WisdomTree Alternative Credit Strategy Fund

Ticker: N/A
Exchange: N/A
Expense ratio: N/A
Filing date: December 17, 2020
Effective date: March 2, 2021
Listing Date: N/A
 
CUSIP: N/A
Adviser: WisdomTree Asset Management, Inc
Sub-Adviser: N/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 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 International Developed Capital Strength ETF

Ticker: FICS
Exchange: NASDAQ
Expense ratio: 0.70%
CUSIP: 33738R662

Listing date: December 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.

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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First Trust Value Line Dividend Index Fund | FVD

First Trust Value Line 100 Exchange-Traded Fund | FVL

Summary of  merger:

• FVD to be merged into FVL.
• Shareholders of FVD will receive shares of FVL.
• Last day of trading of FVD was December 16, 2020.

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Simplify Volt Fintech Disruption ETF | VFIN

Expense ratio: 1.03%
CUSIP: 82889N707

Simplify Volt Pop Culture Disruption ETF | POP
Expense ratio: 1.03%
CUSIP: 82889N806

Simplify Volt RoboCar Disruption ETF | VCAR

Expense ratio: 1.09%
CUSIP: 82889N889

Simplify Volt Cloud and Cybersecurity Disruption ETF | VCLO
Expense ratio: 1.02%
CUSIP: 82889N871

Characteristics common to all four funds

Investment Universe: Global equity securities and ETFs.

Each fund will have both an equity strategy consistent with its investment theme, and an option overlay strategy.

Equity Strategy

Companies that derive a significant portion of their revenue or market value from the stated investment them of the fund.

Companies that have stated that their primary business is focused on the particular investment theme.

Option Overlay Strategy

Each fund's option overlay is to attempt to enhance returns on up markets and to mitigate losses on down markets. It will be applied to 20% of each fund's net assets and consists of:

• Buying puts on individual securities and puts on broad market indexes and index ETFs.
• Buy calls on individual securities.

Original filing date: September 14, 2020

 

Adviser: Simplify Asset Management Inc

Sub-Adviser: Volt Equity LLC

Prospectus is here.

Specific Fund Characteristics

Simplify Volt Fintech Disruption ETF | VFIN

Equity Strategy

Invests in Fintech disruptive companies that:

(i) derive a significant portion of their revenue or market value from the theme of financial technology (“Fintech”) disruption or 

(ii) have stated their primary business to be in products and services focused on the theme of Fintech disruption.

Fintech Disruption are companies that may develop, use or rely on: 

• innovative payment platforms and methodologies
• point of sale providers
• e-commerce
• transactional innovations
• business analytics
• fraud reduction
• frictionless funding platforms
• peer-to-peer lending
• intermediary exchanges
• asset allocation technology
• blockchain technologies
• cryptocurrency
• mobile payments

VFIN will not directly or indirectly invest in cryptocurrencies but will invest in companies that support cryptocurrencies or blockchain.

VFIN will invest up to 25% of the Fund’s assets in Square, Inc. and up to 25% of the Fund’s assets in Adyen N.V.

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Simplify Volt Pop Culture Disruption ETF | POP

Equity Strategy

Invests in Pop Culture disruptive companies that:

(i) derive a significant portion of their revenue or market value from the theme of pop culture disruption or 

(ii) have stated their primary business to be in products and services focused on the theme of pop culture disruption.

 

Pop culture disruption companies are companies that focus on and benefit from innovations in:

• disruptive innovation in social media (“Social Media Companies”)
• streaming media (“Streaming Media Companies”)
• Internet of Things (“Internet of Things Companies”)

These types of companies are described below:

• Social Media Companies
• Companies that use website and/or applications to allow people to share media quickly, efficiently and in real time.

• Streaming Media Companies
• Companies that deliver media such as video or audio through a streaming medium. These companies rely on consumers having a stable and fast enough internet connection to consume digital products continuously.

