Elkhorn Investments, begun trading a new Smart-Beta Low Volatility Tactical ETF, the Elkhorn Lunt Low Vol/High Beta Tactical ETF (BATS: LVHB) on Thursday, October 20, 2016. Here is a synopsis of the new ETF:
|Symbol: LVHB||Exchange: BATS|
|Name: Elkhorn Lunt Low Vol/High Beta Tactical ETF||Net Expense Ratio: 0.49%|
The Elkhorn Lunt Low Vol/High Beta Tactical ETF seeks investment results that generally correspond (before fees and expenses) to the price and yield of the Lunt Capital U.S. Large Cap Equity Rotation Index.
The Lunt Capital U.S. Large Cap Equity Rotation Index utilizes Lunt Capital’s proprietary relative strength methodology to rotate between one of two sub-indices that identify certain components of the S&P 500. The first sub-index is the S&P 500 Low Volatility Index; the second sub-index is the S&P 500 High Beta Index.
The S&P 500 Low Volatility Index is comprised of 100 securities from the S&P 500 Index that have the lowest realized “volatility” over the past 12 months as determined by the Index Provider. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations (increases or decreases in a stock’s price) over time.
The S&P 500 High Beta Index is comprised of 100 securities from the S&P 500 Index that have the highest sensitivity to market movements, or “beta,” over the past 12 months. Beta is a measure of relative risk and is the rate of change of a security’s price. S&P Opco LLC (a subsidiary of S&P Dow Jones Indices, LLC) compiles, maintains and calculates the S&P 500 and the Sub-Indices.
At the end of each month, the Index selects the Sub-Index that exhibits the stronger relative strength measurement, as described below. This end-of-month evaluation establishes which Sub-Index the Index will invest in for the next month. Since the Index is rebalanced at the end of each month, the Fund may frequently buy and sell portfolio securities. Frequent turnover of the Fund’s portfolio securities may negatively affect the Fund’s performance because the Fund may pay higher levels of transaction costs and generate greater tax liabilities for shareholders.
Under normal market circumstances, the Index will be fully invested in the securities of the selected Sub-Index in proportion to their weightings in the Sub-Index.
The Sub-Indices, and therefore the Index, comprise U.S.-listed large capitalization stocks. Security selection for the Index will be conducted in the following manner:
1. The selection universe of the Index begins with the Sub-Indices.
2. The Sub-Indices are then ranked using Lunt Capital’s proprietary relative strength index methodology that is based upon the price movements of each Sub-Index believed to offer the greatest potential to outperform the other Sub-Index in the selection universe. On the final trading day of each month, the Index Provider computes the relative strength of each Sub-Index by comparing the Risk-Adjusted Score of one Sub-Index to the other. The “Risk-Adjusted Score” is the return per unit of risk of the Sub-Index, measured as the standard deviation of returns measured over the course of the prior 12 months of the Sub-Index.
3. Lunt Capital next selects the Sub-Index with the highest relative strength measurement for inclusion in the Index.
4. The Index is evaluated on a monthly basis. The Index will invest in the underlying equity securities of the Sub-Index selected in step (3) at the end of each month.
Fund Top Holdings (10/21/16):
|Chesapeake Energy Corp||2.05%|
|The Williams Companies Inc||1.81%|
|Anadarko Petroleum Corp||1.34%|
|Devon Energy Corp||1.33%|
|Marathon Oil Corp||1.32%|
|Micron Technology Inc||1.28%|
|Murphy Oil Corp||1.27%|
|E*TRADE Financial Corp||1.27%|
Fund Sector Allocation (10/21/16):
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