JPMorgan Diversified Return Europe Equity ETF

Data updated: 2020-06-29

C000163470 — JPMorgan Diversified Return Europe Equity ETF. Europe Blend / Core Equity · $14.77M AUM. Holdings, fees, performance and SEC filings.

C000163470 Fund Overview

JPMorgan Diversified Return Europe Equity ETF is a US ETF managed by J.P. Morgan Exchange-Traded Fund Trust, categorised as Europe Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US ETF
Manager: J.P. Morgan Exchange-Traded Fund Trust
Category: Europe Blend / Core Equity
Assets under management: $14.77M
SEC CIK: 0001485894
SEC series ID: S000051961
Share class ID: C000163470

C000163470 Investment Objective and Strategy

JPMorgan Diversified Return Europe Equity ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by J.P. Morgan Exchange-Traded Fund Trust.

Investment objective

The Fund seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor Europe Equity Index.

Principal investment strategy

The Fund seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor Europe Equity Index (the Underlying Index). The Fund will invest at least 80% of its Assets in securities included in the Underlying Index. Assets means net assets, plus the amount of borrowing for investment purposes. The Underlying Index is comprised of equity securities across developed Europe selected to represent a diversified set of factor characteristics, as described below. The Funds adviser is a sponsor of the Underlying Index and developed the proprietary factors on which the Underlying Index is based. FTSE Russell, the Benchmark Administrator, administers, calculates and governs the Underlying Index. Holdings in the Underlying Index are selected from the constituents of the FTSE Developed Europe Index, a broader FTSE index, which is comprised of large- and mid-cap equity securities in developed European markets.

Through diversification, the Underlying Index is designed to more evenly distribute risk across sectors and individual securities. In the Underlying Index, weightings to sectors are adjusted based on their historical volatility to attempt to balance risk across sectors in the overall portfolio. The Underlying Index is diversified across the following sectors: basic materials, consumer goods, consumer services, financials, health care, industrials, oil & gas, technology, telecommunications and utilities. The rules based proprietary multi-factor selection process utilizes the following characteristics: value, momentum, and quality. The Underlying Index is designed so that each of the individual characteristics is given equal input in security selection. Over time, the factors will have varying degrees of influence on the performance of the Underlying Index.

The Funds securities are large- and mid-cap equity securities of companies from developed European countries, including common stock and preferred stock. As of September 28, 2018, the market capitalizations of the companies in the Underlying Index ranged from $2 billion to $252 billion. For purposes of investing at least 80% of its Assets in securities included in the Underlying Index, the Fund may invest in depositary receipts representing securities included in the Underlying Index. UNDERLYING INDEX CHARACTERISTICS Value Targets equity securities with attractive prices relative to their sector peers based on fundamental characteristics of book yield, earnings yield, dividend yield and cash flow yield. Momentum ? A tendency that stocks that are rising in price tend to continue to rise, while those that are falling tend to continue to fall.

Targets equity securities which have higher risk-adjusted returns relative to those of their sector peers over a twelve month period. The twelve month returns are divided by the twelve month volatility of the returns to get the risk-adjusted returns. Quality ? Targets equity securities with higher quality characteristics relative to their sector peers as measured by profitability, earnings quality and solvency/financial risk. The Fund, using a passive or indexing investment approach, attempts to closely correspond to the performance of the Underlying Index. The adviser expects that, over time, the correlation between the Funds performance before fees and expenses and that of the Underlying Index will be 95% or better. A figure of 100% would indicate perfect correlation. Unlike many investment companies, the Fund does not seek to outperform the Underlying Index and does not seek temporary defensive positions when markets decline or appear overvalued.

The Funds intention is to replicate the constituent securities of the Underlying Index as closely as possible. Replication is a passive indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as the underlying index. However, under various circumstances, it may not be possible or practicable to purchase or hold all of, or only, the constituent securities in their respective weightings in the Underlying Index. In these circumstances, the Fund may utilize a representative sampling strategy whereby the Fund would hold a significant number of the component securities of the Underlying Index, but may not track the Underlying Index with the same degree of accuracy as would an investment vehicle replicating the entire Underlying Index.

Even when the Fund is utilizing representative sampling, it must invest at least 80% of its Assets in securities included in the Underlying Index. The Funds portfolio will be rebalanced quarterly in accordance with the quarterly rebalancing of the Underlying Index. The Fund may invest up to 20% of its assets in exchange-traded futures and currency forward contracts to seek performance that corresponds to the Underlying Index, but not for hedging currency. To the extent that the securities in the Underlying Index are concentrated in one or more industries or groups of industries, the Fund may concentrate in such industries or groups of industries.

C000163470 Costs and Fees

C000163470 costs about $37 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.37%
Gross expense ratio: 0.37%
Portfolio turnover: 20%
Brokerage commissions: 0.75 bps of average net assets (SEC N-CEN)

C000163470 Cashflows

Over the 12 months to 2020-04, JPMorgan Diversified Return Europe Equity ETF had net inflows of $0, from monthly SEC N-PORT filings.

Month	Net flow
2020-04	$0
2020-03	$0
2020-02	$0
2020-01	$0
2019-12	$0
2019-11	$0

C000163470 Debt Constituents

No individual debt constituents are reported in JPMorgan Diversified Return Europe Equity ETF's latest SEC N-PORT filing.

C000163470 Prospectus and SEC Filings

Official JPMorgan Diversified Return Europe Equity ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Europe Blend / Core Equity funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.