Premise Capital enters ETF industry with a multi-asset, fund-of-funds strategy to help investors limit risks and gain diversified exposure to global markets.

Premise Capital on Friday launched the Premise Capital Frontier Advantage Diversified Tactical ETF (BATS: TCTL). TCTL has a 1.06% expense ratio.

The Premise Capital Frontier Advantage Diversified Tactical ETF tries to reflect the performance of the Premise Capital Frontier Advantage Diversified Tactical Index, which is comprised a number of passive index-based funds representing common global equity, fixed income and cash asset classes.

Specifically, the underlying index includes exposure to short-term, intermediate-term, long-term, high-yield and inflation protected fixed-income assets, along with U.S. large-cap, U.S. mid-cap, U.S. small-cap, developed international, developed international small-cap, emerging market and real estate equity assets.

Component weights will be adjusted to diminish exposure to individual asset classes determined to be in a downward trend as part of trend adjustment, and the fund will adjust exposure to equity asset classes and increase fixed-income positions as part of its risk adjustment methodology.


The underlying index will weight holdings based on a mathematical model, or so-called Allocation Model, to calculate returns based on the standard deviation of each asset class and correlation of each asset class to other asset classes over the past five years and the current market-cap of each asset class. The index then uses a so-called Trend Algorithm to determine up and down trends of each asset.

“Our strategy is called Frontier Based Tactical, a blend of traditional asset allocation with tactical management,” according to Premise Capital. “We start with a diversified portfolio and use various quantitative techniques to over and underweight asset classes relative to each other. This is combined with risk on/risk off adjustments that attempt to move the portfolio within a predetermined range when risk is not being compensated in the markets. These dual screen tactical shifts control exposure to each class, and also control the overall risk being taken by the investor.”

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