BlackRock cross-lists iShares EUR-hedged smart beta ETF

Jul 18th, 2017 | By | Category: Equities

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BlackRock has cross-listed the iShares Edge S&P 500 Minimum Volatility UCITS ETF EUR Hedged (IS31) on Deutsche Börse. The euro-hedged share class of the fund offers investors hedged exposure to a US large-cap equity portfolio that offers a similar return to the S&P 500 Index with lower overall volatility.

BlackRock cross-lists EUR hedged smart beta ETF on Deutsche Börse

The fund has total assets across all share classes of $1.3bn.

The fund was launched with an unhedged share class in November 2012. The Euro-hedged share class was launched in November 2016 and is also available on LSE and SIX Swiss Exchange (ticker symbol SPME).

The fund tracks the S&P 500 Minimum Volatility Index which is constructed using an optimiser set to minimise the overall forecasted volatility of the index subject to stock, sector and factor exposure constraints.

The maximum weight of a stock is the lower of 20 times its weight in the S&P 500 or 2%, and the minimum weight of a stock is 0.05%. Sector weights are constrained to be within 5% of the corresponding weights in the parent index. With the exception of price volatility, exposure to all other risk factors is constrained to be within 0.25 standard deviations relative to the S&P 500.

The index currently has 96 holdings with significant exposures to consumer discretionary (18%), information technology (16%) and health care (13%). The largest single stock exposures are Crown Castle International (2.5%), Reit Co. (2.4%) and March & Mclennan (2.4%).

The ETF is rebalanced semi-annually, has a total expense ratio of 0.25% and current total assets under management for all share classes are $1.3bn.

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