JPMAM lists European managed futures and equity long short ETFs
J.P. Morgan Asset Management has listed its first two European ETFs on the London Stock Exchange (LSE): JPMorgan ETFs (Ireland) ICAV - Managed Futures UCITS ETF (JPMF) and JPMorgan ETFs (Ireland) ICAV - Equity Long-Short UCITS ETF (JELS).
JPMAM says that the ETFs will seek to provide returns similar to hedge fund strategies by using advanced factor based investing techniques. Both strategies will be built using a systematic, rules-based investment approach, with the goal of providing returns that are uncorrelated to traditional asset classes.
JPMorgan Managed Futures UCITS ETF will seek to provide factor exposure across the major asset classes. The strategy will be constructed bottom-up by taking long and short positions in futures markets. The ETF has a return target of cash +4 per cent (gross of fees), risk target of 6-8 per cent per annum and a total expense ratio (TER) of up to 57 basis points.
JPMorgan Equity Long-Short UCITS ETF will seek to provide long-short exposure to developed equity market factors. The portfolio will be constructed bottom-up by taking long and short positions in individual equity securities. The ETF has a return target of cash +4 per cent (gross of fees), risk target of 6-8 per cent per annum, expected beta of up to +0.3 and TER of up to 67 basis points.
“Having pioneered alternative beta investing in UCITS nearly a decade ago, we’re now the first provider in Europe to introduce systematic, bottom-up capture of hedge funds styles into an ETF,” says Massimo Greco, Head of European Funds at JPMAM.
“The increasing availability of lower cost, more liquid and transparent forms of alternative investing has gradually been democratising hedge fund investing for the last several years. Both strategies offer innovative building blocks intended to help investors build stronger portfolios and reduce a portfolio’s overall volatility without sacrificing return potential,” says Bryon Lake, International Head of ETFs at JPMAM.
Both ETFs were designed by JPMAM’s Quantitative Beta Strategies team, a team of quantitative research analysts and portfolio managers dedicated to factor-based investing across strategic beta (long-only) and alternative beta (long-short) strategies.
Yazann Romahi, PhD, is the Chief Investment Officer of Quantitative Beta Strategies at JPMAM, and has been focused on quantitative research the development of alternative beta strategies for over a decade. JPMorgan Funds - Systematic Alpha Fund was one of the first strategies to make the concept of alternative beta investable upon its launch in 2009.
Further European listings of JPMF and JELS will be announced in due course. J.P. Morgan Asset Management's US-based ETF suite currently features thirteen product offerings with USD2.2 billion (as of 25/09/17) in assets under management.