CBOE SMA Large Cap Index

August 19, 2016
Joe Gits

On July 29th CBOE and SMA launched the CBOE SMA Large Cap Index (SMLCSM) which tracks the return of a hypothetical portfolio strategy based on Social Market Analytics (SMA) S-Scores.  The SMLC portfolio is an equal pct. weighted portfolio of the 25 highest S-Score stocks in the CBOE Large Cap Universe.  Stocks in the CBOE Large Cap Universe are in the top 15% capitalization tranche of stocks that are the underlying for options listed on the CBOE (approximately 3000) and have a market capitalization greater than or equal to $10 billion.

This is the first in what will be a family of indexes based on combined CBOE and SMA expertise.  The next index will be a weekly rebalanced index based on average S-Score over a lookback period.  Sector, Industry, Market Cap banded, and overlay indexes are likely to follow.

In the three weeks since the index launched I have had a number of inquiries as to performance.  It has performed as expected from the back test.  It has outperformed the SP500 over this time period.  SMLC return is represented by the green line, SP500 is represented by the black line.  We would be happy to design custom indexes. Please contact us with any questions: contactus@contextanalytics-ai.com



Joe Gits

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