New York-based Strategy Shares has launched an ETF of ETFs that dynamically allocates between equity regions and US Treasuries based on momentum and trend analysis.

The fund uses several momentum models to dynamically allocate between equity regions and US Treasuries.

The Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO US) has listed on Cboe BZX and is linked to the Newfound/ReSolve Robust Equity Momentum Index.

The index has been co-developed by investment firms Newfound Research and Resolve Asset Management.

The index uses a quantitative, rules-based methodology to provide exposure to US broad market, international developed, and emerging market equities to the extent that they exhibit positive momentum relative to short and intermediate-term Treasuries.

The allocations to equity ETFs are determined by measures of their momentum relative to the momentum of US Treasuries. The index may have 100% portfolio exposure to US equity or developed international ETFs, and up to 25% portfolio exposure in emerging market equity ETFs.

The methodology uses four methods to measure momentum (time-series; price-minus-moving-average; dual moving-average; and residual momentum) and calculates these over various time horizons to determine the allocations to equity regions and US Treasuries.

The Index will include US Treasury ETFs when the equity ETFs exhibit negative momentum and trend following characteristics versus the Treasuries. Under such circumstances, the index may have 100% portfolio exposure to US Treasury ETFs.

The fund comes with an expense ratio of 0.87% due to a contractual fee waiver in place until at least September 2021. Distributions are sent to investors on a monthly basis.