Goldman Sachs Activebeta U.S. Small Cap Equity
ALTAR
Score™
5.3% info Recommen-
dation
NEUTRAL
2019E    2020E
P/E
ratio
24.8x P/Sales
ratio
1.0x
P/BV
ratio
1.9x Div.
yield
1.9%


  • Description
  • Performance
  • Comps
  • premium Fundamentals
  • premium Valuation
  • premium Rating
The Goldman Sachs ActiveBeta U.S. Small Cap Equity ETF tracks an index of US small-cap stocks. The index equally weights four factor-based subindexes: value, momentum, quality, and low volatility.

FUND BASICS
Category US Equities
Fund Sponsor Goldman Sachs
Website www.gsam.com
Inception date Jun 28, 2017
Assets (mns) $99
Currency USD
Expense ratio 20 bp
Distributions Quarterly

FUND STRUCTURE
Regulation Open-Ended Fund
Custodian
Weighting Tiered
Index replication
Uses derivatives No
Options available No

SECTOR BREAKDOWN

 


CONSTITUENT BREAKDOWN
No. of constituents 1409
Wgt avg mkt cap (mns) $2,023
Large cap (>$10bn) 0.0%
Mid cap ($2-10bn) 43.7%
Small cap (<$2bn) 56.3%
Developed mkts 100.0%
Emerging mkts 0.0%

TOP TEN HOLDINGS
AMEDISYS INC 0.4 %
TREX COMPANY INC 0.3 %
ESSENT GROUP LTD 0.3 %
CIRRUS LOGIC INC 0.3 %
RADIAN GROUP INC 0.3 %
HAEMONETICS CORP/MASS 0.3 %
NOVOCURE LIMITED 0.3 %
DECKERS OUTDOOR CORP 0.3 %
AARON'S INC 0.3 %
MAXIMUS INC 0.3 %
Total 3.0 %

TOP COUNTRY EXPOSURE
UNITED STATES 95.3 %
BERMUDA 1.0 %
BRITAIN 0.6 %
PUERTO RICO 0.4 %
IRELAND 0.3 %
CAYMAN ISLANDS 0.2 %
CANADA 0.2 %
LUXEMBOURG 0.1 %
NETHERLANDS 0.1 %
MONACO 0.1 %

HISTORICAL PERFORMANCE info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru November 30)
Year-to-date 1 year 5 years 10 years Since Incep.
21.0% 7.7% -- -- 7.5%

Market Correlations
versus... Beta R-squared
S&P500 1.09 76%
MSCI EAFE 1.05 55%
MSCI Emg. Mkts. 0.62 31%

Technical Indicators
Recent close $46.21
30d moving avg. $45.82
Annualized volatility 16.6%
Short interest (ETF) 0.1%
Relative strength (RSI) 62

Liquidity measures
Avg. volume (thou.) 5
Turnover 0.2%
Bid/Ask (% of price) 0.24%
ADV underlying (mns) $18,627

Distributions


FINDING ALTERNATIVE FUNDS

Below is a list of 20 potential alternatives to the Goldman Sachs Activebeta U.S. Small Cap Equity ETF based on the alternatives' overlap in portfolio holdings with GSSC. Consider funds with lower expense ratios and/or higher ALTAR Score™ ratings as possible alternatives.

