FGRO Fidelity Growth Opportunities ETF (Expense ratio: 0.59%)
FMAG Fidelity Magellan ETF (Expense ratio: 0.59%)
FPRO Fidelity Real Estate Investment ETF (Expense ratio: 0.59%)
FSMO Fidelity Small-Mid Cap Opportunities ETF (Expense ratio: 0.64%)

SUMMARY & ANALYSIS

What are they

Fidelity listed four new actively-managed ETFs last week that are complementary to their existing lineup. Use both top-down and bottom-up analysis to select stocks in each fund.

Structure

Publishes nightly "Tracker Baskets" (see below for links to each ETF's Tracker Basket) in lieu of actual holdings to protect their investment strategy IP. Each ETF also provides an "Overlap" file to give further information on holdings.

Market Impact

These ETFs further complete their basic building blocks of sector, industry, and market cap ETFs. This launch includes their flagship Magellan mutual fund brand name to their ETF family. Expect a fixed income batch to launch next.

As a privately-held company, Fidelity can afford to play the long game so keep an eye on them once they finish fleshing out their core lineup of ETFs. You can expect both esoteric strategies and bundling of their ETFs to push out their well-established distribution and advisory networks.

Tracking Baskets

• FGRO
• FMAG
• FPRO
• FSMO

ETFs' Data Points
Tickers: see above
Exchange: Cboe BZX
Expense ratios:  see above

Original filing date: September 24, 2020
Effective date: January 26, 2021

Listing Date: February 4, 2021
Active: Yes

Index: Not Applicable
 
Investment Objective:
Long-term growth of capital.

Adviser: Fidelity Management & Research Company LLC

Sub-Advisers: 
FMR Investment Management (UK) Limited (FMR UK)
Fidelity Management & Research (Hong Kong) Limited (FMR H.K.)
Fidelity Management & Research (Japan) Limited (FMR Japan)

Prospectus is here.

Fidelity now has:
Total ETFs: 37
Total Active ETFs: 11
AUM: USD$23.5B
Revenues: USD$36M
Asset-weighted expense ratio: 0.15%

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FGRO Fidelity Fidelity Growth Opportunities ETF
The fund is an actively managed ETF that operates pursuant to an exemptive order from the Securities and Exchange Commission (Order) and is not required to publicly disclose its complete portfolio holdings each business day. Instead, the fund publishes each business day on its website a “Tracking Basket,” which is designed to closely track the daily performance of the fund but is not the fund’s actual portfolio. The Tracking Basket is comprised of: (1) select recently disclosed portfolio holdings (Strategy Components); (2) liquid ETFs that convey information about the types of instruments (that are not otherwise fully represented by the Strategy Components) in which the fund invests (Representative ETFs); and (3) cash and cash equivalents. For additional information regarding the Tracking Basket, see “Additional Information about the Fund – Tracking Basket Structure” in the prospectus.

The fund also publishes each business day on its website the “Tracking Basket Weight Overlap,” which is the percentage weight overlap between the holdings of the prior business day's Tracking Basket compared to the holdings of the fund that formed the basis for the fund’s calculation of net asset value per share (NAV) at the end of the prior business day. The Tracking Basket Weight Overlap is designed to provide investors with an understanding of how similar the Tracking Basket is to the fund’s actual portfolio in percentage terms.
Normally investing primarily in equity securities.

Investing in companies that Fidelity Management & Research Company LLC (FMR) believes have above-average growth potential (stocks of these companies are often called "growth" stocks).

Investing in domestic and foreign issuers.

Using fundamental analysis of factors such as each issuer's financial condition and industry position, as well as market and economic conditions, to select investments.



FMAG - Fidelity Magellan ETF
The fund is an actively managed ETF that operates pursuant to an exemptive order from the Securities and Exchange Commission (Order) and is not required to publicly disclose its complete portfolio holdings each business day. Instead, the fund publishes each business day on its website a “Tracking Basket,” which is designed to closely track the daily performance of the fund but is not the fund’s actual portfolio. The Tracking Basket is comprised of: (1) select recently disclosed portfolio holdings (Strategy Components); (2) liquid ETFs that convey information about the types of instruments (that are not otherwise fully represented by the Strategy Components) in which the fund invests (Representative ETFs); and (3) cash and cash equivalents. For additional information regarding the Tracking Basket, see “Additional Information about the Fund – Tracking Basket Structure” in the prospectus.

The fund also publishes each business day on its website the “Tracking Basket Weight Overlap,” which is the percentage weight overlap between the holdings of the prior business day's Tracking Basket compared to the holdings of the fund that formed the basis for the fund’s calculation of net asset value per share (NAV) at the end of the prior business day. The Tracking Basket Weight Overlap is designed to provide investors with an understanding of how similar the Tracking Basket is to the fund’s actual portfolio in percentage terms.
Normally investing primarily in equity securities.

