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ALPS Plans 4 ETFs Using Goldman Indexes

ALPS, the Denver-based exchange-traded fund distributor that also sponsors four ETFs, filed paperwork with the Securities and Exchange Commission to market 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 isolated momentum.

The ETFs and their respective strategies are:

  • ALPS/GS Momentum Builder Growth Markets Index ETF—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.
  • ALPS/GS Momentum Builder Multi-Asset Index ETF—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.
  • ALPS/GS Momentum Builder Asia ex-Japan Index ETF—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.
  • ALPS/GS Risk-Adjusted Return US Large Cap Index ETF—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 methodology Goldman.

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 daily volatility control is triggered.

In its paperwork, ALPS didn’t include the ticker symbols or the proposed annual expense ratios of the four ETFs.

The four existing ETFs the company already sponsors are:

  • Alerian MLP ETF (NYSEArca: AMLP)
  • ALPS Equal Weight ETF (NYSEArca: EQL)
  • ALPS Sector Dividend Dogs ETF (NYSEArca: SDOG)
  • Cohen  & Steers Global Realty Majors ETF (NYSEArca: GRI)