Thomson Reuters/Sabrient Sensible Growth Indices
The Thomson Reuters/Sabrient Sensible Growth Indices ("TR/S Indices") are quantitative indices that reflect strong growth and valuation prospects. A co-brand of Thomson Reuters (Markets) LLC and Sabrient Systems LLC, the TR/S Sensible Growth Index is a Long index, and the TR/S Sensible Growth Low Volatility Index is a Long/Short only index. The Indices combine Sabrient’s fundamentals-based, quantitative methods of picking growth and value stocks with Thomson Reuters’ experience of calculating Real Time Indices which are tracked by investment vehicles. The eligible security list is drawn from companies listed on the U.S. stock exchanges and traded in U.S. dollars. Two constraints are placed on the initial eligibility list: (1) three or more analysts following the company and (2) minimum market capitalization of $150 million. Download Fact Sheet
- Distinguishes between undervalued and overvalued companies based on short-term and longer-term growth metrics
- 10-year track record of alpha generation and reduced volatility
- Active strategy with monthly rebalance for efficient performance and risk management
The Indices employ several quantitative factors that Sabrient considers to be predictive, to identify stocks with strong current and future growth prospects, along with a favorable current and projected valuation with a high likelihood of earnings. The following factors are scored from 0 to 99 for each stock:
- Favorable current dynamics of Wall Street analysts’ earnings estimates
- Attractive current valuation compared to other stocks in the same universe
- High current quality of earnings
- Strong short-term projected absolute earnings with good valuation
Once scored, the stocks are ranked from top to bottom, and selections made for each TR/S Index. The Indices are rebalanced monthly and are calculated using an equal dollar weighting across all constituents.