Salt 52-Week High Index
Targets large and midcap stocks that are closest to their 52-week highs with the biggest recent moves in price.
The Salt 52-Week High Index targets stocks at or near their 52-week closing highs—a key indicator of strength and price momentum familiar to many investors. Academic research shows that momentum—buying recent strength—can often lead to further gains and attractive risk-adjusted returns across a range of asset classes and geographies. The index is designed to target this well-known factor.
Beginning with the top 1000 largest US stocks, the strategy screens for the 300 that are closest to their 52-week high and have made the biggest moves recently, ultimately selecting the 50 best performers over the previous quarter.
The 52-Week High Index is purpose-built for the ETF wrapper, which can accommodate higher turnover strategies given the tax efficiency. But the index can be configured to varying degrees of turnover, trading off some performance for fewer adds and deletes in the monthly rebalancing.
|Base Date||Mar 31, 1999|
|Inception Date||Jan 5, 2020|
|Calculation Agent||Salt Financial Indices LLC|