NQCAPST The Capital Strength Index

From the stocks in the NASDAQ US Benchmark Index, the largest 500 companies with a minimum three-month average daily dollar trading volume of $5 million are selected. To be eligible for inclusion in the index, companies must have: 1) at least $1 billion in cash or short term investments. 2) a long term debt to market cap ratio less than 30%. 3) a return on equity greater than 15%. Eligible companies are then ranked by a combined short-term (3-month) and long-term (1-year) realized volatility. The 50 companies with the lowest combined volatility score are selected for inclusion in the index. A maximum weight of 30% in any one Industry Classification Benchmark industry is allowed. If an industry has a weight greater than 30%, the highest ranking security by volatility will be removed and replaced with the next eligible security from a different industry. This process is repeated until no industry has a weight greater than 30%. The index stocks are equally weighted initially and on each rebalancing effective date.

As of 05/27/2021

Index Information
Provider:     NASDAQ OMX
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Country:      USA
Currency:    USD
Inception date:  03/20/2013
Backtesting data exists:   Yes
Weighting methodology:   Equal weighted
Number of holdings:  50
Rebalanced:  Quarterly
Reconstituted:  Quarterly
Total return version:  NQCAPSTT

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