Whitford enters ETF space with low volatility fund launch

Feb 26th, 2018 | By | Category: Equities

Whitford Asset Management , a Pennsylvania-based investment firm, has launched its first ETF – the Volshares Large Cap ETF (VSL US) – providing a smart beta approach to volatility-themed investing based upon the firm’s proprietary investment strategy.

Whitford enters ETF space with Volshares fund launch

The Volshares Large Cap ETF provides exposure to a concentrated portfolio of US stocks with low volatility characteristics.

VSL tracks an in-house index of US large-cap equities selected based on the “Whitford model” – a quantitative, volatility-focused algorithm.

Inputs into the model include standard price performance and volatility metrics as well as the proximity of a stock’s opening and closing prices to its mean and the frequency with which prices deviated significantly from the mean.

The parent universe for the strategy is the Solactive US Large Cap Index, consisting of the 500 largest stocks listed in the US. From this starting universe, the model chooses the 25 stocks which it determines has the highest probability of strong price appreciation with low volatility over the upcoming week.

Each stock is assigned an equal weight in the index which is rebalanced every week on a Wednesday.

The fund trades on NYSE Arca and has an expense ratio of 0.65%.

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