Investing in either "growth" stocks or "value" stocks or both.

Investing in domestic and foreign issuers.
Using fundamental analysis of factors such as each issuer's financial condition and industry position, as well as market and economic conditions, to select investments



FPRO - Fidelity Real Estate Investment ETF
Principal Investment Strategies
The fund is an actively managed ETF that operates pursuant to an exemptive order from the Securities and Exchange Commission (Order) and is not required to publicly disclose its complete portfolio holdings each business day. Instead, the fund publishes each business day on its website a “Tracking Basket,” which is designed to closely track the daily performance of the fund but is not the fund’s actual portfolio. The Tracking Basket is comprised of: (1) select recently disclosed portfolio holdings (Strategy Components); (2) liquid ETFs that convey information about the types of instruments (that are not otherwise fully represented by the Strategy Components) in which the fund invests (Representative ETFs); and (3) cash and cash equivalents. For additional information regarding the Tracking Basket, see “Additional Information about the Fund – Tracking Basket Structure” in the prospectus.

The fund also publishes each business day on its website the “Tracking Basket Weight Overlap,” which is the percentage weight overlap between the holdings of the prior business day's Tracking Basket compared to the holdings of the fund that formed the basis for the fund’s calculation of net asset value per share (NAV) at the end of the prior business day. The Tracking Basket Weight Overlap is designed to provide investors with an understanding of how similar the Tracking Basket is to the fund’s actual portfolio in percentage terms.
Normally investing primarily in equity securities.

Normally investing at least 80% of assets in securities of companies principally engaged in the real estate industry and other real estate related investments.

Investing in domestic and foreign issuers.

Using fundamental analysis of factors such as each issuer's financial condition and industry position, as well as market and economic conditions, to select investments.



FSMO - Fidelity Small-Mid Cap Opportunities ETF
Principal Investment Strategies
The fund is an actively managed ETF that operates pursuant to an exemptive order from the Securities and Exchange Commission (Order) and is not required to publicly disclose its complete portfolio holdings each business day. Instead, the fund publishes each business day on its website a “Tracking Basket,” which is designed to closely track the daily performance of the fund but is not the fund’s actual portfolio. The Tracking Basket is comprised of: (1) select recently disclosed portfolio holdings (Strategy Components); (2) liquid ETFs that convey information about the types of instruments (that are not otherwise fully represented by the Strategy Components) in which the fund invests (Representative ETFs); and (3) cash and cash equivalents. For additional information regarding the Tracking Basket, see “Additional Information about the Fund – Tracking Basket Structure” in the prospectus.

The fund also publishes each business day on its website the “Tracking Basket Weight Overlap,” which is the percentage weight overlap between the holdings of the prior business day's Tracking Basket compared to the holdings of the fund that formed the basis for the fund’s calculation of net asset value per share (NAV) at the end of the prior business day. The Tracking Basket Weight Overlap is designed to provide investors with an understanding of how similar the Tracking Basket is to the fund’s actual portfolio in percentage terms.
Normally investing primarily in equity securities.

Normally investing at least 80% of assets in securities of companies with small to medium market capitalizations (which, for purposes of this fund, are those companies with market capitalizations similar to companies in the Russell 2500™ Index).

Investing in domestic and foreign issuers.

Investing in either "growth" stocks or "value" stocks or both.

Using fundamental analysis of factors such as each issuer's financial condition and industry position, as well as market and economic conditions, and quantitative analysis to select investments.

Global X China Disruption ETF

Global X China Innovation ETF

SUMMARY & ANALYSIS

Active ETF that invests in Chinese companies that are in disruptive businesses. "Disruptive" is defined by Global X using a proprietary process to identify 15 "Themes".

The sub-advisor, Mirae, then uses a fundamental analysis to select those companies with economic ties to China which it believes will have long-term appreciation under each of those themes.

Technically this product is priced well at 0.75% for China exposure. The "Themes" present cohesive cohorts but are still proprietary.

From an investor standpoint there are no direct competing ETFs that focus on innovative businesses as a whole, only in separate blocks. If marketed correctly this fund could be a core part in many US investors' portfolios.

Ticker: KEJI

Exchange: NASDAQ

Expense ratio: 0.75%

Original filing date: November 12, 2020

Effective date: January 26, 2021

Listing Date: February 17, 2021

CUSIP: 37954Y210

Active: Yes

Index: Not applicable

 

Investment Objective:

Long-term growth of capital.

