A recent filing from Amplify outlines the firm’s plans for an ETF-of-ETFs that will invest in other equity and fixed-income ETFs as well as individual equities. The Amplify EASI Tactical Growth ETF will track an index from EASI Investments that toggles between asset classes based on momentum in the equity market.
The filing did not include a ticker, expense ratio or listing exchange.
The index’s exposure is determined by the Long-Term Tactical Allocation Signal, which essentially measures equity momentum on a monthly basis. When the signal indicates the portfolio should be in equities due to upward momentum, the index moves into large-cap securities and equity ETFs, but when the signal indicates a period of momentum loss, the index moves into a basket of five ETFs tracking investment-grade U.S. fixed income, according to the prospectus.
Although rebalancings are on a monthly basis, the allocation signal is calculated weekly, and a “trigger event,” or significant change in the signal, could cause a rebalance sooner than the regular schedule dictates, the document says.
Asset Class Methodology
The methodology considers all equities listed on the Nasdaq and New York Stock Exchange, screening out those with low liquidity. Then it assigns a Stock Growth Grade Point based on earnings change, earnings acceleration, sales change, price momentum, price relative to 52-week high, trading volume relative to price trend and return on equity. The scores can range between 1 and 4, but to be included in the index, a security must score a 3.8 or higher, the prospectus says.
If there are not at least 33 stocks that have acceptable scores, the methodology adds the SPDR S&P 500 ETF Trust (SPY) and the PowerShares QQQ ETF (QQQ) to the portfolio, weighting the other components at 3.03% each and splitting the remaining index weight equally between the two ETFs, according to the document.
Should the tactical allocation signal indicate the fund should be in fixed income, the index shifts to a basket of four of the largest U.S.-listed fixed-income ETFs, which are weighted as follows:
- PIMCO Enhanced Short Maturity Active ETF (MINT), 35%
- Vanguard Short Term Bond ETF (BSV), 35%
- iShares Core U.S. Aggregate Bond ETF (AGG), 15%
- Vanguard Intermediate-Term Bond ETF (BIV), 15%
Contact Heather Bell at [email protected]
