IUSNIFE Indxx US Fallen Knives Index

The Index is designed to track the performance of companies listed in the United States that have generated negative returns in the recent past, but are candidates for likely revival in the future, on account of their sound financial health. Eligible stocks include common stocks and ADRs with a minimum total market capitalization of $500 million. Securities with 1-yr momentum below -15% are shortlisted. Momentum is calculated as the total return over the last one year excluding the most recent month. Based on the following liquidity/solvency ratios, a composite financial health score is calculated for each security: 1) Current Ratio 2) Cash Flow Coverage Ratio 3) Debt to Equity. The top 50 securities by highest composite score are selected.

As of 09/22/2022

Index Information
Provider:     indxx
Category1:  US Equity
Category2:  Broad market
Category3:  Large and mid cap
Currency:    USD
Inception date:  04/27/2020
Backtesting data exists:   Yes
Weighting methodology:   Market capitalization
Number of holdings:  49  (as of 06/12/2020)
Rebalanced:  Semi-annually
Reconstituted:  Annually

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