“NewFunds Volatility Managed Defensive Equity ETF” or the “Portfolio”
The Portfolio allows an Investor to gain full market exposure to a universe of 30 liquid, JSE-listed equity securities selected based on 100% Low Volatility characteristics demonstrated in their performance. The Portfolio will track and replicate the NewFunds/Absa Volatility Managed SA Defensive Equity Index (“Index”), an Index created by Absa Bank Limited (“Absa”) in collaboration with NewFunds (“the Manager”). The Portfolio will comprise of both equity securities and cash (assets in liquid form), the proportion of which will be determined by the risk management process (the concurrent target volatility control mechanism and drawdown management process). The target volatility control mechanism aims to increase the proportion allocated to equity securities during periods of low volatility; and in turn increases the proportion allocated to cash during periods of high volatility. Specifically, where volatility rises and exceeds the target threshold of 8%, the allocation to cash will be increased. Where volatility decreases, the proportion allocated to equity securities will be increased. The drawdown management process aims to increase allocation to cash during periods where the drawdown of the equity basket approaches 15% i.e. where there is a 15% fall from the most recent price peak. In all instances the trade threshold is set at 10%.