XOUT U.S. LARGE CAP INDEX

CONSTITUENT ELIGIBILITY REQUIREMENTS

The bottom 250 securities are eliminated based on the following criteria:

• The selection pool consists of the largest 500 by market capitalization of publicly traded companies listed on either the NYSE or NASDAQ exchanges, with a country of domicile designation of the United States, as determined by the index provider, with:

  • a free-float percentage equal to or exceeding 50% of total shares outstanding,
  • a share price less than $10,000 per share (USD),
  • positive earnings per share for each quarter over the last trailing 12-month period.

• Each company in the investable universe receives a model score based on quantitatively derived inputs that attempt to qualify each company as being eligible for index inclusion or eliminated.
• The quantitative inputs informing the XOUT proprietary growth model include a combination of the following proprietary fundamental growth signals designed to identify industry and/or secular disruption:

  • Revenue growth
  • Hiring growth
  • Capital deployment
  • Share repurchases
  • Profitability
  • Earnings sentiment
  • Management performance

• Each quantitative factor in the model receives a quintile score from 1 to 5, 5 being best, based on quantitative fundamental inputs.
• The quintile scores are weighted based on a proprietary weighting methodology to achieve an aggregate model quintile score for each company.
• Companies scoring in aggregate below the median quintile in the investable universe are eliminated or X‘d OUT, and the remaining names are re-weighted by market capitalization.
• Minimum market capitalization of $5 billion at time of index reconstitution and minimum liquidity of a quarter million shares average volume traded in each of the last six months leading up to evaluation.
• Initial public offerings become eligible for inclusion, six months after trading.