RBS teams up with Trader Vic to launch multi-asset index
Victor Sperandeo, chief executive officer of Enhanced Alpha Management and the Royal Bank of Scotland have partnered to launch a new long short strategy index designed to deliver absolute returns. The Trader Vic Index (TVI) is a managed futures index based on commodities, rates and currencies, and is intended to be negatively correlated to the performance of equities and credit.
"The TVI is a managed futures product, but unlike most other managed futures products, it offers complete transparency," says Sperandeo. "It also offers daily liquidity, which most managed futures products don't."
Half of the index portfolio is allocated to commodities futures split across six sectors, including energy, livestock, softs and precious and industrial metals. The remaining 50% links to interest rate futures and global currencies. The weightings of the 24 components, which are
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