QuantShares has filed paperwork with the SEC for a “QuantShares U.S. High Quality Fund.” The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the [Index Provider] High Momentum 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] High Momentum Index (the “Target Momentum Index”) by investing at least 90% of its net assets (plus borrowings for investment purposes) in common stocks in the Target Momentum Index.
The universe for the Target Momentum Index is the top 1000 eligible securities by market capitalization in the [Index Provider’s base index] (“universe”). The securities included in the universe are categorized as belonging to one of 10 sectors. The Target Momentum Index identifies the [#] securities with the highest momentum within each sector as equal-weighted components of the index. A stock’s momentum is based on its total return, which is a function of [price performance and dividend returns over the first twelve of the last thirteen months]. High momentum stocks are those stocks with higher total returns, and low momentum stocks are those stocks with lower total returns.
Although the Fund will seek to invest in all of the positions that comprise the Target Momentum 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 Momentum Index. A sampling strategy involves investing in a representative sample of the positions in the Target Momentum Index that, collectively, have an investment profile correlated with the Target Momentum Index. In either case, the weightings of the positions in the Fund’s portfolio may differ from their weightings in the Target Momentum Index.
The Fund may invest up to 10% of its total assets in instruments other than positions in the Target Momentum Index, which FFCM LLC, the Fund’s investment adviser (“Adviser”), believes will help the Fund track its Target Momentum Index. Such instruments, if used, will include common stocks not in the Target Momentum Index, derivatives, including swap agreements based on the Target Momentum Index and futures contracts on equity indexes, and money market instruments.
The Target Momentum Index, which is compiled by [Index Provider], is equal-weighted meaning that at each rebalancing of the index, all of the components of the index are equal-weighted and the number of positions in each sector is determined by the number of total securities within each sector in the universe. The Target Momentum Index is reconstituted 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 Momentum Index is concentrated.
For the complete filing click: HERE