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Dow Jones Indexes to licence seven market-neutral indexes for seven new ETFs

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FFCM LLC’s QuantShares family of seven exchange-traded funds (ETFs) has licensed all seven indexes from the Dow Jones US Thematic Market Neutral Indexes series.

The new family of quantitative-strategy indexes — all launched on Wednesday — 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 US 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 US 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 US 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 US 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 US 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 US 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 US 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 US Thematic Market Neutral Indexes offer a representation of sophisticated long/short strategies and provide a solid basis for a variety of alternative equity,” says Michael A Petronella (pictured), President, Dow Jones Indexes.”
 
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.  

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