 

Investment Strategy: 

• Companies with economic ties to China.
• Stock selection is based on fundamental, bottom up analysis.
• Uses proprietary thematic identification process to form universe of companies to select from.
• 15 themes (see below "Themes")
• A disruptive theme is one or many powerful structural changes that are expected to impact meaningful aspects of the economy and/or society. 
• Stock selection is based on fundamental, bottom up analysis.
• Each theme limited to max 35% of fund AUM, each individual constituent limited to max 10% of AUM.

Themes

1. Autonomous & Electric Vehicles
2. Climate Change
3. Cloud Computing
4. Cybersecurity
5. E-commerce
6. Education
7. FinTech
8. 5G & the Internet of Things
9. Healthcare Innovation
10. Infrastructure Development
11. Longevity
12. Rising EM Consumers
13. Robotics & Artificial Intelligence
14. Social Media
15. Video Games & Esports

Adviser: Global X Management Company LLC

Sub-Adviser: Mirae Asset Global Investments (Hong Kong) Limited

 

Prospectus is here.

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S000070816

PRINCIPAL INVESTMENT STRATEGIES

The Fund is an actively managed exchange traded fund (“ETF”) sub-advised by Mirae Asset Global Investments (Hong Kong) Limited (the “Sub-Adviser”) that seeks to achieve its investment objective by investing in exchange-listed companies that are economically tied to China and which are relevant to the Fund’s investment theme of disruptive innovation. Under normal circumstances, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in exchange-listed companies that are economically tied to China. The Fund’s 80% investment policy is non-fundamental and requires 60 days prior written notice to shareholders before it can be changed.

To achieve the Fund’s objective, the Adviser will provide a list of disruptive themes relevant to the economy in China using its proprietary thematic identification process. The identified themes will serve as the macroeconomic framework for the Sub-Adviser’s portfolio construction process. A disruptive theme is one or many powerful structural changes that are expected to impact meaningful aspects of the economy and/or society. Disruptive themes can result from significant advancements in technology, as well as from changes in demographics, consumer preferences, and/or the physical environment. For example, the growing trend in consumer habits for buying goods and services online has resulted in the transformation of how certain consumer goods companies operate and has contributed to the rapid growth of e-commerce. The Sub-Adviser will then identify exchange-listed companies that are economically tied to China and which are relevant to one or more of the disruptive themes that have been identified by the Adviser. From the identified companies, the Sub-Adviser will then select those companies that it believes have the most potential for capital appreciation, while also accounting for both theme- and company-level diversification in both the selection and weighting process. Under normal market conditions, the Sub-Adviser will seek to limit single stock exposure to 10% and limit the aggregate weight of each theme to 35%. In making these security selection determinations, the Sub-Adviser will apply its proprietary investment process, which combines (1) quantitative screens to assess areas such as financial and business risk, and (2) qualitative screens that focus on characteristics such as management quality and competitive dynamics. The Sub-Adviser may dynamically adjust the criteria used to evaluate companies to help ensure that the Fund can better reflect market developments.

Stock selection is based on fundamental, bottom up analysis. In choosing individual stocks, the Sub-Adviser applies an internally generated process which includes a quantitative and qualitative assessment of factors, including but not limited to, an issuer’s valuation, financial strength, competitive position in the industry, management track record, sustainability of returns, and regulatory and political risks.

The Adviser has identified the following themes, which represent the macroeconomic framework for the Sub-Adviser’s selection process. The types of companies that the Adviser believes are relevant to the given theme are listed and described in further detail below:

Autonomous & Electric Vehicles: Companies involved in the development of electric vehicles and/or autonomous vehicles, including companies that produce electric vehicles, electric vehicle components and materials, autonomous driving technology, and network connected services for transportation.

Climate Change: Companies involved in the mitigation of climate change, including those that develop technology or equipment that enable the production of energy from renewable and/or alternative sources, efficient utilization and storage of energy, and reduction of and adaption to negative environmental influences, including water and air pollution, deforestation, rising sea levels, drought, flooding, and other climate-related events.

Cloud Computing: Companies involved in offering computing Software-as-a-Service ("SaaS"), Platform-as-a-Service ("PaaS"), Infrastructure-as-a-Service ("IaaS"), managed server storage space and data center real estate investment trusts ("REITs"), and/or cloud and edge computing infrastructure and hardware.

Cybersecurity: Companies involved in the development and management of security protocols preventing intrusion and attacks to systems, networks, applications, computers, and mobile devices.

E-commerce: Companies involved in operating e-commerce platforms, providing e-commerce software and services, and/or selling goods and services online.

Education: Companies involved in digital learning and educational content/publishing, as well as early childhood education, secondary education, higher education, professional education and enterprise video and chat communication platforms.

