CoreShares launches multi-factor equity ETF on JSE

Jul 10th, 2019 | By | Category: Equities

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South African investment manager CoreShares has unveiled a new ETF providing multi-strategy, multi-factor exposure to South African equities.

coreshares south africa ETFs

CoreShares launches new smart beta ETF on Johannesburg Stock Exchange.

The CoreShares Scientific Beta Multi-Factor Index ETF (SMART SJ) has listed on Johannesburg Stock Exchange (JSE) and comes with an expected total expense ratio of 0.55%.

It offers investors exposure to a portfolio of South African stocks that have been weighted so as to enhance exposure to six factors: size (medium-capitalization), value, momentum, low volatility, profitability, and low investment.

The underlying Scientific Beta CoreShares South Africa Multi-Beta Multi-Strategy Six-Factor Equal Weighted Index, created by ERI Scientific Beta, an affiliate of EDHEC-Risk Institute, selects its constituents from a universe of large- and mid-cap companies listed on JSE.

The methodology creates six single-factor sub-indices, each consisting of the top half of the universe’s stocks when ranked by exposure to the corresponding factor.

Each sub-index equally weighs five popular weighting schemes (Maximum Deconcentration, Maximum Decorrelation, Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio, and Diversified Risk Weighted) so as to diversify both firm- and weighting-scheme-specific risks.

The sub-indices are then combined together using equal allocations to form the final index. Reconstitution and rebalancing occur quarterly.

This is not CoreShares’ first foray into smart beta territory – the firm launched the CoreShares S&P Global Dividend Aristocrats ETF (GLODIV SJ) in February 2018. This fund is linked to the S&P Global Dividend Aristocrats Blend Index which targets firms worldwide that offer sustainable dividend payments. It comes with an expected total expense ratio of 0.60%.

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