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