Quant ETF from Bernstein


Sanford Bernstein list quant-driven ETF

Quant experts Sanford Bernstein are teaming up with white labeller Exchange Traded Concepts to list two new research-driven ETFs on BATS. They are:


·      Bernstein US Research Fund (BERN)

·      Bernstein Global Research Fund (ABGL)


BERN has what some might regard as ambitious aims. It will invest in American large-cap companies that its researchers believe will outperform the S&P by 15% or more in the next six to twelve months. 

In order to assess which companies will perform this well, Bernstein’s researchers will use a “quantitative alpha model” to build BERN’s index. This model “ranks stocks according to… three components: stock-specific fundamentals, industry rotation and market risk appetite,” the prospectus says. How alpha is modeled will change from industry to industry. But it will focus mostly on valuation, capital, earnings, profits, and growth.


ABGL will work in a very similar manner to BERN, but for global stocks rather than just US ones. ABGL will use the MSCI ACWI Index as its parent index rather than the S&P. The expense ratio for BERN is 0.60% per annum. I could not find the ratio for ABGL.



UK and Switzerland

Lyxor adds currency alternatives to headline ETFs

Lyxor is adding more currency options to some of its headline ETFs through a series of cross-listings. Those currently listed in Switzerland will now have a US dollar option. Those on the London Stock Exchange will have a pound sterling and US dollar option. The updated listings are:


·      Lyxor China Enterprise HSCEI UCITS ETF (LYASI, ASIU, ASIL)


·      Lyxor MSCI World UCITS ETF – D-EUR (LYWLD, WLDD, WLDL)   

·      Lyxor MSCI AC Asia-Pacific ex-Japan UCITS ETF C-EUR (LYAEJ, AEJ, AEJL)

Each of these ETFs has proved successful for Lyxor and carry anything from just over $400 million in assets under management (LYAEJ) to over $2 billion (LYWLD).



Polls show South Koreans aren’t too worried about threats from north of the wall. And this shows up as they continue to list more ETFs.


Arirang lists “leading industry” ETF

South Korea’s oldest ETF issuer Arirang has listed a new ETF in Seoul, the Arirang Leading Industry ETF 280920. The product will track the FnGuide Leading Industry Index.


There is no English language material available on this product that I could find. Google translate could not help decode what sector(s) or industry(s) was being referred to as “leading”. The index methodology is available here, but it is in Korean.


Samsung lists factor ETFs

The ETF arm of chaebol Samsung is listing two new factor ETFs, as smart beta products start to pick up in East Asia.


The Samsung Kodex High Dividend ETF (279530), will track Korean companies that pay out higher dividends. As with the Arirang product mentioned above, the Kodex High Dividend ETF will do this via an index put together by FnGuide which is available here in Korean.


The second ETF listed, the Samsung KODEX Min Vol ETF (279540), will track Korean companies that have lower volatility. The index methodology is available in Korean here.


Internet ETF from KIM

Korea Investment Management is listing a new ETF that tracks large-cap US internet companies, the Kim Kindex US Internet ETF – Synth H 280320. The product will do this via the Dow Jones Internet Composite Index.