Beacon Spin-Off Index (AMEX: CLRSO)

Index Methodology

The Spin-off Index selection methodology is designed to identify companies with potentially superior risk/return profiles as determined by Beacon Indexes. The Index is designed to actively represent the stock of a group of companies that have recently been spun-off from larger corporations and have the opportunity to better focus on their core market segment and outperform, on a risk-adjusted basis, broad market small-cap-oriented benchmark indices. The Index constituent selection methodology was developed by Beacon Indexes as a quantitative approach to selecting stocks from a universe of all spun-off companies. The Index constituent selection model evaluates and selects stocks from a universe of recently spun-off companies using a proprietary, 100% rules-based methodology. The Index constituent selection methodology utilizes multi-factor proprietary selection rules that seek to identify those stocks that offer the greatest potential from a risk/return perspective while maintaining a degree of industry diversification.

Index Construction

  1. Potential Index constituents include all equities trading on major U.S. exchanges of companies that were spun-off during the two year period beginning 30 months prior to reconstitution and ending 6 months prior to reconstitution. This time frame may be extended to compensate for periods when there are too few new spinoffs to populate the index.
  2. The Spin-off Index is comprised of up to the 40 highest-ranking stocks chosen from the universe of spun-off companies.
  3. Each company is ranked using a 100% quantitative rules-based methodology that includes composite scoring of several growth-oriented, multi-factor filters, and is sorted from highest to lowest.
  4. Up to 40 stocks are chosen and given a modified market cap weighting with a maximum weight of 4.5%.
  5. The constituent selection process and portfolio rebalance is repeated semi-annually, however, if there are not enough new spin-offs to populate the index, a rebalance may be delayed.


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