Salt High truBeta™ US Market Index

Overview

Salt High truBeta™ US Market Index (ticker: SFMGXT) uses truBeta™ estimates to select stocks with the highest sensitivity to the SPDR S&P 500 ETF (SPY). The objective is to magnify exposure to the SPY without the use of borrowing or derivatives through systematic stock selection by targeting higher beta securities with greater accuracy. With an average truBeta™ estimate of approximately 1.50, the Salt High truBeta™ US Market Index seeks to capture 50% more variation than the SPY in the same direction.

Salt Financial’s truBeta™ is a proprietary beta forecast that uses a blend of long, medium, and short-term interval return data powered by a machine learning algorithm designed to produce a far more accurate forecast for the next quarter in comparison to traditional methods. By incorporating more recent data and correcting for the bias in estimating high and low beta stocks truBeta™ is intended to provide investors with what we believe is a superior forecast of the market risk embedded in their portfolios.

The index selects 100 of the highest ranked stocks by truBeta™ forecast from a universe composed of the Solactive US Large and Mid Cap Index, a benchmark of the 1000 largest US stocks by market capitalization. SFMGXT is equally weighted and rebalanced quarterly with a cap of 30% of components in any one sector. The index is calculated on a gross total return basis with a base level of 1000.

Key Facts

Ticker SFMGXT
Type Total Return
Weighting Equal Weight
Rebalancing Quarterly
Base Date Mar 15, 1996
Inception Date Feb 7, 2018
Calculation Agent Solactive AG

Performance