Old Mutual is set to begin trading the “GlobalShares FTSE All-World ex US Fund ETF” (GSO) this coming Tuesday, April 6. The Fund seeks investment results that correspond (before fees and expenses) generally to the performance of the equity index called the FTSE All-World ex US Index (the “Underlying Index”).

Principal Investment Strategies:  The Fund will normally invest at least 80% of its total assets in securities that comprise the Underlying Index (which may include depository receipts representing such securities) and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities in the Underlying Index.  The Fund has adopted a policy that requires the Fund to provide shareholders with at least 60 days notice prior to any material change in this policy or the Underlying Index.  The Underlying Index is a market capitalization weighted index, adjusted based on the free-float of potential index constituents, and designed to track the performance of large-and medium-capitalization companies located in developed and emerging market countries throughout the world, excluding the United States.  The Underlying Index is currently comprised of approximately 2,200 stocks, which represent approximately 98% of the investable market capitalization in the world, excluding the United States. The Fund’s investment objective is non-fundamental and may be changed by the Board of Trustees without shareholder approval.

The Fund, using an “indexing” investment approach, attempts to replicate, before fees and expenses, the performance of the Underlying Index. The Adviser seeks correlation over time of 0.95 or better between the Fund’s performance and the performance of the Underlying Index; a figure of 1.00 would represent perfect correlation. Because of the practical difficulties and expense of purchasing all of the securities in the Underlying Index, the Fund does not purchase all of the securities in the Underlying Index.  Instead, the Adviser utilizes a “sampling” methodology in seeking to achieve the Fund’s investment objective.  Sampling means that the Adviser uses quantitative analysis to select securities from the Underlying Index universe to obtain a representative sample of securities that resemble the Underlying Index in terms of key risk factors, performance attributes and other characteristics.  These include industry weightings, market capitalization and other financial characteristics of securities.  The quantity of holdings in the Fund will be based on a number of factors, including asset size of the Fund and transaction costs.  The Adviser generally expects the Fund to hold less than the total number of securities in the Underlying Index, but reserves the right to hold as many securities as it believes necessary to achieve the Fund’s investment objective. The Fund may also invest in other investment companies and utilize derivative instruments, such as swaps, options, warrants, futures contracts and currency forwards (and participation notes, convertible securities and structured notes), to seek performance that corresponds to the Underlying Index. 

Index Methodology:  The constituents of the Underlying Index are selected by FTSE International Limited (“FTSE” or the “Index Provider”) pursuant to a proprietary methodology.  The equities included in the Underlying Index are selected annually and are free-float weighted (i.e., weighted based on the shares of a public company that are not held by corporate insiders that are freely tradable in the public market or markets on which a company’s securities are listed).  Equities are also screened to ensure that they meet certain liquidity guidelines to ensure that the Underlying Index is tradable.  The number of securities included in the Underlying Index will vary from month to month and may be higher or lower than the historical ranges.  The Underlying Index is adjusted quarterly. During each quarter, the number of equity securities may decrease as the common stocks are either delisted or not actively traded for any reason including, but not limited to, mergers, acquisitions and bankruptcies.

Index Construction:  The composition of the Underlying Index is determined based on the following criteria:

(1) The Underlying Index is comprised of companies from countries (excluding the United States) that must meet the following criteria before they can be included in the Underlying Index:

(a) Permission for direct equity investment by non-nationals;

(b) Availability of accurate and timely data;

(c) Non-existence of any significant exchange controls which would prevent the timely repatriation of capital or dividends;

(d) The demonstration of significant international investor interest in the local equity market; and

(e) Existence of adequate liquidity in the market of the relevant country.

(2) Once the countries comprising the Underlying Index are established, all companies in a region are ranked by market capitalization and the top 98% of the companies comprising the total market capitalization are selected in order to establish a regional universe.

(3) Once the regional universe is selected, the index universe is selected to include companies with a value of at least $100 million.  These companies are then screened and tested to ensure they meet the liquidity requirements and that they are fully free float adjusted.

NYSE:GSO