Thursday, December 31, 2020

Hydrogen and Fuel Cell ETF filed: Defiance

Defiance Next Gen H2 ETF

Ticker: HDRO
Exchange: NYSE arca
Expense ratio: TBD
Original filing date: December 22, 2020
Effective date: March 08, 2021
Listing date: TBD
CUSIP: TBD
Active: No
Index: BlueStar Global Hydrogen & NextGen Fuel Cell Index
Index providerMV Index Solutions GmbH
Constituents: 25

Investment Objective: Track the total return performance, before fees and expenses, of the BlueStar Global Hydrogen & NextGen Fuel Cell Index.

Investment Strategy: The Fund tracks the total return performance, before fees and expenses, of the BlueStar Global Hydrogen & NextGen Fuel Cell Index.





BlueStar Global Hydrogen & NextGen Fuel Cell Index
The Index is a rules-based index that tracks the performance of a group of globally listed equity securities of companies involved in the development of hydrogen-based energy sources, fuel cell technologies, and industrial gases. 

The Index is comprised of both “core” and “non-core” companies. 

Core” companies are those that generate at least 50% of their revenue from 
  • (i) products that facilitate energy production from hydrogen, 
  • (ii) fuel cells, or 
  • (iii) the production of industrial gases (including hydrogen). 

Non-core” companies are those whose business includes 
  • hydrogen-based energy production, 
  • fuel cells, 
  • hydrogen gas production, or 
  • technology and equipment that facilitates energy production from hydrogen, but do not otherwise qualify as “core” companies and are not vehicle manufacturers. 


At the time of each quarterly rebalance of the Index, Index constituents are weighted using a modified market-capitalization methodology that 
  • caps the weight of the group of non-core companies to 20%, 
  • limits the weight of any individual security to 10% (4% for industrial gas companies), and 
  • adjusts the weight of a constituent downward based on certain liquidity criteria. 
...

Once included in the Index, companies are eligible to remain in the Index at lower investibility thresholds, and core companies will not lose their “core” designation unless they earn less than 25% of their revenue from (i) products that facilitate energy production from hydrogen, (ii) fuel cells, or (iii) the production of hydrogen gas.

The Index is rebalanced quarterly, effective after the close of trading on the third Friday of each March, June, September, and December. 

The Index is reconstituted as part of the rebalance in each June and December. 

For each rebalance and reconstitution of the Index, Index constituents and their weights are determined based on data prior to the Rebalance Date.




Adviser: Defiance ETFs, LLC
Sub-Adviser: Penserra Capital Management LLC
 
Prospectus is here.


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S000071206

ImpactShares files for new Affordable Housing ETF

Some fund fees go back to partnering charity.


Impact Shares Affordable Housing MBS ETF

Ticker: OWNS
Exchange: NYSE arca
Expense ratio: 0.30%
Original filing date: December 23, 2020
Effective date: March 08, 2021
Listing Date: TBD
Active: Yes
Index: Not applicable (ACTIVELY MANAGED)
CUSIP: TBD
Investment Objective:
The primary investment objective of the Impact Shares Affordable Housing MBS ETF is to generate a level of current income via a portfolio comprised of investment grade mortgage-backed pass-through securities issued and/or guaranteed by U.S. government agencies.


Investment Strategy
The Fund will invest primarily in mortgage-backed securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae. 

The Fund will invest in mortgage-backed securities backed by pools of mortgage loans made to minority families, low-income families, and/or families that live in persistent poverty areas.

At least 51% of the loans underlying the mortgage-backed securities in which the Fund invests will have been made to low- and moderate-income borrowers

These loans include home loans in census tracts where:
- more than 50% of the population is non-white and at least 40% of the population is living at or below the poverty line (defined as a racially or ethnically concentrated areas of poverty or “R/ECAP”)
- loans in counties where for more than 20 years 20% or more of the population has lived in poverty (defined as a persistent poverty county or “PPC”)
- loans to minority borrowers or loans originated in a census tract where more than 50% of the population is a minority (also referred to as a majority-minority census tract.)

