The long positions will be chosen from top-ranked stocks in a universe of 2,500 large-caps. Besides the combined value and growth factors, the index will weed out names based on certain liquidity screens. No ADRs, REITs or limited partnerships will be included.

The short positions will simply reflect the lowest-ranked stocks in the methodology. The complete process will be repeated and names adjusted accordingly each quarter.

A big portion of the process relies on momentum in this particular index, notes Nusbaum. "The nature of market bottoms is that they turn into bull markets, often with no real fundamental justification. When you've got a process relying on fundamentals and momentum, it could very possibly miss big turns in market cycles that happen very suddenly," he said.

At the same time, Nusbaum believes that a fund like this would work best in mature bull markets.

"If that turns out to be the case, then this isn't an ETF that would be ideal to simply buy and hold," he added.

While ETFs are exposed to market volatility, ETNs also carry the added risk of losing their value if the issuer's financial health crumbles to the point where it can't repay the notes.

Inherent Liquidity

But also important to consider is that such risks of bankruptcy have some positive elements. ETNs differ enormously from the vast majority of other structured investment products through being accessible over exchanges. Most structured notes - by some estimates, 90% of even the highest-quality short-term issues - don't provide such liquidity for investors.

Although impacted by the ongoing credit crisis, seven of the 15 analysts polled by Thomson First Call who regularly cover JPMorgan rate it as a buy. The other eight have placed a hold recommendation on the stock.

One of those with a neutral rating on the stock, Goldman Sach's William Tanona, lowered his earnings forecasts on JPMorgan earlier this week. He told clients that while the company's better-positioned than its rivals, clouds over credit markets are likely to continue to be a drag on earnings in the near term.

Another risk pointed out by JPMorgan executives recently is the firm's bailout of rival Bear Stearns.

On Thursday, Bear Stearns shareholders are set to give final approval of the deal at $10 a share. A year ago, the 85-year-old firm was trading around $154 per share.

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