Whitford Asset Management is trying its hand in the exchange traded fund space, launching a new volatility-themed, smart beta strategy that incorporates its very own rules-based investment methodology.
Whitford Asset Management recently rolled out the Volshares Large Cap ETF (NYSEArca: VSL), which has a 0.65% expense ratio.
The Volshares Large Cap ETF tries to reflect the performance of the specialized Volshares Large Cap Index, which incorporates a rules-based methodology to measure the performance of an equal-weighted portfolio of around 25 large-cap U.S. companies based on a quantitative, volatility-focused algorithm known as the “Whitford Model,” according to a prospectus sheet.
The index starts off with the 500 largest U.S. stocks and selects 25 companies from the previous week’s opening and closing prices that are selected by the Whitford Model in determining the highest likelihood of appreciation over the next one-week period with the lowest volatility, compared to traditional market-cap weighted equity indices.
The Whitford Model analyzes stocks based on the proximity of such company stock’s opening and closing prices to their mean, the frequency with which prices deviated significantly from their mean, the security’s performance, and volatility to identify the most attractive securities for short-term appreciation relative to their expected volatility.