State Street has filed paperwork with the SEC for a “SPDR SSgA US Minimum Volatility ETF.” The SPDR SSgA US Minimum Volatility ETF (the “Fund”) seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad U.S. market. They did not specify a trading symbol or expense ratio in the initial filing.
THE FUND’S PRINCIPAL INVESTMENT STRATEGY
Under normal circumstances, the Fund invests substantially all of its assets in the SSgA US Minimum Volatility Portfolio (the “Portfolio”), a separate series of the SSgA Master Trust with an identical investment objective as the Fund. As a result, the Fund invests indirectly through the Portfolio.
SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”) utilizes a proprietary quantitative investment process to select a portfolio of equity securities that the Adviser believes will exhibit low long-term volatility and provide competitive long-term returns relative to the broad U.S. market. Volatility is a statistical measurement of the magnitude of up and down fluctuations in the value of a financial instrument or index over time. Volatility may result in rapid and dramatic price swings. Under normal circumstances, the Portfolio invests at least 80% of its net assets (plus the amount of borrowings for investment purposes) in U.S. investments. The Adviser expects to favor securities with low exposure to market risk factors and low security-specific risk. The Adviser considers market risk factors to include, among others, a security’s size, momentum, value, liquidity, leverage and growth. While the Adviser attempts to manage the Fund’s volatility exposure to stabilize performance, there can be no guarantee that the Fund will reach its target volatility. Additionally, the Adviser implements certain risk constraints at the security, industry, size exposure, and sector levels. Through this quantitative process of security selection and portfolio diversification, the Adviser expects that the portfolio will be subject to a low level of absolute risk (as defined by standard deviation of returns) and thus should exhibit low volatility over the long term.
For the complete filing click: HERE