The GM500 index is daily calculated based on Decision trees. The index started on August 19,2021. Each day, based on individual stock return forecasts, the stocks are classified between long(positive forecast) and short(negative forecast). The index is equal weighted, the holding period is one day.

The idea of the index is to show that machine learning can be used successfully to construct diversified portfolios with attractive risk adjusted returns compare with the S&P 500.

As time goes on, the index's statistics such as annualized volatility, accuracy, and accumulated return will acquire more relevance statistically speaking.