New York-based ETF issuer Salt Financial has unveiled the Salt Low truBeta US Market ETF (LSLT US).
The fund provides exposure to low volatility stocks based on Salt Financial’s proprietary measure of beta – truBeta.
Listed on Cboe BZX, the fund uses the firm’s proprietary ‘truBeta’ forecast to provide exposure to US equities with lower volatility relative to the US large-cap universe.
The ETF is linked to the Salt Low truBeta US Market Index and serves as a complement to the Salt truBeta High Exposure ETF (SLT US) – targeting stocks with high truBeta – that launched in 2018.
The indices underlying the Low and High truBeta ETFs share a common selection universe and construction methodology.
The indices select components from a liquidity-screened version of the Solactive US Large and Midcap Index which consists of the top 1,000 stocks in the US ranked by market capitalization.
Salt defines truBeta as the company’s beta forecast for the next quarter, using a blend of intraday, near, and longer-term historical data. Beta for each stock is judged relative to the SPDR S&P 500 ETF (SPY US).
The process is aided by a machine learning algorithm to arrive at what the company believes to be a more responsive and accurate beta forecast.
The indices select 100 constituents (either with the lowest or highest truBeta estimates) which are then equally weighted. Rebalancing occurs quarterly with sector exposure capped at 30%.
“In the quest for outperformance, we aim to supply sophisticated investors with the advanced tools to measure, enhance and build their optimal portfolios,” said Tony Barchetto, Salt Financials’ Founder and Chief Investment Officer.
The low volatility fund has been launched with an expense ratio of 0.29%. Interestingly, however, Salt Financial has filed an amendment pending review by the SEC whereby the ETF would waive fees such that its expense ratio would be -0.05%, effectively paying the investor for investing in the fund.
The proposed waiver would be implemented until May 2020; however, the fund would cap the rebate paid to investors if assets under management exceeded $100 million.