The Fund may also invest in mortgage-backed securities backed by pools of loans sourced from non-traditional originators including Community Development Financial Institutions (CDFIs) and minority-owned banks.


Constituents: TBD

Prospectus is here.





OTHER IMPACT SHARES ETFs:

As of Dec. 30, 2020:

Impact Shares YWCA Women's Empowerment ETF ($12.3M AUM - August 24, 2018)

Impact Shares NAACP Minority Empowerment ETF ($19.3M AUM - July 18, 2018)

Impact Shares Sustainable Development Goals Global Equity ETF ($3.8M AUM - September 20, 2018)





DALLAS, TEXAS • 844-448-3383 • INFO@IMPACTETFS.ORG


Ethan Powell - Founder & CEO of ImpactShares




Twitter
@ImpactETFs

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Saturday, December 19, 2020

Swan ETF to list next week

Swan Hedged Equity US Large Cap ETF
Ticker: HEGD
Exchange: Cboe BZX
Expense ratio: 0.87%
Original filing date: October 2, 2020
Effective date: December 16, 2020

 
CUSIP: 53656F599
Adviser: Swan Capital Management, LLC
Sub-Adviser: Swan Global Management, LLC
 
Strategy: Swan's proprietary "Defined Risk Strategy" (DRS)
Index: N/A; Active
Strategy summary
  • Equity portion: ETFs
  • Options portion: Put and call options on S&P 500 Index

Prospectus is here.


Portfolio Managers
  • Randy Swan, Lead Portfolio Manager and President of the Adviser and Sub-Adviser, 
  • Robert Swan, Portfolio Manager and Chief Operating Officer of the Adviser and Sub-Adviser, 
  • Micah Wakefield, CAIA, Managing Director of Research and Product Development and Portfolio Manager of the Sub-Adviser, and 
  • Chris Hausman, CMT, Managing Director of Risk and Portfolio Manager of the Sub-Adviser, have each served as a Portfolio Manager of the Fund since its inception in December 2020.






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Strategy in Detail

Investment Objective

The Swan Hedged Equity US Large Cap ETF (the “Fund”) seeks long term capital appreciation while mitigating overall market risk.

Principal Investment Strategies

The Fund is an actively-managed exchange-traded fund (“ETF”) that pursues its investment objective by investing at least 80% of its net assets (plus any borrowings for investment purposes) directly and indirectly through one or more other investment companies, including ETFs, in equity securities of large capitalization U.S. companies. “Large capitalization companies” are those within the range of capitalizations of the S&P 500 Index. In seeking to achieve its investment objective, the Fund also uses exchange-traded long-term put options on the S&P 500 Index for hedging purposes and exchange-traded put and call options on the S&P 500 Index (or exchange-traded funds seeking to track the S&P 500 Index) to seek to generate additional returns.

The Fund may buy and sell put and call options. The Fund seeks to provide risk-managed growth of capital by matching or exceeding the long-term performance of the US large-cap equity market by minimizing large declines typically experienced during bear markets.
Hedging Process. The Fund utilizes the defined risk strategy (“DRS”) philosophy developed in 1997 by Randy Swan, President of Swan Capital Management, LLC (the “Adviser”), the Fund’s adviser, and Swan Global Management, LLC (the “Sub-Adviser”), the Fund’s sub-adviser. The DRS is based upon the Sub-Adviser’s research indicating that market timing and/or stock selection is extremely difficult, may produce volatile returns and that asset allocation is limited in its risk reduction. In implementing this strategy, the equity portion of the Fund’s portfolio is hedged using put options and the option portion of the Fund’s portfolio is actively-managed to seek additional return or provide risk mitigation. Specifically, the Sub-Adviser seeks to “define risk” by seeking to protect against large losses. The Sub-Adviser seeks to do so by hedging the Fund’s equity exposure through investments in protective long-term S&P 500 Index put options (referred to as paying a premium) that give the Fund the right to sell a security or index at a set (strike) price or sell the long-term put option on an option exchange. Generally, S&P 500 Index put options have an inverse relationship to the S&P 500 Index and its sector-specific constituents.

