Index Methodology

The Index is a composite of equities correlated to energy, with the price of Brent crude oil as the “common thread” by which stocks are selected. Traditionally, oil indices have predominately been comprised of supplier or upstream oriented candidates. In addition to these candidates, however, the Index includes other industries that meet TriLine’s newly-defined criteria for “energy intensity.” What is energy intensity? Simply put, energy intensity is a measure of a company’s relationship to oil supply and demand. We believe this approach is a better reflection of today’s energy landscape. With a well-conceived methodology, the Index offers a significant advance in the practice of tracking an energy market investment. It aims to mitigate the downside of inevitable commodity cycles, while preserving the upside potential associated with investment in traditional energy equities.

NYSE® Pickens Oil Response™ Index Methodology 
NYPORI constituents are selected using a 4-part process:

Part 1: Establish Base Universe

  • Start with the top 1,000 NYSE-listed US equities by market capitalization ("NYSE 1,000")
  • Filter to securities with a minimum $2B market capitalization and a minimum of $10M in average daily volume of the prior three months (3M ADTV) 

Part 2: Perform Correlation Analysis (Quantitative) 

Starting with the NYSE 1,000, the calculation agent:

  • Calculates correlation between daily returns of Brent Crude Oil and each individual equity for the periods of 3, 6, 12, 36, and 60 months 
  • Identifies all equities that correlate in the top 40% for each time period
  • Identifies the equities that are above this threshold for all five time periods to two significant decimal points 

Part 3: Conduct Industry and Characteristic Screen (Qualitative) 

Index committee filters the prospective constituents by industries that are affected by demand for energy, generally as one of the following:

  • Energy producers 
  • Energy consumers 
  • Derivative consumers who signal greater demand for energy

Part 4: Select Final Constituents 

Index constituents are comprised of equities that pass both the quantitative and qualitative screens for an energy market investment and are equal-weighted, rebalanced quarterly and reconstituted annually.