Guggenheim Investments, begun trading the Guggenheim U.S. Large Cap Optimized Volatility ETF (NYSEArca: OVLC) on Thuesday, May 10, 2016.

 

FUND INFORMATION:

Symbol: OVLC	Exchange: NYSE ARCA
Name: Guggenheim U.S. Large Cap Optimized Volatility ETF	Net Expense Ratio: 0.30%

 

FUND OBJECTIVE:
The Guggenheim U.S. Large Cap Optimized Volatility ETF seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Guggenheim U.S. Large Cap Optimized Volatility Index.

REFERENCE INDEX:
The Guggenheim U.S. Large Cap Optimized Volatility Index is designed to deliver exposure to equity securities of large capitalization U.S. issuers and respond to changes in market conditions by attempting to obtain higher returns when the “reward to risk” (as measured by the Index methodology described below) is high, while minimizing volatility during other market conditions. Index constituents must be constituents of the Standard & Poor’s 500 Index, the leading benchmark index for U.S. large capitalization stocks.
Accretive Asset Management, LLC (Index Provider) is affiliated with Guggenheim Funds Investment Advisors, LLC (Investment Adviser) and Guggenheim Funds Distributors, LLC. The Index Provider selects securities from the constituents of the S&P 500 Index for inclusion in the Index using a proprietary methodology that calculates the reward to risk of each security in the investable universe. The reward to risk of a security is calculated based on the following factors:

* Volatility. The degree of fluctuation in a company’s share price.
* Correlation. The relation of fluctuations in a company’s share price to fluctuations in the share prices of other companies in the investable universe.
* Change in Volatility. Whether the security is becoming more or less volatile.
* Change in Correlation. Whether the security’s average correlation is increasing or decreasing.

The Index also utilizes the security’s historical returns, and the relationship of each of the above 4 factors to those returns, in calculating the reward to risk for each security. The Index thus attempts to reflect lower volatility relative to the broader U.S. equity market in typical market conditions, but attempts to reflect higher volatility in certain situations where, per the above methodology, the reward to risk is estimated to be higher.
At the time of each rebalance, the weight of any one security is limited to that security’s representation in the S&P 500 Index, plus or minus 1%. The weight of any one sector is limited to that sector’s weight in the S&P 500 Index, plus or minus 10%. The weight of a single security in the Index is capped at 0.5% or 10 times the security’s weight in the S&P 500® Index (whichever is greater). In all cases, the maximum weight of any one security will be 3% of the Index at the time of each rebalance.
The Index is rebalanced quarterly on the third Friday of the last month of each quarter.
As of May 1, 2016, the Index was comprised of approximately 120 securities with a market capitalization range of between approximately $2.3 billion and $189.2 billion.

Top Index Holdings (04/29/16):

Apple Inc.	2.70%
AT&T Inc.	2.39%
Procter & Gamble Company	2.19%
Verizon Communications Inc.	2.16%
Alphabet Inc. Class A	2.13%
Coca-Cola Company	2.00%
Merck & Co., Inc.	1.94%
PepsiCo, Inc.	1.88%
Bristol-Myers Squibb Company	1.86%
International Business Machines Corporation	1.75%

 

Top Index Sectors (04/29/16):

Consumer Staples	19.97%
Health Care	18.02%
Financials	13.23%
Utilities	12.76%
Information Technology	12.20%
Consumer Discretionary	11.69%
Telecommunication Services	5.08%
Industrials	4.94%
Energy	1.06%
Materials	1.05%

 

 

Useful Links:
OVLC Home Page

 

 

Category: Equities> Regions> USA> US Size> US Large Cap

 

 

ETFtrack comment:
Here is a comment from William Belden, Guggenheim Managing Director and Head of ETF Business Development:
“Optimized volatility is a systematic, risk-controlled approach for creating portfolios that respond to changing market conditions. While the performance of minimum volatility portfolios tends to be defensive, providing better returns in falling markets, in up markets these strategies tend to underperform. Optimized volatility portfolios are built to be defensive most of the time and to be more aggressive when the market is rewarding risk characteristics. The premise is that the reward to these risk characteristics over the last year may serve as a fair estimate for how the market will reward volatility and correlation in the near future. The underlying index is rebalanced quarterly. Stock and sector constituents are subject to limits to help the portfolio remain well diversified.”