John Hancock Investments, the Boston-based asset manager, has listed six smart beta exchange-traded funds designed to generate attractive relative performance through a multi-factor investment strategy.
Andrew G. Arnott, president and CEO of John Hancock Investments.
The company has teamed up with Dimensional Fund Advisors, a smart beta pioneer, who has designed the underlying indices for each fund. The indices aim to provide strategic exposure to factors which have historically outperformed market-capitalisation based benchmarks and which are based on sound financial theory.
“Investors are facing a proliferation of ETF strategies today, and many investors are looking for more than just low-cost access to markets. For those reasons, it was important to us to develop an ETF product that seeks to address investor needs for performance potential, backed by an investment approach rooted in decades of academic research. That thinking is what led us to select Dimensional Fund Advisors,” said Andrew G. Arnott, president and CEO of John Hancock Investments.
Dimensional Fund Advisors has managed rules-based, multi-factor strategies for more than 30 years and today is one of the most respected asset managers in the industry. “Dimensional is dedicated to implementing the great ideas in finance,” explained Eduardo Repetto, co-CEO and co-CIO of Dimensional Fund Advisors.
“Our approach is rooted in decades of academic research into the factors that drive higher expected returns. In the equity markets, we believe this means smaller capitalisations, lower relative prices, and higher profitability. Each of the John Hancock Multifactor ETFs seeks to track an index constructed to emphasize and balance those factors while managing investment costs.”
The funds track indices developed by Dimensional which have been designed to outperform passive market capitalisation-weighted benchmarks through exposure to stocks exhibiting attractive size, value, quality and momentum characteristics. Each index starts with the relevant eligible universe (e.g. large cap, mid-cap, consumer discretionary) and sorts potential constituents by their characteristics of market capitalisation (size), relative price (value), profitability (quality) and 11-month total return (momentum). Stocks with low relative price, high profitability and smaller market cap are favoured through each index’s weighting methodology. The lowest 30% of momentum stocks are generally not eligible for the index.
The suite of John Hancock Multifactor ETFs trade on the NYSE Arca and carry net expense ratios ranging from 0.35% to 0.5%.
John Hancock Multifactor Large Cap ETF (JHML)
John Hancock Multifactor Mid Cap ETF (JHMM)
John Hancock Multifactor Consumer Discretionary ETF (JHMC)
John Hancock Multifactor Financials ETF (JHMF)
John Hancock Multifactor Healthcare ETF (JHMH)
John Hancock Multifactor Technology ETF (JHMT)