Even Smarter Beta

USA

Even smarter beta from Xtrackers

Deutsche Bank is listing a new smart beta ETF that guns after quality and value companies. The Xtrackers Russell 1000 US QARP ETF (QARP) will track the Russell 1000 2Qual/Val 5% Capped Factor Index.

 

The index picks companies from the Russell 1000, using a “proprietary rules-based multi-factor selection and weighting process,” the prospectus says, designed to assess value and quality.

                       

Quality is defined and scored based on low debt, stable earnings growth, and other “quality” metrics. Value will be scored based on cash-flow yield, earnings yield and country relative sales to price.

 

Companies are weighted based on their exposure to both factors with double weighting given to the quality factor. Companies that give no sign of quality or value will be removed from the index. The index had 289 constituents as of January 2018.

 

VanEck lists actively managed “real assets” ETF

VanEck is listing an actively managed ETF of ETFs that gobbles up “real assets” as and when an in-house model tells it to. The VanEck Vectors Real Asset Allocation ETF (RAAX) will invest in two things: real assets and cash.

 

Real assets are defined as commodities, real estate, natural resources and infrastructure, as well as “companies that own, operate, or derive a significant portion of their value from real assets,” the prospectus says.

 

In order to provide downside protection, RAAX can move in and out of cash as it pleases. If RAAX’s model judges downside risk to be high, RAAX can have a 100% cash position.

  

Australia

Vanguard lists actively managed smart beta ETFs

Vanguard’s Australian arm is listing ETF versions of two of its wholesale funds, both of which are actively managed and use in-house models and rules-based approaches to assess factor exposures.

The Vanguard Global Minimum Volatility Active ETF (VMIN) will invest in international companies and try to achieve lower volatility than the FTSE Global All Cap Index (AUD Hedged). It buys mostly American, with the US taking 48% of the fund’s weight. The fund currently has $30m under management.

The Vanguard Global Value Equity Active ETF (VVLU) will try to pick out value companies from around the world. The fund’s investment universe is drawn primarily from the FTSE Developed All Cap Index and the Russell 3000 Index. It currently holds $20m under management.

Both funds will charge 0.28%.