PIP REVIEWS p r i va t e & i n s t i t u t i o n a l p o r t f o l i o
ETF REVIEW 2011
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Contents 1.
Managing Market Risk–Did Fund Managers Learn Their Lesson From the Recent Crisis? Lipper
2.
ETFs for Professionals EasyETF, BNP Paribas
3. Time to Invest in Commodities ETFs EasyETF, BNP Paribas Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds
4.
iShares BlackRock 5.
Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR Commerzbank
6.
The Fundamental Difference: PowerShares FTSE RAFI ETFs Invesco Powershares
7.
Maximum Drawdown as Risk Measure for Assessment of Extreme Losses AVANA Invest
8.
Performance Calculations for iShares ETFs iShares BlackRock
9.
ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds
German Article
UBS
Managing Market Risk–Did Fund Managers Learn their Lesson from the Recent Crisis? Lipper
In the last decade investors and fund managers faced two major
average return of the analyzed funds was below the market
crises in the stock markets, both with drawdowns around 50% on
average. As seen in the graph below the analyzed funds showed
average. These losses in their portfolios led investors to question
much lower variation compared to the market benchmark during
whether and what their fund managers learned from these
the second period (January 1, 2006–December 31, 2010).
periods. To answer this question Lipper and Avana Invest GmbH ran a study on the maximum drawdown of actively managed
These findings lead to the assumption that the asset managers
funds registered for sale in Germany that invest in Asia/Pacific,
tightened the risk budgets of the funds and gave the fund
Europe, and North America as well as globally. To analyze the
managers stricter guidelines in terms of acceptable risks they
behavior of actively managed funds in terms of the maximum
could use to outperform the benchmarks. As a result of these new
drawdown of funds, the study covered two different periods.
paradigms, fund managers started to hug their benchmarks even
The first period was during the bursting of the technology bubble
more closely during the negative market periods. Since the risk of
(January 1, 2001–December 31, 2005), while the second period
funds is in general measured against their respective benchmark,
was the financial crisis (January 1, 2006–December 31, 2010).
this kind of behavior covers the position of the fund manager by protecting him from unexpected risks. Even though this behavior
The study showed that the markets, measured by the movements
seems to be common sense, this kind of risk assumption within
of the broad market indices, exhibited similar drawdowns in
today’s risk management approach does not always fit the
the different regions during both periods. This result, generally
needs of investors; they are looking for risk-adjusted returns and
speaking, was not surprising, since risky assets tend to narrow
managers who can preserve their wealth in absolute instead of
their correlations and therefore move in the same direction
relative terms.
during such periods. Opposite of the markets, the analyzed funds showed a different behavior over the periods. Since the general
From my perspective the asset management industry has to
results in the different regions showed the same picture, one
better follow the needs of investors and start to use the, in some
needs to look at only one of the fund categories to estimate what
cases, endless opportunities given by their investment guidelines
was happening in the other regions. For this reason all of the
(the fund prospectus) very actively; otherwise, investors may
mentioned results are based on the peer group Equity Europe.
start to allocate even more money to pure-beta instruments
During the first period (January 1, 2001–December 31, 2005) a
such as exchange-traded funds (ETFs). To achieve these goals
number of actively managed funds in the Equity Europe category
fund managers need to use all allowable opportunities of their
showed much smaller losses than the markets did, but because
investment guidelines and seek superior returns by using multiple
other funds showed much higher losses than the markets, the
asset classes for their allocations. In other words, fund managers
Managing Market Risk–Did Fund Managers Learn their Lesson From the Recent Crisis?
need to become more active instead of focusing solely on their benchmark during negative market scenarios.
Drawdown of Active Managed Mutual Funds (blue) versus the MSCI Europe TR EUR (orange)
ETFs for Professionals EasyETF, BNP Paribas
In April 2009, Europe surpassed the United States in terms of the
Clarity of choice
number of its ETFs, and the pace of development has not slowed
Today, the EasyETF range covers a total of 48 trackers across
since. With 1,154 ETFs and 3,954 listings on 23 exchanges,
all asset classes. The product range provides a comprehensive
European ETF providers managed USD 318 billion as at the end of
product and strategy choice for our investors:
May 2011 and had more than 1 000 new products in the pipeline for the European market1 . Competitive pressure has led many
ETF providers into a constant flow of new product launches and
series of broad market ETFs tracking the US, European, Asian
the need for differentiation has engendered the development of
and emerging markets. Our sector products (Stoxx Europe 600
many small niche markets. Even so, assets remain concentrated
sectors) allow targeted allocation within European sectors.
