Last Updated: February 23, 2018
Inception Date: 2013-02-08 00:00:00.0
Date Funded: 2013-07-01*
|Folio||S&P 500 Total Return|
(% of Folio)
|1||AGG||ishares barclays aggregate bond fund||20.00%|
|2||BTAL||quantshares u.s. market neutral anti-bet||10.00%|
|3||CHEP||quantshares u.s. market neutral value fu||10.00%|
|4||MOM||quantshares u.s. market neutral momentum||10.00%|
|5||MTUM||ishares msci usa momentum factor etf||5.00%|
|6||RPV||guggenheim s&p 500 pure value etf||10.00%|
|7||SIZ||quantshares u.s. market neutral size fun||20.00%|
|8||SPLV||powershares s&p 500 low volatility portf||15.00%|
Steps to Create This Folio
- FFCM selects 5 to 10 stock based ETFs using its proprietary criteria, These currently includes four QuantShares market-neutral ETFs, an S&P 500 ETF, and an S&P 500 high-beta ETF.
- Short-term implied volatility is evaluated to hedge or enhance beta exposure of initial portfolio with anti-beta or high-beta ETFs.
- Securities then weighted by FFCM based on current market volatility and momentum signals.
Number of Holdings
There are generally between 5 and 10 diversified ETFs but the number may vary over time.
FFCM ETF Absolute Return folio will be updated at the discretion of FFCM. The portfolio is generally rebalanced to the target security weights monthly. If the characteristics of the folio have changed substantially, the stocks included may change. Also, corporate actions, such as a merger, or other events, may cause the underlying holdings to change at any time. FFCM may also add or delete ETFs as new ones become available for trading.
If the characteristics of the folio have changed substantially, the securities included may change. Also, corporate actions, such as a merger, or other events may cause changes to the securities held at any time. Your returns may deviate significantly from the values displayed here, due to many factors, including how long after a folio has been updated that you place orders to update your holdings.