SEG Research

SEG Active Index: US All-Cap Equities

Our active indices for all-cap equities, a product of our exclusive research and models, stand out for their unique features. These active indices are meticulously crafted to maintain low turnover, thereby reducing transaction costs and capital gains.

Counter to traditional equity investment styles, we believe that there are only three main types of equity investment styles:

1. Inflationary: equities that are sensitive to rising inflation.
2. Aggressive: equities that are growing faster than the economy and peers.
3. Defensive: equities with stable and insensitive earnings and revenue.

Our indices are build from our intrinsic valuation composite. Each index then overweighs specific factors relevant to its objective.

• US Inflationary Equity Index offers an inflation focused approach to US equities. The index has a similar beta and volatility as the marker, but aims to expose the portfolio to securities that benefit from inflation.
• US Aggressive Equity Index offers a higher risk and higher reward strategy. It is more cyclical, has a higher beta, and is more volatile relative to the market.
• US Balanced Equity Index offers a balanced approach to US equities. The index has a similar beta and volatility as the marker, while balancing inflation, growth, and defensive factors.
• US Defensive Equity Index offers a low-risk exposure to US equities. It is less cyclical, has a lower beta, and is less volatile relative to the market.

	Return	Std Dev	Max Drawdown	Down Capture Ratio	Up Capture Ratio	Beta	Sharpe Ratio
US Aggressive Equity Index	37.55%	19.56%	-12.17%	132.49	130.21	1.34	1.46
US Inflationary Equity Index	31.01%	14.50%	-8.73%	87.98	102.26	0.96	1.58
US Balanced Equity Index	29.74%	13.03%	-8.57%	90.02	100.09	0.91	1.66
US Defensive Equity Index	22.56%	10.34%	-5.51%	67.87	77.03	0.68	1.51
iShares Russell 3000 ETF	28.32%	13.75%	-9.10%	100.00	100.00	1.00	1.50