Desjardins unveils long/short global equity ETF on TSX

Oct 24th, 2022 | By | Category: Alternatives / Multi-Asset

Desjardins Global Asset Management has launched a new alternatives ETF in Canada providing exposure to a long/short strategy based on major global equity indices.

Desjardins unveils long/short equity indices ETF

The ETF takes both bullish and bearish positions, resulting in a maximum market bias of just 20%.

The Desjardins Alt Long/Short Global Equity Markets ETF has been listed on the Toronto Stock Exchange in Canadian dollars (DAMG CN) and US dollars (DAMG.U CN).

Long/short strategies have historically exhibited low correlations to most major asset classes, highlighting their potential benefit as diversifiers in traditional portfolios.

The actively managed hedge-fund-style ETF seeks to achieve stable positive returns and low volatility in all market conditions by following a market-neutral investment approach.

The fund will typically be 80% to 100% long on a basket of equity index futures or ETFs and 80% to 100% short on another basket of equity index futures or ETFs, resulting in a maximum long or short market bias of 20%.

Desjardins collects ongoing data on various equity indices to calculate and monitor well-known investment signals such as aggregated price-to-earnings ratios and momentum indicators.

These signals are normalized to standardize their respective scales and, based on Desjardins’ interpretation of the investment signals’ long-term expectations and complementary features, the standardized values are combined to establish a final score for each index.

The ETF’s portfolio is then built using an optimization process that aims to maximize the portfolio’s total score while respecting volatility constraints, diversification constraints, beta constraints, and operational constraints.

No single index may account for more than 20% of the ETF’s net portfolio exposure, while total volatility must be constrained to a maximum of 7.5%.

Foreign currency exposure is typically hedged back to the currency of the ETF’s applicable share class.

The ETF comes with a management fee of 1.00%. Income is distributed to investors on a quarterly basis.

Tags: , , , , , ,

Leave a Comment