PowerShares Files For PowerShares Absolute Return Allocation Portfolio ETF
PowerShares has filed paperwork with the SEC for a “PowerShares Absolute Return Allocation Portfolio” ETF. The PowerShares Absolute Return Allocation Portfolio (the “Fund”) is an actively managed exchange traded fund (“ETF”) that seeks positive total returns. They did not specify a trading symbol or expense ratio in the initial filing.
Principal Investment Strategies
The Fund seeks to achieve its investment objective by using a quantitative, rules-based strategy designed to provide returns that correspond to the performance of the [ ] (the “Benchmark”). The Fund, in accordance with its strategy allocation rules, will invest substantially all of its assets in a combination of U.S. Treasury securities and large capitalization equity securities that are listed on major U.S. exchanges. The Fund also may invest in exchange-listed futures contracts on U.S. Treasury securities, exchange-listed futures contracts on equity indices, and money market instruments.
The Benchmark is comprised of securities that are included in one of two asset classes — (i) equity securities listed on major U.S. exchanges or (ii) U.S. Treasury securities. The Benchmark is a long-only index that uses the pricing model of [ ], the administrator of the Benchmark, to dynamically allocate its weighting between those two asset classes each month to obtain exposure to the asset class that outperformed the other asset class as of the end of the previous month.
The Benchmark sets the weights of each asset class at 50% at the beginning of each calendar year. Using a model that evaluates the returns, volatility and correlation of each asset class, [ ] rebalances the weight of each asset class at the start of each month by increasing the weight of the asset class that outperformed the previous month. The monthly weights may vary widely, and at times the Benchmark may be weighted entirely to one asset class. The weights of the two asset classes are reset to 50% at the end of the calendar year, regardless of their weighting at that time.
Although the Fund seeks returns comparable to the returns of the Benchmark, the Fund also may invest in exchange-listed futures contracts on equity indices and exchange-listed futures contracts on U.S. Treasury securities to seek to achieve its investment objective. As a result, the Fund’s weights to the two asset classes may vary from those of the Benchmark at any time.
[To gain exposure to exchange-listed futures contracts on equity indices and exchange-listed futures contracts on U.S. Treasury securities, the Fund may invest in a subsidiary organized in the Cayman Islands (the “Subsidiary”). The Subsidiary would be wholly-owned and controlled by the Fund. Should the Fund invest in the Subsidiary, it would be expected to provide the Fund with exposure to investment returns from futures contracts within the limits of the federal tax requirements applicable to investment companies, such as the Fund. Unlike the Fund, the Subsidiary may invest without limitation in futures contracts and may use leveraged investment techniques. The Subsidiary would otherwise be subject to the same general investment policies and restrictions as the Fund. Except as noted, references to the investment strategies of the Fund for non-equity investments include the investment strategies of the Subsidiary.]
For the complete filing click: HERE