LFEQVanEck Long/Flat Trend ETF
VanEck Long/Flat Trend ETF (LFEQ®) seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the Ned Davis Research CMG US Large Cap Long/Flat Index (NDRCMGLF). The NDRCMGLF Index follows a proprietary model that determines when, and by how much, it allocates to U.S. equities and/or U.S. Treasury bills to seek to help avoid losses in declining markets or capitalize from rising markets. The model produces daily trade signals to determine the Index's equity allocation percentage (100%, 50%, or 0%).
Index Total Return TickerNDRCMGLF
Index ProviderNed Davis Research, Inc.
AdministratorVan Eck Associates
CustodianState Street Bank and Trust Company
as of 09/27/21
30-Day SEC Yield10.75%
Total Net Assets$39.2M
Number of Holdings1
Gross Expense Ratio20.79%
Net Expense Ratio/TER20.58%
Index Key Points
Underlying index: Ned Davis Research CMG US Large Cap Long/Flat Index (Ticker: NDRCMGLF)
Index composition: S&P 500 Index (SPTR) and/or Solactive 13-week U.S. T-bill Index (SOL13TBI)
- Index follows a rules-based model that uses technical analysis to measure U.S. equity market health and produce trade signals to guide the NDRCMGLF Index’s equity allocation.
- Model first applies trend following and mean-reversion indicators to the S&P 500 Index industry groups to produce a market breadth score.
- Model then produces daily trade signals, based on the market breadth’s score and direction, to dictate the Index’s “long” equity allocation of either 100%, 50%, or 0% - in which case the Index is 100% “flat”, or in T-bills, thereby removing equity market risk.
- Breadth score is scored 0 – 100 to indicate level of bearishness or bullishness.
- Scores at or above 50 = 100% equity.
- Scores below 50:
- If Breadth Direction Up = 50% Equity.
- If Breadth Direction Down = 0% Equity.
- The Breadth Score’s direction is determined by the difference between the current value of the breadth score and the current value of a 21-day simple moving average of the breadth score.
Index provider: Ned Davis Research, Inc.
Effective November 1, 2019, Ned Davis Research implemented several changes to the Ned Davis Research CMG Long/Flat Allocation Index construction rules. Among other changes, the methodology of the strategy evolved to reflect new enhancements to factors for composition and timeliness. Additional enhancements include the removal of smoothing on the breadth score, and adjustments to the trade signal to be either 100%, 50%, or 0% invested into equities. Past performance is no guarantee of future results.
May occur intra month based on the model's daily trade signals.
See chart below for historical allocation changes since inception.
NDRCMGLF's underlying indexes, SPX and SOL13TBI, are each rebalanced quarterly.
Index Comparative Performance with Model Score and Target Weights
Model Target Allocation (%) as of 09/27/21
|Sector||Long (%)||Flat (%)||Total (%)|