Additional Options Strategies. In addition to seeking to protect against large losses, the Sub-Adviser seeks to increase returns by buying and selling put and call options on the S&P 500 Index (or on ETFs that track the S&P 500 Index). A put option is a contract that entitles the purchaser to receive from the seller a cash payment equal to the amount of any depreciation in the value of the reference index below a fixed price as of the valuation date of the option. A call option is a contract that entitles the purchaser to receive from the seller a cash payment equal to the amount of any appreciation in the value of the reference index over a fixed price as of the valuation date of the option.

The Sub-Adviser also will regularly engage in various spread option strategies. Spread option strategies involve, for example, buying a six-month call option while simultaneously selling a further out-of-the-money six-month call option. Each spread includes a hedging element so that the Fund is not exposed to significant losses on written options. In addition, the Fund will occasionally write short-term (typically one to three months to expiration) S&P 500 Index call options on a portion of the underlying equity in the Fund, similar to a covered call strategy.
Rebalancing. The Sub-Adviser will typically rebalance the portfolio on an annual basis to maintain appropriate weighting across the components of the strategy and to avoid excessive exposure. Long-term protective put options are typically traded annually, but may be rebalanced more frequently depending on market conditions, to protect capital and/or allow for profit potential, by re-establishing a current-market strike price which depends on whether the market has increased or decreased.

The Sub-Adviser intends on having low portfolio turnover as most of the ETF portfolio will be held indefinitely. Written call options are purchased when the Sub-Adviser believes they present an unfavorable risk and reward profile. Purchased options are sold when the Sub-Adviser believes they present an unfavorable risk and reward profile or when more attractive investments are available.

The Fund is considered to be non-diversified, which means that it may invest more of its assets in the securities of a single issuer or a smaller number of issuers than if it were a diversified fund.




Amplify to list International BlackSwan ETF in next couple of weeks

Amplify BlackSwan ISWN ETF
Ticker: ISWN
Exchange: NYSE Arca
Expense ratio: 0.49%
Original Filing date: July 24, 2020
Effective date: December 17, 2020

CUSIP: 32108821
Adviser: Amplify Investments LLC.
Sub-Adviser: ARGI Investment Services, LLC and Toroso Investments, LLC.

Index: S-Network BlackSwan International Index (ISWNXT)


Investment Strategy Summary
Provide 70% of upside performance of MSCI EAFE index, with protection against "Black Swan" events where market drops substantially and suddenly.

Investment portfolio to mimic index:
  • 90% in U.S. Treasuries of various maturities that together have a duration matching initial duration of the U.S. 10-Year Treasury Note.
  • 10% in in-the-money June and December LEAP options on iShares MSCI EAFE ETF (EFA).



Portfolio Managers

Dan Cupkovic, CFP, Director of Investments at ARGI
Dr. Indu Chhachhi, Investment Committee Member and Researcher at ARGI
Matt Westfall, CFA, Portfolio Manager at ARGI
Charles A. Ragauss, CFA, Portfolio Manager at Toroso
Michael Venuto, Chief Investment Officer of Toroso


Prospectus is here.
















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Strategy in Detail

The Fund will invest at least 80% of its total assets in the securities that comprise the Index, which will primarily include U.S. Treasury securities and long-dated call options ("LEAP Options") on the iShares MSCI EAFE ETF ("EFA"). The Fund is not a money market fund. The Fund, using an indexing investment approach, attempts to replicate, before fees and expenses, the performance of the Index. The Fund's investment sub-advisers, ARGI Investment Services, LLC ("ARGI") and Toroso Investments, LLC ("Toroso," and with ARGI, the "Sub-Advisers"), manage the investment of the Fund's assets. The index provider is S-Network Global Indexes, Inc. ("S-Network" or the "Index Provider"). The Index Provider is not affiliated with the Fund, Amplify Investments LLC (the "Adviser") or either Sub-Adviser.

 

The Index is a rules-based, quantitative index that seeks to provide capital protection against the unpredictable, rare and highly disruptive events that have come to be referred to as "Black Swans." The Index's strategy is designed to allow for some participation in the investment gains experienced by EFA while providing the opportunity for a buffer against significant losses through the Index's target portfolio weighting of approximately 90% U.S. Treasury securities. The EFA tracks an index that measures the equity market performance across 21 developed markets outside of the U.S. and Canada and may include large or mid-capitalization companies.

