LUNTFCPR Lunt Capital Large Cap Factor Rotation Index

The Index rotates among four select factors (momentum, value, volatility and quality) when they come into favor using the proprietary Lunt Factor Allocation Methodology. Index construction begins with a universe of eight factor-oriented sub-indices, representing the highest and lowest ranking stocks in each of the four factors. Each sub-index is comprised of 50 securities selected from the Nasdaq US 500 Large Cap Index. Using the Lunt Factor Allocation proprietary methodology, the eight sub-indices are ranked to determine which side of each factor (high or low) is exhibiting stronger risk-adjusted relative strength. Each of the sub-indices is given a score and the top four scoring sub-indices are selected for inclusion in the index. A high and a low sub-index from the same factor cannot be selected during the same monthly period. Each sub-index selected will hold a 25% weight in the index at the time of inclusion. If a selected sub-index is currently in the index, its weight remains unchanged. Newly selected sub-index(es) inherit the weighting of the outgoing sub-index(es). If all four sub-indexes change, each will receive a 25% weight. The eight sub-indices are evaluated monthly. The momentum, value and volatility sub-indices are rebalanced semi-annually and the quality sub-indices are rebalanced annually.

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As of 10/05/2022


Index Information
Provider:     NASDAQ OMX
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Currency:    USD
Inception date:  07/09/2018
Backtesting data exists:   Yes
Weighting methodology:   Composite scores
Number of holdings:  173  (as of 12/31/2018)

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