FinTech: Companies involved in mobile/digital payments and remittances, peer-to-peer ("P2P") and marketplace lending, online banking, digital and automated investing solutions, insurance technology, financial analytics software and alternative/digital currencies (which are forms of currencies that are only available in digital or electronic form and not in physical form, like cryptocurrency).

5G & the Internet of Things: Companies involved in wearable technology, home automation, connected automotive technology, industrial internet of things devices, remote health devices, digital sensors, wireless chipsets/semiconductors, next generation communication networking infrastructure/software, smart metering, and energy control devices.

Healthcare Innovation: Companies that are furthering the health care sector through technological advancements, including telemedicine, digital health analytics, connected health devices, and administrative digitalization, as well as those leading in the development, production and distribution of innovative drugs and treatments, including those active in the study of genomics and personalized medicine.

Infrastructure Development: Companies involved in construction and engineering, production of infrastructure raw materials, composites and products, industrial transportation, and producers/distributors of heavy construction equipment.

Longevity: Companies that facilitate the demographic trend of longer average life spans and the aging of the global population, including but not limited to companies involved in biotechnology, medical devices, pharmaceuticals, senior living facilities and specialized health care services.

Rising EM Consumers: Companies that offer goods and services primarily to middle class consumers in developing markets. This includes those coming from traditional consumer-oriented sectors like consumer staples and consumer discretionary, as well as business-to-consumer (B2C) companies in health care, financial services, technology, industrials, real estate, and communications services.

Robotics & Artificial Intelligence: Companies involved in the development of robotics and/or artificial intelligence, including companies involved in developing industrial robots and production systems, automated inventory management, unmanned vehicles, voice/image/text recognition, predictive analytics using big data, and medical robots or robotic instruments.

Social Media: Companies involved in social networking, including photo and video sharing, micro-blogging, online dating, message boards, user review sites, social travel, pinboards, virtual community development, file sharing, and other web-based media applications that facilitate social connectivity.

Video Games & Esports: Companies involved in video game development/publishing, video game and esports content distribution and streaming, operating/owning esports leagues/teams, and producing video game/esports hardware.

In constructing the Fund’s portfolio, the Sub-Adviser selects investments for the Fund that represent its highest-conviction investment ideas within the themes as described above. The Sub-Adviser’s highest-conviction investment ideas are those that it believes present the best risk-reward opportunities.

Roundhill Streaming Services & Technology ETF

SUMMARY & ANALYSIS

• SUBZ invests in companies that stream video or audio over internet. The universe of stocks SUBZ is allowed to invest in is large, covering global small, mid, and large cap names.

• This is a timely launch given the year-long COVID confinements have permanently altered people's entertainment consumption habits globally, with on-demand and at-home content the obvious choice of channel.

• The expense ratio of 0.75% is a little on the high side for what is essentially an all-world equities strategy. However, there are no pure play competitors at the moment, except tangentially ARKW which has a higher expense ratio of 0.79%. Alpha Architect did file for a streaming & gaming ETF last week, but it won't be effective for the next 3 months and thus giving SUBZ a great head start.

Ticker: SUBZ

Exchange: Cboe BZX

Expense ratio: 0.75%

Original filing date: November 20, 2020

Effective date: February 3, 2021

Listing Date: February 10, 2021

CUSIP: 53656F441

Active: Yes

Index: Not applicable.

Investment Objective: Capital growth.

Investment Strategy: Investing in companies that develop, manufacture, distribute, or sell products or services related to the delivery of data or media content (audio and video) over the internet.

Constituents: Global small, mid, and large cap companies.

Adviser: Roundhill Financial Inc.

Sub-Adviser: Exchange Traded Concepts, LLC

Prospectus is here.

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Principal Investment Strategy    

The Fund is an actively-managed exchange-traded fund (“ETF”) that pursues its investment objective by investing in companies that develop, manufacture, distribute, or sell products or services related to the delivery of data or media content (audio and video) over the internet (“Streaming Companies”). Streaming Companies reflect the modern integration of traditional technology, telecommunications, media, and internet businesses through activities including:

•offering video, audio, and gaming services that are communicated by a provider to an end user over the internet.

•operating a website or application which primarily derives revenue from streaming multi-media such as audio, video, video games, sporting events, health and wellness, and live content involving a streamer or group of streamers broadcasting content.

•providing the technology, infrastructure, and/or platform for businesses to engage in streaming over the internet (such as content delivery networks).

•providing streaming analytics and market research to end users and companies engaged in streaming activities.

•manufacturing equipment and peripherals such as audio equipment, keyboards, headsets, cameras, virtual reality headsets, and other devices which have applications in live streaming.

