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VelocityShares Files For VelocityShares Volatility Hedged Large Cap ETF

September 21st, 2012

VelocityShares has filed paperwork with the SEC for a “VelocityShares Volatility Hedged Large Cap ETF.” The VelocityShares Volatility Hedged Large Cap ETF seeks investment results that correspond generally, before fees and expenses, to the performance of its underlying index, the VelocityShares Tail Risk Hedged Large Cap Index. They did not specify a trading symbol or expense ratio in the initial filing.

Principal Investment Strategies

ALPS Advisors, Inc. (the “Adviser”) will seek to match the performance of the Underlying Index. The Underlying Index is an index comprised of three large capitalization equity ETFs and two volatility related ETFs (“The Underlying Index ETFs”). The Fund will seek to achieve its investment objective by investing at least 80 % of its total assets in Underlying Index ETFs.

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The Underlying Index reflects the performance of a portfolio consisting of an exposure to (1) a large cap equity portfolio, consisting of three Underlying Index ETFs which track the Standard & Poors’ 500 Index (the “S&P 500,” with the Underlying Index ETFs tracking the S&P 500 being the “Underlying Large-Cap ETFs”) and (2) a volatility strategy to hedge “tail risk” events (which are market events that occur rarely but may have severe consequences when they do occur), consisting of two Underlying Index ETFs which reflect leveraged or inverse positions on the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Futures;” with such Underlying Index ETFs being the “Underlying Volatility ETFs”). The Underlying Index, at each monthly rebalance, consists of an 85% allocation to the Underlying Large-Cap ETFs and a 15% allocation to the Underlying Volatility ETFs (such allocation being the “Volatility Component”). The Underlying Index ETFs and their investment exposure are set forth below:

Underlying Index ETFs

Name Ticker Investment exposure (before fees and expenses)
Underlying Large-Cap ETFs
S&P 500 ETF Trust SPY Tracking of S&P 500 Index
S&P 500 ETF VOO Tracking of S&P 500 Index
S&P 500 Index Fund/US IVV Tracking of S&P 500 Index
Underlying Volatility ETFs
Ultra VIX Short-Term Futures ETF (the “Ultra Fund”) UVXY Twice the return of Short-Term VIX Futures on a daily basis
Short VIX Short-Term Futures ETF (the “Short Fund”) SVXY Inverse of the return of Short-Term VIX Futures on a daily basis

The Fund will attempt to correspond generally, before fees and expenses, to the performance of the Underlying Index by investing in (a) shares of the Underlying Large-Cap ETFs and (b) one or more swaps or other instruments designed to provide exposure to the performance of the Underlying Volatility ETFs and/or the underlying indexes of the Underlying Volatility ETFs. The Fund may also invest directly in shares of the Underlying Volatility ETFs.

For the complete filing click: HERE


NEW FILING


 

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