Goldman Sachs Asset Management (GSAM) begun trading the Goldman Sachs ActiveBeta International Equity ETF (NYSE Arca: GSIE) on Tuesday, November 10, 2015. Here is a synopsis of the new ETF:
|Symbol: GSIE||Exchange: NYSE Arca|
|Name: Goldman Sachs ActiveBeta International Equity ETF||Net Expense Ratio: 0.35%|
The Goldman Sachs ActiveBeta International Equity ETF seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the Goldman Sachs ActiveBeta International Equity Index.
The Goldman Sachs ActiveBeta International Equity Index is designed to deliver exposure to equity securities of developed market issuers outside of the United States.
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.
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 MSCI World ex USA 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 MSCI World ex USA 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.
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 821 securities with a market capitalization range of between approximately $1.32 billion and $278.91 billion from issuers in the following countries:
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.
Top Holdings (11/10/15):
|Roche Holding AG||1.2%|
|HSBC Holdings PLC||0.8%|
|Novo Nordisk A/S||0.7%|
|Toyota Motor Corp||0.7%|
|Commonwealth Bank of Australia||0.5%|
Sector Weights (11/10/15):
GSIE Home Page
Category: Equities> International Equities> International Strategy
GSIE joins the 2 ActiveBeta ETFs that GSAM launched in September: GSLC and GEM.
“The Goldman Sachs ActiveBeta International Equity ETF leverages our broad global expertise to deliver access to slices of international markets in a sophisticated and cost-effective way,” said Michael Crinieri, GSAM’s Global Head of ETF Strategies.
“With the addition of GSIE to our ActiveBeta lineup, investors are even further equipped to capitalize on investment opportunities stemming from structural adjustments abroad and manage risk brought on by increasingly volatile markets.”