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JS Momentum Factor ETF (-) | JSETF: - INAV

JS Momentum Factor Exchange Traded Fund

Investment Objective & Philosophy

JS MOMENTUM FACTOR ETF (JSMFETF) seeks to track the investment results of JS Momentum Factor Index (JSMFI), composed of PSX large- and mid-capitalization stocks exhibiting relatively higher price momentum.

Key Facts

Fund Launch Date Management Fee Benchmark Risk Of Principal Erosion Re-Balancing Ticker AMC rating Name of Authorized participants Trustee Auditor Legal Advisor
7-Jan-22 Up to 1.5% JS Momentum Factor Index High 30 Days JSMFETF AM2+ by PACRA JS Global Capital Limited & Adam Securities Limited Central Depository Company of Pakistan Limited (CDC) EY Ford Rhodes Bawaney and Partners

Why invest in JSMFETF?
  • Our back tests reveal that momentum outperforms the KSE All Share index by 6% annualized over 2001 – 2021. Over this period the KSE All Share has returned 19% p.a.
  • The strategy has a Sharpe ratio of 1.59 vs. 1.25 for the KSE All Share index. The strategy adequately compensates for the additional risk taken by delivering additional return.
  • Out of 240 months of back testing, the strategy outperforms 51% of the time.
  • On average the strategy returns 5.1% in positive months and declines by 3.4% in negative months with more positive months than negative.

Benefits of Investing in JSMFETF
  • Capturing consistent outperformers
  • Paring momentum with other strategies
  • Outperforms during economic expansion
  • Rules based decision making
  • Professional Fund Management Expertise
  • Competitive Returns

JS Momentum Factor Index (April 09, 2024)

Stock Weight
SAZEW 20.0%
ATRL 20.0%
MEBL 13.0%
NRL 12.8%
PTC 7.6%
FFC 7.3%
ENGRO 6.4%
GHNI 6.4%
NBP 3.6%
AGL 2.8%

JS Momentum Factor Index Methodology

JS Momentum Factor Exchange Traded Fund (JSMFETF) is a Smart Beta ETF. Smart Beta, constructs indexes based on criteria other than market capitalization. JSMFETF is designed to track this custom index called the JS Momentum Factor Index (JSMFI).

JS Momentum Factor Index (JSMFI): Methodology

JSMFI combines the appeal and intuition of a passive approach. It takes a quantitative approach that systematically analyzes, selects, weights and rebalances portfolio holdings based on a certain characteristic — called factor i.e. Momentum for this index. The theory behind Momentum is that stocks whose share prices have consistently risen for a given period of time are likely to keep rising. JSMFI has developed an index methodology that captures momentum in an intuitive and transparent way, making it accessible to all investors.

  1. JSMFI’s starting universe are all stocks listed on the Pakistan Stock Exchange. The universes are then screened using certain liquidity and free float criteria as at 31st December or 30th June of each year to determine the short – listed number of stocks.
  2. Momentum is determined by calculating the total return for specified periods i.e.30, 60 and 90 days by using adjusted prices for all of these stocks. Prices are adjusted for bonus, rights and dividends. The optimal results in the back tested time i.e. 20 years is used as the basis for rebalancing period.
  3. Stock selection is based on a combined Momentum Score (MS) which incorporates recent price performance and traded value.
  4. The top ten stocks based on this formula are used in the ETF Index. The ETF index will at all times have ten stocks with a single stock limit (SSL) of 20%
  5. In order to determine the weights assigned to each stock in the index, the past traded value for each stock are used and are assigned a weight equal to its pro-rata share of the total traded value of all ten stocks. If any stock has a weight above 20%, the excess weight is re-distributed amongst the remaining stocks in pro-rata fashion.

Disclaimer: All investments in Exchange Traded Fund are subject to market risks. The investors are advised in their own interest to carefully read the contents of offering document in particular the investment policies mentioned in clause 2.2. Risk Factors mentioned in clause 2.7 and warnings in clause 10 before making any investment decision.

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