QuantShares has filed paperwork with the SEC for a “QuantShares U.S. Relative Value Fund.” The Fund seeks performance results that correspond to the price and yield performance, before fees and expenses, of the [Index Provider] [Relative] Value 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] [Relative] Value Index (the “Target Value Index”) by investing at least 90% of its net assets (plus borrowings for investment purposes) in common stocks in the Target Value Index.
The universe for the Target Value 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 Value Index identifies the [#] securities with the highest value ranking within each sector as equal-weighted components of the index. A stock’s value ranking within its sector is determined by an equally weighted combination of the following ratios: [expected earnings over the next twelve months to price; cash flow over the last twelve months to price; and most recent book value to price]. Thus, less expensive (or “cheap”) stocks with below average valuations within each sector receive higher rankings, and expensive stocks with above average valuations within each sector receive lower rankings.
Although the Fund will seek to invest in all of positions that comprise the Target Value 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 Value Index. A sampling strategy involves investing in a representative sample of the positions in the Target Value Index that, collectively, have an investment profile correlated with the Target Value Index. In either case, the weightings of the positions in the Fund’s portfolio may differ from their weightings in the Target Value Index.
The Fund may invest up to 10% of its total assets in instruments other than the positions in the Target Value Index, which FFCM LLC, the Fund’s investment adviser (“Adviser”), believes will help the Fund track its Target Value Index. Such instruments, if used, will include common stocks not in the Target Value Index, derivatives, including swap agreements based on the Target Value Index and futures contracts on equity indexes, and money market instruments.
The Target Value 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 Value 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 Value Index is concentrated.
For the complete filing click: HERE