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DGLM ETF | New global macro strategy
DAMG | Desjardins Absolute Return Global Equity Markets ETF – CA$ Hedged
DAMG.U | Desjardins Absolute Return Global Equity Markets ETF – US$ Hedged
Desjardins' liquid alternative ETFs give your clients exclusive access to our sophisticated investment strategies, with low correlations to traditional asset classes to protect your clients from volatility.
Our alternative strategies target absolute positive returns regardless of whether markets are up or down.
They are made up of long and short positions in combinations that offer rigorous risk management through:
Potential for capital appreciation with low risk.
Potential loss mitigation in bear markets.
Significant reduction in systematic risk exposure.
Very low correlation to traditional asset classes.
A long or buying position is generally a position in which the fund benefits when the underlying security increases in value. This is the case when you are buying a stock and expect it to appreciate in value. A short or selling position benefits when the underlying security declines in value. In the case of stocks, for example, they involve selling securities that you don't currently own but hope to buy back later at a lower price.
| Features | DANC ETF | DAMG ETF |
|---|---|---|
| Geography | Canadian markets | Global markets |
| Target Beta – Short Term | 0 relative to the TSX | Between -0.3 and + 0.3 compared to the MSCI World |
| Securities held | Common shares and sector ETFs | Index futures and Index ETFs |
| Long / short strategy | Pairs | Individual positions |
| Active management | Discretionary | Quantitative |
| Decision-making process | Portfolio manager | Systematic with portfolio manager oversight |
Our specialists analyze quantitative and trend data to find complementary pairs of companies that present a promising opportunity and showcase our ideas with stronger conviction.
Typically selected within the same industry, these business pairs, which make up our long and short mix, allow us to target:
Each pair aims to be neutral in dollar, beta and industry.
Investment objective: Maximize returns under controlled volatility while maintaining a low beta with global equity markets.
The Fund seeks to exploit inefficiencies in global equity markets by applying a purely quantitative approach to its systematic long/short portfolio management strategy:
The model relies on multiple indicators that can be categorized into:
These indicators are measurable and interpretable from both economic and financial market perspectives.
These indicators have historically been consistent in explaining alpha and are expected to do so in the future. They were leveraging:
The exclusive suite of indicators are used to score equity market indices in the investment universe.
With these scores, combined with a set of constraints on volatility and diversification among others, the model:
The Desjardins Global Macro ETF (DGLM) uses a quantitative investment process to generate signals from macroeconomic and price data across global markets.
It combines four multiple uncorrelated strategies—trend, carry, value, and fundamental—then optimizes signal and market weightings to construct a diversified portfolio designed to adapt across market regimes and deliver uncorrelated returns.
The team's approach to carry is based on the premise that assets with positive carry tend to appreciate and assets with negative carry tend to depreciate in price.
However, since some assets can exhibit a persistent positive or negative carry, our approach compares the current carry to an equilibrium derived from historical values.
The team's fundamental strategies utilize 1,000+ discrete data series to forecast future price movements in different markets.
Fundamental strategies on the whole were developed based on the premise that markets react in a predictable way to specific pieces of relevant information.
Trend models seek to profit from the observed tendency of assets that are appreciating or depreciating in price to continue to do so.
The team's trend-following strategies gradually buy and sell based on several factors, including price, volatility, and the duration of a trend.
The team's value/reversion strategy follows the premise that assets tend to revert to their historical mean.
The strategy compares current market prices to fair market prices calculated from historical data. When current prices have moved too far relative to fair market prices, the strategy initiates a convergence trade and will go short overvalued/long undervalued assets.
Desjardins Global Asset Management Inc. (DGAM) is one of the largest portfolio managers in Canada.
General and specific information
*Source: Graham Capital Management
Desjardins Exchange Traded Funds are not guaranteed, their value fluctuates frequently, and their past performance is not indicative of their future returns. Commissions, management fees and expenses may all be associated with
exchange traded fund investments. Please read the prospectus before investing. Desjardins Global Asset Management Inc. is the manager and portfolio manager of the Desjardins Exchange Traded Funds. These Funds are offered by registered dealers.
The Desjardins Market Neutral ETF, the Desjardins Absolute Returns Global Equity Markets ETF, and the Desjardins Global Macro ETF are alternative ETFs. They can invest in asset classes or use investment strategies that are not permitted for other types of mutual funds. The specific strategies that differentiate these ETFs from other types of mutual funds include the use of cash borrowings for investment purposes, short sales and derivatives. Leverage amplifies gains and losses. While the strategies will be used in accordance with the ETF’s investment objectives and investment strategies, during certain market conditions they may accelerate the pace at which your investment decreases in value.
For advisor use only
This information is confidential and intended only for representatives who are registered with a securities regulatory authority. At no time should this information be shared with investors or included in promotional materials.
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