Harbor launches two new ETFs based on scientific method

0

Harbor Funds yesterday launched two new ETFs, one targeting fixed income and the other focused on high yield, both using a proprietary model based on the science method.

The Harbor Scientific Alpha Income ETF (SIFI) uses a fixed income investment approach based on the scientific method. It is an actively managed fund that seeks to limit downside risk while maximizing total return. Its benchmark is the Bloomberg Barclays US Aggregate Bond Index.

The fund invests primarily in fixed income instruments and derivatives, including credit default swaps, US Treasury futures and other ETFs to manage exposures. The fund may also invest in below investment grade corporate bonds, also known as “high yield” or “junk” bonds, including futures and swaps, as well as emerging market bonds.

The sub-advisor, BlueCove Limited, calculates whether a bond is rated below investment grade by averaging the bond’s Moody, S&P and Fitch ratings.

The sub-advisor uses scientific alpha to generate returns, which is defined as a process by which it uses proprietary quantitative models to create investment recommendations which are then compared against historical market data to verify the recommendations or hypotheses. This back-testing includes internal peer review, specific research parameters and analysis, including a company’s strength, outlook and credit spreads.

The sub-advisor also analyzes market timing to determine how attractive the credit and interest rate markets are and draws data sources such as issuer-specific and macroeconomic information, not just cash flow. of the company, earnings expectations and the risk of default.

Most of the fund’s total returns are expected to come from coupon income and asset allocation choices. The concentration risk is limited by the exposure capping for single issuer and single issue positions on the basis of internal limits.

SIFI does not invest in bonds of a particular maturity or duration and does not have an overall maturity range for the portfolio. The fund has an expense ratio of 0.50%.

The Harbor Scientific Alpha High Yield ETF (SIHY) uses an actively managed investment approach that is based on the scientific method. It seeks to provide risk-adjusted returns relative to its benchmark, the ICE BofA US High Yield Index.

The fund invests in below investment grade corporate bonds, also known as “high yield” or “junk” bonds, including futures and swaps. The sub-advisor, BlueCove Limited, calculates whether a bond is rated below investment grade by averaging the bond’s Moody, S&P and Fitch ratings.

SIHY invests primarily in securities denominated in US dollars, but the derivatives in which it may invest include credit default swaps and futures contracts on the US Treasury, as well as other ETFs to balance exposures.

The sub-advisor uses scientific alpha and market timing to generate returns in the same way it does for SIFI.

Most of the fund’s total returns are expected to come from high yield bond security selection. The concentration risk is limited by the exposure capping for single issuer and single issue positions on the basis of internal limits.

SIHY does not invest in bonds of a particular maturity or duration and does not have an overall maturity range for the portfolio. The fund has an expense ratio of 0.48%.

For more news, information and strategy, see ETF Trends.


Source link

Leave A Reply

Your email address will not be published.