Daily ETF Watch: Cambria Debuts Active Fund

September 09, 2015

Cambria Investment Management has rolled out another addition to its actively managed ETF lineup. The Cambria Value and Momentum ETF (VAMO) seeks to exploit both the value and momentum factors via a quantitative model.

The fund will also identify undervalued U.S.-listed securities using the CAPE Shiller P/E ratio and other valuation metrics, according to the prospectus. It can hedge its entire long portfolio with derivatives if necessary when conditions are unfavorable.

VAMO can invest in companies in the small-, mid- and large-cap size segments, as well as any sector. However, it primarily targets large-cap stocks and limits the weight of any single sector to 25 percent of the portfolio.

The prospectus also noted that portfolio turnover could be on the high side, as the fund will rebalance on a monthly basis to maintain its target allocations.

VAMO comes with an expense ratio of 0.59 percent.

Variable Rate Fund Filing

Invesco PowerShares, which already has the largest floating-rate bond ETF in the nearly $5 billion PowerShares Senior Loan Portfolio (BKLN | C), has filed for an actively managed variable-rate ETF. The PowerShares Variable Rate Investment Grade Portfolio will list on the Nasdaq stock market and, according to its prospectus, will invest primarily in investment-grade floating-rate and variable-rate bonds denominated in U.S. dollars by U.S.-based public and private entities.

The holdings in the portfolio can include different types of mortgage-backed securities (MBSs), floating-rate corporate and government debt, collateralized loan obligations, preferred stock and U.S. Treasury debt issues. However, the prospectus noted that when market volatility rises, it will shift more weight into debt issued by the Treasury, asset-backed securities and agency-issued MBSs.

The fund’s approach will be mainly sector-based, with risk distributed strategically across the sectors and allocations in individual sectors influenced by inflation and growth outlooks.

There are quite a few floating-rate bond ETFs out there, covering municipal, Treasury and high-yield debt—a dozen funds in all with more than $10 billion in combined assets under management. However, only a few are actively managed.

The largest investment-grade floating-rate debt ETF is the index-tracking iShares Floating Rate Bond ETF (FLOT | 77), which has $3.6 billion in assets under management and comes with an expense ratio of 0.20 percent.

The filing did not include a ticker or expense ratio.

Credit Suisse Splits Leveraged Commodity ETNs
Credit Suisse will implement reverse splits on two of its leveraged commodity exchange-traded notes (ETNs)as of Sept. 10. The VelocityShares 3x Long Crude Oil ETN (UWTI) will undergo a 1-for-10 reverse split, while the VelocityShares 3x Long Natural Gas ETN (UGAZ) will undergo a 1-for-5 reverse split.

The move will pump up the price of individual shares, even though the total market capitalization of the ETNs will be unaffected. Both are sizable products, especially for ETNs, but are plagued by low share prices.

UWTI has $930 million in assets under management, but a share price of $1.19. UGAZ has $545 million in assets and a share price of $1.72.

While VelocityShares is the issuer for both ETNs, they are backed by Credit Suisse, which has assumed the credit risk of the products.

Direxion Delays Reverse Splits
In early August, Direxion Investments announced pending reverse splits on six of its leveraged and inverse ETFs. The splits were to become effective as of Sept. 10, but in a recent press release, the ETF providers said that they would be delayed until Oct. 1.

The funds and their reverse split ratios are as follows:

Direxion Daily Gold Miners Index Bull 3X Shares (NUGT), 1:10

Direxion Daily Natural Gas Related Bull 3X Shares (GASL), 1:5

Direxion Daily Junior Gold Miners Index Bull 3X Shares (JNUG), 1:5

Direxion Daily Junior Gold Miners Index Bear 3X Shares (JDST), 1:4

Direxion Daily Financial Bear 3X Shares (FAZ), 1:4

Direxion Daily Small Cap Bear 3X Shares (TZA), 1:4


Contact Heather Bell at [email protected].

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