F F CM
FFCM
230 Congress Street,
5th Floor
Boston, MA 02110
Tel: +1 617 292 9801
Fax: +1 617 292 9808
QuantShares, New Market-Neutral ETFs, Isolate Factors Like Beta and Momentum
Among First ETFs to Hold Short Positions, They Offer Hedging and Diversification for
Institutions and Individuals
BOSTON—September 7, 2011—QuantShares, a family of seven market-neutral exchange-traded
funds based on specific factors—momentum, value, quality, beta and size—is being introduced
by FFCM LLC.
The momentum, Anti-Momentum, Quality and Size ETFs were launched today. FFCM expects
the Value, Beta and Anti-Beta Funds will be available within a week.
QuantShares are among the first ETFs to hold short equity positions, according to FFCM. They
are market-neutral and dollar-neutral, holding long and short positions in equal dollar amounts.
The ETFs offer investors strategies that are uncorrelated to the performance of the overall equity
market. They are the first products from FFCM, an investment advisor formed in 2010 that
specializes in quantitative strategies.
“QuantShares are the first ETFs that isolate factor returns,” said Bill DeRoche, FFCM’s CEO.
“They offer a low-cost, transparent way to hedge risk and seek to produce spread returns that are
independent of the market’s direction.”
He expects the funds will primarily attract institutional investors and professional investors,
including mutual funds, hedge funds, pension funds and wealth managers.
Each fund holds 200 long positions and 200 short positions in stocks chosen from the Dow Jones
U.S. Market Index. FFCM licenses the seven indexes from the Dow Jones U.S. Thematic Market
Neutral Indexes. Stocks ranked highest for their factor are bought, while those with the lowest
ranking are sold short.
Whether the overall stock market is up, down or directionless, the funds seek to have a positive
return when the long positions outperform the short positions, DeRoche said. However, if the
opposite occurred, the Fund would generate a negative return. The performance of the Funds will
depend on the differences in returns between these long positions and short positions.
The funds are passively managed and equal weighted, with the same amount in each stock,
regardless of market capitalization. They’re also sector-neutral by balancing the long and short
positions within a sector.
“We believe that factor-based investing has the potential to produced stronger risk- adjusted
returns than the overall market,” DeRoche said. “Factors drive from 60 percent to 80 percent of a
stock’s return, according to our research.”
F F CM
FFCM
230 Congress Street,
5th Floor
Boston, MA 02110
Tel: +1 617 292 9801
Fax: +1 617 292 9808
More information is online at www.quant-shares.com. The funds launched today are
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QuantShares U.S. Market Neutral Momentum Fund (MOM)—Buys high-momentum
stocks; shorts lowest-momentum stocks, based on total return over a year.
QuantShares U.S. Market Neutral Anti-Momentum Fund (NOMO)—Buys lowmomentum stocks; shorts high-momentum stocks, based on total return over a year.
QuantShares U.S. Market Neutral Size Fund (SIZ)—Buy’s smallest market-capitalization
stocks in the index, shorts the largest stocks in the index.
QuantShares U.S. Market Neutral Quality Fund (QLT)—Buys highest-quality stocks;
shorts lowest-ranked stocks. Stocks are selected by combining equally the ranks of return
on equity (highest to lowest) and debt-to-equity (lowest to highest).
The Funds expected to be available next week are
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QuantShares U.S. Market Neutral Beta Fund (BTAH)—Buys high-beta stocks; shorts
low-beta stocks.
QuantShares U.S. Market Neutral Anti-Beta Fund (BTAL)—Buys low-beta stocks;
shorts high-beta stocks.
QuantShares U.S. Market Neutral Value Fund (CHEP)—Buys stocks ranked least
expensive (undervalued) according to standard valuation measures; shorts the most
expensive stocks (overvalued).
Boston-based FFCM’s management team is experienced in quantitative analysis, trading and
portfolio management. The principals formerly held positions with Putnam Investments,
Platinum Grove Asset Management, State Street Global Advisors, Morgan Stanley and Goldman
Sachs.
Dow Jones Indexes is the index provider. J.P. Morgan provides prime custody and fund
administration. Credit Suisse and J.P. Morgan are prime brokers.
For more information on QuantShares, contact FFCM at 617.292.9801.
Contact: Henry Stimpson, Stimpson Communications, 508-647-0705,
Henry@StimpsonCommunications.com
Rich Block, FFCM, 617-292-9803, Rich@ffcmllc.com
Before investing you should carefully consider the Fund’s investment objectives, risks, charges
and expenses. This and other information is in the prospectuses which can be obtained by
visiting the Funds’ website at www.quant-shares.com. Please read the prospectus carefully
before you invest.
Shares are not individually redeemable and can be redeemed only in Creation Units. The market
price of shares can be at, below or above the NAV. Market Price returns are based upon the
midpoint of the bid/ask spread at 4:00PM Eastern time (when NAV is normally determined), and
do not represent the returns you would receive if you traded shares at other times. Fund returns
F F CM
FFCM
230 Congress Street,
5th Floor
Boston, MA 02110
Tel: +1 617 292 9801
Fax: +1 617 292 9808
assume that dividends and capital gains distributions have been reinvested in the Fund at NAV.
Some performance results reflect expense subsidies and waivers in effect during certain periods.
Absent these waivers, results would have been less favorable.
Risks:
There is no guarantee that the Funds will achieve their objective. An investment in the Funds is
subject to risk including the possible loss of principal amount invested. The risks associated with
each Fund are detailed in the prospectus and include tracking error risk, mid-cap risk, industry
concentration risk, market neutral style risk, short sale risk and specific risks related to exchange
traded funds. There is a risk that during a “bull” market, when most equity securities and longonly equity ETFs are increasing in value, the Fund’s short position will likely cause the Fund to
underperform the overall U.S. equity market and such ETFs. The Fund may not be suitable for
all investors.
Beta is a measure of an asset’s sensitivity to an underlying index.
Distributor: Foreside Funds Services, LLC