IndexIQ, begun trading 2 new Smart Beta Fixed Income ETFs, the IQ Enhanced Core Bond U.S. ETF (NYSE Arca: AGGE) and IQ Enhanced Core Plus Bond U.S. ETF (NYSE Arca: AGGP) on Tuesday, May 10, 2016.
Here is a synopsis of the new ETFs:

 

1.
FUND INFORMATION: AGGE TO CLOSE 02/04/2020

Symbol: AGGE	Exchange: NYSE ARCA
Name: IQ Enhanced Core Bond U.S. ETF	Net Expense Ratio: 0.34%

 

FUND OBJECTIVE:
The IQ Enhanced Core Bond U.S. ETF seeks investment results that track (before fees and expenses) the price and yield performance of its underlying index, the IQ Enhanced Core Bond U.S. Index.

 

REFERENCE INDEX:
The IQ Enhanced Core Bond U.S. Index follows a rules-based methodology to construct an index consisting of investments in various sectors of the Investment Grade Market. The sectors of the Investment Grade Market in which the Underlying Index principally invests are:

Short-term U.S. Treasuries (1-3 year maturities);
Intermediate-term U.S. Treasuries (3-10 year maturities);
Long-term U.S. Treasuries (greater than 10 year maturities);
US Investment grade corporate bonds; and
US Investment grade mortgage-backed securities.

The Underlying Index weights each of the various sectors of the Investment Grade Market based on the total return momentum of each fixed income sector. Momentum is measured by comparing the average total return index of the fixed income market sector over a short-term period with the sector’s average total return index over a longer-term period, while taking into account the volatility of the sector. Volatility is the standard deviation of returns and measures the amount of fluctuation in a security’s or group of securities’ value over time. The Underlying Index overweighs fixed income sectors with high momentum and underweights fixed income sectors with low momentum. Momentum is measured by comparing a short-horizon (45-day) moving average of returns to a longer-horizon (90-day) moving average of returns, while taking into account recent volatility of each sector.

The exposure of the Underlying Index to different sectors of the Investment Grade Market will vary over time. The maximum exposure of the Underlying Index to any single sector of the Investment Grade Market is 50% of the Underlying Index. Over long-term periods, the Underlying Index is expected to have similar volatility to the investment grade U.S. fixed income securities market. However, the Underlying Index’s and Fund’s volatility during certain periods may materially exceed the volatility of the investment grade U.S. fixed income securities market.
Index Components will include primarily ETFs and/or other exchange-traded vehicles organized in the U.S. As of April 1, 2016, the Underlying Index consists of 16 Underlying Index Components. The Underlying Index rebalances monthly.

 

Fund Holdings (05/09/16):

Name	Symbol	Weight
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND	LQD	27.62%
VANGUARD MORTGAGE-BACKED SEC	VMBS	27.15%
VANGUARD INT-TERM CORPORATE	VCIT	21.48%
SPDR BARCLAYS MORT BACK	MBG	13.57%
ISHARES MBS ETF	MBB	9.36%
ISHARES CORE US CREDIT BOND ETF	CRED	0.81%

 

 

Useful Links:
AGGE Home Page

 

 

Category:

 

 

2.
FUND INFORMATION:

Symbol: AGGP	Exchange: NYSE ARCA
Name: IQ Enhanced Core Plus Bond U.S. ETF	Net Expense Ratio: 0.35%

 

FUND OBJECTIVE:
The IQ Enhanced Core Plus Bond U.S. ETF seeks investment results that track (before fees and expenses) the price and yield performance of its underlying index, the IQ Enhanced Core Plus Bond U.S. Index.

 

REFERENCE INDEX:
The IQ Enhanced Core Plus Bond U.S. Index follows a rules-based methodology to construct an index consisting of investments in various sectors of the Investment Grade and High Yield Market. The sectors of the fixed income securities market in which the Underlying Index principally invests are:

Short-term U.S. Treasuries (1-3 year maturities);
Intermediate-term U.S. Treasuries (3-10 year maturities);
Long-term U.S. Treasuries (greater than 10 year maturities);
U.S. investment grade corporate bonds;
U.S. investment grade mortgage-backed securities;
U.S. high yield (or “junk”) debt; and
U.S.-dollar denominated debt of emerging market issuers.

The Underlying Index weights each of the various sectors of the Investment Grade and High Yield Market based on the total return momentum of each fixed income sector. Momentum is measured by comparing the average total return index of the fixed income market sector over a short-term period with the sector’s average total return index over a longer-term period, while taking into account the volatility of the sector. Volatility is the standard deviation of returns and measures the amount of fluctuation in a security’s or group of securities’ value over time. The Underlying Index overweighs fixed income sectors with high momentum and underweights fixed income sectors with low momentum.  Momentum is measured by comparing a short-horizon (45-day) moving average of returns to a longer-horizon (90-day) moving average of returns, while taking into account recent volatility of each sector.

The exposure of the Underlying Index to different sectors of the Investment Grade and High Yield Market will vary over time. The maximum exposure of the Underlying Index to any single U.S. Treasury or investment grade sector is 50% of the Underlying Index. Up to 25% of the Underlying Index may consist of ETPs that invest principally in securities rated below investment grade (high yield debt). Up to 5% of the Underlying Index may consist of ETPs that invest principally in U.S.-dollar denominated debt of emerging market issuers. Over long-term periods, the Underlying Index is expected to have similar volatility to the investment grade U.S. fixed income securities market. However, the Underlying Index’s and Fund’s volatility during certain periods may materially exceed the volatility of the investment grade U.S. fixed income securities market.
Index Components will include primarily ETFs and/or other exchange-traded vehicles organized in the U.S. As of April 1, 2016, the Underlying Index consists of 20 Underlying Index Components. The Underlying Index rebalances monthly.

 

Fund Top Holdings (05/09/16):

Name	Symbol	Weight
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND	LQD	27.71%
VANGUARD INT-TERM CORPORATE	VCIT	21.56%
ANGUARD MORTGAGE-BACKED SEC	VMBS	13.16%
SPDR BARCLAYS HIGH YIELD BOND ETF	JNK	10.16%
ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF	HYG	8.13%
SPDR BARCLAYS MORT BACK	MBG	6.58%
ISHARES MBS ETF	MBB	4.53%
ISHARES JP MORGAN USD EMERGING MARKETS BOND ETF	EMB	2.77%
POWERSHARES EM MKT SOVR DEBT	PCY	2.22%
ISHARES CORE US CREDIT BOND ETF	CRED	0.82%

 

Useful Links:
AGGP Home Page

 

 

Category:

 

 

ETFtrack comment:
Here is a comment from  Adam Patti, CEO of IndexIQ:
“Bringing a time proven momentum investing approach to the fixed income space is something that we have researched for some time. We’re pleased for AGGE and AGGP, the first entries by IndexIQ in the fixed income category, to deliver the opportunity for investors to build smarter portfolios by bringing the benefits of smart beta to fixed income. With AGGE and AGGP, investors looking to get more from their core bond portfolios have an important new set of tools in their search for yield.”