 

The Index seeks to provide such returns by allocating approximately 10% of its index market capitalization to a portfolio of LEAP Options on EFA and approximately 90% of its index market capitalization in a portfolio of U.S. Treasury securities. The EFA LEAP Options provide the exposure to the MSCI EAFE Index. Due to the terms of these EFA LEAP Options (which are discussed in more detail below), these positions allow the equity portion of the Index to participate in approximately 70% of the upside experienced by EFA over a full market cycle. The U.S. Treasury securities portion of the portfolio is included to help mitigate against significant losses. By allocating approximately 90% of its index market capitalization to U.S. Treasury securities, the Index seeks to create a portfolio buffer that is positioned to preserve capital in the event of a "Black Swan" event. The Index is not designed to provide investment returns that correspond closely with the returns of the MSCI EAFE Index. The Fund is not an appropriate investment for investors who seek such returns.

 

The EFA LEAP Options portfolio is composed of in-the-money LEAP Options that, at the time of purchase, have expirations of at least one year and one day in the future and expire in either June or December, as applicable. The EFA LEAP Options purchased by the Fund are sold exclusively on the New York Stock Exchange and bought outright by the Fund. The EFA Leap Options are subject to customary brokerage costs in addition to the current market price for the Options (i.e. option premium). An "in-the-money" option contract is an option contract with a strike price that is below the current price of the underlying reference asset. For the EFA LEAP Options in which the Fund invests, the reference asset is EFA. The LEAP Options will generally have a delta of 70 at the time of purchase, meaning that for every $1.00 of movement in the share price of EFA, each LEAP Option will have a corresponding movement of $0.70. Therefore, while not subject to a return cap when EFA experiences gains, the Index generally only participates in approximately 70% of the gains experienced by EFA over a full market cycle. When EFA experiences losses, the EFA LEAP Options portfolio participates in approximately 70% of such losses experienced by EFA, but those losses are mitigated by the Index's approximately 90% position in U.S. Treasury securities.


 

The U.S. Treasury securities portfolio is composed of U.S. 2-, 3-, 5-, 7-, 10- and 30-Year Treasury securities that cumulatively provide a portfolio duration that matches the initial duration of the U.S. 10-Year Treasury Note. This duration was selected as the Index's target duration based upon the principle that the return on intermediate-term U.S. Treasury securities tends not to correlate with those of the U.S. equities markets. Duration is a measure of the expected price volatility of a debt security as a result of changes in market rates of interest, based on, among other factors, the weighted average timing of the debt security's expected principal and interest payments. In general, duration represents the expected percentage change in the value of a security for an immediate 1% change in interest rates. For example, the price of a security with a duration of 10 years would be expected to drop by approximately 10% in response to a 1% increase in interest rates.

 

The Index reconstitutes and rebalances every June and December. At each June reconstitution, the Index liquidates its existing June LEAP Options and purchases LEAP Options that expire the following June. The December LEAP Option positions will remain unchanged at each June reconstitution. At each December reconstitution, the Index liquidates its existing December LEAP Options and purchases LEAP Options that expire the following December. The June LEAP Options positions will remain unchanged at each December reconstitution. So as to maintain the desired allocation of the portfolio, net gains or losses derived from the reconstitutions of the LEAP Options positions are added to or subtracted from the U.S. Treasury securities portfolio at each reconstitution. The Index also rebalances the U.S. Treasury securities portfolio any time the portfolio's target duration deviates by more than 0.5 years. For more information regarding the Index methodology, please see the section entitled "Additional Information About the Fund's Strategies and Risks."

 

The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended (the "1940 Act"). To the extent the Index concentrates (i.e., holds 25% or more of its total assets) in the securities of a particular industry or group of industries, the Fund will concentrate its investments to approximately the same extent. As of the date of the Prospectus, the Fund has significant exposure to companies in the financials sector, and companies based in Japan.






