Abstract: 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.

Abstract: Computer based systems and program controlled methods reduce investors' exposure to the variability of an asset class's short-term volatility using rules-based long-only investments in various asset classes in which portfolio weights are dynamically rebalanced on a regular basis to a desired target volatility. This is achieved, in part, by constructing an index that represents a portfolio of liquid futures contracts, rebalanced as often as daily with the objective of maintaining the portfolio's volatility at a given level, typically the long-term average risk of that asset class.