Goldman Sachs Asset Management (GSAM), begun trading 2 new ETFs, the Goldman Sachs ActiveBeta Europe Equity ETF (NYSE Arca: GSEU) and the Goldman Sachs ActiveBeta Japan Equity ETF (NYSE Arca: GSJY) on Monday, March 07, 2016.
Here is a synopsis of the new ETFs:
1.
| Symbol: GSEU | Exchange: NYSE ARCA |
| Name: Goldman Sachs ActiveBeta Europe Equity ETF | Νet Expense Ratio: 0.25% |
FUND OBJECTIVE:
The Goldman Sachs ActiveBeta Europe Equity ETF seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta Europe Equity Index.
REFERENCE INDEX:
The Goldman Sachs ActiveBeta Europe Equity Index is designed to deliver exposure to equity securities (as well as ADRs, GDRs) of developed markets issuers in Europe.
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).
Goldman Sachs Asset Management, L.P. (Index Provider) constructs the Index in accordance with a rules-based methodology that involves 2 steps.
Step 1
In the first step, individual factor subindexes for value, momentum, quality and low volatility (ActiveBeta Factor Subindexes) are created from the constituents of the MSCI Europe 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.
Step 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. As of July 31, 2015, the Index consisted of 441 securities with a market capitalization range of between approximately $2.21 billion and $278.91 billion from issuers in the following countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
Fund Top 10 Holdings (03/07/16):
| Nestle SA | 2.7% |
| Roche Holding AG | 2.1% |
| Novartis AG | 1.7% |
| Novo Nordisk A/S | 1.4% |
| HSBC Holdings PLC | 1.3% |
| British American Tobacco PLC | 1.2% |
| Sanofi | 1.1% |
| Bayer AG | 1.0% |
| GlaxoSmithKline PLC | 1.0% |
| SAP SE | 0.9% |
Fund Top 5 Country Weights (03/07/16):
| UK | 28.0% |
| France | 16.8% |
| Switzerland | 14.7% |
| Germany | 12.2% |
| Netherlands | 5.3% |
Fund Sector Weights (03/07/16):
| Financials | 17.7% |
| Consumer Staples | 16.4% |
| Consumer Discretionary | 16.3% |
| Health Care | 13.7% |
| Industrials | 13.2% |
| Materials | 4.9% |
| Info Tech | 4.8% |
| Telecoms | 4.4% |
| Utilities | 4.3% |
| Energy | 4.2% |
Useful Links:
GSEU Home Page
Category: Equities> Regions> Europe> Broad Europe> All Europe
2.
FUND INFORMATION:
| Symbol: GSJY | Exchange: NYSE ARCA |
| Name: Goldman Sachs ActiveBeta Japan Equity ETF | Net Expense Ratio: 0.25% |
FUND OBJECTIVE:
The Goldman Sachs ActiveBeta Japan Equity ETF seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta Japan Equity Index.
REFERENCE INDEX:
The Goldman Sachs ActiveBeta Japan Equity Index is designed to deliver exposure to equity securities of Japanese 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).
Goldman Sachs Asset Management, L.P. (Index Provider) constructs the Index in accordance with a rules-based methodology that involves 2 steps:
Step 1
In the first step, individual factor subindexes for value, momentum, quality and low volatility (ActiveBeta Factor Subindexes) are created from the constituents of the MSCI Japan 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 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 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.
Step 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 314 securities with a market capitalization range of between approximately $1.75 billion and $227.60 billion.
Fund Top 10 Holdings (03/07/16):
| Toyota Motor Corp | 4.6% |
| Mitsubishi UFJ Financial Group Inc | 1.9% |
| Honda Motor Co Ltd | 1.8% |
| Sumitomo Mitsui Financial Group Inc | 1.5% |
| Japan Tobacco Inc | 1.5% |
| Seven & i Holdings Co Ltd | 1.3% |
| KDDI Corp | 1.3% |
| Takeda Pharmaceutical Co Ltd | 1.2% |
| Mizuho Financial Group Inc | 1.1% |
| Kao Corp | 1.1% |
Fund Sector Weights (03/07/16):
| Consumer Discretionary | 21.7% |
| Industrials | 16.5% |
| Financials | 15.7% |
| Consumer Staples | 11.1% |
| Info Tech | 10.6% |
| Health Care | 10.4% |
| Telecoms | 4.2% |
| Utilities | 4.1% |
| Materials | 4.0% |
| Energy | 1.7% |
Useful Links:
GSJY Home Page
Category: Equities> Regions> Asia> Developed Asia Equities> Japan
ETFtrack comment:
Here is a comment from Gary Chropuvka, Head of Goldman Sachs Asset Management’s Customized Beta Strategies within the Quantitative Investment Strategies team:
“As investors continue to demand a shift away from traditional exposures, we continue to look for opportunities abroad. We have been following the European recovery story, which in our view may provide a growth opportunity for long-term investors, and despite recent volatility, we believe that Japanese equities may be able to offer value to the market. The additions of GSEU and GSJY to our lineup are the latest additions to the next generation of ETF investing.”