Goldman Sachs Asset Management (GSAM), the asset management arm of the global investment bank, has added to their growing lineup of smart beta ETFs with the launch of the Goldman Sachs ActiveBeta International Equity ETF (GSIE).
The latest multi-factor smart beta ETF from Goldman Sachs applies their ActiveBeta methodology to international equities.
The fund is focused on investment opportunities across developed equity markets outside of the United States and employs a multi-factor smart beta approach that weights holdings based on established drivers of performance, namely: value, momentum, quality and low volatility.
“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.”
Through a balanced exposure to four smart beta investment factors the fund seeks to produce superior risk-adjusted returns when compared to market capitalisation-weighted benchmarks. This is achieved by tilting portfolio weightings towards holdings exhibiting characteristics that have historically outperformed. These factors include value (how attractively a stock is priced relative to its fundamentals, such as book value and free cash flow), momentum (whether a company’s share price is trending up or down), quality (profitability) and low volatility (a relatively low degree of fluctuation in a company’s share price over time).
“We aim to consistently deliver world-class investment solutions to our clients, and the launch of our third ActiveBeta product underscores our commitment to not only meet but to anticipate the needs of investors by offering what we consider to be the next generation of ETF investing,” said Gary Chropuvka, Head of Customized Beta Strategies within the Quantitative Investment Strategies team.
The fund aims to track the Goldman Sachs ActiveBeta International Equity Index and follows an index methodology common across the GSAM smart beta range. Consituents are drawn from the MSCI World ex USA Index, which as of 6 November 2015, consisted of 1005 securities. The process first defines four sub-indices, one for each factor (value, momentum, quality, low volatility), by assigning each constituent a “factor score” based on its characteristics and including only those above a set cut-off score. Once these sub-indices are formed, the final index is created as an equally weighted allocation to each sub-index.
The Goldman Sachs ActiveBeta International Equity ETF has been listed on the NYSE Arca and is priced at a net expense ratio of 0.35% per annum, which (due to fee waivers) will remain in place until at least September 2016. The gross expense ratio is 0.54%.
This latest ETF from GSAM joins the two ActiveBeta ETFs that GSAM launched in September: the Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF (GSLC) and the Goldman Sachs ActiveBeta Emerging Markets Equity ETF (GEM).