S&P launches 130/30 index

Standard and Poor’s has launched of the S&P 500 130/30 Strategy Index, which is designed to measure the performance of an investment strategy that establishes 30% over and underweight positions relative to the S&P 500.

The index, the first offering by an index provider in the 130/30 strategy space, is rebalanced quarterly. The rebalancing comprises a core 100% long position in the S&P 500, 1% overweight positions in the 30 S&P 500 constituent stocks (long basket), and 1% underweight positions in 30 S&P 500 constituent stocks (short basket). The index employs a rules-driven framework that leverages qualitative and quantitative factors to arrive at the long and short baskets.

Constituents of the overweight basket