Thursday, December 17, 2020

WisdomTree filed for new ETF: Alternative Credit

WisdomTree Alternative Credit Strategy Fund

Ticker: N/A
ExchangeN/A
Expense ratioN/A
Filing date: December 17, 2020
Effective date: March 2, 2021
Listing DateN/A
 
CUSIPN/A
Adviser: WisdomTree Asset Management, Inc
Sub-AdviserN/A
 
Index[ Alternative Credit Index ]

Constituents: 35 - Equal weighted
 
Prospectus is here.

Strategy: Invests in BDC CEFs and REITs.





Principal Investment Strategies of the Fund

The Index is designed to provide diversified exposure to alternative credit sectors. 


The Index is comprised of U.S.-listed, registered closed-end investment companies (“CEFs”), including CEFs that have elected to be regulated as “business development companies” (“BDCs” and together with CEFs, the “Underlying Funds”) under the Investment Company Act of 1940, as amended (the “1940 Act”), and real estate investment trusts (“REITs” and, together with Underlying Funds, the “Vehicles”).


To be eligible for inclusion in the Index, a Vehicle must, among other requirements: 

(i) have a stated objective of investing primarily in public high-yield corporate bonds and broadly-syndicated loans, private middle market corporate loans, collateralized loan obligations, mortgage-backed securities, other asset-backed securities and/or real estate loans, 
(ii) be registered under the Securities Act of 1933, as amended (the “Securities Act”), 
(iii) be U.S.-listed, 
(iv) have a permanent capital structure (i.e., not allow investors to redeem shares), 
(v) have a six-month average daily market capitalization of greater than $100 million, and 
(vi) have a six-month average daily trading volume greater than $750,000.


Vehicles meeting the foregoing requirements are classified based on the Vehicle’s investment holdings in the following alternative credit sectors: 

(i) private corporate lending, 
(ii) public corporate debt, 
(iii) commercial real estate lending, 
(iv) agency real estate debt, 
(v) non-agency real estate debt, and 
(vi) multi-sector alternative credit. 


To meet classification requirements, at least 75% of a Vehicle’s investment holdings must provide exposure to a foregoing sector to be classified within that sector. 

Within each sector, eligible Vehicles are selected based on market capitalization until approximately thirty-five (35) Vehicles spanning the foregoing sectors are included as constituents. Constituents in the Index are equal-weighted

The Index is rebalanced quarterly and reconstituted semi-annually.

To the extent the Index concentrates (i.e., holds 25% or more of its total assets) in the securities of a particular industry or group of industries, the Fund will concentrate its investments to approximately the same extent as the Index.









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Principal to delist two ETFs

Principal U.S. Small-MidCap Multi-Factor ETF | PSM
Principal U.S. Large-Cap Multi-Factor ETF | PLC

Last day of trading was December 16, 2020.





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First Trust listed new International ETF today - NASDAQ: FICS

First Trust International Developed Capital Strength ETF

Ticker: FICS
Exchange: NASDAQ
Expense ratio: 0.70%
CUSIP33738R662

Listing dateDecember 17, 2020 

Adviser: First Trust Advisors L.P.
Index provider: NASDAQ
Index: The International Developed Capital Strength Index
Constituents: 50


 
Strategy/Index Methodology Summary

The International Developed Capital Strength Index seeks to provide exposure to well-capitalized companies in the developed markets outside of the U.S. with strong market positions that have the potential to provide their stockholders with a greater degree of stability and performance over time. 


Universe: securities comprising the NASDAQ Developed ex-US Index, an index seeking to track the performance of small, mid and large capitalization international companies (Developed countries ex-U.S.).

  1. Screen for liquidity three months > 5 million shares.
  2. Exclude multiple share classes of same issuer.
  3. Select top 500 by market capitalization.
  4. Exclude those securities issued by companies:
  • with less than $500 million in cash and short-term investments
  • with a long-term debt to market capitalization ratio greater than 30%,
  • with a return on equity that is 15% or less
  • that are currently in bankruptcy proceedings
  • companies that have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible.


