JPMorgan Long/Short ETF

Data updated: 2020-06-29

C000193826 — JPMorgan Long/Short ETF. Money Market · $23.13M AUM · 0.69% expense ratio. Holdings, fees, performance and SEC filings.

C000193826 Fund Overview

JPMorgan Long/Short ETF is a US ETF managed by J.P. Morgan Exchange-Traded Fund Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

C000193826 Investment Objective and Strategy

JPMorgan Long/Short 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 to provide long-term total return.

Principal investment strategy

The Fund seeks to profit from the relative returns of equity securities by maintaining long and short positions. It will do so based on a systematic investment process. The adviser believes it has identified (and will continue to identify) a set of investment return sources that have a low correlation to each other and to traditional markets and have distinct risk and return profiles (each a return factor). Under normal market conditions, the Fund employs the Equity Long/Short strategy to access certain return factors. The strategy involves simultaneously investing in equities (i.e., investing long) that the adviser believes are attractive based on relevant return factors and selling equities (selling short) that the adviser believes are unattractive based on relevant return factors. As opposed to only holding long positions that the Funds adviser expects to outperform, taking short positions allows the Fund to more fully exploit insights in instruments that the adviser expects to underperform.

Each return factor represents a potential source of investment return that results from, among other things, assuming a risk relating to the return factors described below or taking advantage of a behavioral bias. For example, a strategy relating to a momentum return factor would seek to exploit a behavioral bias present in the market, in which investors tend to purchase securities that have recently performed well, thereby helping to contribute to continued positive price movement, and sell securities that have recently performed poorly, thereby helping to contribute to continued negative price movement. The adviser believes that, in general, the Funds investment returns are attributable to the individual contributions of the various return factors. By employing this return factor based approach, the Fund seeks to provide positive total returns over time while maintaining a relatively low correlation with traditional markets.

The exposure to individual return factors may vary based on the market opportunity of the individual return factors. For example, the return factors that the adviser may utilize include, but are not limited to, the following: Value the Fund seeks to purchase cheap stocks based on the ratios of their price to certain company characteristics and sell short stocks that are relatively more expensive based on the same considerations Momentum the Fund seeks to capture the tendency that a securitys recent performance may continue in the near future. This is achieved by purchasing stocks that have appreciated in value more (or depreciated less) than others and by selling short stocks that have appreciated less (or depreciated more) Size the Fund seeks to purchase small cap stocks and sell short large cap stocks Quality the Fund seeks to buy high quality stocks and sell short lower ranked stocks Not all return factors will necessarily be utilized at one time, and additional return factors may be identified over time.

The Fund will generally invest its assets globally to gain exposure, either directly or through the use of derivatives, to equity securities (across market capitalizations) in developed markets. The Fund may use both long positions (held directly or through the use of derivative instruments) and short positions (achieved primarily through the use of derivative instruments). The Fund generally will maintain a total net long market exposure under normal market conditions, meaning that the Funds aggregate exposure will be greater to instruments that the adviser expects to outperform. However, the Fund may have aggregate long or aggregate short exposure to one or more industry sectors, individual markets and/or currencies. To the extent that the Fund hedges its currency exposure into the U.S. dollar, it may reduce the effects of currency fluctuations.

The adviser will make use of derivatives, including swaps, futures, options and forward contracts, in implementing its strategy. Under normal market conditions, the adviser currently expects that a significant portion of the Funds exposure will be attained through the use of derivatives in addition to its exposure through direct investment. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, will primarily be used as an efficient means of implementing a particular strategy in order to gain exposure to a desired return factor. For example, the Fund may use a total return swap1 to establish both long and short positions in order to gain the desired exposure rather than physically purchasing and selling short each instrument. Derivatives may also be used to increase gain, to effectively gain targeted exposure from its cash positions, to hedge various investments and/or for risk management.

As a result of the Funds use of derivatives and to serve as collateral, the Fund may hold significant amounts of U.S. Treasury obligations, including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury, obligations of other sovereign governments or supranational entities, other short-term investments, including money market funds, and foreign currencies in which certain derivatives are denominated. The amount that may be invested in any one instrument will vary and generally depend on the return factors employed by the adviser at that time. There are no stated percentage limitations on the amount that can be invested in any one type of instrument, and the adviser may, at times, focus on a smaller number of instruments. The Fund is generally unconstrained by any particular capitalization, style or sector and, as a main investment strategy, may invest in any developed region or country.

The Fund may have both long and short exposure to these instruments. Given the complexity of the investments and strategies of the Fund, the adviser will make use of quantitative models and information and data supplied by third parties to, among other things, help determine the portfolios weightings among various investments and construct sets of transactions and investments. The Fund will purchase a particular instrument when the adviser believes that such instrument will allow the Fund to gain the desired exposure to a return factor. Conversely, the Fund will consider selling a particular instrument when it no longer provides the desired exposure to a return factor. In addition, investment decisions will take into account a return factors contribution to the Funds overall volatility. In allocating assets, the adviser seeks to approximately balance risk to the individual return factors over the long term, although the exposure to individual return factors will vary based on, among other things, the opportunity the adviser sees in each individual return factor.

The Funds investment strategies may involve active and frequent trading resulting in high portfolio turnover. 1 In this example, the total return swap is a contract in which one party makes payments based on a set rate while the other makes payments based on the return of the underlying assets. In our example, the swap will be based on the return of the designated long and short positions.

C000193826 Costs and Fees

C000193826 costs about $69 per $10,000 invested per year in fund expenses.

  • Net expense ratio: 0.69%
  • Gross expense ratio: 0.69%
  • Portfolio turnover: 114%
  • Brokerage commissions: 23.55 bps of average net assets (SEC N-CEN)

C000193826 Cashflows

Over the 12 months to 2020-04, JPMorgan Long/Short ETF had net inflows of $4.33M, from monthly SEC N-PORT filings.

MonthNet flow
2020-04$0
2020-03$0
2020-02$0
2020-01−$3.28M
2019-12$3.28M
2019-11$0

C000193826 Debt Constituents

No individual debt constituents are reported in JPMorgan Long/Short ETF's latest SEC N-PORT filing.

C000193826 Prospectus and SEC Filings

Official JPMorgan Long/Short ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Money Market 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.