Virginia-based investment advisor Burney Investment Management has made its ETF debut by launching an actively managed US equity fund that shifts between size and style exposures.

The ETF harnesses Burney’s proprietary factor model to shift between size and style exposures.

The Burney US Factor Rotation ETF (BRNY US) has been listed on Nasdaq, coming to market with $120 million in initial assets.

The fund seeks long-term growth of capital by investing in US-listed stocks from across the market capitalization spectrum.

Portfolio construction is driven by Burney’s proprietary model which allocates across large and small-cap size segments as well as value and growth styles.

According to Burney, the cyclical pattern of large and small-cap phases can historically be seen over a 36-month rolling period, while the phases for value and growth styles typically renew every 12 months.

Burney’s model assesses size and style-specific variants of mainstream US equity indices in a bid to predict which phases are most likely to outperform in the near future. The model evaluates several criteria including the direction and momentum of price trends as well as valuation dispersions.

Based on the model’s prediction for which phases are expected to outperform, Burney sets size and style allocation targets for the ETF. The fund will always have at least a partial allocation to each of the four size and style segments – large-cap, small-cap, growth, and value – at any particular moment.

Once the target allocations are set, security selection is driven by proprietary, quantitative research that rates stocks on valuation, growth, profitability, quality, and technical factors. The process also utilizes artificial intelligence to analyze an alternative data set in a bid to predict which companies could beat revenue expectations based on that firm’s engagement on websites, social media, search results, and applications.

The ETF will typically hold between 80 to 100 securities in its portfolio. Rebalancing occurs monthly, while the prospectus notes that Burney will limit turnover in the fund to less than 37.5%.

The ETF comes with an expense ratio of 0.79%.