Roundhill Financial Inc. (the “Adviser”), the investment adviser to the Fund, uses qualitative and quantitative factors to identify a universe of Streaming Companies by determining a company’s thematic relevance to streaming. Based on this analysis, the Adviser selects and assigns weightings to each Streaming Company selected for the Fund with the intent to create a portfolio that reflects companies that contribute a variety of streaming-related products and services (e.g., companies that produce the equipment needed for streaming and companies that utilize such equipment).

The Fund’s portfolio is expected to consist of equity securities of U.S. and foreign issuers of any market capitalization, which may include common stocks and depositary receipts representing interests in foreign securities (from both developed and emerging market countries). The Fund may also invest in Streaming Companies that have recently made an initial public offering (“IPO”) and special purpose acquisition companies (“SPACs”) that have announced their intention to merge with or acquire a Streaming Company. The Fund may invest in small-, mid-, and large-capitalization companies.

Under normal circumstances, at least 80% of the Fund’s net assets, plus borrowings for investment purposes, will be invested in Streaming Companies that receive a majority of their revenue or profits from, or invest a majority of their assets in, operations in the communication services and/or technology sectors.

The Fund is classified as a “non-diversified” investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

Principal International Adaptive Multi-Factor ETF

Principal U.S. Large-Cap Adaptive Multi-Factor ETF

Principal U.S. Small-Cap Adaptive Multi-Factor ETF

SUMMARY & ANALYSIS

All three apply a proprietary methodology to their "base" indices to overweight and underweight stocks based on value, quality, momentum, and volatility.

Iowa-based Principal is a bit late to the factors investing game, but these are necessary offerings to complete their product lineup.

Principal currently has 10 listed active and passive ETFs with around USD$4B in AUM translating into USD$10M in annual gross revenues.

Tickers: TBD

Exchange: TBD

Expense ratio: TBD

Original filing date: February 9, 2021

Effective date: April 26, 2021

Listing Date: TBD

CUSIP: TBD

Active: Yes

Index: Not applicable

Universe/Base Indices/Benchmarks:

MSCI World Ex-U.S. Index

S&P 500 Index

S&P 600 Index

Investment Objective:

The Funds seek long-term growth of capital.

 

Investment Strategy: 

Proprietary methodology to rank and select stocks from their respective universe indices on the following factors:

• Value
• Quality
• Momentum
• Volatility

Adviser: Principal Global Investors, LLC

Prospectus is here.

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Principal International Adaptive Multi-Factor ETF

Principal Investment Strategies

Under normal circumstances, the Fund invests at least 40% of its net assets, plus any borrowings for investment purposes, in securities of foreign companies. The fund invests in securities regardless of market capitalization size (small, medium or large). The Fund actively trades portfolio securities.

For security selection and portfolio construction, Principal Global Investors, LLC ("PGI") uses a proprietary quantitative model. The model is designed to identify and rank equity securities in the MSCI World Ex-U.S. Index (the "Index") that correspond to factor categories including the following:

• Value companies - securities with low prices relative to their fundamental value, measured by such metrics as earnings yield, free cash flow yield, and sales yield.

• Higher quality companies – securities ranked based on metrics such as return on equity, sales growth, earnings growth, and balance sheet measures of quality (such as lower debt and accruals).

• Higher momentum companies - securities ranked by evaluating recent performance.

• Lower volatility companies – identified using the last 12-month standard deviation of returns (in other words, how much such returns vary).

The model incorporates a proprietary rules-based methodology that identifies the current market risk regime as “lower,” “higher and increasing,” or “higher and decreasing” and then weights securities within and among the factor categories based on the prevailing market regime. During "higher and decreasing" market environments, for example, the model is expected to correspond more closely to the weights used in the Index itself; however, in "lower" and "higher and increasing" environments, the model’s selection and weighting is expected to differ from the Index in an effort to outperform the Index returns after fees and expenses. For certain securities, the model assigns weights equal to that of the Index in all risk regimes. The proprietary model and fund holdings are updated and rebalanced periodically, and PGI expects to adjust the model over time.

Principal U.S. Large-Cap Adaptive Multi-Factor ETF

Principal Investment Strategies

Under normal circumstances, the Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities of U.S. companies with large market capitalizations at the time of purchase. For this Fund, companies with large market capitalizations are those within the market capitalization range of the companies in the S&P 500 Index, which as of December 31, 2020, was between approximately $3.2 billion and $2.3 trillion. The Fund actively trades portfolio securities.

For security selection and portfolio construction, Principal Global Investors, LLC ("PGI") uses a proprietary quantitative model. The model is designed to identify and rank equity securities in the S&P 500 Index (the "Index") that correspond to factor categories including the following:

• Value companies - securities with low prices relative to their fundamental value, measured by such metrics as earnings yield, free cash flow yield, and sales yield.

• Higher quality companies – securities ranked based on metrics such as return on equity, sales growth, earnings growth, and balance sheet measures of quality (such as lower debt and accruals).

