Index-Based Tracking: SPMO's primary objective is to track the performance of the S&P 500 Momentum Index. The fund aims to invest at least 90% of its total assets in the securities that make up this index.
• Momentum Score Calculation: The index's methodology is based on a "momentum score" for each stock in the S&P 500 Index. This score is calculated based on the stock's one-year price return, excluding the most recent month.
• Volatility Adjustment: The momentum score is also adjusted for volatility, with less volatile stocks receiving a positive adjustment.
• Constituent Selection: The index selects the top 100 stocks from the S&P 500 that have the highest momentum scores.
• Rebalancing and Reconstitution: The index, and consequently the SPMO ETF, is rebalanced and reconstituted semi-annually. This typically occurs on the third Friday of March and September. During this process, the index's holdings are reviewed and adjusted to reflect the latest momentum scores of the stocks.
• Weighting: The stocks in the index are weighted based on a combination of their market capitalization and their momentum score.
