Salt High truBeta™ US Market Index
Targets large and midcap stocks that are historically more sensitive and correlated to market moves.
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 |