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JMIN JPMorgan U.S. Minimum Volatility ETF

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JMIN JPMorgan U.S. Minimum Volatility ETF

Seeks to track, before fees and expenses, the JP Morgan US Minimum Volatility Index. The Index selects stocks primarily from the Russell 1000 Index, which is comprised of large- and mid-cap equity securities of companies located in the United States. The Index is designed to distribute risk among sectors and stocks in order to seek to minimize the overall portfolio volatility. Specifically, sector weightings in the Index are adjusted based on their historical volatility and correlation of the returns among sectors over the last three years. Based on the riskiness and correlations of the sector returns, the optimization process aims to determine the optimal sector allocation to minimize the volatility in the Index subject to sector constraints to ensure diversification. These constraints limit the target sector weights at each rebalance to a minimum of 5% and a maximum of 20%. As a result, there will be higher allocations to those sectors with lower historical volatility or those sectors that are expected to lower portfolio risk. The process also seeks to avoid overconcentration to any sector. Within each sector, stocks are selected and weighted to both reduce portfolio volatility and to avoid large weightings in single securities.

As of 09/02/2022     IEX book   CBOE book

ETF Information
Sponsor:     J.P. Morgan ETFs
Category1:  US Equity
Category2:  Broad market
Category3:  Large and mid cap
Morningstar category:  Large Blend
Leverage factor:  1.00
Inception date:  11/09/2017
Index tracking method: Passive replication
Current yield:  0.38%
Historical average yield:  1.78%
Market cap:  $34,511,400
Average volume:  11,234
Fees:     0.1200%

Index Information
JP Morgan US Minimum Volatility Index
Index symbol:  JMINIndex
Provider:   JP Morgan
Index weighting:   Composite scores
Index inception date:  10/16/2017
Backtesting data exists:   Yes
Index factsheet:  Read PDF
Index methdology guide:  Read PDF
Number of holdings:  212  (as of 12/19/2017)
Strategy:  Low volatility
Factors used to select securities:

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