KFA Value Line® Dynamic Core Equity Index ETF
UPDATE: LISTED ON TUESDAY, NOVEMBER 24, 2020
Ticker: KVLE
Exchange: NYSE Arca
CUSIP: 500767645
Expense ratio: 0.56%
Index: Value Line® Dynamic Core Equity Index
Adviser: Krane Funds Advisors, LLC
Sub-Adviser: Lee Capital Management, LP
Prospectus is here.
Value Line® Dynamic Core Equity Index
The Underlying Index begins with the universe of stocks that Value Line® ranks. All companies with an equity market capitalization of less than $1 billion, registered investment companies, limited partnerships and foreign securities not listed in the U.S. are eliminated from this universe.
From this investable universe, the Underlying Index establishes:
(1) a dividend target, which is the trailing 12-month dividend yield of stocks in the 25th percentile of yield in this universe; and
(2) a beta target of 0.8 to 1 versus the S&P 500 Index based on forecasting models. Beta is a measure of the expected return of the Underlying Index relative to market movements.
Each company in the investable universe is assigned a score based on its Safety™ Rank and Timeliness™ Rank with companies with Rank 1 receiving a higher score than companies with Rank 2.
The Underlying Index then optimizes the weighting of companies using the score assigned to them to maximize the overall score for the Underlying Index taking into account the dividend target and the beta target.
At each rebalancing, the Underlying Index seeks a yield that will be no less than the dividend target and a beta within 0.03 of the beta target.
The weighting of a company can be zero and no individual company will be weighted more than 1.5% greater than its weighting in the broad-based large cap equity index. The Underlying Index is rebalanced during the first full week of each calendar month.
As of August 31, 2020, the Underlying Index included 68 securities of companies with a market capitalization range of approximately $2.2 to $2,206 billion and had an average market capitalization of approximately $140 billion.
The Underlying Index is rebalanced monthly.
To the extent the Underlying Index is concentrated in a particular industry, the Fund is expected to be concentrated in that industry. As of August 31, 2020, issuers in the Financials sector (18.5%) and Healthcare sector (17.8%) each represented a significant portion of the Underlying Index.
The Underlying Index was launched on June 15, 2009 with a base date of December 7, 2009 and a base value of 1000. The Underlying Index is rebalanced monthly and reconstituted monthly.
The Underlying Index is provided by Fuzzy Logix, Inc. (doing business as “FastINDX”) (“Index Provider”). The Index Provider is not affiliated with the Fund or Krane. The Index Provider determines the components and the relative weightings of the component securities in the Underlying Index. Additional information about the Underlying Index is available on the Index Provider’s website, www.valueline.com.
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