The index systematically evaluates selection, sector and market risks. Selection risk is managed by selecting equity positions based on combined scores of value and quality metrics. Sector risk is managed by identifying the top 5 sectors as chosen through a proprietary fundamental momentum metric that ranks all 10 identified sectors. The index manages market risks by dynamically allocating to a bond position though an ETF (ISHRS 7-10Y.TRSY- Symbol: IEF) and weights that position from 0% and 100% of the index based on a proprietary fundamental signal of the U.S equity market. The number of positions in each sector is based on the sector's weight and are weighted equally within the sector.
Index components include approximately 50 equity positions and one bond ETF position.
The index at any time can dynamically adjust to holding a single bond position (1 ETF), just an equity position (50 securities) or a combination of both (51 positions) based on the proprietary market signal. Market cap threshold is over $5B. The index is rebalanced and reconstituted quarterly. Currency is US Dollar.