AUSFs portfolio rotates between three sub-portfolios with exposure to different investment factors: value, momentum, and low volatility. Each factor portfolio consists of 100 large- and mid-cap stocks, although fund documents do not describe how these portfolios are constructed. AUSF is premised on the theory that factor performance tends to mean-revert, so outperforming factors should be avoided. At each quarterly rebalance, the funds index ranks the total-return performance of each factor over the past 2 years. AUSF then holds the two weakest performing factor portfolios, equally weighted. If there is little difference (2% or less) between the two best performing factors, the fund will hold all three factor portfolios, giving 20% weight to the best performer and 40% each to the other two.
公司网站 :
http://www.globalxfunds.com/funds/ausf/
总经理:-
建立时间:2018
公司总部:Global X Funds Global X Adaptive U.S. Factor ETF
领域:Miscellaneous
行业:Investment trusts/Mutual funds