The Gapstow Liquid Alternative Credit Index (GLACI) is an equal-weighted index that tracks the performance of 35 “Publicly Traded Alternative Credit Vehicles” (PACs) using an objective, rules-based methodology. PACs are a subset of business development companies, real estate investment trusts, and closed-end funds, and selected because of their exposure to a range of US alternative credit sectors (tradeable high yield, structured, and private credit) and borrower segments (households, corporations, and commercial real estate sponsors). GLACI is the first index constructed to provide diversified exposure to these alternative credit sectors and segments.
We created GLACI to serve as a benchmark for the performance of the PAC universe. GLACI can also serve as a model to be tracked by future investment products, including those focused on the individual investor marketplace requiring daily or intraday liquidity. Hence, we view GLACI as a template for democratizing the investment in alternative credit.
Gapstow defines alternative credit to include all debt-based investments whose yield and/or expected return is higher than investment-grade fixed income securities. These debt investments include a range of securities across distinct alternative credit sectors and issued by three primary borrower segments (households, corporations, and commercial real estate sponsors).
GLACI is constructed to provide exposure to Publicly Traded Alternative Credit Vehicles (PACs) that specialize in one of six alternative credit sectors:
1. Private Corporate Lending
2. Public Corporate Debt
3. Commercial Real Estate Lending
4. Agency Real Estate Debt
5. Non-Agency Real Estate Debt
6. Multi-Sector Alternative Credit
Objective and transparent rules are used for:
· Categorizing Publicly Traded Alternative Credit Vehicles (PACs) into Sectors
· Selecting constituents within each Sector
· Weighting Sectors
Rebalancing occurs quarterly, effective on the first Business Day in January, April, July, and October.
Reconstitution occurs semi-annually, effective on the first Business Day in April and October.