J.P. Morgan Asset Management, the investment bank’s exchange-traded fund issuing arm, has announced its fourth smart beta ETF, providing US equity exposure with the potential for better risk-adjusted returns.
J.P. Morgan have added to their Diversified Return smart beta range with this US equity fund.
The JPMorgan Diversified Return US Equity ETF (JPUS) joins J.P. Morgan’s suite of smart beta funds which employ a rules based multi-factor approach that strives to produce market returns with lower volatility than market cap-weighted indices over the long-term. This is achieved by diversifying risk across sectors and securities, and tilting constituent weightings towards factors that have historically provided superior returns on a risk-adjusted basis, namely value, price momentum and quality.
“Investors have been able to participate in the upside of a market recovery over the past several years, but they are still concerned about continued market volatility,” said Robert Deutsch, Global Head of ETFs for J.P. Morgan Asset Management. “JPUS provides a solution for US equities that helps keep clients invested across market cycles by attempting to capture most of the upside with a goal of providing less volatility in down markets.”
FTSE Russell have teamed up with J.P. Morgan to provide the fund’s underlying index. The Russell 1000 Diversified Factor Index employs a two step process common to the Diversified Return ETF suite. The first step is portfolio construction, where risk is diversified across sectors and securities by weighting constituents based on their historical volatility. The second step is screening securities through a multi-factor process which helps eliminate expensive, low quality companies with poor momentum that investors would be exposed to in traditional indices. The equity securities in the underlying index will be large- and mid-cap equity securities of US companies.
“We are delighted that JPMorgan is expanding their multi-factor ETF line up with FTSE Russell,” said Ron Bundy, CEO North American Benchmarks, FTSE Russell. “In particular, the Russell 1000 Diversified Factor Index continues our co-development process of creating rules-based methodologies within well established index universes. This is the first index that truly integrates the work of FTSE’s quantitative research teams with a Russell index starting universe.”
The JPMorgan Diversified Return US Equity ETF has been listed on the NYSE Arca and carries a net expense ratio of 0.29%. The J.P. Morgan Asset Management Diversified Return ETF suite now includes four smart beta funds:
Diversified Return Global Equity (JPGE)
Diversified Return International Equity (JPIN)
Diversified Return Emerging Markets Equity (JPEM)
Diversified Return US Equity (JPUS)