MarketGrader Large Cap Value Index


Base Date:

December 31, 2007

No. of Components:

100

Minimum Market Cap:

USD $4 billion

Minimum Daily Avg. Liquidity:

USD $2 million (3-month avg.)

Sector Limit:

30% (30 companies)

Geographic Exposure:

United States

Rebalance Frequency:

Semi-annual

Underlying Universe:

Companies domiciled and listed in the U.S., excluding REITs


Methodology


Selection
The index is comprised of the 100 companies with the largest standard normal difference between MarketGrader’s Value and Growth scores. Unlike most of MarketGrader’s indexes, where the selection is based on MarketGrader’s overall GARP score (based on the aggregate of all 24 indicators across Growth, Value, Profitability and Cash Flow), constituents to the MarketGrader U.S. Large Cap Value Index must not only have an overall GARP score above 60 (out of 100) but will be ranked—and thus selected—based on the largest difference between their overall Value and overall Growth grades.


Equal Weighting
All index constituents are equally weighted every time the index is rebalanced. No weight modifications or adjustments are made to the index between rebalance periods.


Liquidity
All index constituents must have a minimum total market cap of USD $4 billion and a minimum 3-month daily average traded value of USD $2 million.


Diversification
No more than 30% of all index constituents may belong to the same economic sector.


Rebalance Discipline
The index is rebalanced semi-annually on the third Friday of March and September.

Strategy

The MarketGrader U.S. Large Cap Value Index is a selection of the 100 most value-oriented large capitalization companies as defined by MarketGrader from its U.S. equity coverage universe, that nevertheless satisfy MarketGrader’s proprietary GARP screen. As such, these are companies that despite having high enough grades within MarketGrader’s ‘Growth’ indicators, have an attractive valuation that does not yet fully reflect the overall high quality of their fundamentals, making them excellent candidates for long-term capital appreciation.




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