ProShares, begun trading the ProShares Managed Futures Strategy ETF (BATS: FUT) on Thursday, February 18, 2016. Here is a synopsis of the new ETF:
FUND INFORMATION:
| Symbol: FUT | Exchange: BATS |
| Name: ProShares Managed Futures Strategy ETF |
Net Expense Ratio: 0.75% |
FUND OBJECTIVE:
The ProShares Managed Futures Strategy ETF is an actively managed ETF that seeks to achieve positive returns that are not directly correlated to broad equity or fixed income markets. The Fund uses the S&P Strategic Futures Index as a performance benchmark (Benchmark). The Benchmark seeks to capture the economic benefit from trends (in either direction) in the commodity, foreign currency and fixed income markets by taking long or short positions in 24 related futures contracts. While the Fund generally will seek exposure to the commodity and financial markets included in the Benchmark, the Fund is not an index tracking ETF and will seek to enhance its performance by actively selecting investments with varying maturities from the underlying components of the Benchmark.
Under normal market conditions, the Fund invests in a portfolio of 14 commodity futures contracts, 8 currency and 2 U.S. Treasury futures contracts. The Fund attempts to capture the economic benefit derived from rising and declining trends based on the price changes of Futures Contracts (trend following momentum strategy). Each month, each Futures Contract will generally be positioned long if it is experiencing a positive price trend or short if it is experiencing a negative price trend. This positioning is based on a comparison of the recent returns of each Futures Contract with such contract’s 7-month weighted moving average return. If the returns are greater than or equal to the seven-month weighted moving average return, the Futures Contract is positioned “long. If the returns are below the 7-month weighted moving average return, the Futures Contract is positioned “short.”
The Fund incorporates an enhanced roll methodology that seeks to mitigate certain negative contango and seasonality factors.
The Fund rebalances monthly so that each of the 24 futures contracts contributes the same level of risk to the overall portfolio.
The Fund will also hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) for direct investment or as collateral for Futures Contracts. The Fund may also invest up to 100% of its assets in any of these types of cash or cash equivalent instruments. The Fund will not invest directly in Commodity Futures Contracts. The Fund expects to gain exposure to these investments by investing a portion of its assets in the ProShares Cayman Portfolio I, a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (Subsidiary). The Subsidiary is advised by ProShare Advisors, the Fund’s investment advisor. Unlike the Fund, the Subsidiary is not an investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment in the Subsidiary is intended to provide the Fund with exposure to commodity markets within the limits of current federal income tax laws applicable to investment companies such as the Fund, which limit the ability of investment companies to invest directly in Commodity Futures Contracts. The Subsidiary has the same investment objective as the Fund. The Fund will invest up to 25% of its total assets in the Subsidiary. Except as otherwise noted, references to the Fund’s investment strategies and risks include the investment strategies and risks of the Subsidiary.
Fund Holdings (02/17/2016):
| Asset | Long | Short |
| Chicago Wheat | – | -2.37% |
| Corn | – | -2.79% |
| Soybeans | – | -3.32% |
| Coffee | – | -2.19% |
| Sugar | – | -2.58% |
| Cocoa | – | -3.60% |
| Cotton | – | -3.72% |
| Lean Hogs | 3.22% | – |
| Live Cattle | – | -3.69% |
| Heating Oil | – | -1.16% |
| Unleaded Gasoline | – | -1.31% |
| WTI Crude Oil | – | -1.24% |
| Natural Gas | – | -1.89% |
| Copper | – | -2.60% |
| Gold | 4.00% | – |
| Silver | – | -1.93% |
| Australian Dollar | – | -3.58% |
| British Pound | – | -4.47% |
| Canadian Dollar | – | -5.47% |
| Euro | 3.48% | – |
| Japanese Yen | 8.25% | – |
| Swiss Franc | – | -3.16% |
| 10-Year U.S. Treasury Notes | 16.26% | – |
| 30-Year U.S. Treasury Bonds | 8.16% | – |
Useful Links:
FUT Home Page
Category: Multi Asset> Multi Asset Strategy> Hedge Fund Strategies
ETFtrack comment:
Here is a comment from Michael L. Sapir, chairman and CEO of ProShare Advisors LLC:
“Managed futures strategies have the potential to deliver positive returns in both rising and falling markets. With their low correlation to both stocks and bonds, managed futures strategies can help diversify a stock and bond portfolio.”
Unlike many managed futures strategies, FUT is registered under the Investment Company Act of 1940. This means streamlined tax reporting for investors, since there’s no K-1 tax form. This fund is not the same as ProShares Managed Futures Strategy (FUTS), which is regulated by the Securities Act of 1933 and generates a K-1 tax form. ProShares plans to close and liquidate FUTS.