• Higher momentum companies - securities ranked by evaluating recent performance.

• Lower volatility companies – identified using the last 12-month standard deviation of returns (in other words, how much such returns vary).

The model incorporates a proprietary rules-based methodology that identifies the current market risk regime as “lower,” “higher and increasing,” or “higher and decreasing” and then weights securities within and among the factor categories based on the prevailing market regime. During "higher and decreasing" market environments, for example, the model is expected to correspond more closely to the weights used in the Index itself; however, in "lower" and "higher and increasing" environments, the model’s selection and weighting is expected to differ from the Index in an effort to outperform the Index returns after fees and expenses. For certain securities, the model assigns weights equal to that of the Index in all risk regimes. The proprietary model and fund holdings are updated and rebalanced periodically, and PGI expects to adjust the model over time.

Principal U.S. Small-Cap Adaptive Multi-Factor ETF

Principal Investment Strategies

Under normal circumstances, the Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in equity securities of U.S. companies with small market capitalizations at the time of purchase. For this Fund, companies with small market capitalizations are those within the market capitalization range of the companies in the S&P 600 Index, which as of December 31, 2020, was between approximately $146.6 million and $6.3 billion. The Fund actively trades portfolio securities.

For security selection and portfolio construction, Principal Global Investors, LLC ("PGI") uses a proprietary quantitative model. The model is designed to identify and rank equity securities in the S&P 600 Index (the "Index") that correspond to factor categories including the following:

• Value companies - securities with low prices relative to their fundamental value, measured by such metrics as earnings yield, free cash flow yield, and sales yield.

• Higher quality companies – securities ranked based on metrics such as return on equity, sales growth, earnings growth, and balance sheet measures of quality (such as lower debt and accruals).

• Higher momentum companies - securities ranked by evaluating recent performance.

• Lower volatility companies – identified using the last 12-month standard deviation of returns (in other words, how much such returns vary).

The model incorporates a proprietary rules-based methodology that identifies the current market risk regime as “lower,” “higher and increasing,” or “higher and decreasing” and then weights securities within and among the factor categories based on the prevailing market regime. During "higher and decreasing" market environments, for example, the model is expected to correspond more closely to the weights used in the Index itself; however, in "lower" and "higher and increasing" environments, the model’s selection and weighting is expected to differ from the Index in an effort to outperform the Index returns after fees and expenses. For certain securities, the model assigns weights equal to that of the Index in all risk regimes. The proprietary model and fund holdings are updated and rebalanced periodically, and PGI expects to adjust the model over time.

T. Rowe Price

U.S. Equity Research ETF

SUMMARY & ANALYSIS

"Enhanced S&P 500 Index Fund" 

Fund will hold S&P 500 constituents, but based on internal research will outweigh and underweight individual names to achieve excess returns over the S&P 500.

Given that SPY is at 0.07% and this offering is at 0.34%, fund needs to provide at least 0.27% excess returns than SPY to achieve its objective.

Ticker: TBD

Exchange: NYSE Arca

Expense ratio: 0.34%

Original filing date: February 8, 2021

Effective date: April 26, 2021

Listing Date: TBD

CUSIP: TBD

Active: Yes

Actively-managed protocol: Will use proxy portfolio for daily portfolio disclosure.

Index: Not applicable

Investment Objective:

The fund seeks to provide long-term capital growth.

 

Investment Strategy: 

The strategy attempts to create a portfolio with similar characteristics to the Standard & Poor’s 500 Stock Index® (S&P 500 Index) with the potential to provide excess returns relative to the Index. The fund offers the possibility of attractive returns through a disciplined portfolio construction process and emphasis on stock selection by industry-focused analysts. This disciplined approach seeks to add value via stock selection within each industry while maintaining style and sector exposures close to those of the S&P 500 Index. Within each sector and industry, the weighting of individual fund holdings can vary significantly from their weighting within the S&P 500 Index. The fund, which may be considered an “enhanced index” fund, attempts to outperform the S&P 500 Index by overweighting those stocks that are viewed favorably relative to their weighting in the Index, and underweighting or avoiding those stocks that are viewed negatively.

Constituents: S&P 500 

 

Adviser: T. Rowe Price

 

Prospectus is here.

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ファイリング

Principal Investment Strategies

The fund will normally invest at least 80% of its assets in U.S. equity securities (or futures that have similar economic characteristics). The strategy attempts to create a portfolio with similar characteristics to the Standard & Poor’s 500 Stock Index® (S&P 500 Index) with the potential to provide excess returns relative to the Index. The fund offers the possibility of attractive returns through a disciplined portfolio construction process and emphasis on stock selection by industry-focused analysts. This disciplined approach seeks to add value via stock selection within each industry while maintaining style and sector exposures close to those of the S&P 500 Index. Within each sector and industry, the weighting of individual fund holdings can vary significantly from their weighting within the S&P 500 Index. The fund, which may be considered an “enhanced index” fund, attempts to outperform the S&P 500 Index by overweighting those stocks that are viewed favorably relative to their weighting in the Index, and underweighting or avoiding those stocks that are viewed negatively.

