MXDE — Nationwide Maximum Diversification Emerging Markets Core Equity ETF

MXDE Fund Overview

MXDE — Nationwide Maximum Diversification Emerging Markets Core Equity ETF is a US ETF managed by ETF Series Solutions, categorised as China 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: ETF Series Solutions
• Category: China Blend / Core Equity
• Assets under management: $13.90M
• Ticker: MXDE
• SEC CIK: 0001540305
• SEC series ID: S000058854
• Share class ID: C000193026

MXDE Investment Objective and Strategy

Nationwide Maximum Diversification Emerging Markets Core Equity ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by ETF Series Solutions.

Investment objective

The Nationwide Maximum Diversification Emerging Markets Core Equity ETF (the Fund) seeks to track the total return performance, before fees and expenses, of the TOBAM Maximum Diversification Emerging Index (the Index).

Principal investment strategy

The Fund uses a passive management (or indexing) approach to track the total return performance, before fees and expenses, of the Index. TOBAM Maximum Diversification Emerging Index The Index is a rules-based index that is designed to create a more diversified equity portfolio of the common and preferred stock (or depositary receipts) of companies in emerging markets relative to traditional market capitalization weighted benchmarks. The Index uses a quantitative model to weight companies in the Index universe to maximize the Diversification Ratio of the Index, a proprietary metric based on the volatility of each Index constituent and its correlation to the other Index constituents. The Index was developed in 2015 by TOBAM S.A.S., the Funds index provider. Construction of the Index begins with the universe of common and preferred stocks (or their depositary receipts) of emerging markets countries with a minimum market capitalization set by the Index rules and adjusted quarterly based on changes to the overall equity market capitalization of the applicable geographic regions.

The countries in Asia included in the Index are China, India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand. The countries in Europe (including the Middle East) included in the Index are Czech Republic, Greece, Hungary, Poland, Russia, South Africa, and Turkey. The counties in Latin America included in the Index are Brazil, Chile, Colombia, Mexico, and Peru. As of August 31, 2017, the minimum market capitalization for emerging markets countries was USD$750 million. Companies in the Index universe are then screened to eliminate securities with insufficient liquidity and relatively new issues (the remaining securities are referred to as the Eligible Universe). Common and preferred stocks in the Eligible Universe are replaced with their more liquid depositary receipt where such depositary receipts exist.

Companies in the Eligible Universe are then screened against a socially responsible investment (SRI) exclusion blacklist. The SRI exclusion blacklist contains those companies whose activities do not meet the criteria for socially responsible investing, such as the production or sale of unconventional weapons, production of tobacco, production of coal or coal-based energy, serious or systematic human rights violations, severe environmental damage, gross corruption, or other particularly serious violation of ethical norms. Companies included on the SRI exclusion blacklist are eliminated from the Eligible Universe, and the remaining companies are included in the Index (the Index Constituents). The Index Constituents are then analyzed for their volatility and correlation to each other and weighted to maximize the Diversification Ratio , a mathematical definition of diversification developed by TOBAM.

The model used to maximize the Diversification Ratio (the MaxDiv Model) seeks to lower the overall volatility of the Index while maintaining its diversification. The maximum weight for each stock is the lower of (i) 1.5% or (ii) 10 times the securitys weight had the Eligible Universe been market capitalization weighted (the Cap-Weighted Benchmark). Additionally, the MaxDiv Model is constrained to ensure that the active share of the Index, which measures how much the holdings of the Index differ from those of the securities in the Cap-Weighted Benchmark, cannot exceed 50% (e.g., if an Index Constituents weight is 1% in the Index and 5% in the Cap-Weighted Benchmark, then the Index Constituents contribution to the active share of the Index would be 4%) and the active share of each country in the Index does not exceed 5 times each countrys respective weight in the Cap-Weighted Benchmark.

The MaxDiv Model is also optimized to reduce turnover (e.g., minimum market capitalizations and median value traded are reduced for companies already included in the Index). The Index is reconstituted (i.e., Index Constituents are added or deleted and weights are reset based on the MaxDiv Model) quarterly after the close of business on the third Friday of each March, June, September and December using data as of the close of business on the first Friday of the relevant month. As of February 28, 2018 , the Index included significant exposure to companies in India, China, Taiwan, and South Korea. The Funds Investment Strategy The Fund attempts to invest all, or substantially all, of its assets in the component securities that make up the Index. Under normal circumstances, at least 80% of the Funds total assets (exclusive of any collateral held from securities lending) will be invested in the component securities of the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of such component securities (e.g., depositary receipts).

The Fund expects that, over time, the correlation between the Funds performance and that of the Index, before fees and expenses, will be 95% or better. The Fund will use a representative sampling strategy, meaning it may invest in a sample of the securities in the Index whose risk, return, and other characteristics closely resemble the risk, return, and other characteristics of the Index as a whole . However, the Fund may use a replication strategy to achieve its investment objective, meaning the Fund will generally invest in all of the component securities of the Index in the same approximate proportions as in the Index , when the Funds sub-adviser believes it is in the best interests of the Fund ( e.g. , when replicating the Index does not involve practical difficulties or substantial costs ).

The Fund generally may invest up to 20% of its total assets (exclusive of any collateral held from securities lending) in securities or other investments not included in the Index, but which the Funds sub-adviser believes will help the Fund track the Index. For example, the Fund may invest in securities that are not components of the Index to reflect various corporate actions and other changes to the Index (such as reconstitutions, additions, and deletions). To the extent the Index concentrates (i.e., holds more than 25% of its total assets) in the securities of a particular industry or group of related industries, the Fund will concentrate its investments to approximately the same extent as the Index.

MXDE Costs and Fees

MXDE costs about $64 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.64%
• Gross expense ratio: 0.64%
• Portfolio turnover: 44%
• Brokerage commissions: 6.35 bps of average net assets (SEC N-CEN)

MXDE Cashflows

Over the 12 months to 2020-05, Nationwide Maximum Diversification Emerging Markets Core Equity ETF had net inflows of $11.54M, from monthly SEC N-PORT filings.

MXDE Debt Constituents

No individual debt constituents are reported in Nationwide Maximum Diversification Emerging Markets Core Equity ETF's latest SEC N-PORT filing.

MXDE Prospectus and SEC Filings

Official Nationwide Maximum Diversification Emerging Markets Core Equity ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-12-20
• Prospectus (485BPOS) — filed 2019-01-07
• Prospectus supplement (497) — filed 2018-04-10
• Portfolio holdings (N-PORT) — filed 2020-07-30
• Portfolio holdings (N-PORT) — filed 2020-04-29
• Portfolio holdings (N-PORT) — filed 2020-01-28
• Annual census (N-CEN) — filed 2019-11-14
• Annual census (N-CEN) — filed 2018-11-13

Related Funds

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

• Fiera Capital Emerging Markets Fund (RIMIX)
• 2ndVote Society Defended ETF (EGIS)
• Infusive® Compounding Global Equities ETF (JOYY)
• Clough China Fund (CHNAX)
• Franklin FTSE Hong Kong ETF (FLHK)

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.