Tuesday, April 26, 2011

Leverage Space Indexes Announced

PRESS RELEASE
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The Leverage Space Portfolio (LSP) strategy seeks to maximize the probability of equity portfolio profitability by employing a risk-control process focused on capital preservation and drawdown management. Compared to a traditional buy-and-hold portfolio, an LSP-based portfolio aims for more consistent returns with lower risk.

The indexes, scheduled to be launched in the second half of 2011, can serve as the basis of both passive and active investment funds, including exchange-traded funds, mutual funds, and institutional accounts, around the world.

"We believe the marketplace will welcome our new family of indexes that applies this unique portfolio risk-management theory," said Michael A. Petronella, President, Dow Jones Indexes.  "These innovative techniques aspire to change the paradigm of the professional investment management process while providing Dow Jones Indexes with an opportunity to expand our roster of risk-based indexes."

Dow Jones Indexes has fully automated all elements of the LSP strategy, allowing for universal, systematic, and transparent application of a rules-based strategy to equity portfolios of any size or composition.

"The association with Dow Jones Indexes is, to us, a commercial validation on the highest order of our portfolio management ideas," LSP Partners’ Mr. Vince said. "We're extremely proud to collaborate with the world’s foremost index provider."

Journalists may e-mail questions regarding this press release to media@djindexes.com or contact Dow Jones Indexes press office:
New York: +1-212-597-5720
London: +44-20-7796-7247

About Dow Jones Indexes
Dow Jones Indexes 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 part of a joint venture company owned 90 percent by CME Group Inc. and 10 percent by Dow Jones & Company, Inc., a News Corporation company (NASDAQ: NWS, NWSA; ASX: NWS, NWSLV).

"Dow Jones®," "Dow Jones Indexes," and all other index names listed above are service marks of Dow Jones Trademark Holdings LLC ("Dow Jones"), and have been licensed for use by CME Group Index Services LLC ("CME Indexes").

About LSP Partners
Ralph Vince and Richard Wilkie formed LSP Partners to evolve the concepts introduced in Mr.  Vince’s series of books on portfolio management following a breakthrough discovery in portfolio position sizing algorithms. A recognized authority on position sizing in trading, Mr. Vince has worked with institutional asset management companies, sovereign wealth funds and private traders for more than 30 years. He has written numerous books and professional papers on money management for trading, and introduced new statistical techniques that are in widespread use throughout the industry today. Mr. Vince also conducts portfolio riskmanagement workshops for institutional portfolio managers. For more information about LSP Partners, please see www.ralphvince.com.

Monday, April 4, 2011

RQuantLib Windows binary on CRAN

Dirk Eddelbuettel has recently released RQuantLib-0.3.7, which contains the necessary QuantLib builds to allow the CRAN servers to build the Windows binary.

This (thankfully) makes my post on how to build RQuantLib on 32-bit Windows unnecessary for casual users, but may be useful for those who want to develop RQuantLib on Windows.