| 摘要 |
The present invention provides for computer based systems and program controlled methods for reducing investors' exposure to the variability of an asset class's short-term volatility using long-short investing in a broad array of individual asset classes, with risk-controlled market exposures. This is achieved by constructing an index that employs a momentum portfolio policy, i.e. assets with prices that appear to be trending upward are held long, and those with prices that appear to be trending downward are sold short. This long-short policy is applied to each asset within broad asset class indices (equities, interest rates, commodities, and currencies), as well as within a multi-asset class composite index.
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