• Internet of Things Companies
• Companies that deliver media through platforms that do not include the traditional platforms of television, phone or computer.

 

VPOP will invest up to 25% of the Fund’s assets in Spotify Technology S.A. and up to 25% of the Fund’s assets in Snap, Inc.

 

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Simplify Volt RoboCar Disruption ETF | VCAR

Equity Strategy

Invests in robocar disruption and technology companies that:

(i) derive a significant portion of their revenue or market value from the theme of robocar disruption and technology or 

(ii) have stated their primary business to be in products and services focused on the theme of robocar disruption and technology.

 

Robocar companies are companies that the sub-adviser believes are expected to focus on and benefit from the development of new products or services, technological improvements and advancements in scientific research related to, among other things, disruptive innovation in 

• autonomous transportation (“Autonomous Driving Companies”)
• electric energy (“Electric Energy Companies”)
• artificial intelligence (“Artificial Intelligence Companies”)

These types of companies are described below:

• Autonomous Driving Companies. Companies that the sub-adviser believes are focused on transportation through an emphasis on mobility as a service.

• Electric Energy Companies. Companies that the sub-adviser believes seek to capitalize on innovations or evolutions in: (i) ways that energy is stored or used, especially electric battery storage technologies and/or (ii) the production or development of new materials for use in commercial applications of energy production, use or storage, such as solar energy.

• Artificial Intelligence Companies.  Companies that leverage data collection and artificial intelligence methods to extract data, insights or products through artificial intelligence.

VCAR will invest up to 25% of the Fund’s assets in Tesla, Inc.

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Simplify Volt Cloud and Cybersecurity Disruption ETF | VCLO

Equity Strategy

Invests in cloud and cybersecurity companies that:

(i) derive a significant portion of their revenue or market value from the theme of cloud and cybersecurity disruption or 

(ii) have stated that their primary business to be in products and services focused on the theme of cloud or cybersecurity disruption.

Cloud and Cybersecurity are those companies that the sub-adviser believes are focused on and expected to benefit from shifting the bases of technology infrastructure from hardware and software to the cloud, enabling mobile and local services, such as companies that rely on or benefit from the increased use of shared technology, infrastructure and services. 

These companies may include mail order houses which generate the entirety of their business through websites and which offer internet-based products and services, such as streaming media or cloud storage in addition to traditional physical goods. These companies may also include ones that develop, use or rely on innovative payment methodologies, big data, the “internet of things,” machine learning, and social distribution and media.

These companies may include disruptive innovation in data management or cybersecurity:

• Data Management Companies
• Companies that store and manage data for other companies in the cloud.
• Cybersecurity Companies
• Companies that help secure the technical infrastructure of other companies.

 

The Fund will invest up to 25% of its assets in Crowdstrike Holdings, Inc. and up to 25% of its assets in Snowflake, Inc.

 

"Unlock the Power of Disruptive Convexity"

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Direxion World Without Waste ETF
Ticker: WWOW
Exchange: NYSE
Expense ratio: 0.50%
Filing date: September 10, 2020
Listing Date: December 18, 2020
 
CUSIP: 25460G641
 
Index: Indxx US Circular Economy Index
Constituents: 50
Index provider: Indxx

 
Prospectus is here.

Index Description

The Index is to be comprised of issuers that are representative of the economy shifting from a linear (one user and/or one use) model to a circular one (multi-owner and/or re-use). 

The Index begins with a universe of U.S. listed securities and ADRs that derive 50% or more of their revenue from the following categories: 

sustainability of resources, 

1. sharing platforms
2. resource recovery
3. product as a service
4. life cycle extension

The sustainability of resources investment category includes companies that provide renewable energy, bio-based, or fully recyclable input material to replace single-lifecycle inputs and includes companies categorized as solar, wind, or hydro power, geothermal energy, biomass, biofuels, agriculture science, and energy-efficient solutions. 

