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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 $150 million and three or more analysts following the company.
Several quantitative factors are used to score and rank the stocks. Then the stocks are selected for the TR/S Sensible Growth Low Volatility Index as follows.
- Long side: The 50 highest-ranked stocks are selected for the long side of the Index
- Short side: The 50 lowest-ranked stocks are selected for the short side of the Index.
The Index is rebalanced monthly and is calculated using an equal dollar weighting across all constituents.
|Largest Stocks By MARKET CAP|
|COMPANY||MARKET CAP ($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|
|5 Largest Short Stocks|
|American Tower Corp.||24.98|
|TOP SECTORS as of January 1,2012|
|COMPANY||% MARKET CAP|
|Cyclical Consumer Goods & Services||20%|
|Non-Cyclical Consumer Goods & Services||4%|
|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|
|Barnes & Noble, Inc.||16.97||Consumer Cyclicals|
|Citrix Systems, Inc.||14.95||Technology|
* Portfolio Data as of January 1, 2012