Goldman’s newly filed fund will join a handful of other hedge fund-replication ETFs already in the space. The Global X Guru Index ETF (NYSEArca: GURU) includes high conviction picks taken from a select pool of hedge fund 13F information. The Global X Guru Activist Index ETF (NasdaqGS: ACTX) takes the guru ETF concept a step further by focusing on companies where an activist investor, such as Bill Ackman or Carl Icahn, is angling for change. Additionally, the AlphaClone Alternative Alpha ETF (NYSEArca: ALFA) is another option to track hedge fund picks, utilizes a “Clone Score” methodology to pick alpha, or outperformance, potential from institutional-sized investors.
Furthermore, the SEC filing also included the Goldman Sachs High Sharpe Ratio ETF, which will try to reflect the performance of the Goldman Sachs High Sharpe Ratio Index. The ETF will follow U.S. large-caps with the highest projected Sharpe ratio, which is calculated by dividing the consensus prospective price return by the volatility during the upcoming six months as implied by the options market. Components are weighted by descending prospective Sharpe ratio.
The Sharpe ratio is a measure for calculating risk-adjusted returns. A high Sharpe ratio would indicate more attractive risk-adjusted returns while a zero reading would reflect a low-risk investment, such as U.S. Treasuries.
Both of the newly filed Goldman Sachs ETFs will trade on the NYSE Arca exchange but no tickers or expense ratios were provided.
Financial advisors who are interested in learning more about Goldman Sachs ETF strategies can register for the March 2 webcast, Goldman Sachs Asset Management: Market View with ActiveBeta ETFs.
Max Chen contributed to this article.