The S-Network Large-Cap Sharpe Ratio Index (TICKER: SHRPX) is designed to include companies with high Sharpe Ratios. The SHRPX methodology selects the five stocks in each of ten GICS sectors (excluding Real Estate) that make up the S&P 500 which have the highest Sharpe Ratio as of the last business day of the second month of each calendar quarter. The S-Network Sharpe Ratio Index embodies certain key characteristics that distinguish it from other indexes, including the following:
The S&P 500 serves as the universe for SHRPX, which comprises a total of 50 stocks. Any stock included in SHRPX must meet all of the screens needed to qualify for the leading large-cap US equity benchmark index.
The S-Network Sharpe Ratio Index weights all stocks equally. This methodology avoids momentum bias and domination by mega-cap stocks, while maintaining high correlation to the relevant benchmark.
The S-Network Sharpe Ratio Index selects the five stocks with the highest Sharpe Ratios in each of ten sectors (excluding Real Estate) that make up its corresponding universe, assuring diversification across all sectors.
The S-Network Sharpe Ratio Index depends on a clearly defined rules-based methodology, which is overseen by an impartial Index Committee. No discretion is exercised in compiling the index and a pre-defined screening protocol assures a consistent, transparent and arms-length compilation process.