TrimTabs Donoghue Forlines Tactical High Yield ETF (DFHY US) – Portfolio Construction Methodology

The underlying TrimTabs Donoghue Forlines Tactical High Yield Index provides tactically managed exposure to U.S. high yield corporate bond risk through U.S.-listed exchange-traded funds. The universe selects high yield bond ETFs that are U.S. listed, invest in U.S. below-investment-grade corporate debt, have more than 1 billion USD in assets, charge expense ratios below 0.50%, and avoid factor, hedged, or long/short strategies. Eligible ETFs are weighted by a function of assets and fees, so larger, cheaper vehicles receive higher weights. A parallel screen builds a Treasury portfolio from intermediate-term U.S. Treasury ETFs with at least 1 billion USD in assets and expenses ≤0.15%. A daily tactical overlay switches between a fully risk-on stance, invested entirely in the high yield sleeve, and a defensive stance with 80% of the high yield allocation shifted into the Treasury sleeve. Both sleeves are rebalanced quarterly and reconstituted annually.

To explore DFHY in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/DFHY_US