Daily ETF Watch: More Low Vol Funds Debut

Compass EMP brought the total number of its ETFs currently trading up to 10 with the launch of two more volatility-weighted funds today. The Compass EMP International 500 Volatility Weighted Index ETF (CIL) and the Compass EMP International High Dividend 100 Volatility Weighted Index ETF (CID) both cover developed markets and come with expense ratios of 0.45 percent.

In fact, CID is essentially a subset of CIL, which tracks an index of the 500 largest developed-market stocks that have had positive earnings in each of the preceding four quarters. CID tracks the 100 stocks included in CIL’s index that have the highest dividend yields.

Compass EMP's eight other volatility-weighted ETFs began launching in the summer of 2014 and the whole family has more than $271 million in assets under management.

Market Vectors Plans Put-Write ETF

Van Eck’s Market Vectors unit has filed for an actively managed put-write strategy ETF. The Market Vectors Dynamic Put Right ETF (DPUT) will sell put options on the S&P 500 or futures contracts based on the index in order to meet its objectives of total return and income.

ALPS offers two put-write strategies, the largest of which is the index-based ALPS U.S. Equity High Volatility Put Write ETF (HVPW) at nearly $60 million in assets under management. It basically writes put options on the top 20 stocks in terms of volatility among securities with market capitalizations above $5 billion.

DPUT will also incorporate volatility into its approach, selecting put options and strike prices via a volatility-adjusted formula, according to the prospectus. The fund will hold put options with a notional value equal to 200 percent of the fund’s assets, diversifying holdings across four weekly buckets, so that the options contracts in each bucket get rolled every four weeks.

Although the fund can write put options on the S&P 500 Index itself, on futures on the S&P 500 and on e-mini futures on the S&P 500, it selects the components of each bucket based on liquidity.

The put options in the portfolio can be either American or European style, and they generally expire after 30 to 60 days.

The filing did not include an expense ratio, but it did note that the fund will be listing on the NYSE Arca.

Contact Heather Bell at [email protected].