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House Award for Inverse/Leveraged ETF
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Submission ID
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Region
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Category
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Name of firm
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The Flagship Fund's name
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The Fund's ISIN Code
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Data as of the quarter-end
DD slash MM slash YYYY
Pillar 1: Investment Proposition
1. Management style: This ETF is managed according to the following style.
Please select only one response.
Passive, index-tracking (including smart beta and other strategies that replicate any index, even if the index has a 'fundamental' or other 'value-added' approach - importantly, the ETF itself is index-tracking with no active portfolio management decisions)
Actively managed i.e. the portfolio manager makes active decisions; this ETF is managed just as an active mutual would be managed; the only difference is, this ETF is listed on a stock exchange
2. Leverage and/or inverse multiple: What is the leverage multiple of this index?
1x leverage
2x leverage
3x leverage
4x or more leverage
1x leveraged, inverse
2x leveraged, inverse
3x leveraged, inverse
4x or more leveraged, inverse
3. Index weighting: This question is about the index on which your ETF is based. What is the weighting of that index based on?
Please select only one response.
Price weighted
Market-cap weighted
Equal weighted
Fundamental weighted
Active portfolio management, not based on any index
4. Competitive edge: Compared with similar ETFs available, what is your ETF's unique proposition to investors?
Please select all applicable responses.
For retail investors and smaller institutions, our ETF provides access to assets, markets or investment strategies that are usually only available to large, major institutional asset owners
Access to inaccessible markets, or assets, for all investors
Trading in local time, instead of North American or European time
Better execution, resulting in tighter bid/ask, lower expense ratios, etc.
Better liquidity of underlying assets, leading to better risk management
Physical replication or holdings, as opposed to synthetic or other non-physical means
Our ETF is based on a different index from competing ETFs, giving our ETF a better risk-return profile
Our ETF has a lower tracking error over 3 years or more
Our ETF has a longer track record
Our ETF charges lower management fees
Our ETF has a better known brand
Additional Remarks, if any (maximum 250 words)
5. Please complete Question 1 before answering Question 5.
5. Index selection: When you selected the base index for this ETF, what were your requirements?
Please select all responses that apply.
The index was produced by a firm reputed for robust research and strong processes
The index was produced by a company with more than 10 years' track record in indexing
The index allows for 85-100% physical replication at reasonable costs and risks
The index allows for 85-100% synthetic replication at reasonable costs and risks
The index's components have reasonable to high liquidity in the secondary markets
The index's components can be traded cost-effectively
The index is reasonably diversified and is not overly concentrated in any single security, sector, country/region, credit quality, etc.
The index constituents have average or above-average ESG ratings
The index provider has a stewardship code/framework/practices that are clearly articulated, explicit and publicly available
The index license is competitively priced
Additional remarks, if any (maximum 250 words)
5. Alpha sources, or performance drivers What were the major sources of alpha, or performance drivers, over the last 3 years (if your active ETF is fewer than 3 years old, then please provide alpha sources since inception)?
You may select more than one response.
Securities/assets mispriced by the market
Securities/assets misunderstood by the market
Securities/assets that benefited from cyclical factors
Securities/assets that are relatively inaccessible by retail investors and/or smaller institutional asset owners
Securities/assets in special situations
Picking up securities/assets with strong fundamentals during times of market panic
Risk budgeting and allocation
Asset allocation to specific sectors, geographies, asset classes
Securities/assets in a sector/business model that has not yet been discovered by mainstream investors
Our quantitatively based investment approach
Securities/assets with higher-than-average environmental scores
Securities/assets with higher-than-average social scores
Securities/assets with higher-than-average governance scores
Additional remarks, if any (maximum 250 words)
6. Derivatives used: What instruments does this ETF use to achieve the leverage or/and inverse multiple?
Please select all applicable answers:
Options
Futures
Forwards
Bonds or equivalents
Others
Others - please specify.
