FFCM’s QuantShares ETFs Has Licensed All Seven Indexes From The Dow Jones U.S. Thematic Market Neutral Indexes Series

Dow Jones Indexes, a leading global index provider, today announced that FFCM LLC’s QuantShares family of seven exchange-traded funds (ETFs) has licensed all seven indexes from the Dow Jones U.S. Thematic Market Neutral Indexes series. The new family of quantitative-strategy indexes — all launched today — reflect the performance of long/short strategies and are designed to be both market and sector neutral. Below, is a list of the indexes licensed to underlie QuantShares ETFs:

  • The Dow Jones U.S. Thematic Market Neutral Beta Index reflects the  performance of an investment strategy that is long high beta companies  and short low beta companies;
  • The Dow Jones U.S. Thematic Market Neutral Anti-Beta Index reflects the performance of an investment strategy that is short on high beta companies and long on low beta companies;
  • The Dow Jones U.S. Thematic Market Neutral Momentum Index reflects the performance of an investment strategy that is long on high momentum companies and short on low momentum companies;
  • The Dow Jones U.S. Thematic Market Neutral Anti-Momentum Index reflects the performance of an investment strategy that is short on high momentum companies and long on low momentum companies;
  • The Dow Jones U.S. Thematic Market Neutral Quality Index reflects the performance of an investment strategy that is long on high quality companies and short on low quality companies, with quality assessed based on fundamentals;
  • The Dow Jones U.S. Thematic Market Neutral Value Index reflects the performance of an investment strategy that is long on value companies and short on growth companies; and
  • The Dow Jones U.S. Thematic Market Neutral Size Index reflects the performance of an investment strategy that is long on small-cap companies and short on large-cap companies.

“The Dow Jones U.S. Thematic Market Neutral Indexes offer a representation of sophisticated long/short strategies and provide a solid basis for a variety of alternative equity,” said Michael A. Petronella, President, Dow Jones Indexes.

With today’s announcement, Dow Jones Indexes has now licensed a total of 21 indexes to underlie ETFs so far in 2011 (versus 19 in the comparable year-ago period) to firms including Blackrock, State Street Global Advisors and Charles Schwab.

The Dow Jones U.S. Thematic Market Neutral Indexes series is based on a rules-based, published index methodology. The index universe for the Dow Jones U.S. Thematic Market Neutral Indexes is comprised by all stocks in the Dow Jones U.S. Index, which aims to provide 95% market-capitalization coverage of U.S. traded stocks. The largest 1,000 stocks with the highest total market capitalization in the Dow Jones U.S. Index constitute the universe of eligible companies for the market-neutral indexes. (Stocks with a six-month average daily trading volume of less than $10 million are excluded.)

The other key index elements are:

— Stocks in the eligible universe are segmented into 10 industries as defined by the proprietary classification system used by Dow Jones Indexes; — Sector neutrality is maintained within each index by allowing a proportionate number of stocks based on the sector composition of the top 1,000 stocks; — The indexes are rebalanced after the close of trading on the last business day of each month; and — Each Dow Jones U.S. Market Neutral Thematic Index is equally weighted.

Journalists may e-mail questions regarding this press release to [email protected]

About Dow Jones Indexes

Dow Jones Indexes ( www.djindexes.com ) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes is the marketing name for CME Group Index Services LLC, a joint venture company which is owned 90 percent by CME Group Inc. ( www.cmegroup.com ) and 10 percent by Dow Jones & Co., Inc. ( www.dowjones.com ), a News Corp. company (asx:NWS) (asx:NWSLV) ( www.newscorp.com ).

The “Dow Jones U.S. Thematic Market Neutral Indexes(SM)” are a product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC (“CME Indexes”), and have been licensed for use. “Dow Jones(R)”, “Dow Jones U.S. Thematic Market Neutral Indexes(SM)” and “Dow Jones Indexes” are service marks
of Dow Jones Trademark Holdings, LLC (“Dow Jones”), have been licensed to CME Indexes and sublicensed for use for certain purposes by FFCM, LLC. “CME” is a service mark of Chicago Mercantile Exchange, Inc. FFCM’s Exchange-Traded Funds (“ETFs”) based on the Dow Jones U.S. Thematic Market Neutral Indexes are not
sponsored, endorsed, sold or promoted by Dow Jones, CME Indexes or their respective affiliates and Dow Jones, CME Indexes and their respective affiliates make no representation regarding the advisability of investing in such ETFs.

The calculation of the Dow Jones U.S. Market Neutral Thematic Indexes began on August 22, 2011; real index history is available daily from this date forward. Back-tested historical data have been calculated daily back to July 31, 2011. All estimated daily historical closing prices prior to August 22, 2011 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.

The Dow Jones Indexes logo is available at
http://www.globenewswire.com/newsroom/prs/?pkgid=1289

This news release was distributed by GlobeNewswire, www.globenewswire.com

SOURCE: Dow Jones Indexes

        CONTACT: Rich Silverman
        +1 212 597 5720
        [email protected]

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