J.P. Morgan Asset Management has expanded on its push into liquid alternative ETF strategies with a new option to provide exposure to carry and momentum factors across fixed-income, currency, commodity and equity markets.
On Thursday, J.P. Morgan launched the actively managed JPMorgan Managed Futures ETF (NYSEArca: JPMF), which has a 0.59% expense ratio.
JPMF is led by Dr. Yazann Romahi, CIO of Quantitative Beta Strategies and Portfolio Manager at J.P. Morgan Asset Management, along with Wei (Victor) Li, Joe Staines and Albert Chuang of the J.P. Morgan Investment Management team.
The Managed Futures Strategy ETF will try to generate long-term total return by investing globally to exploit opportunities across a broad range of asset classes including, but not limited to, equities, fixed income, currency and commodities based on the adviser’s assessment of their attractiveness, according to a prospectus sheet. The managers will focus on investment return sources that have a low correlation to each other and to traditional markets.
The managers will focus on various return factors, including momentum or capture the tendency that an asset’s recent performance based on its price will continue in the near future, and carry trades or take a short position in a low yielding instrument while also taking a long position in another instrument that is higher yielding.
The ETF will implement the momentum return factor by looking at the relative value of prices of commodities and developed market currencies over time and looking across developed market fixed income, developed
market equity indices and international (including emerging market) commodities. It will utilize futures contracts to exploit price momentum trends across the asset classes.
The ETF implements the carry trade strategies through derivatives instead of holding long and shorting securities physically through fixed income securities to benefit from differences in the yields of interest rates caused by uncertainty in interest rates, currency to benefit from differences in the relative yields of various currencies and commodities to benefit from differences in the price of commodities futures contracts trading below the expected market price at contract maturity and those trading above the expected market price at contract
maturity.
“Investors are increasingly looking to venture beyond traditional asset classes to diversify their portfolios and enhance risk-adjusted returns,” Joanna Gallegos, U.S. Head of ETFs for J.P. Morgan Asset Management, said in a note. “We are thrilled to bring to market the benefits of a managed futures strategy in an ETF wrapper and believe it will help our clients solve for specific needs and build stronger portfolios.”
For more information on new fund products, visit our new ETFs category.