The fund will generally remain fully invested (less than 5% in cash reserves) and seeks to be sector neutral when compared to the S&P 500 Index. While the majority of assets will be invested in large-capitalization U.S. common stocks, the fund may have small- and mid-capitalization and foreign exposure in keeping with fund objectives.

The fund is “nondiversified,” meaning it may invest a greater portion of its assets in fewer issuers than is permissible for a “diversified” fund.

The fund is an actively-managed, exchange-traded fund (ETF) that does not disclose portfolio holdings daily. In order to provide market participants with information on the fund’s investments, the fund will publish a “Proxy Portfolio” on its website daily. A Proxy Portfolio is a basket of securities that is designed to closely track the daily performance of the fund’s portfolio holdings. While the Proxy Portfolio includes some of the fund’s holdings, it is not the fund’s actual portfolio. The Proxy Portfolio could be based on a broad-based securities index or the fund’s recently disclosed portfolio holdings. The fund’s Portfolio Overlap is available on the fund’s website daily. Each day, the website will also provide the fund’s Tracking Error, which means the standard deviation over the past three months of the daily proxy spread (i.e., the difference, in percentage terms, between the Proxy Portfolio’s per share NAV and that of the fund at the end of the trading day).

In pursuing its investment objective(s), the fund has the discretion to deviate from its normal investment criteria. These situations might arise when the adviser believes a security could increase in value for a variety of reasons, including an extraordinary corporate event, a new product introduction or innovation, a favorable competitive development, or a change in management. In all circumstances, the fund will limit allowable investments to those investments described in the Statement of Additional Information.

The fund may sell securities for a variety of reasons, including to realize gains, limit losses, or redeploy assets into more promising opportunities.

BITWISE CRYPTO INNOVATORS ETF

Summary and Analysis

This is Bitwise's second Bitcoin investment proposal. The first attempt was to invest directly in Bitcoin, but has met with snags at the SEC. This current attempt focuses on ancillary companies to the Crypto currency industry by cobbling together service providers and "Innovators".

70% of the underlying index consists of companies explicitly and currently in the crypto currency ecosystem, including servicing and transacting. The remaining 30% is basically active management (despite pending index methodology to be published) as the constituents are selected by an index committee.

Ticker: TBD

Exchange: TBD

Expense ratio: TBD

Original filing date: February 8, 2021

Effective date: April 26, 2021

Listing Date: TBD

CUSIP: TBD

Active: No

Index: Bitwise Crypto Innovators Index

 

Investment Objective:

The Bitwise Crypto Innovators ETF seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the Bitwise Crypto Innovators Index.

 

Investment Strategy: 

Two-pronged investment focus:

1. Companies that derive at least 75% of revenues from crypto currency industry
2. Companies deemed crypto innovators by the index committee

*See below extract from prospectus "Principal Investment Strategies" for definitions of both crypto currency industry and crypto innovators.

Constituents: Not entirely clear pending index methodology publication, but universe appears to be all-world as index is stated to include China A shares. "Crypto Innovators" portion of index will consist only of large-cap companies, while crypto industry companies must be at least $100M in market cap.

Adviser: Exchange Traded Concepts, LLC

 

Prospectus is here.

MORE ETF HEARSAY

 

ファイリング

Principal Investment Strategies

The Fund will normally invest at least 80% of its total assets in securities of the Index or in depositary receipts representing securities of the Index. The Index was designed by Bitwise Index Services, LLC (the “Index Sponsor”) to measure the performance of companies considered by the Index Sponsor to be Crypto Innovators, as defined below. Under normal circumstances, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of Crypto Innovators.

The term “Crypto Innovators” generally refers to companies that service and transact in the segment of the economy dealing with crypto assets and distributed ledger technology (e.g., blockchain technology). Crypto assets are digital representations of value or rights that are capable of being possessed by a party, secured cryptographically, and commonly associated with blockchain technology. A distributed ledger is a shared electronic database where information is recorded and stored across multiple computers. A blockchain is the type of distributed ledger most commonly associated with crypto assets, and involves the use of cryptography and economic incentives to establish consensus and security around the transaction ledger. Blockchain derives its name from the way participants verify and store transaction data in “blocks,” each of which is cryptographically linked to the prior block as a time-stamped chain.

