SPBNPSP SPECTRUM Large Cap U.S. Sector Momentum Index

The Index tracks the value of a notional portfolio composed of the ten sub-indices of the S&P 500 Index. The level of the Index is based on the relative weights of the sub-indices within the Index; such weights are monitored and may be rebalanced daily based on a momentum strategy. According to this momentum strategy, the weights of sub-indices that outperform the S&P 500 Total Return Index (the “SPTR”) are increased in the Index, while the weights of sub-indices that underperform are reduced. The weights are then modified to account for the correlation between each sub-index and the SPTR. The Index is designed to take advantage of the disparate performance of the sub-indices relative to each other and to the SPTR.

As of 05/17/2019

Index Information
Provider:     S&P Dow Jones
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Country:      USA
Currency:    USD
Inception date:  04/30/2020
Backtesting data exists:  
Weighting methodology:   Momentum score
Number of holdings:  10  (as of 12/18/2017)

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