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The Sustainable Momentum Index ETF will tr to reflect the performance of the Nasdaq U.S. Sustainable Momentum Index, which uses a quantitative model to identify equity securities within the Nasdaq US Large Mid Cap Index that exhibit sustainable price momentum, based on historical stock prices over multiple periods and taking multiple market environments into consideration.
The underlying lying index will screen each security and assign a corresponding Sustainable Momentum (SUMO) Score based on intermediate factors (3, 4, 5, 6, 7, 8, 9, 10, 11 and 12 month risk-adjusted returns) and long-term factors (36, 48, and 60 month risk-adjusted returns), with volatility adjustments used to determine a composite score. Securities with SUMO scores that rank in the top 15% are included, along with securities already in the index that rank in the top 35%. Securities are weighted to give those in the higher ranking groups relatively more weight, depending upon market volatility.
For more information on new fund products, visit our new ETFs category.