Day Hagan, Ned Davis Research launch risk-managed global ex-US sector ETF

Jul 6th, 2022 | By | Category: Equities

Day Hagan Asset Management has extended its partnership with Ned Davis Research by launching a new risk-managed sector rotation ETF targeting equity markets outside of the US.

Day Hagan, Ned Davis Research launch risk-managed global ex-US sector ETF

The fund may shift up to 50% of its assets into cash during challenging market conditions.

The Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU US) has been listed on NYSE Arca with an expense ratio of 0.68%.

The fund is actively managed and structured as an ETF-of-ETFs, investing in unaffiliated ETFs providing exposure to individual GICS-defined sectors of the MSCI ACWI ex USA Index.

The MSCI ACWI ex USA Index is a broad-based benchmark encompassing large and mid-cap stocks from both developed and emerging markets excluding companies listed in the US.

The underlying GICS sectors are communications services, consumer discretionary, consumer staples, energy, financials, healthcare, industrials, information technology, materials, real estate, and utilities.

Allocation to the sector ETFs is driven by the Ned Davis Sector Model which combines price-based, economic, fundamental, and behavioural indicators to estimate the probability of each sector outperforming the parent MSCI ACWI ex USA Index.

The strategy overweights sectors with the highest probability of success while underweighting sectors with little or no support from the model. The fund’s prospectus notes the ETF may allocate more than 25% of its assets to any single sector.

The ETF also incorporates a risk management model, based on technical, monetary, economic, valuation, and sentiment indicators, which helps to define the overall equity allocation target.

When the majority of indicators are bullish, the fund is expected to be predominantly exposed to the equity sector ETFs; however, if the model indicates a low reward-to-risk ratio, the fund may reduce its equity exposure by as much as 50%. The ETF will allocate to cash and cash equivalents or will utilize derivative securities designed to hedge net equity exposure.

Portfolio rebalancing will typically occur on a monthly schedule.

The fund complements the Day Hagan/Ned Davis Research Smart Sector ETF (SSUS US) which launched in January 2020 and delivers the same strategy relative to the US large-cap S&P 500. SSUS currently houses $450 million in assets and has an expense ratio of 0.78%.

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