UBS launches currency-hedged US multifactor ETF on SIX

Sep 8th, 2017 | By | Category: Alternatives / Multi-Asset

UBS has listed three share classes of the UBS MSCI USA Select Factor Mix ETF on Switzerland’s SIX Exchange, providing currency-hedged multifactor exposure to US equities.

UBS launches currency-hedged US multifactor ETF on SIX

The UBS MSCI USA Select Factor Mix ETF provides exposure to an index of US equities designed to represent the performance of six long-term risk factors.

The three share classes give investors the choice of hedging exchange rate risk between the US dollar and either pounds sterling, euros or swiss francs, trading under the ticker codes USMUFH, USMUFE and USMUFS respectively. Each has a total expense ratio (TER) of 0.40%.

The fund tracks the MSCI USA Select Factor Mix (Net Return) Index which includes large-, mid- and small-cap stocks across the US equity universe. It is constructed using a combination of six factor indices and is designed to represent the performance of long-term risk factors such as momentum, value, quality, shareholder yield, volatility and size.

Constituents in each index are weighted according to their exposure to the index’s relevant factor and the indices are equally weighted as of the quarterly reconstitution.

As of the end of August, the underlying index had 2,271 constituents and is well diversified with the largest stock within the index, Apple, accounting for just 3.5%. The index’s largest sector exposure is information technology (21.4%), followed by financials (17.3%), industrials (13.8%), health care (12.7%) and consumer discretionary (12.7%).

Indicating its potential to provide superior risk-adjusted returns compared to traditional market cap-weighted benchmarks, the index has returned 8.6% per annum over the past ten years with an annualized standard deviation of 14.5%, while the MSCI USA IMI Index returned 7.2% per annum with an annualized standard deviation of 15.7% over the same period.

The unhedged version of the fund costs 0.30% and is available on London Stock Exchange in sterling, Borsa Italiana in euros or SIX Exchange in swiss francs.

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