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 Quality 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] Quality Index (the “Target Quality Index”) by investing at least 90% of its net assets (plus borrowings for investment purposes) in common stocks in the Target Quality Index.
The universe for the Target Quality 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 Quality Index identifies the [#] securities with the highest quality ranking within each sector as equal-weighted components of the index. A stock’s quality ranking is based on an equally weighted combination of its [return on equity (earnings over the last twelve months divided by book value) and debt-to-equity] ratios within its sector. Stocks with higher [return on equity and a lower debt-to-equity] ratios (strong quality characteristics) within each sector receive higher rankings, and stocks with lower [return on equity and a higher debt-to-equity] ratios (weak quality characteristics) within each sector receive lower rankings.
Although the Fund will seek to invest in all of positions that comprise the Target Quality 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 Quality Index. A sampling strategy involves investing in a representative sample of the positions in the Target Quality Index that, collectively, have an investment profile correlated with the Target Quality Index. In either case, the weightings of the positions in the Fund’s portfolio may differ from their weightings in the Target Quality Index.
The Fund may invest up to 10% of its total assets in instruments other than the positions in the Target Quality Index, which FFCM LLC, the Fund’s investment adviser (“Adviser”), believes will help the Fund track its Target Quality Index. Such instruments, if used, will include common stocks not in the Target Quality Index, derivatives, including swap agreements based on the Target Quality Index and futures contracts on equity indexes, and money market instruments.
The Target Quality 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 Quality 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 Quality Index is concentrated.
For the complete filing click: HERE