The remaining securities are then given a volatility score based upon a combination of their short-term (three month) and long-term (one year) historical volatility.

The 50 securities with the lowest volatility score are chosen for inclusion in the Index.

Industry and country screen
  • If industry or country has weight > 30% of index, then remove security with highest volatility and replace with next security on volatility ranking list.
  • Repeat until no industry or country has weight > 30% of index.

If the number of securities in the Index is less than 50, then the securities that had the highest return on equity that failed the criteria but passed the debt to market cap ratio and cash and short term investments constraints are selected from the top 500 by free float adjusted market capitalization to go back into the eligible universe until there are 60 eligible securities. 

Then, the above steps are repeated to select 50 securities with the lowest combined volatility scores that meet the industry and country constraints.


Prospectus is here.




Portfolio Managers
The Fund’s portfolio is managed by an “Investment Committee” consisting of:
  • Daniel J. Lindquist
  • Jon C. Erickson
  • David G. McGarel
  • Roger F. Testin
  • Stan Ueland
  • Chris A. Peterson



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*******************************************************************************






Strategy/Index Methodology Detailed

The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts (“REITs”) that comprise The International Developed Capital Strength IndexSM (the “Index”). 

The Fund will generally employ a full replication strategy, meaning that it will normally invest in all of the securities comprising the Index in proportion to their weightings in the Index. 

However, under various circumstances, full replication of the Index may not be possible or practicable, and the Fund may purchase a sample of securities in the Index. 

The Fund will use the net total return version of the Index, which reinvests cash dividends on the ex-date and adjusts for an Index security’s country of incorporation withholding rate. 

The Index is developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). 

The Index Provider may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure Index integrity, for example, in response to stock splits, spin-offs or other corporate actions.

 
The Index seeks to provide exposure to well-capitalized companies in the developed markets outside of the U.S. with strong market positions that have the potential to provide their stockholders with a greater degree of stability and performance over time. 

The Index Provider classifies a country as “developed” based on quantitative criteria including: (1) having at least $20 thousand gross national income per capita for three consecutive years; 
(2) having at least a $30 billion market capitalization; 
(3) having at least a $10 billion annual turnover; 
(4) having at least a 45% float ratio; and 
(5) having at least ten securities that meet all the eligibility requirements for the NASDAQ Global Index. 


For countries that meet these quantitative criteria, the Index Provider also applies qualitative criteria, such as screening for markets that may have restrictions on foreign investment, currency convertibility or capital. 

The Fund may invest in securities of any market capitalization. 

The Index’s initial universe consists of the securities comprising the NASDAQ Developed ex-US Index, an index seeking to track the performance of small, mid and large capitalization international companies. 

The Index then excludes all securities with a three-month average daily trading volume of less than $5 million and multiple share classes of the same issuer. 

The Index then ranks the remaining securities by float-adjusted market capitalization and excludes all securities not ranked in the top 500. 

Float-adjusted market capitalization reflects what the Index Provider believes to be the outstanding shares minus non-publicly held shares multiplied by the market price. 

The universe is further narrowed by excluding those securities issued by companies with less than $500 million in cash and short-term investments, companies with a long-term debt to market capitalization ratio greater than 30%, companies with a return on equity that is 15% or less, companies that are currently in bankruptcy proceedings and companies that have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible. 


The remaining securities are then given a volatility score based upon a combination of their short-term (three month) and long-term (one year) historical volatility. Volatility is a statistical measure of the magnitude of changes in the security’s return without regard to the direction of those changes, and higher volatility generally indicates higher risk and is often reflected by frequent and sometimes significant movements up and down in value. 

The 50 securities with the lowest volatility score are chosen for inclusion in the Index.



A review is then enacted to determine if any industry (as determined by the Industry Classification Benchmark (“ICB”)), or country has a weight greater than 30%. 

If an industry or country has a weight greater than 30%, the worst-ranking security by volatility will be removed and replaced with the next eligible security (e.g., the 51st ranked by volatility) from a different industry or country. 

This process is repeated until no industry or country has a weight greater than 30%. Once finalized, each security is equal-dollar weighted, meaning each security’s Index market value is an equal-dollar value corresponding to an equal percent weight of the Index’s aggregate market value. 

