QuantShares Files For QuantShares U.S. High Dividend Absolute Return Fund

QuantShares has filed paperwork with the SEC for a “QuantShares U.S. High Dividend Absolute Return Fund.” The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the [Index Provider Long /Short High Dividend Index]. They did not specify a trading symbol or expense ratio in the inital filing.

Principal Investment Strategies

The Fund seeks to track the performance of the [Index Provider Long/Short High Dividend Index] (the “Target High Dividend Index”) by investing at least 80% of its net assets (plus borrowings for investment purposes) in common stock, including the short positions, in the Target High Dividend Index. The Target High Dividend Index is a long/short index in which the long positions, in the aggregate, outweigh the short positions, in the aggregate. Thus, in seeking to track the Target High Dividend Index, at each rebalance the Fund will invest approximately 100% of its net assets in the long components identified by the index and obtain short exposure to the short components of the index equal to approximately [#]% of its net assets. In choosing to track a long/short index, the Fund seeks to generate a positive return, regardless of general market conditions, which the Adviser defines as an “absolute return,” by tracking an index whose long and short components are weighted so that volatility of the long components is approximately equal to that of the short components.

The universe for the Target High Dividend Index is [all] [the top 1000] U.S. listed issuers that have a market capitalization of at least [] billion and meet certain average trading volume and free float requirements established by [Index Provider] (“universe”). The securities included in the universe are categorized as belonging to one of ten sectors. The Target High Dividend Index identifies the [#] securities that consistently pay the highest dividends within each sector as equal-weighted long components [equal to __%] of net assets and the [#] securities that inconsistently pay dividends or consistently pay the lowest or no dividends within each sector as equal-weighted short components [equal to __%] of net assets. The consistency and amount of a security’s dividend payments is based on the [regularity and amount of dividends paid over the last three years].

Although the Fund will seek to invest in all of the long and short positions that comprise the Target High Dividend Index in approximately the same weight as they appear in the index, the Fund may use a sampling strategy to track the performance of the Target High Dividend Index. A sampling strategy involves investing in a representative sample of the long and short positions in the Target High Dividend Index that, collectively, have an investment profile correlated with the Target High Dividend Index. In either case, the weightings of the long and short positions in the Fund’s portfolio may differ from their weightings in the Target High Dividend Index.

The performance of the Fund will depend on the differences in the total return between its long positions and short positions. For example, in a rising market, if the Fund’s long positions appreciate more rapidly than its short positions, the Fund would generate a positive return. If the opposite occurred, the Fund would generate a negative return.

The Fund may invest up to 20% of its total assets in instruments other than the long and short positions in the Target High Dividend Index, which FFCM LLC, the Fund’s investment adviser (“Adviser”), believes will help the Fund track its Target High Dividend Index. Such instruments are expected to include long and short common stocks not in the Target High Dividend Index, derivatives, including swap agreements based on the Target High Dividend Index and futures contracts on equity indexes, and money market instruments.

The Target High Dividend Index is reconstituted [annually][quarterly] and rebalanced monthly. The Fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that its Target High Dividend Index is concentrated.

For the complete filing click: HERE

 

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