SmartBe Wealth has launched the SmartBe Global Value Momentum Trend Index ETF (SBEA CN) on Aequitas NEO Exchange, providing exposure to value and momentum factor risk premia across global developed market countries.

SBEA provides exposure to value and momentum factor risk premia across global developed market countries.

The fund tracks the Alpha Architect Value Momentum Trend for Canada Index which allocates exposure across six sub-indices (managed by Alpha Architect) targeting either the value or momentum factors within the US, Canadian, or global developed ex-North America equity markets.

Each of the US and international sub-indices consists of approximately 50 securities, while the Canada-focused sub-indices contain 15 securities. Constituents are equally weighted within each sub-index.

The index allocates weights across the six sub-indices according to a risk-parity approach based on the sub-indices’ three-year historical volatility. The index is rebalanced annually, with the sub-indices also being reconstituted and rebalanced at the same time.

The index also includes a trend-following strategy, whereby it may shift part or all of each sub-index’s weight into Canadian aggregate bond exposure if the outlook for equities performance is unfavourable. This process occurs on a monthly basis.

The shift is triggered when one or both of two conditions are met: if the rolling 12-month return for that equity market is less than the US Treasury bill returns over the same period, and if the equity market’s 12-month moving average exceeds current prices.

If one rule is triggered, the sub-index will allocate half its weight into bond exposure, while if both rules are triggered, all of the sub-index is switched into bonds. Bond exposure is represented by the Vanguard Canadian Aggregate Bond ETF which tracks the Bloomberg Barclays Global Aggregate Canadian Float Adjusted Bond Index.

SBEA comes with an annual management fee of 0.86%.