Morgan Stanley’s global smart beta ETF sees large inflows

Nov 29th, 2017 | By | Category: Equities

The MS Scientific Beta Global Equity Factors UCITS ETF (GEF LN) has recorded significant inflows, gaining approximately $270 million in net new assets in Q4 2017.

Morgan Stanley’s global smart beta ETF sees large inflows

GEF provides broad, global equity exposure with a focus on four factor risk premia: size, value, momentum and low volatility.

The fund, which debuted in Europe on the London Stock Exchange in June 2014, had previously struggled to gain investor interest since launch, with assets under management hovering around the $10m ‘seed money’ mark.

GEF provides exposure to the Scientific Beta Developed Multi-Beta Multi-Strategy Equal Weight Index and was the first ETF to be launched in Europe by Morgan Stanley.

The index offers broad, global equity exposure and aims to outperform traditional cap-weighted benchmarks on an absolute and risk-adjusted basis by emphasizing four factor exposures: size, value, momentum and low volatility.

A diversified multi-strategy weighting approach is applied for each respective factor portfolio, comprising an equally weighted allocation across the following five weighting schemes: max de-concentration, max de-correlation, efficient min volatility, max Sharpe ratio, and diversified risk weighted. Reconstitution and rebalancing occur quarterly.

Having moved relatively sideways since the fund’s inception, the index began to gain upward momentum at the start of 2016, rising 7.5% that year and a further 17.2% year-to-date (YTD) in 2017 as of the end of October. However, this is lower than the YTD performance of the MSCI World Index, which has returned 18.3%.

Performance of MS Scientific Beta Global Equity Factors UCITS ETF since inception

Source: Morgan Stanley.

GEF has a total expense ratio of 0.40%.

Morgan Stanley declined to comment.

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