NYSE Group and MYRA Capital launch NYSE Dynamic Allocation indexes

By Susanna Moon

Chicago, Jan. 12 – The New York Stock Exchange, part of the Intercontinental Exchange global network of exchanges, and MYRA Capital launched the new NYSE Dynamic Allocation Indices family.

The NYSE Dynamic Allocation index strategies are designed for a variety of investment vehicles, including separately managed accounts, mutual funds and exchange-traded funds, according to a press release.

The first index is dedicated to the U.S. market and will combine a dynamic allocation to either the NYSE U.S. Large Cap Equal Weight index or the NYSE Current 10 Year U.S. Treasury index, the release said.

The focused exposure on a dynamic mix of the 500 largest equal-weighted U.S. equities and U.S. Treasuries is designed to combine uncorrelated alpha sources:

• Optimized, strategic beta indexing: equal weighting (1/n forecast-free weighting approach) of the 500 largest U.S. equities instead of market-cap weighting; and

• Dynamic asset allocation: forecast-free, rules-based shifting between the “risky” asset (U.S. equities) and the “riskless” asset (U.S. Treasuries) to significantly reduce equity-beta drawdowns.

The indexes fulfill the increasing demand for innovative index solutions combined with an intelligent risk management and dynamic beta-management, the press release said.

The new index is currently being calculated and published in real-time through the NYSE Global Index Feed, available on all major market data platforms.

The new strategy combines MYRA Capital’s experience and specialization in dynamic, forecast-free and risk-controlled quantitative asset allocation strategies, with the indexing capabilities of the NYSE Global Index Group, the release said.

“The NYSE continues to expand its range of index offerings with this strategic, all-weather index. Designed for investors who want to maintain participation in bull markets while hedging against market downdrafts, this is an effective new tool,” Laura V. Morrison, head of global index and exchange-traded products at NYSE, said in the press release.

“The market-proven concept underlines MYRA Capital’s innovative approach, and we are pleased to offer an index by which investors can efficiently benefit from a rules-based, forecast-free investment strategy.”

Added Gokhan Kula, managing partner and CIO of MYRA Capital: “Together with the NYSE, we bring in our capabilities and experience in forecast-free investment strategies, which are not dependent on market forecasts which are often unreliable in predictive power.

“We are convinced that the next generation of indexing – the combination of optimized indexing and dynamic beta-management – will be a veritable alternative for the needs of sophisticated institutional investors as well as demanding retail investors,” Kula said.

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