ALPS, the Denver-based exchange-traded fund distributor that also sponsors four ETF, today is rolling out four additional ETFs that use momentum-focused indexes that span the globe and target separate asset classes.
Together, the four funds appear to represent the latest attempt by an ETF firm to provide access to different portions of the investment universe using enhanced beta indexation, in this case a securities screen that isolates momentum.
All of the strategies also rely on two levels of volatility control—a monthly and a daily target—in an effort to keep volatility in check. All in all, they are designed to capture price momentum in the securities they each invest in while mitigating volatility.
According to the latest regulator paperwork ALPS filed with the Securities and Exchange Commission, the ETFs, their respective strategies and their annual expense ratios are:
- ALPS/GS Momentum Builder Growth Markets Equities and U.S. Treasuries Index ETF (GSGO). The fund’s index is comprised of shares of ETFs whose underlying indexes track the equity markets of the following emerging market countries:Brazil, Russia, India, China, Mexico, South Korea, Indonesia and Turkey. The fund will also own shares of ETFs whose underlying indexes track U.S. fixed-income markets. It has an annual fee of 1.29 percent, with 68 basis points in management fees and another 61 basis points in acquired fund fees.
- ALPS/GS Momentum Builder Multi-Asset Index ETF (GSMA). The fund’s index is comprised of shares of ETFs whose underlying indexes track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and U.S. fixed income markets. Debt holdings include U.S. Treasurys and investment-grade, high-yield, international and emerging market bonds. It has an annual fee of 1.14 percent, with 68 basis points in management fees and another 46 basis points in acquired fund fees.
- ALPS/GS Momentum Builder Asia ex-Japan Equities and U.S. Treasuries Index ETF (GSAX). The fund’s index is comprised of shares of ETFs whose underlying indexes track the equity markets of the following countries in Asia:India, China, Thailand, Taiwan, Hong Kong, Indonesia, Singapore, Malaysia, South Korea and Australia, as well as shares of ETFs whose underlying indexes track U.S. fixed-income markets. . It has an annual fee of 1.22 percent, with 68 basis points in management fees and another 54 basis points in acquired fund fees.
- ALPS/GS Risk-Adjusted Return U.S. Large Cap Index ETF (GSRA). The fund’s index is designed to reflect the performance of a hypothetical portfolio of U.S. stocks that are anticipated to have the highest risk-adjusted returns based on a Goldman methodology. It has an annual fee of 0.55, which amounts to $55 for every $10,000 invested.
The Goldman methodology for the latter large-cap ETF selects a target of 50 stocks for inclusion in the index from a subset of U.S. equity securities within the Russell 1000 Index that meet the minimum analysts coverage, liquidity and market capitalization requirements set forth below. The Index is rebalanced semiannually.
The first three funds each use a Goldman index methodology seeks to provide exposure to price momentum of these equity and U.S. fixed income markets by reflecting the combination of underlying ETF weightings that would have provided the highest six-month historical return, subject to the certain constraints on maximum and minimum weights and volatility controls.
The three indexes are rebalanced monthly, but may also be rebalanced as frequently as daily if the volatility control is triggered.
The company, a huge player in the distribution of ETFs for a number of fund sponsors, has its own growing lineup of ETFs as well.
The four existing ETFs the company already sponsors and their assets are:
- Alerian MLP ETF (AMLP), $4.42 billion
- ALPS Equal Weight ETF (EQL), $78.8 million
- ALPS Sector Dividend Dogs ETF (SDOG), $67.7 million
- Cohen ' Steers Global Realty Majors ETF (GRI), $73.4 million
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