The sharing platform investment category includes companies that enable an increased utilization rate of products by making possible shared use/access/ownership and includes companies categorized as peer-to-peer lending, sharing spaces, knowledge, content and talent sharing, crowd funding, aggregators, collaborative platforms, and software, platforms or infrastructure as services. 

The resource recovery investment category includes companies that recover useful resources or energy from disposed products or by-products and includes companies in waste management. 

The product as a service investment category includes companies that offer product access and retain ownership to internalize benefits of circular resource productivity and includes companies in the subscription economy. The life cycle extension investment category includes companies that extend the working lifecycle of products and components by repairing, upgrading, and reselling products or components.

The Index Provider will include the top 10 companies from each category as determined by largest total market capitalization. If there are fewer than 10 companies in a category, then companies from the other categories with more than 10 companies will be included based on a company’s total market capitalization until there are 50 companies in the Index.

Securities and ADRs included in the Index must be listed in the U.S.; have a minimum market capitalization of $500 million; have average daily turnover greater than, or equal to, $2 million; and be traded on 90% of the eligible trading days in the prior 6 months. The companies in the Index are equal weighted and rebalanced and reconstituted annually.

As of October 30, 2020, the Index was comprised of 47 constituents, which had a median total market capitalization of $27.5 billion, total market capitalizations ranging from $496.6 million to $749.4 billion, and were concentrated in the information technology, consumer discretionary, and induatrials sectors.

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ProShares VIX Short-Term Futures ETF (VIXY)

ProShares Ultra VIX Short-Term Futures ETF (UVXY)

ProShares Short VIX Short-Term Futures ETF (SVXY)

ProShares VIX Mid-Term Futures ETF (VIXM)

Effective December 16, 2020

From NYSE arca to CBOE

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Fidelity® Investment Grade Bond ETF
Fidelity® Investment Grade Securitized ETF

Effective date: February 24, 2021

Prospectus is here.






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Fidelity® Investment Grade Bond ETF

Ticker: FIGB

Investment Objective
The fund seeks a high level of current income.

Principal Investment Strategies

• Normally investing at least 80% of assets in investment-grade debt securities (those of medium and high quality) of all types and repurchase agreements for those securities.

• Managing the fund to have similar overall interest rate risk to the Bloomberg Barclays U.S. Aggregate Bond Index.

• Allocating assets across different market sectors and maturities.

• Investing in domestic and foreign issuers.

• Analyzing the credit quality of the issuer, security-specific features, current and potential future valuation, and trading opportunities to select investments.

• Investing in lower-quality debt securities (those of less than investment-grade quality, also referred to as high yield debt securities or junk bonds).

• Engaging in transactions that have a leveraging effect on the fund, including investments in derivatives - such as swaps (interest rate, total return, and credit default), options, and futures contracts - and forward-settling securities, to adjust the fund's risk exposure.

https://www.bloomberg.com/quote/LBUSTRUU:IND

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Fidelity® Investment Grade Securitized ETF

Ticker: FSEC

Investment Objective
The fund seeks a high level of current income.

Principal Investment Strategies

• Normally investing at least 80% of assets in investment-grade securitized debt securities (those of medium and high quality) and repurchase agreements for those securities.

• Investing in securitized debt securities (including mortgage-backed securities, commercial mortgage-backed securities, and other asset-backed securities) issued by the U.S. Government and its agencies or instrumentalities, foreign governments, and corporations.

• Investing in U.S. Government securities issued by entities that are chartered or sponsored by Congress but whose securities are neither issued nor guaranteed by the U.S. Treasury.

• Managing the fund to have similar overall interest rate risk to the Bloomberg Barclays U.S. Securitized Index.

• Allocating assets across different market sectors and maturities.

• Investing in domestic and foreign issuers.

• Analyzing the credit quality of the issuer, security-specific features, current and potential future valuation, and trading opportunities to select investments.

• Investing in lower-quality debt securities (those of less than investment-grade quality, also referred to as high yield debt securities or junk bonds).

