The 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, a company release said. The market indexes are intended to reflect performance of stocks with a high momentum and betas close to one.

The Large-Cap Aggressive index, the Large-Cap Defensive index and the Large-Cap Market index are licensed to Transparent Value LLC, a Guggenheim Partners Co., to underlie three mutual funds, according to a Dow Jones press release.

The RBP, or required business performance, indexes are designed to measure the likelihood that companies can deliver the performance required to support their current stock prices, the release noted.

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 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," Michael A. Petronella, president designate of Dow Jones Indexes, said in the release.

"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."

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