Country and geographic equities - THEAM offers a
in ETFs referenced to the main market indices, and the high level of niche innovation may simply be complicating matters for
investors, who are increasingly demanding a return to simplicity
rated European sovereign bonds with different duration. The
and quality.
EuroMTS Fed Funds index (synthetically replicated) provides
With the creation of THEAM, resulting from the merger of BNP
access to the US money market. Investors can take credit spread
Paribas Asset Management’s SIGMA teams and Harewood
exposure through the iTraxx series. The EasyETF iBoxx Liquid
Asset Management, BNP Paribas had the opportunity to adapt
Sovereigns Global fully replicates Markit’s index, comprising 30
its ETF strategy to meet these new market challenges and to fit
investment grade eurozone sovereign bonds.
Fixed income -The iBoxx index series focuses on highly
the EasyETF range within the global product range it offers its clients.
THEAM is an investment specialist offering investment solutions
GSCI Indices, with different weightings across five commodities
across all asset classes, from pure and enhanced beta to alpha
segments. While EasyETF S&P GSCI Ultra Light Energy has a
products. With EasyETF, THEAM provides investors with liquid
reduced weighting in energy, EasyETF S&P Light Energy Dynamic
investment instruments, allowing easy and reactive exposure to
replicates an optimised index that dynamically adjusts the
broad market benchmarks.
monthly roll of futures. EasyETF S&P GSCI Capped Commodities
Commodities - Our commodities range covers three S&P
35/20 was the first commodities ETF launched worldwide, back in 2005. Today, its assets amount to USD 794 million3.
ETFs for Professionals
Thematic - THEAM offers ETFs linked to alternative asset
Finally, there is the ongoing debate between providers who offer
classes such as real estate, infrastructure and environmental
synthetic replication and those providing physical replication.
opportunities. The EasyETF FTSE EPRA Eurozone offers access
THEAM believes that each of these techniques has its benefits
to listed real estate stocks across different sectors (residential,
and constraints. Full replication is a simple and highly transparent
industrial and offices, diversified, etc.) and enables investors
method. Yet, when dealing with some difficult-to-access asset
to benefit from this growing sector with a single, cost-efficient
classes, or indices with a large number of underlying components,
investment.
synthetic replication presents benefits: i) easy access to exotic markets; ii) low tracking error; iii) cost efficiency. However,
In search of performance and quality
investors should note that synthetic replication induces a specific
THEAM has an institutional client base and is fully aware of the
counterparty risk.
quality requirements of such sophisticated investors, who seek only sound marketing arguments when judging products.
Depending on the characteristics of the index, THEAM will select
For example, we are currently witnessing a marketing war in
the optimal technique for its ETF. At THEAM, it is targeted that
terms of management fee levels. Yet total costs are not limited to
50% of the ETF assets are replicated in full and 50% are replicated
the ETF management fees as almost all providers draw revenues
synthetically. Thanks to our long experience and expertise in index
from other sources, such as swap margins or securities lending.
and derivatives instruments, we aim to adopt a more balanced
THEAM’s track record reflects the fund manager’s continuous
approach.
efforts to optimise different sources of returns, e.g. fiscal dividend optimisation and on its swap-based product range, the open-
Backed by BNP Paribas’ rigorous risk management
architecture structure, which ensures real competitive bidding.
techniques
Liquidity is also important for investors, but they can sometimes
With increasing use of synthetic replication in the market,
be confused as to the measure of liquidity. When creating an
regulators have recently raised concerns over ETFs that use
ETF, THEAM ensures that the underlying index is sufficiently
derivatives, mainly around the collateral arrangement and swaps
diversified and that the index components have good liquidity.
counterparty risk.
