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 MidCap 400 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 factor from each binary 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.e.
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 12/31/2020
| Since Fund Inception (6/24/20) | YTD | 1 Month | 3 Month | 1 Year | ||||
|---|---|---|---|---|---|---|---|---|
| Pacer Lunt MidCap Multi-Factor Alternator ETF NAV | 34.80 | N/A | 5.25 | 20.37 | N/A | |||
| Pacer Lunt MidCap Multi-Factor Alternator ETF Market Price | 34.97 | N/A | 5.50 | 20.34 | N/A | |||
| Lunt Capital U.S. MidCap Multi-Factor Rotation Index | 34.85 | N/A | 5.48 | 20.27 | N/A | |||
| S&P MidCap 400 Index | 34.27 | 13.66 | 6.52 | 24.37 | 13.66 | |||
|
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. |
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Current Exposure
Tracking:
High Momentum, Low Quality
2021 Factor Exposure
Top 10 Holdings (%)
as of 9/30/19
View All Holdings
| Ticker | Holding | Weight |
|---|
Sector Breakdown (%)
as of 12/31/2020
| Sector | Weight |
|---|---|
| Financials | 35.03 |
| Consumer Discretionary | 12.55 |
| Information Technology | 12.51 |
| Industrials | 10.94 |
| Materials | 7.75 |
| Real Estate | 6.46 |
| Health Care | 3.75 |
| Utilities | 3.43 |
| Consumer Staples | 2.64 |
| Communication Services | 2.58 |
| Energy | 2.36 |
Index Characteristics
as of 12/31/2020
| Lunt Capital U.S. MidCap Multi-Factor Rotation Index | |||
|---|---|---|---|
| Weighted Average Market Cap ($mil) | 4,582.17 | ||
| Dividend Yield (%) | 2.19 | ||
| Price to Earnings (P/E) Ratio | 15.19 |
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 | |||
|---|---|---|---|---|---|---|---|---|
| 12/21/2020 | $0.07924000 | $0.07924000 | $0 | $0 | $0 | |||
| 9/21/2020 | $0.01757460 | $0.01757460 | $0 | $0 | $0 | |||
|
Past distributions are not indicative of future distributions. |
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Premium/Discount
As of Feb 26, 2021
| From Jan 4, 2021 to Feb 26, 2021 | |
|---|---|
| Days traded at premium | 23 |
| Days traded at discount | 15 |
| As of Date | Discount Premium |
|---|---|
| 01/04/2021 | 0.01 |
| 01/05/2021 | -0.02 |
| 01/06/2021 | -0.07 |
| 01/07/2021 | 0.02 |
| 01/08/2021 | -0.02 |
| 01/11/2021 | 0.02 |
| 01/12/2021 | -0.01 |
| 01/13/2021 | 0.08 |
| 01/14/2021 | 0.00 |
| 01/15/2021 | 0.00 |
| 01/19/2021 | -0.02 |
| 01/20/2021 | -0.02 |
| 01/21/2021 | 0.11 |
| 01/22/2021 | 0.03 |
| 01/25/2021 | -0.07 |
| 01/26/2021 | 0.01 |
| 01/27/2021 | 0.02 |
| 01/28/2021 | 0.47 |
| 01/29/2021 | 0.29 |
| Next | |
PAMC Premium/Discount Q1 2021
| From Jan 4, 2021 to Feb 26, 2021 | |
|---|---|
| Days traded at premium | 23 |
| Days traded at discount | 15 |
| As of Date | Discount Premium |
|---|---|
| 01/04/2021 | 0.01 |
| 01/05/2021 | -0.02 |
| 01/06/2021 | -0.07 |
| 01/07/2021 | 0.02 |
| 01/08/2021 | -0.02 |
| 01/11/2021 | 0.02 |
| 01/12/2021 | -0.01 |
| 01/13/2021 | 0.08 |
| 01/14/2021 | 0.00 |
| 01/15/2021 | 0.00 |
| 01/19/2021 | -0.02 |
| 01/20/2021 | -0.02 |
| 01/21/2021 | 0.11 |
| 01/22/2021 | 0.03 |
| 01/25/2021 | -0.07 |
| 01/26/2021 | 0.01 |
| 01/27/2021 | 0.02 |
| 01/28/2021 | 0.47 |
| 01/29/2021 | 0.29 |
| 02/01/2021 | 0.06 |
| 02/02/2021 | 0.02 |
| 02/03/2021 | 0.02 |
| 02/04/2021 | -0.17 |
| 02/05/2021 | 0.00 |
| 02/08/2021 | -0.19 |
| 02/09/2021 | -0.13 |
| 02/10/2021 | -0.05 |
| 02/11/2021 | -0.1 |
| 02/12/2021 | -0.02 |
| 02/16/2021 | 0.03 |
| 02/17/2021 | 0.09 |
| 02/18/2021 | 0.07 |
| 02/19/2021 | -0.06 |
| 02/22/2021 | -0.02 |
| 02/23/2021 | 0.00 |
| 02/24/2021 | 0.02 |
| 02/25/2021 | 0.13 |
| 02/26/2021 | 0.24 |
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