If the number of securities in the Index is less than 50, then the securities that had the highest return on equity that failed the criteria but passed the debt to market cap ratio and cash and short term investments constraints are selected from the top 500 by free float adjusted market capitalization to go back into the eligible universe until there are 60 eligible securities. 

Then, the above steps are repeated to select 50 securities with the lowest combined volatility scores that meet the industry and country constraints.


The Index is rebalanced and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. 

The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. 

As of December 2, 2020, the Index was composed of 49 securities. 

As of December 2, 2020, the Fund had significant investments in industrials companies and Japanese issuers, Asian issuers and European issuers, although this may change from time to time. 

To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.




New York Life's IndexIQ files for new actively-managed fixed income ETF

IQ MacKay ESG Core Plus Bond ETF

Ticker: ESGB
Exchange: TBD
Expense ratio: TBD
Filing date: December 15, 2020
Effective date: March 01, 2021

 
Adviser: IndexIQ Advisors LLC 
(New York Life)
Sub-Adviser: MacKay Shields LLC (New York Life)


INVESTMENT PROCESS

Portfolio modified duration to worst within +/- 2.5 years from duration of Bloomberg Barclays U.S. Aggregate Bond Index

At least 80% of fund assets to be invested in bonds:
  • debt or debt-related securities issued or guaranteed by the U.S. or foreign governments that are members of the Organization for Economic Cooperation and Development (“OECD”), their agencies or instrumentalities; 
  • obligations of international or supranational entities; 
  • debt securities issued by U.S. or foreign corporate entities; 
  • zero coupon bonds; 
  • municipal bonds; 
  • mortgage-related and other asset-backed securities; 
  • loan participation interests
The Fund’s bond investments may have fixed or floating rates of interest. 




ESG

MacKay Shields LLC (the “Subadvisor”) seeks to invest in securities that meet environmental, social, and corporate governance (ESG) standards as measured by its proprietary ESG methodology:
  • The Fund will not invest in securities of issuers that the Subadvisor determines derive greater 5% of their revenue from the production, distribution, and services of coal, manufacturing of military equipment, alcoholic beverages, and tobacco products, operation of gambling casinos, and the production or trade of pornographic materials. 
  • The Fund will only invest in energy-related securities that the Subadvisor determines to be transitioning to more sustainable business practices or in energy-related securities issued to generate proceeds that will be used to finance or re-finance sustainability-related projects. 
  • The Fund will not invest in the securities of issuers determined by the Subadvisor to not meet the Subadvisor’s human rights, labor standards, environmental, and anti-corruption screening criteria.



OTHER INVESTMENTS
  • The Fund may invest up to 30% of its total assets in securities rated below investment grade by a nationally recognized statistical rating organization (“NRSRO”) (such securities rated lower than BBB- and Baa3).
  • The Fund may invest in mortgage dollar rolls, to-be-announced ("TBA") securities transactions, variable rate notes and floating rate notes. 
  • The Fund may invest up to 20% of its net assets in securities of foreign issuers, including up to 10% of its net assets in securities of emerging market issuers. 
  • The Fund may invest up to 20% of its net assets in securities denominated in a currency other than the U.S. dollar. 
  • The Fund may invest up to 5% of its net assets in common stocks. 
  • To the extent possible, the Fund will attempt to hedge its foreign currency exposure against the U.S. dollar. 
  • The Fund may also invest in derivatives such as futures, options and swap agreements to try to enhance returns or reduce the risk of loss by hedging certain of its holdings. 
  • Commercial paper must be, when purchased, rated in the highest rating category by a NRSRO or if unrated, determined by the Subadvisor to be of comparable quality.


Prospectus is here.


Portfolio managers:
Joseph Cantwell
Stephen Cianci, CFA
Neil Moriarty
Alexandra Wilson-Elizondo












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ARK files for new ETF tracking Transparency Index

Name :  ARK Transparency ETF Ticker :   TBD Exchange :   TBD Expense ratio : 0.00% Original filing date : August 31, 2021 Effective date : N...