State Street Global Advisors (SSgA), the investment management giant behind the SPDR exchange-traded fund brand, has rolled out an actively managed ETF designed to help investors manage risk-on and risk-off market cycles.

Scott Ebner, Senior Managing Director and Global Head of Product Development and Research at SSgA.

The newly launched SPDR SSgA Risk Aware ETF (RORO), which has been listed on the NYSE Arca, is actively managed by SSgA’s Active Quantitative Equity Group and is based on the firm’s proprietary quantitative market risk measurement model.

The model is intended to help identify, quantify and benefit from risk factors moving the markets at any given time.

Scott Ebner, Senior Managing Director and Global Head of Product Development and Research at SSgA, said: “The SPDR SSgA Risk Aware ETF is targeted at providing investors an innovative solution for capitalizing on risk-on and risk-off fluctuations in the US equity market.”

He added: “Active quant strategies have been a core competency of SSgA’s institutional asset management and mutual fund businesses for decades, and RORO is the first active equity ETF managed by this SSgA investment team.”

As an active ETF, the fund does not track an index. Instead, it seeks to provide competitive returns compared to the benchmark Russell 3000 Index, a broad US equity market index, and capital appreciation. The portfolio is size and style agnostic and can select any security from the benchmark universe.

Characteristics (size, value, quality, sentiment, growth, etc.) will dynamically ebb and flow, depending on whether the portfolio seeks or eschews risk and how each of those styles is exposed to risk at that moment in time.

Among the factors in the model are beta, size, credit risk, credit spreads, gold price, US dollar exchange rates and implied volatility. During periods of anticipated high risk, the portfolio’s composition will be defensive and may increase exposure to large-cap and / or value companies.

During periods of anticipated low risk, the portfolio’s composition will be risk-seeking and may increase exposure to small-cap and / or growth companies.

In periods of moderate risk, the portfolio’s composition will more closely reflect the broader US equity market and may have greater exposure to mid-cap companies.

The fund is SSgA’s sixth active ETF and comes with an annual expense ratio of 0.50 percent.