UTRN Vesper US Large Cap Short-Term Reversal Strategy ETF

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UTRN Vesper US Large Cap Short-Term Reversal Strategy ETF

Seeks to track, before fees and expenses, the Vesper U.S. Large Cap Short-Term Reversal Index. The Index is a portfolio of twenty-five (25) stocks selected from the S&P 500 Index that might have a “short-term reversal” effect, as determined by applying a proprietary algorithm (“Chow’s Ratio” or “Algorithm”). Short-term reversal effect generally means that, on average, stocks with relatively poor weekly (risk-adjusted) performance, may reverse and earn higher returns relative to peer stocks the following week. The eligible universe of Index components includes all companies in the S&P 500. From that universe, 25 securities are selected by applying Chow’s Ratio to historical short-term price data of the companies’ stocks to seek to identify those securities that have the best chance to experience short-term reversal as well as maintain minimum risk exposure and transaction costs. Chow’s Ratio is a proprietary algorithm that uses short-term pricing data and volatility measures to identify stocks that have experienced one-week price declines and assesses their price stability to identify which stocks are fundamentally sound and have the greatest potential for reversal and which ones are fundamentally flawed and have the greatest potential for further decline. The Index selects the 25 stocks with the lowest ratios (where a lower ratio represents a higher likelihood of experiencing short-term reversal). The Index is evaluated and re-balanced on a weekly basis. Index components are equal weighted at each weekly reconstitution of the Index. A stock in the Index is only removed at re-balance if it has been assigned a ratio that has risen out of the top 50 stocks of the S&P 500 with the lowest ratios and replace with the stock with the next lowest ratio.

$25.68  -0.10 (-0.39%)
As of 05/16/2022 14:07:19 EST     IEX book   CBOE book


ETF Information
Sponsor:     Exchange Traded Concepts
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Morningstar category:  Large Value
Leverage factor:  1.00
Inception date:  09/21/2018
Index tracking method: Passive replication
Current yield:  1.25%
Historical average yield:  4.03%
Market cap:  $73,305,620
Average volume:  4,076
Fees:     0.7500%

Index Information
Vesper US Large Cap Short-Term Reversal Index
Index symbol:  UTRNX
Provider:   Vesper
Index weighting:   Equal weighted
Index inception date:  07/30/2018
Backtesting data exists:   Yes
Number of holdings:  25
Rebalanced:  Weekly
Reconstituted:  Weekly
Factors used to select securities:

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