NEW YORK, Nov. 30, 2011 (GLOBE NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, today announced the launch of the Dow Jones RBP U.S. Small-Cap Index, a unique gauge designed to measure the performance of 100 top-ranked small-cap stocks based on average fundamental scores and RBP® probabilities supplied by Transparent Value, LLC.
RBP®, which stands for Required Business Performance, is calculated by Transparent Value. Transparent Value reverses a traditional discounted cash flow model to measure the future business performance required for a company to support its current stock price. The goal is to measure the likelihood that the company can deliver such required business performance by applying the RBP® methodology over specified time periods.
The Dow Jones RBP U.S. Small-Cap Index is the latest addition to the Dow Jones RBP series of quantitative strategy indexes offered by Dow Jones Indexes and Transparent Value LLC, a New York-based asset management and financial information services company. The Dow Jones RBP Indexes are built upon patent-pending proprietary rules-based analytics supplied by Transparent Value.
"The Dow Jones RBP U.S. Small-Cap Index is a measurement tool that provides a unique insight into the small-cap equities market that is not available anywhere else," said Michael A. Petronella, President, Dow Jones Indexes. "Using RBP's proprietary methodology together with Dow Jones Indexes' experience in index construction and calculation, our two firms have once again demonstrated the Dow Jones RBP Index family's commitment to delivering innovative and useful methods of measuring the equity markets."
Julian Koski, Managing Director and Co-Chief Executive Officer of Transparent Value, said: "By seeking to objectively quantify the ability of management to deliver the RBP® to support its stock price, the Dow Jones RBP U.S. Small-Cap Index is meant to offer a window into an asset class whose performance over time has been a challenge to analyze. And, particularly with the current unsettled nature of the markets, I believe this index will be welcomed by investment professionals on the look-out for new ways to evaluate risk and return."
Stocks eligible for the Dow Jones RBP U.S. Small-Cap Index include the largest 750 equities in the Dow Jones U.S. Small-Cap Total Stock Market Index that pass screens for minimum free float, stock price and trading volume. Factors considered for stock selection are return on equity, free cash flow yield, asset growth and RBP® probabilities. The index is RBP®-probability weighted.
The Dow Jones RBP U.S. Small-Cap Index is reviewed quarterly, and on an on-going basis for unusual events such as delistings, bankruptcies, mergers and takeovers. Calculation began on November 30, 2011. Back-tested historical data for the index have been calculated daily back to December 31, 1998, with a base value set at 1000.
The Dow Jones RBP U.S. Small-Cap Index is the sixth addition to the Dow Jones RBP Indexes family in 2011. In August, The Dow Jones Islamic Market RBP U.S. 50 Index was launched; in April, three large-cap "style" indexes of growth and value stocks were launched, in addition to the series' first index to utilize dividends to select and weight companies.
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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 part of a joint venture company owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company, Inc. (www.dowjones.com), a News Corporation company (Nasdaq:NWS) (Nasdaq:NWSA) (ASX:NWS) (ASX:NWSLV) (www.newscorp.com).
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About Transparent Value
Transparent Value, LLC (www.transparentvalue.com) is an asset management and financial information services company. Transparent Value, LLC offers customized asset management solutions and a suite of decision support tools that are based on its proprietary Required Business Performance® (RBP®) methodology to investors worldwide. "Transparent Value®", "RBP®" and "Required Business Performance®" are registered trademarks of Transparent Value, LLC or one of its subsidiaries. Transparent Value, LLC is a subsidiary of Guggenheim Partners, LLC.
"Dow Jones®", "Dow Jones Indexes", "Dow Jones RBP U.S. Small-Cap Index" 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"). Investment products based on the above indexes are not sponsored, endorsed, sold or promoted by Dow Jones, CME Indexes or their respective affiliates and none of Dow Jones, CME Indexes and their respective affiliates make any representation regarding the advisability of investing in such products. Inclusion of a company in any of the above indexes does not in any way reflect an opinion of Dow Jones, CME Indexes or any of their respective affiliates on the investment merits of such company. None of Dow Jones, CME Indexes or any of their respective affiliates is providing investment advice in connection with these indexes.
All estimated daily historical closing prices for the Dow Jones RBP U.S. Small-Cap Index prior to November 30, 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.