OShares FTSE Russell Small Cap Quality Dividend ETF

Data updated: 2022-05-11

C000173416 — OShares FTSE Russell Small Cap Quality Dividend ETF. United States Real Estate · $161.81M AUM. Holdings, fees, performance and SEC filings.

C000173416 Fund Overview

OShares FTSE Russell Small Cap Quality Dividend ETF is a US ETF managed by OSI ETF Trust, categorised as United States Real Estate. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US ETF
Manager: OSI ETF Trust
Category: United States Real Estate
Assets under management: $161.81M
1-year return: 3.8%
SEC CIK: 0001672826
SEC series ID: S000055139
Share class ID: C000173416

C000173416 Investment Objective and Strategy

OShares FTSE Russell Small Cap Quality Dividend ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by OSI ETF Trust.

Investment objective

The Fund seeks to track the performance (before fees and expenses) of the FTSE USA Small Cap ex Real Estate 2Qual/Vol/Yield 3% Capped Factor Index (the Target Index).

Principal investment strategy

The Fund seeks to track the performance (before fees and expenses) of the Target Index. The Target Index is designed to reflect the performance of publicly-listed small capitalization dividend-paying issuers in the United States exhibiting high quality, low volatility and high dividend yields, as determined by FTSE-Russell (the Index Provider). The quality and low volatility factors are designed to reduce exposure to high dividend equities that have experienced large price declines, as may occur with some dividend investing strategies. The constituents of the Target Index are selected from the FTSE USA Small Cap Index. As of June 30, 2018, the Target Index consisted of 222 securities with a market capitalization range of between $197 million and $16 billion. The FTSE USA Small Cap Index is constructed using a proprietary, rules-based methodology designed to select equity securities from the FTSE USA Small Cap Index that have exposure to the following three factors: 1) quality, 2) low volatility and 3) yield.

The quality factor is calculated by combining measures of profitability (return on assets, asset turnover ratio and accruals) and leverage (operating cash flow divided by total debt). The low volatility factor is calculated using the standard deviation of five years of weekly local total returns. The yield factor is calculated using the company's twelve month trailing dividend yield (the total dividends paid by the company over the previous twelve months divided by its stock price as of the index calculation date). Each company in the FTSE USA Small Cap Index is scored individually on a scale of 0-1 for each factor. Each of those scores are then multiplied by each other to determine the final combined score for each company, with the quality factor score applied twice. The combined score for each company is then multiplied by its respective market capitalization weight in the FTSE USA Small Cap Index.

Equity securities with the smallest product of factor scores are removed while ensuring that certain constraints (e.g., diversification, capacity and industry) are satisfied, thereby adjusting the final weights in the Target Index. The diversification constraint limits maximum position weights. The capacity criteria include primary exchange listing, minimum capitalization, minimum price and minimum average daily trading volume requirements. The industry constraints limit sector deviations. The Target Index is rebalanced quarterly and reconstituted annually. Individual index constituent weights are capped at 3% at each annual reconstitution to avoid overexposure to any single security. The Target Index's investable universe excludes real estate investment trusts (REITs) and companies in the real estate sector.

The Fund may use either a replication strategy or representative sampling strategy in seeking to track the performance of the Target Index. Under a replication strategy, the Fund intends to replicate the constituent securities of the Target Index as closely as possible. Under a representative sampling strategy, the Fund would invest in what it believes to be a representative sample of the component securities of the Target Index. The Fund may use a representative sampling strategy when a replication strategy might be detrimental to shareholders, such as when there are practical difficulties or substantial costs involved in compiling a portfolio of securities to follow the Target Index (e.g., where the Target Index contains component securities too numerous to efficiently purchase or sell); or, in certain instances, when a component security of the Target Index becomes temporarily illiquid, unavailable or less liquid.

The Fund may also use a representative sampling strategy to exclude less liquid component securities contained in the Target Index from the Fund's portfolio in order to create a more tradable portfolio and improve arbitrage opportunities. To the extent the Fund uses a representative sampling strategy, it may not track the Target Index with the same degree of accuracy as would an investment vehicle replicating the entire index. Under normal market conditions, the Fund will invest at least 80% of its total assets in the components of the Target Index. To the extent that the Target Index concentrates (i.e., holds 25% or more of its net assets) in the securities of a particular industry or group of industries, the Fund is expected to concentrate to approximately the same extent. The Fund may invest up to 20% of its total assets in investments not included in the Target Index, but which Vident Investment Advisory, LLC (the Sub-Adviser) believes will help the Fund track the Target Index.

For example, there may be instances in which the Sub-Adviser may choose to purchase or sell investments, including exchange-traded funds (ETF) and other investment company securities, and cash and cash equivalents, as substitutes for one or more Target Index components or in anticipation of changes in the Target Index's components. The Index Provider, in consultation with O'Shares Investments Inc., an affiliate of O'Shares Investment Advisers, LLC (the Adviser), developed the Target Index methodology. The Index Provider is responsible for the ongoing maintenance, calculation and administration of the Target Index.

C000173416 Performance

Total returns for C000173416 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	3.8%
3 years (annualised)	9.6%

C000173416 Risk Information

Risk metrics for C000173416, derived from monthly returns in SEC filings.

1-year volatility (annualised): 12.7%

C000173416 Costs and Fees

C000173416 costs about $48 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.48%
Gross expense ratio: 0.48%
Portfolio turnover: 60%
Brokerage commissions: 3.09 bps of average net assets (SEC N-CEN)

C000173416 Cashflows

Over the 12 months to 2022-03, OShares FTSE Russell Small Cap Quality Dividend ETF had net inflows of $19.70M, from monthly SEC N-PORT filings.

Month	Net flow
2022-03	$10.40M
2022-02	−$1.78M
2022-01	$0
2021-12	−$1.86M
2021-11	$3.74M
2021-10	$1.83M

C000173416 Debt Constituents

No individual debt constituents are reported in OShares FTSE Russell Small Cap Quality Dividend ETF's latest SEC N-PORT filing.

C000173416 Prospectus and SEC Filings

Official OShares FTSE Russell Small Cap Quality Dividend ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other United States Real Estate 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.