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ULVM Strategy
VictoryShares US Value Momentum ETF (NASDAQ:ULVM) began investing on 10/24/2017 and tracks the Nasdaq Victory US Value Momentum Index. With a portfolio of 124 stocks, a net expense ratio of 0.20%, and a 30-day SEC yield of 1.63%, distributions are paid monthly.
As outlined in the prospectus by Victory Capital, the fund selects companies from the Nasdaq US Large Cap 500 Index with a higher exposure to value and momentum factors. A value score is computed based on price-to-earnings, share price-to-book value, and price-to-operating cash flow ratios. A momentum score is derived from price returns adjusted for volatility over the past 6 and 12 months (excluding the previous month).
The Index Provider ranks each stock of the Parent Index based on its value and momentum scores, relative to their sector classification, and creates a composite score for each stock by equally weighting the stock’s value and momentum score. The Index Provider then selects the top 25% of the ranked stocks of the Parent index based on their composite scores for inclusion in the Index. The constituents are weighted such that securities with lower realized volatility are given higher Index weights.
The index is reconstituted quarterly, and the portfolio turnover rate in the most recent fiscal year was 101%. Given the focus on large companies, this article uses the S&P 500 Index, represented by SPDR S&P 500 ETF Trust (SPY), as a benchmark.
ULVM Portfolio
ULVM is exclusively invested in U.S. companies, with the heaviest sector in the portfolio being financials (20.8% of assets), followed by industrials (16.7%) and healthcare (13.1%). Other sectors have allocations below 11%. Compared to the S&P 500, ULVM overweights financials, industrials, real estate, materials, and utilities, while significantly underweighting technology, communication, consumer discretionary, and consumer staples.
ULVM sector breakdown (Chart: author; data: Victory Capital, SSGA)
The top 10 holdings, along with valuation ratios, represent 13.1% of asset value. Individual company risks are low, and the portfolio is more diversified than the benchmark.
