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The Pacer Custom ETF Series

PALC

Pacer Lunt Large Cap Multi-Factor Alternator ETF

A strategy driven exchange traded fund that aims to provide capital appreciation over time by rotating among momentum, quality, value and volatility factors within S&P 500 companies.

Strategy Overview

An objective, rules-based strategy that is re-evaluated monthly for performance based on high and low sides of four key factors.


 

What is a Factor?
A factor is an attribute that can help explain the long-term risks and returns of an asset. Factors can be divided into both high and low factors.

Momentum:
the tendency of high performing stocks to continue performing well in the near future.
Quality:
the characteristics that contribute to a company’s durable business model and sustainable competitive advantage.
Value:
a measurement of a stock's market value relative to its intrinsic value.
Volatility:
the measurement of variance of returns for a security or index.

Each factor shown is based on an S&P sub-index. Each index is owned and calculated by S&P.

 

Step 1:
Segment Universe by Factor

The S&P 500 represents the investment universe for this strategy. S&P Dow Jones calculates high and low factor values for index constituents and rank orders stocks by
1) momentum, 2) quality, 3) value, and 4) volatility.







Step 2:
Evaluate and rank Factor Pairs

Lunt Capital applies proprietary, factor rotation rules to each pair of S&P factors to determine which side (i.e. high or low) is exhibiting stronger risk-adjusted relative strength in each factor. Then the top factors from each factor pair are ranked against each other.








Step 3:
Select Favored Factors

The two factors with the highest rank are selected for inclusion in the index. The index always holds two of the eight possible factors, but will not hold both sides of a factor at any given time.




Step 4:
Monthly Re-evaluation

Factor pairs are evaluated monthly for potential changes. While components are evaluated monthly, rotations only occur when triggered by the rules.

Performance (%)

as of 9/30/2020

  Since Fund Inception (6/24/20) YTD 1 Month 3 Month 1 Year
Pacer Lunt Large Cap Multi-Factor Alternator ETF NAV 14.22 N/A -3.50 12.28 N/A
Pacer Lunt Large Cap Multi-Factor Alternator ETF Market Price 14.47 N/A -3.47 12.45 N/A
Lunt Capital U.S. Large Cap Multi-Factor Rotation Index 15.08 18.38 -2.91 13.11 25.38
S&P 500 Index 10.74 5.57 -3.80 8.93 15.15

Monthly Performance

This is a new Fund and therefore has limited performance to report. Performance quoted represents past performance and does not guarantee future results. Returns less than 1 year are cumulative. Returns greater than 1 year are annualized. Investment return and principal value will fluctuate, so shares may be worth more or less when redeemed or sold. Current performance may be lower or higher than the performance quoted. Visit www.paceretfs.com for the most recent month-end performance. Index returns are for illustrative purposes only. Index performance does not reflect any management fees, transaction costs or expenses. You cannot invest directly in an index.

Current Exposure

Tracking:
High Volatility, High Value

2020 Factor Exposure

January February March April May June
N/A N/A N/A N/A N/A High Momentum
N/A N/A N/A N/A N/A Low Value
July August September October November December
High Momentum High Momentum High Momentum High Momentum High Momentum High Volatility
Low Value Low Value Low Value Low Value Low Value High Value

Top 10 Holdings (%)

as of 9/30/19

View All Holdings

Daily Holdings

Ticker Holding Weight

Sector Breakdown (%)

as of 9/30/2020

Sector Weight
Information Technology 40.26
Health Care 16.35
Consumer Discretionary 14.45
Communication Services 9.97
Consumer Staples 6.35
Real Estate 4.29
Financials 2.72
Industrials 2.46
Materials 2.12
Utilities 0.75
Energy 0.28

Index Characteristics

as of 9/30/2020

  Lunt Capital U.S. Large Cap Multi-Factor Rotation Index
Weighted Average Market Cap ($mil) 504,140.02
Dividend Yield (%) 0.96
Price to Earnings (P/E) Ratio 41.46

Weighted average market cap is the sum of each company’s weight multiplied by its market cap.
Dividend yield is calculated using annual dividends per share divided by share price. There is no guarantee dividends will be paid.
P/E ratio is a fundamental measure commonly used to determine if an investment is valued appropriately. Each holding’s P/E is the latest closing price divided by the latest fiscal year’s earnings per share. Negative P/E ratios are excluded from this calculation.

Distributions

Ex Date Total Distribution Ordinary Income* Short Term Capital Gains Long Term Capital Gains Return of Capital
9/21/2020 $0.03986642 $0.03986642 $0 $0 $0

2020 Distribution Schedule

Past distributions are not indicative of future distributions.
*Ordinary income is composed mainly of wages, salaries, commissions and interest income from bonds, and it is taxable using ordinary income rates.

Premium/Discount

As of Dec 3, 2020

From Jun 25, 2020 to Dec 3, 2020
Days traded at premium 59
Days traded at discount 54
As of Date Discount Premium
06/25/2020 0.00
06/26/2020 0.08
06/29/2020 -0.25
06/30/2020 0.06
Next

PALC Premium/Discount Q4 2020

From Oct 1, 2020 to Dec 3, 2020
Days traded at premium 15
Days traded at discount 30
As of Date Discount Premium
10/01/2020 -0.04
10/02/2020 0.1
10/05/2020 -0.05
10/06/2020 0.05
10/07/2020 0.06
10/08/2020 -0.02
10/09/2020 -0.08
10/12/2020 0.05
10/13/2020 0.08
10/14/2020 0.08
10/15/2020 -0.03
10/16/2020 -0.37
10/19/2020 -0.15
10/20/2020 -0.02
10/21/2020 0.01
10/22/2020 0.13
10/23/2020 -0.15
10/26/2020 -0.18
10/27/2020 -0.06
10/28/2020 -0.12
10/29/2020 0.22
10/30/2020 -0.46
11/02/2020 -0.2
11/03/2020 0.07
11/04/2020 -0.09
11/05/2020 -0.08
11/06/2020 -0.02
11/09/2020 0.06
11/10/2020 -0.3
11/11/2020 -0.1
11/12/2020 -0.27
11/13/2020 -0.21
11/16/2020 -0.23
11/17/2020 -0.07
11/18/2020 0.09
11/19/2020 -0.12
11/20/2020 0.04
11/23/2020 -0.06
11/24/2020 0.00
11/25/2020 -0.04
11/27/2020 -0.06
11/30/2020 -0.13
12/01/2020 0.03
12/02/2020 -0.06
12/03/2020 -2.31

 

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