GSLC: new Smart-Beta U.S. Large Cap Equity ETF by Goldman Sachs

Goldman Sachs begun trading the Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF (NYSEArca: GSLC) on Monday, September 21, 2015.



Symbol: GSLC Exchange: NYSE Arca
Name: Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF  Net Expense Ratio: 0.09%


The Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF seeks to provide investment results that closely correspond, before fees and expenses, to Goldman Sachs ActiveBeta US Large Cap Equity Index.


The Goldman Sachs ActiveBeta US Large Cap Equity Index is designed to deliver exposure to equity securities of large capitalization U.S. issuers. The Index is constructed using the patented ActiveBeta Portfolio Construction Methodology, which was developed to provide exposure to the “factors” (or characteristics) that are commonly tied to a stock’s outperformance relative to market returns. These factors include value (i.e., how attractively a stock is priced relative to its “fundamentals,” such as book value and free cash flow), momentum (i.e., whether a company’s share price is trending up or down), quality (i.e.,profitability) and low volatility (i.e., a relatively low degree of fluctuation in a company’s share price over time). Given the Fund’s investment objective of attempting to track its Index, the Fund does not follow traditional methods of active investment management, which may involve buying and selling securities based upon analysis of economic and market factors. Goldman Sachs Asset Management, L.P. (the “Index Provider”) constructs the Index in accordance with a rules-based methodology that involves two steps:

1. In the first step, individual factor subindexes for value, momentum, quality and low volatility (the “ActiveBeta Factor Subindexes”) are created from the constituents of the Solactive US Large Cap Index (the “Reference Index”), a market capitalization-weighted index. To construct each ActiveBeta Factor Subindex, all constituents in the Reference Index are assigned a “factor score” based on certain specified measurements (for example, in the case of the value factor, the factor score is based on a composite of book value-to-price, sales-to-price and free cash flow-to-price). Securities with a factor score that is above a fixed “Cut-off Score” receive an overweight in the applicable ActiveBeta Factor Subindex relative to the Reference Index and securities with a factor score that is below the Cut-off Score receive an underweight in the ActiveBeta Factor Subindex relative to the Reference Index. Accordingly, the magnitude of overweight or underweight that a security receives in constructing the applicable ActiveBeta Factor Subindex is determined by its attractiveness when evaluated based on the relevant factor. The Index only includes long positions (i.e., short positions are impermissible), so the smallest weight for any given security is zero.

2. The ActiveBeta Factor Subindexes are combined in equal weights to form the Index. The Index is rebalanced on a quarterly basis in accordance with the published rebalancing schedule of the Reference Index. The rules-based process used to construct the Index incorporates the ActiveBeta Turnover Minimization Technique, which seeks to reduce turnover within the Index.

As of July 31, 2015, the Index consisted of 455 securities with a market capitalization range of between approximately $1.11 billion and $691.74 billion.


Top 10 index companies (09/18/2015):

Apple Inc 3.3%
Microsoft Corp 1.6%
Johnson & Johnson 1.2%
Exxon Mobil Corp 1.2%
Pfizer Inc 1.2%
Gilead Sciences Inc 1.1%
Wells Fargo & Co 1.1%
JPMorgan Chase & Co 1.0%
Home Depot Inc 1.0%
CVS Health Corp 0.9%


Index Sector Breakdown (09/18/2015):

Information Technology 18.9%
Consumer Discretionary 18.3%
Health Care 17.1%
Financials 14.0%
Consumer Staples 13.0%
Industrials 9.0%
Energy 3.5%
Materials 2.4%
Utilities 1.9%
Telecom Services 1.9%


Useful Links:
GSLC Home Page



ETFtrack Comment:
The GSLC is the first exchange-traded fund of Goldman Sachs Asset Management and the first in a series of ETFs that will track GSAM’s proprietary ActiveBeta index. “We are excited to enter the ETF market,” said Tim O’Neill, Global Co-Head of the Investment Management Division, which includes GSAM. “Our approach to ETFs continues our legacy of investment innovation and at a cost that makes them accessible to all investors.”
GSAM is the asset management arm of The Goldman Sachs Group, Inc. (NYSE: GS), which supervises $1.02 trillion in assets as of June 30, 2015.

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