7. Performing stress tests: Has this ETF been stress tested for its ability to reproduce the leverage or/and inverse multiple under various market conditions over the last one year?
For example, a 2x leveraged ETF should be able to reproduce the index's returns by 2x daily.
Yes
No, but we have concrete plans to perform stress tests before 30 June 2022
No, and we have NO plans for stress tests
Other
Other - please specify.
7a. Stress test scenarios: What scenarios were included in the stress test (or are in your concrete plans)?
Please select all applicable answers:
Unusually high volatility in the underlying securities of the index
Unusually low volatility in the underlying securities of the index
Unusually low trading volume in the underlying securities of the index
Unusually high trading volume in the underlying securities of the index
The derivative instruments necessary to this ETF's strategy losing 15-20% of their liquidity
The derivative instruments necessary to this ETF's strategy losing 21-25% of their liquidity
The derivative instruments necessary to this ETF's strategy losing 26-30% of their liquidity
The derivative instruments necessary to this ETF's strategy losing more than 30% of their liquidity
Other responses
Other responses - please specify.
7b. Stress test result: Was the ETF able to produce the leverage or/and inverse multiple under the scenarios mentioned in Question 7a? What was the tracking difference, taking into account the leverage/inverse multiple?
Example 1: the index returned 10%, while a 2x leveraged ETF returned 21%; this ETF's tracking difference is 100 basis points better than the index after accounting for the leverage multiple. Example 2: The index returned 10%, while a 1x inverse ETF declined 9%; this inverse ETF's tracking difference is 100 basis points poorer than the index after accounting for the inverse multiple. Please select only one response:
0-20 basis points better than index
21-40 basis points better than index
41-50 basis points better than index
51-60 basis points better than index
61-70 basis points better than index
71-80 basis points better than index
81-90 basis points better than index
91-100 basis points better than index
More than 100 basis points better than the index
0-20 basis points poorer than the index
21-40 basis points poorer than index
41-50 basis points poorer than index
51-60 basis points poorer than index
61-70 basis points poorer than index
71-80 basis points poorer than index
81-90 basis points poorer than index
91-100 basis points poorer than index
More than 100 basis points poorer than index
Other
Other - please specify.
Pillar 2: Execution & Performance
1. Effectiveness: Please select only one response related to performance in the last 12 months.
[i] Net of all costs and charges borne by investors.
My index-tracking ETF's R-squared is below 75%
My index-tracking ETF's R-squared is between 75% - 85%
My index-tracking ETF's R-squared is above 85%
My ACTIVELY MANAGED ETF's NET[i] Alpha is above 0
My ACTIVELY MANAGED ETF's NET[i] Alpha is below 0
2. Has this ETF been able to consistently deliver the leverage or/and inverse multiple? (For example, a 2x leveraged ETF should be able to reproduce the index's returns by 2x daily). In the last 12 months to 30 June 2019, how often did the ETF deliver LESS than its leverage or/and inverse multiple?
For example, the index returned 10% today; a 2x leveraged inverse ETF losing 19% today delivered less than its multiple. Please select only one answer:
The ETF delivered LESS than its multiple for 0-5% of trading days during the period
The ETF delivered LESS than its multiple for 6-10% of trading days during the period
The ETF delivered LESS than its multiple for 11-15% of trading days during the period
The ETF delivered LESS than its multiple for 16-20% of trading days during the period
The ETF delivered LESS than its multiple for 21-25% of trading days during the period
The ETF delivered LESS than its multiple for 26-30% of trading days during the period
The ETF delivered LESS than its multiple for 31-35% of trading days during the period
The ETF delivered LESS than its multiple for 36-40% of trading days during the period
The ETF delivered LESS than its multiple for 41-45% of trading days during the period
The ETF delivered LESS than its multiple for 46% or more trading days during the period
Other responses
Other responses - please specify.
Maximum 150 words.
3. Expense ratio: What is your ETF's expense ratio, over the past 12 months, compared with its peer group average (for example China A-share ETFs, fixed income ETFs, active ETFs, etc.)?