As long as the underlying stocks are liquid, the liquidity of the ETF will be ensured, thanks to the primary creation and redemption
EasyETF is established under the UCITS III framework to ensure
mechanism.
investors are offered a transparent and diversified investment portfolio. When implementing synthetic replication, THEAM
In secondary market trading, market makers also play an
will only hold quality assets in the fund, e.g. large cap European
important role as to liquidity. THEAM works with 20 market
equities or minimum AA- rated money market instruments. The
makers and authorised participants in the market on a multi-
derivatives exposure and diversification rules are in line with the
market maker model, which ensures market liquidity and a tight
UCITS III guidelines, e.g. exposure to a single counterparty may
bid-offer spread on the ETFs.
not exceed 10% of the fund’s assets. To mitigate counterparty risk, swaps contracts are concluded only with eligible counterparties
ETFs for Professionals
that satisfy BNP Paribas Investment Partners’ risk requirements. THEAM favours an open-architecture swap bidding process so as to reduce transaction costs and counterparty risk. EasyETF synthetic ETFs benefit from the THEAM structuring team’s expertise in obtaining the best market conditions for their swaps in terms of price, credit risk and quality of service. Additional swap features, such as early termination options for all synthetic ETFs and over-collateralisation for our credit and commodities ETF range, have been implemented with the intention of further reducing counterparty risk.
ETFs using full replication also benefit from rigorous risk management with the use of internal and external tools (pre-trade system, corporate action analysis, tracking error calculations, etc.). Securities lending activity is closely monitored by BNP Paribas Investment Partners’ risk department and all lending transactions are fully collateralised.
Conclusion As the ETF market matures, investors are becoming more demanding, increasingly seeking quality ETF products in terms of performance, cost and transparency. THEAM’s business model offers a wide selection of EasyETF products, each carefully designed to enable investors to build their portfolio in an efficient and cost effective way. Apart from the EasyETF platform, THEAM also provides other index solutions, including index funds, customised mandates and advisory services.
This material is issued and has been prepared by BNP Paribas Investment Partners UK Limited (“BNPP IP UK”)*, of 5 Aldermanbury Square, London EC2V 7BP a member of BNP Paribas Investment Partners (BNPP IP)** . This material is produced for information purposes only and does not constitute: 1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or 2. any investment advice. This material makes reference to certain financial instruments (the “Financial Instrument(s)”) authorised and regulated in its/their jurisdiction(s) of incorporation including reference to swap based or synthetic Exchange Traded Funds (ETFs). It should be noted that unlike physical ETFs, which own all or a portion of the instruments whose performance they track, synthetic ETFs may hold none of the underlying components. Swap based on synthetic ETFs gain their exposure to the underlying components by entering into swap contracts with investment banks greatly increasing the counterparty risk of the product. Investors should understand that if the Investment Bank which is party to the swap contract fails then the original capital invested is at risk. Both physical and swap based or synthetic ETFs are also subject to other types of risks including currency risk and are only promoted to professional investors because of these and other risk factors. No action has been taken which would permit the public offering of the Financial Instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus, offering document or any other information material, as applicable, of the relevant Financial Instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such Financial Instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the Financial Instrument(s). Investors considering subscribing for the Financial Instrument(s) should read carefully the most recent prospectus, offering document or other information material and consult the Financial Instrument(s)’ most recent financial reports. The prospectus, offering document or other information of the Financial Instrument(s) are available from your local BNPP IP correspondents, if any, or from the entities marketing the Financial Instrument(s). Opinions included in this material constitute the judgment of BNPP IP UK at the time specified and may be subject to change without notice. BNPP IP UK is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the Financial Instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for a client or prospective client’s investment portfolio. Given the economic and market risks, there can be no assurance that the Financial Instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the Financial Instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to the Financial Instruments may have a significant effect on the results portrayed in this material. Past performance is not a guide to future performance and the value of the investments in Financial Instrument(s) may go down as well as up. Investors may not get back the amount they originally invested. The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes. This document is directed only at person(s) who have professional experience in matters relating to investments (“relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Services Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents.