Benchmark ticker: GSSC Expense: 20 bp ALTAR Score™: 5.3%


ALTERNATIVE ETFs BASED ON OVERLAP WITH GSSC
Ticker Fund
Name
Overlap1
vs GSSC
(%)
Expense
ratio
(bp)
Savings
vs GSSC
(bp)
ALTAR
Score™
(%)
ALTAR
vs GSSC
(%)
IWM iShares Russell 2000 72.8 19 1 3.6 -1.8
VTWO Vanguard Russell 2000 71.9 15 5 3.6 -1.7
SPSM SPDR Portfolio Small Cap 57.6 5 15 4.8 -0.6
SCHA Schwab U.S. Small-Cap 56.8 4 16 5.0 -0.4
JPSE JPMorgan Diversified Return U.S. Small Cap Equity 54.4 29 -9 4.1 -1.2
PRFZ Invesco FTSE-RAFI Small-Mid 1500 50.9 39 -19 4.6 -0.8
IWN iShares Russell 2000 Value 49.6 24 -4 6.2 +0.9
VTWV Vanguard Russell 2000 Value 49.4 20 0 6.3 +0.9
IWO iShares Russell 2000 Growth 48.4 24 -4 0.9 -4.5
VTWG Vanguard Russell 2000 Growth 48.1 20 0 0.9 -4.5
PBSM Invesco PureBeta MSCI USA Small Cap 47.0 6 14 5.3 -0.0
IUSS Invesco Strategic US Small Company 42.1 23 -3 6.2 +0.9
SPMD SPDR Portfolio Mid Cap 41.1 5 15 6.1 +0.8
FNDA Schwab Fundamental Small Cap 40.0 25 -5 6.0 +0.7
PQSG PGIM QMA Strategic Alpha Small-Cap Growth 39.6 29 -9 1.2 -4.2
EWSC Invesco S&P Small Cap 600 Equal Weight 39.2 40 -20 3.0 -2.4
SLY SPDR S&P 600 Small Cap 38.5 15 5 5.7 +0.4
IJR iShares Core S&P Small-Cap 38.4 7 13 5.8 +0.4
ISMD Inspire Small/Mid Cap Impact 38.3 61 -41 4.6 -0.7
VIOO Vanguard S&P Small-Cap 600 38.2 15 5 5.8 +0.4

1Overlap is the percentage of holdings by weight that are identical. For example, if Fund A has a 2% position in Apple, Inc. (AAPL) and Fund B has a 5% position, their overlapping position in AAPL is 2%.

Content on this tab for subscribers only**

RESULTS & ESTIMATES

  2014 2015 2016 2017 2018 2019E 2020E
Sales per share ** ** ** ** ** ** **
Earnings per share ** ** ** ** ** ** **
Dividends per share info ** ** ** ** ** ** **
Book value per share ** ** ** ** ** ** **

 

Sales per share growth   **% **% **% **% **% **%
EPS growth   **% **% **% **% **% **%

Sales per share growth   **% **% **% **% **% **%
EPS growth   **% **% **% **% **% **%

OTHER FUNDAMENTAL METRICS

Long term EPS growth est. **%   Debt-to-equity **x
Asset turnover **%   Assets-to-equity **x

Return on equity

Revision activity*
*Six months ago = 100

Net margins

Compound annual growth rates

Content on this tab for subscribers only

VALUATION METRICS
  2018 2019E 2020E
Price-to-sales ** ** **
Price-to-earnings ** ** **
Price-to-cash flow ** ** **
Price-to-growth ** ** **
Price-to-book value ** ** **
Yield ** ** **

Historical valuation trends

Forward
multiple:
Goldman Sachs Activebeta U.S. Small Cap Equity
Relative
to:
S&P500 MSCI EAFE MSCI Emg. Mkts. Other ETF:

NEUTRAL

Average appreciation potential. A rating of NEUTRAL is assigned to ETFs with ALTAR Scores in the middle quintile (ranking between 40%-60%) of their category. This indicates that valuations adequately reflect the fundamentals of stocks in these funds.

ALTAR Score™


Calculation of ALTAR Score™
Avg. Return on Equity 9.9 %
Divided by: Fwd. P/BV 1.8 x
Less: Expense ratio 20 bp
Equals: ALTAR Score 5.3 %
info More information on ALTAR Score™

MODERN PORTFOLIO THEORY info

CONSENSUS RECOMMENDATIONS: FUND CONSTITUENTS
COMPOSITE
RATING
1.57 CATEGORY
AVERAGE
1.56
 
The composite rating is a weighted average of analysts' consensus recommendations for individual ETF constituents, based on the following scale:

BUY = 1; OVERWEIGHT = 1.5, HOLD = 2; UNDERWEIGHT = 2.5; and SELL = 3.

Readers are cautioned that because analyst ratings tend to be inflated, the composite score may be more useful as a relative measure of sentiment between funds rather than as a stand-alone recommendation.
 

 

See RATING tab for calculation of ALTAR Score™
Risk & reward. Uses std. dev. as proxy for risk, ALTAR Score™ for return forecast.
Dividends paid by constituents to the fund. May differ from actual distributions to shareholders due to constituent changes, timing issues or other factors.
Monthly returns based on changes in price plus dividends. May differ from daily returns reported by funds. See below for standardized returns.