QuantShares Files For QuantShares U.S. Low Beta Fund

QuantShares has filed paperwork with the SEC for a “QuantShares U.S. Low Beta Fund.” The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the [Index Provider] Low Beta 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] Low Beta Index (the “Target Low Beta Index”) by investing at least 90% of its net assets (plus borrowings for investment purposes) in common stocks in the Target Low Beta Index.

The universe for the Target Low Beta 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 Low Beta Index identifies the [#] securities with the lowest betas within each sector as equal-weighted components of the index. Beta measures the relative volatility of the value of a security compared with that of a market index; beta is calculated using historical market index data. A stock’s beta is based on its sensitivity to weekly market movements over the last twelve months as measured by its price movements relative to those of the universe as a whole. Low beta stocks are those stocks that are les volatile than the market index.

Although the Fund will seek to invest in all of positions that comprise the Target Low Beta 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 Low Beta Index. A sampling strategy involves investing in a representative sample of the positions in the Target Low Beta Index that, collectively, have an investment profile correlated with the Target Low Beta Index. In either case, the weightings of the positions in the Fund’s portfolio may differ from their weightings in the Target Low Beta Index.

The Fund may invest up to 10% of its total assets in instruments other than the positions in the Target Low Beta Index, which FFCM LLC, the Fund’s investment adviser (“Adviser”), believes will help the Fund track its Target Low Beta Index. Such instruments, if used, will include common stocks not in the Target Low Beta Index, derivatives, including swap agreements based on the Target Low Beta Index and futures contracts on equity indexes, and money market instruments.

The Target Low Beta 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 Low Beta 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 Low Beta Index is concentrated.

For the complete filing click: HERE

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