• Engaging in transactions that have a leveraging effect on the fund, including investments in derivatives - such as swaps (interest rate, total return, and credit default), options, and futures contracts - and forward-settling securities, to adjust the fund's risk exposure.

Securitized: US CMBS, Floating-Rate ABS, Agency CMBS

https://data.bloomberglp.com/professional/sites/10/Index-Methodology-2019-07-10.pdf

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 Target listing date of December 23

AdvisorShares Q Portfolio Blended Allocation ETF | QPT

AdvisorShares Q Dynamic Growth ETF  | QPX

Both are fund-of-funds, each investing in a portfolio of ETFs.

Adviser: AdvisorShares Investments, LLC

Sub-Adviser: ThinkBetter, LLC - Ron Piccinini, Ph.D, Chief Investment Officer at Sub-Adviser since May 2019

(Q Consulting)

Focus on tail risk (Dr Piccinini of ThinkBetter did his Ph.D on tail risk) as driver for investment signals.

ThinkBetter investment strategies provide investors with dynamic, passive and alternative strategies. We offer investment solutions using a qualitative and quantitative approach, primarily utilizing ETFs, equities and options, for institutions and their clients. ThinkBetter makes use of proprietary Q Methodology™ in the design and management of our portfolios.

Q Methodology™ generates a set of optimal portfolios that offer the highest expected return for a defined level of tail risk (which is the risk that an investment’s return will move significantly beyond expectations, i.e., more than three standard deviations from its mean) and expected drawdown. 

Prospectus is here.

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AdvisorShares Q Portfolio Blended Allocation ETF

Ticker: QPT

Exchange: NYSE arca

Expense ratio: 1.17%

Filing date: September 11, 2020

Effective date: November 25, 2020

Listing Date: December 22, 2020

CUSIP: 00768Y446

Strategy: Active

Universe: All asset classes of ETFs

The Fund seeks to strike a balance between long term growth and market volatility by maximizing returns relative to its peer group through a risk- and rewards-based approach to portfolio allocation.

Within the constraints of the expected drawdown, the Sub-Advisor then utilizes Q Methodology™, a proprietary risk analysis program, to determine the optimal risk/reward portfolio allocation.

Q Methodology™ generates a set of optimal portfolios that offer the highest expected return for a defined level of tail risk (which is the risk that an investment’s return will move significantly beyond expectations, i.e., more than three standard deviations from its mean) and expected drawdown. 

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AdvisorShares Q Dynamic Growth ETF
Ticker: QPX
Exchange: NYSE arca
Expense ratio: 1.46%
Filing date: September 11, 2020
Effective date: November 25, 2020
Listing Date: December 22, 2020

CUSIP: 00768Y438

Strategy: Active

The Fund seeks to maximize long-term growth by providing equity-like returns in most normal market conditions except when faced with abnormal levels of implied volatility as measured by QIX™, a proprietary implied volatility index owned by ThinkBetter,

QIX is a weighted average, computed daily, of implied volatilities of certain large ETFs representing different market sectors. Implied volatility is the market’s forecast of the likelihood of changes in a given security’s price. 

The greater a portfolio’s volatility, the wider the fluctuations between its high and low prices. 

In the event of implied volatility, the Fund takes a defensive position and seeks short-term fixed income returns. 

The Sub-Advisor seeks to achieve the desired results for the Fund by calibrating its portfolio to a tail risk and expected drawdown equivalent to the overall U.S. equity market.

Within the constraints of the expected drawdown, the Sub-Advisor then utilizes Q Methodology™, a proprietary risk analysis program, to determine the optimal risk/reward portfolio allocation. 

Q Methodology™ generates a set of optimal portfolios that offer the highest expected return for a defined level of tail risk and expected drawdown. The resulting portfolio for the Fund is composed of a diversified mix of investments, including equities, fixed income, and commodities that are held through ETFs.

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