ETF spotlight on ProShares Credit Suisse 130/30 (NYSEArca: CSM), part of an ongoing series.
Assets: $108.16 million.
Objective: The ProShares Credit Suisse 130/30 tries to reflect the performance of the Credit Suisse 130/30 Large-Cap Index, which replicates an investment strategy that takes long and short positions in select securities from the 500 largest U.S. stocks in attempt to outperform the broad large-cap universe.
So-called 130/30 funds have been popular with institutional investors, and some exchange traded funds have incorporated the strategy. The funds are designed to beat an index by shorting 30% and using the proceeds to increase the long side of the portfolio to 130%. The net market exposure is 100%. The funds are designed to deliver outperformance, or alpha.
In CSM, the tracking index put together by Credit Suisse ranks large-cap stocks, and those with the lowest scores are shorted. Investors who short a security are attempting to profit by a decline in its price.
CSM has posted a one-year gain of 8.8%, compared with an 8.2% advance for the S&P 500, according to Morningstar.
Holdings: Top holdings include: Exxon Mobil Corp. (NYSE: XOM) 2.79%, Apple Inc. (NasdaqGS: AAPL) 2.28%, Chevron Corp. (NYSE: CVX) 1.57%, Microsoft Corp. (NasdaqGS: MSFT) 1.51% and AT&T Inc. (NYSE: T) 1.43%.
What You Should Know:
- ProShares sponsors the fund.
- CSM has an expense ratio of 0.95%.
- The fund is up 6.83% over the last month, down 7.77% over the past three months and up 0.43% year-to-date. In comparison, the S&P 500 is up 0.07% year-to-date.
- The ETF utilizes a rules-based ranking and weighting methodology that tries to qualitatively construct a 130/30 U.S. large-cap equity strategy.
- The Index tries to hold a 130% long exposure in attractive stock picks and hold a 30% short exposure to unattractive stocks.
- The fund is rebalanced on a monthly basis.
- CSM’s goal is to provide, but not guarantee, incremental risk-adjusted outperformance as compared to the universe of 500 largest U.S. market-cap equities.
- First Trust manages KEYnotes First Trust Enhanced 130/30 Large Cap Index (NYSEArca: JFT), an exchange traded note that uses a similar approach.
The Latest News:
- CSM recently crossed over its 200-day exponential moving average.
- The markets are waiting on news from the Eurozone summit that will take place on Wednesday. [Euro ETFs Rise]
- Some observers note that the markets have already priced in the worse-case-scenario, WSJ.com reports.
- “The equity markets are pricing a very negative scenario, so even a mediocre outcome that avoids a messy default in Greece should be enough to trigger a sustained equity rally,” strategists at Lloyds Bank wrote in a note.
- Additionally, equity ETFs could see moves later this week when markets get a report on third-quarter U.S. economic growth. [Equity ETFs Await Third-Quarter GDP]
ProShares Credit Suisse 130/30
For past stories in this series, visit our ETF Spotlight category.
Max Chen contributed to this article.