Goldman Sachs rolls out European and Japanese smart beta equity ETFs

Mar 8th, 2016 | By | Category: Equities

ETF STRATEGY NEWS! ETF Strategy is delighted to announce the launch of ETF Strategy Hub (hub.etfstrategy.com), an on-demand repository of webcasts, videos, podcasts and white papers. Debuting with Special Series on Technology & Innovation in China and the Digital Economy.


Goldman Sachs Asset Management (GSAM), the asset management arm of the global investment bank, has expanded its suite of smart beta exchange-traded funds with two new “ActiveBeta” ETFs offering exposure to European and Japanese equity markets.

Goldman Sachs rolls out Europe and Japan equity ETFs

Goldman Sach’s ActiveBeta range of ETFs have amassed over $1bn in collective AUM since the suite’s first ETF launch in September 2015.

Listed on the NYSE Arca, the Goldman Sachs ActiveBeta Europe Equity ETF (GSEU) and the Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) take the firm’s ActiveBeta ETF offering to five.

GSEU seeks to track the Goldman Sachs ActiveBeta Europe Equity Index, which consists of 391 securities across 15 developed market countries. GSJY seeks to track the Goldman Sachs ActiveBeta Japan Equity Index, which is made up of 309 securities. (Figures as of 2 March 2016).

Michael Crinieri, GSAM’s Global Head of ETF Strategies, said in a statement: “The Goldman Sachs ActiveBeta Europe Equity ETF and the Goldman Sachs ActiveBeta Japan Equity ETF leverage our global expertise to deliver access to slices of the European and Japanese markets in a sophisticated yet cost-effective manner. We see continued investor interest in our existing ActiveBeta ETFs, and with the launch of GSEU and GSJY, we are even better equipped to deliver investors diversified core exposure to these key markets.”

“The expansion of our ActiveBeta suite of ETFs demonstrates our commitment to providing ETF investors with true diversification through multi-factor solutions across the globe,” added Gary Chropuvka, Head of Customized Beta Strategies within the Quantitative Investment Strategies team. “As investors continue to demand a shift away from traditional exposures, we continue to look for opportunities abroad.

“We have been following the European recovery story, which in our view may provide a growth opportunity for long-term investors, and despite recent volatility, we believe that Japanese equities may be able to offer value to the market. The additions of GSEU and GSJY to our line-up are the latest additions to the next generation of ETF investing.”

Both indices follow the ActiveBeta index construction methodology which weights constituents based on an equally-weighted average of four sub-indices, each based on one of four performance factors: value (firms are scored according to a weighted average of their book value-to-price, sales-to-price, and free cash flow-to-price ratios); momentum (firms are scored according to their volatility-adjusted daily total returns over an 11-month period ending one month before the rebalance date); quality (firms are scored according to their gross profit divided by total assets, or return on equity for financial stocks or when gross profit is not available); and volatility (firms are scored according to the inverse of the standard deviation of their daily total stock returns over the past 12 months).

As of 8 March 2016, GSEU has significant exposure to the UK (27.8%), France (16.8%), Switzerland (14.8%), and Germany (12.2%); while major sector exposures are financials (17.6%), consumer staples (16.4%), consumer discretionary (16.3%), health care (13.9%) and industrials (13.2%) sectors.

As of 8 March 2016, GSJY has significant exposure to consumer discretionary (21.7%), industrials (16.7%), financials (15.7%), consumer staples (11.1%) and information technology (10.6%) sectors.

Both ETFs have total expense ratios (TERs) of 0.25%.

GSAM entered the ETF space as an independent issuer in September last year, with the launch of the Goldman Sachs ActiveBeta US Large Cap Equity ETF (GSLC).  This was followed with the Goldman Sachs ActiveBeta Emerging Markets Equity ETF (GEM) and the Goldman Sachs ActiveBeta International Equity ETF in October and November 2015, respectively. The suite of funds has been successful, having amassed over $1bn in assets under management.

GSAM’s current list of ActiveBeta ETFs and their respective net expense ratios includes:

Goldman Sachs ActiveBeta US Large Cap Equity ETF (GSLC) (0.09%)
Goldman Sachs ActiveBeta Emerging Markets Equity ETF (GEM) (0.45%)
Goldman Sachs ActiveBeta International Equity ETF (GSIE) (0.25%)
Goldman Sachs ActiveBeta Europe Equity ETF (GSEU) (0.25%)
Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) (0.25%)

Tags: , , , , , , , , , ,

Leave a Comment