ETF Watch: Elkhorn Plans Low Vol/High Beta Fund
Proposed ETF will rotate between subsets of the S&P 500.
A new filing from Elkhorn Investments outlines the firm’s plan for an ETF that seeks to provide exposure to either low-volatility or high-beta stocks selected from the S&P 500 Index. The Elkhorn Lunt Low Vol/High Beta Tactical ETF will switch between low-volatility and high-beta subindexes of the S&P 500 depending on market conditions.
According to the prospectus, the low-volatility subindex includes the 100 components from the S&P 500 that have exhibited the lowest realized volatility during the prior 12-month period, while the high-beta subindex selects the 100 stocks with the greatest sensitivity to market movements during the 12-month period. The subindexes are evaluated each month for relative strength, and the ETF invests in the subindex that exhibits the most relative strength.
The ETF’s underlying index is based on Lunt Capital’s in-house methodology.
Interestingly, Elkhorn CEO Ben Fulton’s former firm, Invesco PowerShares, offers a high-beta ETF and a low-volatility ETF, both of which track indexes that are derived from the S&P 500. The indexes select the 100 stocks in the S&P 500 exhibiting the highest beta and the lowest volatility. The filing did not mention if the Elkhorn fund would invest in other ETFs.
The prospectus also did not include a ticker, expense ratio or listing exchange.
Contact Heather Bell at [email protected].