Crypto Innovators include parties that operate crypto asset trading platforms, custodians and wallets; financial services providers leveraging crypto assets and/or blockchain technology, or other financial institutions principally servicing clientele involved in the crypto ecosystem; distributed ledger infrastructure and transaction validation services (e.g., crypto asset “miners”); and technology hardware, software and solutions providers to participants of the crypto ecosystem. These companies also include issuers that own a material amount of crypto assets or otherwise generate revenues relating to crypto asset or distributed ledger technology.

The Index is constructed using a rules-based screening and index committee selection methodology (the “Methodology”) that segments Index exposure to Crypto Innovators in two market segments:

1) 70% of the Index exposure to companies that derive more than 75% of their revenue directly from servicing or transacting in the crypto ecosystem or have more than 75% of their net assets accounted for by direct crypto asset holdings. These category one Crypto Innovators must have a minimum market capitalization of $100 million.

 

2) 30% of the Index exposure to large-capitalization companies that are identified as Crypto Innovators by the index committee. The index committee considers a company to be a Crypto Innovator to the extent that it has a “dedicated business initiative” explicitly focused on the crypto ecosystem that is reported on in at least one of the company’s official quarterly or annual filings from the past 12 months, including initiatives involving the purchase, sale, development, custody, mining, or trading, transacting in, processing transactions with, or holding of crypto assets or derivative instruments that track the value of crypto assets. These category two Crypto Innovators must have a minimum market capitalization of $10 billion.

 

The Index begins with an initial universe of companies that are exchange listed or publicly quoted issuers. Companies are next screened for minimum market capitalization based on the category standards set forth above. Companies are next screened for minimum average daily value in transaction volume and minimum free float market capitalization (shares publicly available for purchase on the secondary market). Shares of common stock, units, tracking stocks, American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) are eligible for inclusion in the Index. Where securities of eligible companies have multiple share classes listed on major exchanges, the most liquid share class as determined by the average daily traded value for the sixth month period preceding the date companies are screened for inclusion. The Index may include China A-shares, which are shares of mainland China-based companies that trade on the Chinese stock exchanges.

 

From this initial universe, companies are screened according to the Methodology for their involvement in the crypto ecosystem based upon the two categories of Crypto Innovators. Within the 70% exposure to category one Crypto Innovators, allocation is weighted by market capitalization. Within the 30% exposure to category two Crypto Innovators, the allocation is equally weighted. For all Crypto Innovators, the exposure to the securities of any single issuer is limited to 10%. The Index is rebalanced on a quarterly basis, at 4 p.m. Eastern time on the last business day of the calendar quarter. As of [_____], 2021, the Index comprised [_____] component securities with an average market capitalization of $[_____].

The Fund will not invest in crypto assets directly or through the use of derivatives. The Fund also will not invest in initial coin offerings. The Fund may, however, have indirect exposure to crypto assets by virtue of its investments in Crypto Innovators that use one or more crypto assets as part of their business activities or that hold crypto assets as proprietary investments.

The Fund employs a “passive management” investment strategy designed to track the performance of the Index. Exchange Traded Concepts, LLC (the “Adviser”) generally will use a replication methodology, meaning it will invest in all of the securities comprising the Index in proportion to their respective weightings in the Index. However, the Adviser may utilize a sampling methodology under various circumstances, including when it may not be possible or practicable to purchase all of the securities in the Index. The Adviser expects that over time, if the Fund has sufficient assets, the correlation between the Fund’s performance, before fees and expenses, and that of the Index will be 95% or better. A figure of 100% would indicate perfect correlation.

The Fund may invest up to 20% of its total assets in investments that are not included in the Index, but that the Adviser believes will help the Fund track the performance of the Index.

The Fund will concentrate its investments (i.e., invest more than 25% of its net assets) in a particular industry or group of industries to approximately the same extent that the Index concentrates in an industry or group of industries. As of [_____], 2021, the Index was concentrated in the software & services industry group and the semiconductors & semiconductor equipment industry group. In addition, in replicating the Index, the Fund may from time to time invest a significant portion of its assets in the securities of companies in one or more sectors. As of [_____], 2021, a significant portion of the Index consisted of companies in the communication services, financials, and information technology sectors.

The Fund is classified as a “non-diversified” investment company under the Investment Company Act of 1940 (the “1940 Act”) and, therefore, may invest a greater percentage of its assets in a particular issuer than a diversified fund.

The Index Sponsor is not an affiliate of the Fund or the Adviser. The Index is calculated and administered by [Calculation Agent,] which is not an affiliate of the Fund, the Adviser or the Index Sponsor. The Adviser has entered into a license agreement with the Index Sponsor pursuant to which the Adviser pays a fee to use the Index. The Adviser is sublicensing rights to the Index to the Fund at no charge.