Please select only one response.
More than 25 basis points ABOVE average
20 - 25 basis points ABOVE average
Between 15 -20 basis points ABOVE average
Between 10 - 15 basis points ABOVE average
Between 1 - 10 basis points ABOVE average
0 - 5 basis points BELOW average
Between 5 - 10 basis points BELOW average
Between 10 -15 basis points BELOW average
Between 15 - 20 basis points BELOW average
More than 20 basis points BELOW average
4. Bid-ask spread: What is your ETF's average bid-ask spread over the last 12 months?
Above 2%
Between 1.5% - 2%
Between 1% - 1.5%
Between 0.5% - 1%
Between 0.25% - 0.5%
Below 0.25%
5. Market makers, 1Y: How many market makers, on average, did this ETF have in the last 12 months?
2 or fewer
3 to 5
6 to 8
9 to 11
12 to 14
15 or more
6. Market makers, 2Y: How many market makers, on average, did this ETF have in the last 24 months?
2 or fewer
3 to 5
6 to 8
9 to 11
12 to 14
15 or more
This ETF was listed less than 24 months ago
Pillar 3: Operations
1. Lead manager experience: How long has the LEAD manager of this ETF been managing similar ETFs?
You may include ETF management experience gained in other firms. Please select only one answer.
Less than 1 year
1 - 2 years
3 -5 years
More than 5 years but fewer than 10 years
10 or more years
2. Investment team experience: What is the average experience of the investment team managing similar ETFs?
You may include ETF management experience gained in other firms. Please select only one answer.
Less than 1 year
1 - 2 years
3 -5 years
More than 5 years but fewer than 10 years
10 or more years
3. Lead manager tenure: What is the tenure of the LEAD manager of this ETF at the current firm?
Less than 1 year
1 - 2 years
3 -5 years
More than 5 years but fewer than 10 years
10 or more years
4. Transparency: How often do you disclose the full holdings of the ETF?
Daily
Weekly
Monthly
Quarterly
Annually
We never disclose the full holdings
5. AUM change, 1Y: How have this ETF's assets under management (AUM) changed in the last 1 year?
a) AUM may include employees' personal assets but should EXCLUDE the firm's own assets. b) AUM should EXCLUDE asset appreciation/depreciation
Increased 0%
Increased 1-5%
Increased 6-10%
Increased 11-15%
Increased 16-20%
Increased 21-25%
Increased 25-30%
Increased more than 30%
Decreased 0%
Decreased 1-5%
Decreased 6-10%
Decreased 11-15%
Decreased 16-20%
Decreased 21-25%
Decreased 25-30%
Decreased more than 30%
Other responses
Other responses - please specify in maximum 250 words.
6. AUM change, 3Y: How have this ETF's assets under management (AUM) changed in the last 3 years?
a) AUM may include employees' personal assets but should EXCLUDE the firm's own assets. b) AUM should EXCLUDE asset appreciation/depreciation
Increased 0%
Increased 1-5%
Increased 6-10%
Increased 11-15%
Increased 16-20%
Increased 21-25%
Increased 25-30%
Increased more than 30%
Decreased 0%
Decreased 1-5%
Decreased 6-10%
Decreased 11-15%
Decreased 16-20%
Decreased 21-25%
Decreased 25-30%
Decreased more than 30%
This ETF was listed less than 3 years ago
Other responses
Other responses - please specify in maximum 250 words.
7. Firm's profitability, 3Y: What is your firm's average annual EBIT margin (operating profit margin) over the last 3 years?
EBIT margin formula: (Sales) - (Operating expenses + COGS + depreciation & amortization) / Total revenue
0-9%
10-15%
16-20%
21-25%
26-30%
31-35%
36-40%
41-45%
46-50%
Above 50%
Below 0%
Other responses
Other responses - please specify in maximum 250 words.
Please provide the following attachments:
- Latest factsheets
- Prospectus
- Research papers
- Other relevant materials
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