Compass Efficient Model Portfolios (Compass EMP), which was recently acquired by Victory Capital, launched two volatility-weighted funds that widened the firm’s lineup of so called smart-beta products and brought its total number of offering to ten.
The Compass EMP International 500 Volatility Weighted Index ETF (CIL) and the Compass EMP International High Dividend 100 Volatility Weighted Index ETF (CID) seeks to provide investors more stable exposure to global stocks through smart-beta investing.
The new funds CIL and CID track the Compass EMP International 500 Volatility Weighted Index and the Compass EMP International High Dividend 100 Volatility Weighted Index, respectively, and are designed to outperform traditional indexes by combining fundamentals with broad market volatility weighting screens of individual securities.
The underlying index of CIL is comprised of broad large cap stocks from the developed world, excluding the US, South Korea and Taiwan and aims to provide exposure to lower levels of absolute risk than the broader market while targeting companies with greater earnings momentum.
The equity universe is first screened based on fundamentals and only stocks that posted four consecutive quarters of net positive earnings are shortlisted. The largest 500 picks, measured by market capitalization, are then ranked based on their daily dispersion (standard deviation) over the past 180 trading days compared to the aggregate mean. The index is rebalanced semi-annually in every March and September.
CIL’s top country holdings include Japan, UK, Hong Kong, France, Germany, Switzerland, Australia, Sweden and Singapore.
CID, on the other hand, is essentially, a subset of CIL and tracks 100 securities from CEMP International 500 Volatility Weighted Index. CID’s underlying index— the CEMP International High Dividend 100 Volatility Weighted Index, starts with the 100 highest yielding stocks and then adds a value tilt to the volatility weighting methodology.
CID’s top country exposures include UK, Australia, Spain, Canada, Hong Kong, France, Switzerland and Singapore.
Both CIL and CID carry a gross annual expense ratio of 1.15 percent and a net annual expense ratio of 0.45 percent.
Disclosure: No holdings