Aptus Capital Advisors, begun trading the Aptus Behavioral Momentum ETF (BATS: BEMO) on Thursday, June 09, 2015.
Here is a synopsis of the new ETF:
|Symbol: BEMO||Exchange: BATS|
|Name: Aptus Behavioral Momentum ETF||Net Expense Ratio: 0.79%|
The Aptus Behavioral Momentum ETF seeks to track the performance, before fees and expenses, of the Aptus Behavioral Momentum Index.
The Aptus Behavioral Momentum Index uses an objective, rules-based methodology to implement a systematic trend-following strategy that directs 100% of its exposure to either:
(i) the common stock of approximately 25 U.S.-listed companies based on momentum and investor behavior (Equity Exposure) or
(ii) shares of one or more ETFs that principally track the performance of 7–10 year U.S. Treasury notes (Treasury Exposure).
For its Equity Exposure, the Index ranks U.S. mid- and large-capitalization companies based on momentum and investor behavior. Momentum is measured based on the 26-week total return performance of each company’s common stock, and investor behavior is measured by looking at the price of a company’s common stock relative to its peak (i.e., highest) price over the last year. The top 25 companies based on a 50/50 combination of the above factors are included in the Index for its Equity Exposure, subject to a maximum 30% sector weighting limit at each reconstitution date. In instances where the 30% sector weighting limit would be exceeded, the lowest ranking member of that sector in the Index is removed from the Index and replaced with the highest ranked company not already included in the Index and from another sector until the Index no longer has any sector weighted more than 30%.
The Index is reconstituted every 4 weeks based on data as of the 3rd business day prior to the reconstitution date. The Index will maintain its Equity Exposure until the data for a reconstitution date shows a 10% drawdown (i.e., decline in value from a recent peak value) in a broad-based U.S. equity market index (or an ETF that tracks such index), which triggers the Index to switch to its Treasury Exposure on such reconstitution date. Once in Treasury Exposure mode, the Index will return to its Equity Exposure on a subsequent reconstitution date when the data for such reconstitution date shows the U.S. equity market above its moving average for a recent period.
At the Index’s inception and each time it switches from Treasury Exposure to Equity Exposure, the Index constituents are equal-weighted. In connection with each other reconstitution date (i.e., when the Index maintains its Equity Exposure mode for consecutive 4-week periods), Index constituents that are not removed from the Index maintain their current weight. However, Index constituents that are added to the Index receive a 4% weight, and the remaining constituents will have their weights increased or reduced proportionate to their current Index weighting to adjust for the 4% weighting for any new constituents.
Additionally, to reduce turnover, an Index constituent will only be removed from the Index (and a new constituent will only be added to replace it) in connection with a reconstitution if the current constituent’s ranking has fallen out of the top 40% of U.S. mid- and large-cap companies ranked by the Index.
Top Holdings (06/11/16):
|DLR||DIGITAL RLTY TR INC||4.35%|
|AWK||AMERICAN WTR WKS CO INC NEW||4.27%|
|CINF||CINCINNATI FINL CORP||4.23%|
|WM||WASTE MGMT INC DEL||4.21%|
|HSIC||SCHEIN HENRY INC||4.18%|
|OKE||ONEOK INC NEW||4.17%|
|WEC||WEC ENERGY GROUP INC||4.17%|
|CMS||CMS ENERGY CORP||4.08%|
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