Thomson Reuters/Sabrient Sensible Growth Low Volatility Index
The Thomson Reuters/Sabrient Sensible Growth Low Volatility Index ("TR/S Sensible Growth Low Volatility") is a quantitative Long//Short index consisting of 100 top-ranked stocks with strong growth and valuation prospects and a high quality of earnings. The securities are selected from approximately 2,000 companies trading in U.S. dollars on U.S. stock exchanges; eligible companies must have a minimum market capitalization of $150 million and three or more analysts following the company. Several quantitative factors are used to score and rank the stocks. Then the stocks are selected for the TR/S Sensible Growth Low Volatility Index as follows.
- Long side: The 50 highest-ranked stocks are selected for the long side of the Index
- Short side: The 50 lowest-ranked stocks are selected for the short side of the Index.
The Index is rebalanced monthly and is calculated using an equal dollar weighting across all constituents. Download TR/S Sensible Growth Low Volatility Index Factsheet
| Largest Stocks By MARKET CAP | ||
|---|---|---|
| COMPANY | MARKET CAP ($Billions) | |
| 5 Largest Long Stocks | ||
| BP PLC (ADR) | 145.53 | |
| Vale S.A. (ADR) | 76.74 | |
| Oil Co Lukoil (ADR) | 45.18 | |
| Marathon Oil Corp. | 22.05 | |
| AFLAC, Inc. | 21.80 | |
| 5 Largest Short Stocks | ||
| Pfizer Inc. | 162.06 | |
| Baxter International | 31.08 | |
| Morgan Stanley | 28.00 | |
| American Tower Corp. | 24.98 | |
| Mosaic Co. | 15.41 | |
| TOP SECTORS as of January 1,2012 | |
|---|---|
| COMPANY | % MARKET CAP |
| Financials | 25% |
| Cyclical Consumer Goods & Services | 20% |
| Energy | 14% |
| Technology | 13% |
| Healthcare | 5% |
| Basic Materials | 7% |
| Industrials | 5% |
| Non-Cyclical Consumer Goods & Services | 4% |
| Telecommunication Services | 2% |
| Utilities | 2% |
| TOP LONG AND SHORT PERFORMING STOCKS | ||
|---|---|---|
| Stock Performance: Dec 2011 – Jan 2012 | ||
| COMPANY | % 1 MO. RETURN | SECTOR |
| TOP 5 LONG PERFORMERS | ||
| Desarrolladora Homex S.A. De Cd (ADR) | 43.57% | Consumer Cyclicals |
| Assured Guaranty, Ltd | 35.46% | Financials |
| Gannett Inc. | 23.11% | Consumer Cyclicals |
| Sunoco Logistics Partners | 14.47% | Energy |
| Western Refining, Inc. | 11.77% | Energy |
| TOP 5 SHORT PERFORMERS | ||
| Resolute Energy Corp. | 20.30 | Energy |
| Youku Inc. (ADR) | 19.76 | Technology |
| Information Corp. | 17.85 | Technology |
| Barnes & Noble, Inc. | 16.97 | Consumer Cyclicals |
| Citrix Systems, Inc. | 14.95 | Technology |
* Portfolio Data as of January 1, 2012