Elkhorn Investments LLC, begun trading two new Commodity Strategy ETFs, the Elkhorn Commodity Rotation Strategy ETF (Nasdaq: DWAC) and the Elkhorn Fundamental Commodity Strategy ETF (Bats: RCOM)  on Wednesday, September 21, 2016. Here is a synopsis of the new ETFs:

 

1.
FUND INFORMATION:

Symbol: DWAC	Exchange: NASDAQ
Name: Elkhorn Commodity Rotation Strategy ETF	Net Expense Ratio: 0.99%

 

FUND OBJECTIVE:
The Elkhorn Commodity Rotation Strategy ETF is an actively managed exchange-traded fund that seeks to provide total return which exceeds that of a benchmark, the Elkhorn Dorsey Wright Commodity Rotation Index.

 

REFERENCE INDEX:
The Elkhorn Dorsey Wright Commodity Rotation Index tracks a proprietary model of commodity futures (Benchmark Model) that is developed, maintained and sponsored by Dorsey Wright & Associates.
The selection universe of the Benchmark Model consists of 21 commodity indices that each track an individual commodity. Commodities indices are used as Benchmark Model constituents because of the nature of the relative strength methodology utilized by Dorsey Wright in the Benchmark Model. Commodities futures contracts expire after too short a period of time to provide adequate historical information to calculate and compare performance over time. However, indices that track the futures of a
single commodity and “rolls” (i.e., purchases and subsequently sells prior to expiration) futures within the index provide pricing information that does not terminate upon the expiration of a single contract.

Dorsey Wright believes that the most adaptive tool to achieve the goal of discerning the strongest momentum versus that of the weakest is relative strength. Relative strength measures the price performance of a security versus a market average, another security or a universe of securities. The Benchmark Model uses the historical price data made available by the indices to perform relative strength analysis, taking into account, among other characteristics, the performance of a commodity as compared to the broad commodity market and the relative performance of each single commodity versus all of the other commodities. The 5 commodities with the highest relative strength are chosen for inclusion in the Benchmark. Once 5 five commodities comprising the Benchmark have been selected, the Benchmark determines which futures contract on the 5 commodities to purchase based on a methodology embedded within the underlying indices that seeks to minimize the effects of negative roll yields and ensure that the chosen futures contracts are sufficiently liquid. Roll yield refers to the amount of return generated by rolling a futures contract. The Benchmark is rebalanced and reconstituted on a monthly basis.

 

Fund Top Holdings (09/23/16):

Name	Expiry Date	Sector	Weight
Cotton	December, 2016	Agriculture	20.80%
Coffee	March, 2017	Agriculture	20.65%
Sugar	May, 2017	Agriculture	20.51%
Silver	December, 2017	Precious Metals	19.99%
Zinc	January, 2017	Base Metals	18.05%

 

Commodity Sector Allocation (09/23/16):

Agriculture	61.96%
Base Metals	18.05%
Precious Metals	19.99%

 

 

Useful Links:
DWAC Home Page

 

 

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2.
FUND INFORMATION:

Symbol: RCOM	Exchange: BATS
Name: Elkhorn Fundamental Commodity Strategy ETF	Net Expense Ratio: 0.75%

 

FUND OBJECTIVE:
The Elkhorn Fundamental Commodity Strategy ETF is an actively managed exchange-traded fund that seeks to provide total return which exceeds that of a benchmark, the Dow Jones RAFI Commodity Index.

 

REFERENCE INDEX:
The Dow Jones RAFI Commodity Index which is jointly compiled by S&P Dow Jones Indices and Research Affiliates, is a version of the Dow Jones Commodity Index, a broad-market commodity index with equally weighted sectors and liquidity weighted commodities. The Benchmark uses a combination of price momentum and “roll yield” to over or underweight the commodities held in the Dow Jones Commodity Index.
The Benchmark regularly purchases and subsequently sells prior to expiration, i.e.“rolls,” individual commodity futures contracts so as to maintain a fully invested position. Roll yield refers to the amount of return generated by rolling a futures contract. This frequent buying and selling of futures contracts, in addition to attempts by the Fund to rebalance its exposure to various market sectors, may cause the Fund to experience higher levels of portfolio turnover. Currently, the Benchmark consists of 24 commodities across 3 sectors: energy, agriculture and livestock and metals.

Under normal market conditions, the Fund intends to invest in exchange-traded commodity futures contracts through a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (Subsidiary). As a means to provide investment returns that are highly correlated to those of the Benchmark, the Subsidiary may also invest directly in commodity-linked instruments, including pooled investment vehicles, exchange-traded funds and other investment companies, and swaps and exchange-traded options on futures contracts, to the extent permitted under the Investment Company Act of 1940 and any applicable exemptive relief (collectively, “Commodities-Related Assets” and, together with exchange-traded commodities futures contracts, “Commodities Instruments”).

 

Fund Top Holdings (09/23/16):

Name	Expiry Date	Sector	Weight
Soybeans	March, 2017	Agriculture	18.23%
Gold	December, 2017	Precious Metals	13.49%
Copper	December, 2017	Base Metals	12.16%
WTI Crude Oil	June, 2018	Energy	7.02%
Brent Crude Oil	December, 2017	Energy	5.55%
Silver	December, 2017	Precious Metals	5.01%
Aluminum	January, 2017	Base Metals	4.89%
Sugar	July, 2017	Agriculture	4.73%
Natural Gas	March, 2017	Energy	3.60%
Zinc	December, 2017	Base Metals	3.40%

 

Commodity Sector Allocation (09/23/16):

Agriculture	35.58%
Base Metals	24.44%
Energy	21.47%
Precious Metals	18.51%

 

 

Useful Links:
RCOM Home Page

 

 

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