The Emles Protective Allocation Index to provide investors with competitive returns in benign market environments while protecting portfolios in periods of extreme market stress. The index allocates approximately 55% of its exposure to US corporate credit securities, 35% to US-listed equities, including American Depository Receipts (ADRs), and the remaining 10% to a mix of put options, commodity futures, and Treasury Inflation-Protected Securities. Eligible companies must have a minimum market capitalization of $50 billion and at least a BBB+ rating by S&P for long-term USD-denominated debt, although firms with no corporate debt or unrated debt may still be included. Corporate credit securities will only be included if a minimum of three years remain to final maturity. Corporate credit and equity securities are selected using a proprietary scoring methodology that considers balance sheet health, earnings cadence, debt paydown ability, and other relevant factors.
