GBLO Post Rebalance Review Q2 2022

by Justin Lowry, President & CIO, Global Beta Advisors, LLC

The Global Low Beta ETF (“GBLO”), in accordance with our Global Beta Low Beta Index, rebalanced at the close of 06/17/22.

  • GBLO rebalances quarterly to align itself with securities that both reduce systematic risk and valuation risk.
  • GBLO’s quarterly rebalance helps the portfolio reset its portfolio characteristics, such that we rotate into names with lower systematic risk at better valuations.
  • Through our customization process, we attempt to protect investors from volatility generated through broad market corrections by reducing both systematic exposure and valuation risk.
  • In this rising rate environment, we believe volatility may persist and securities with better valuations will help investors seeking protection.

Below you will find notable securities that were deleted to the index during the rebalance, given their relative market beta and valuations:

Notable Deletions

Ticker Company Name Former Weight Current Price-to-Sales Ratio Current One-Year Beta
DG Dollar General Corporation 1.07% 1.54 0.73
NEE NextEra Energy, Inc. 0.43% 6.14 0.59
BIIB Biogen Inc. 0.31% 2.85 0.66
VRTX Vertex Pharmaceuticals Incorporated 0.22% 8.23 0.57
PKG Packaging Corporation of America 0.21% 1.70 0.56
CTRA Coterra Energy Inc. 0.12% 5.04 0.71
DLR Digital Realty Trust, Inc. 0.12% 7.64 0.67
TTWO Take-Two Interactive Software, Inc. 0.08% 4.20 0.83

Former weight as of 06/17/22. Current price-to-sales ratio as of 06/17/22. One-year beta based on correlation in daily returns of the company compared to the S&P 500 from 06/17/21 to 06/17/22 multiplied by the quotient of the standard deviation of returns for the company and the S&P 500. Price-to-sales takes the company’s current market capitalization and divides by the company’s most recently reported 12-month trailing revenue. Correlation is the relationship between one series of returns and the next with a ratio of 1 implying a perfect relationship and 0 implying no relationship at all. Standard deviation is the variation in returns over a period of time. The S&P 500 is an index of 500 leading companies and covers approximately 80% of available market capitalization.

Below you will find securities that were added to the index, given their relative market beta and valuations:

Notable Additions

Ticker Company Name New Weight Current Price-to-Sales Ratio Current One-Year Beta
O Realty Income Corporation 0.07% 6.85 0.54
CPT Camden Property Trust 0.03% 5.15 0.55
JKHY Jack Henry & Associates, Inc. 0.05% 6.95 0.55
VTR Ventas, Inc. 0.11% 10.54 0.54
WELL Welltower Inc 0.14% 1.07 0.44
CCI Crown Castle International Corp 0.18% 3.87 0.44
TAP Molson Coors Beverage Company Class B 0.29% 2.40 0.56
KDP Keurig Dr Pepper Inc. 0.36% 1.14 0.51

New weight as of 06/17/22. Current price-to-sales ratio as of 06/17/22. One-year beta based on correlation in daily returns of the company compared to the S&P 500 from 06/17/21 to 06/17/22 multiplied by the quotient of the standard deviation of returns for the company and the S&P 500. Price-to-sales takes the company’s current market capitalization and divides by the company’s most recently reported 12-month trailing revenue. Correlation is the relationship between one series of returns and the next with a ratio of 1 implying a perfect relationship and 0 implying no relationship at all. Standard deviation is the variation in returns over a period of time. The S&P 500 is an index of 500 leading companies and covers approximately 80% of available market capitalization.

Turnover Recap

Current Price-to-Sales Ratio Current One-Year Beta
Additions 4.40 0.52
Deletions 4.67 0.67

Current price-to-sales ratio as of 03/18/22. One-year beta based on correlation in daily returns of the company compared to the S&P 500 from 03/18/21 to 03/18/22 multiplied by the quotient of the standard deviation of returns for the company and the S&P 500. Price-to-sales takes the company’s current market capitalization and divides by the company’s most recently reported 12-month trailing revenue. Correlation is the relationship between one series of returns and the next with a ratio of 1 implying a perfect relationship and 0 implying no relationship at all. Standard deviation is the variation in returns over a period of time. The S&P 500 is an index of 500 leading companies and covers approximately 80% of available market capitalization.

As a reminder, our methodology contemplates risk based on beta relative to the S&P 500 Index. Therefore, as relative risk changes in the makeup of a particular security in relation to the risk profile of the S&P 500, our index reflects those changes. We believe this allows us to identify securities that are contrarian to the overall market.

Please visit gblo.globalbetaetf.com to view the index’s new holdings and find out more about the index and its investment objective!

Before investing you should carefully consider the Fund’s investment objectives, risks, charges, and expenses. This and other information is in the prospectus or summary prospectus. A copy may be obtained by visiting www.globalbetaetfs.com or calling (833) 933-2083. Please read the prospectus or summary prospectus carefully before investing.

The fund’s primary risks:

Mid-Capitalization Securities Risk
The securities of mid-capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, mid-capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources.

Concentration Risk
To the extent that the Target Index is concentrated in a particular industry, group of industries or sector, the Fund is also expected to be concentrated in that industry, group of industries or sector, which may subject the Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry, group of industries or sector.

Dividend-Paying Securities Risk
The Fund’s emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market. Also, a company may reduce or eliminate its dividend after the Fund’s purchase of such a company’s securities.

Large Capitalization Securities Risk
The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.

Distributor: Compass Distributor, LLC

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