Time to Invest in Commodities ETFs EasyETF, BNP Paribas Why commodities?
market benchmarks. Within the index family are various sub-
Commodities ETFs have enjoyed impressive popularity in recent
indices with different weightings and strategy.
years, reaching USD 54.3 bn in May 2011, up 112% since 2009. The EasyETF S&P GSCI Capped Commodities 35/20 is the only Commodities have the potential advantage of being lowly
ETF tracking a capped version of the S&P GSCI TR Index, and
correlated to traditional asset classes such as equities and bonds.
the cap on oil securities allows it to fulfil UCITS III diversification
Over the long term, commodities canoffer a risk/return profile
requirements.
comparable to equities adding them to a portfolio may improve its risk/return ratio. Indeed, there is a strong relationship between
This ETF gives investors access to an index performance that is
commodities and inflation, as raw materials prices contribute
highly correlated to the energy market, yet with reduced volatility
to inflation. Empirical evidence shows that, in periods of high
compared to oil futures investments.
inflation, commodities have been the best performing asset class. Even with low inflation, commodities can still produce bond-like
The EasyETF S&P GSCI Light Energy Dynamic has a reduced weight
returns.
in energy and incorporates a dynamic forward strategy, while the EasyETF S&P GSCI Ultra Light Energy contains a balanced
The main benefits for investors incorporating commodities into
weighting among the five commodities sectors, and thus a higher
their portfolio are diversification and as a hedge against inflation.
representation on the agriculture and metals sectors.
Benefits of a commodities ETF The main benefits of investing in a commodities ETF is that it offers beta exposure to this asset class with a low transaction cost. Commodities ETFs are liquid, can be traded instantly and, unlike certificates, which are nowadays the main products used to gain exposure to cross-commodities, “UCITS compliant” commodities ETFs have limited counterparty risk. Risk exposure to a single counterparty may not exceed 10% of the fund’s assets.
The EasyETF commodity range uses S&P GSCI indices, which are the best known for liquidity and are representative commodities
Time to Invest in Commodities ETFs
Replicating the indices THEAM believes that synthetic replication is the most appropriate method for these commodities ETFs, based on the fact that it provides efficient replication, low tracking error and cost optimisation. The funds invest in money market instruments (AA minimum rating, duration around three months) and swap their performance against that of the underlying index. Swaps are concluded through an open-architecture bidding process. This competitive bid mechanism allows us to obtain wherever possible best market conditions for our swaps in terms of price, counterparty risk and quality of service. In addition to the UCITS III product regulation, THEAM has developed a strict internal risk monitoring and control system. The ETFs only conclude swaps with counterparties approved by BNPP IP’s global risk department and fund managers can reset and terminate swap contracts at any time (early termination option). Finally, swaps are overcollateralised with money market instruments (AA minimum rating, duration around three months).
Conclusion Entering the second semester of 2011 with all the uncertainty surrounding global economic growth, the eurozone and US debt crisis, analysis suggests that there may be greater volatility in the equity and bond markets and that inflation may remain an issue in certain emerging markets. In such an environment, commodities investments appear a good alternative, and we believe commodities ETFs offer investors convenient, costeffective solutions in this area. Easy ETF - BNP Paribas Margot Pages - margot.pages@bnpparibas.com Tel : + 33 1 58 97 16 09
Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds iShares BlackRock Executive summary
Introduction
Post the 2008 global credit crisis the success of the Emerging
With the continuing growth of the ETF market, more corners of
Markets story has been the focus of much commentary. With
the investment world are now accessible via a single security. In
economic growth rates in these countries continuing to be above
particular with the recent launch of the iShares Barclays Capital
that of the developed world, it is entirely understandable that
Emerging Markets Local Government Bond, one can gain access
investors continue to look towards these markets in increasing
to the eight largest and most liquid emerging market local
numbers. The noticeably higher yields offered by these bonds
government bond markets. This ETF directly invests in the physical
is the key feature that attracts investors, but in light of the fact
bonds, and aims to track the Barclays Capital Emerging Markets
that the cash flows are denominated in the local currency, this
Local Currency Core Government Index. The index comprises
exposes the investor to currency risk.
approximately 100 fixed-rate local currency government bonds across eight countries and three regions. The amount outstanding
Generally when investing in bonds, one finds that the real rate
of the bonds in the index is US$508bn as at 28 February 2011.
of return is eroded by the onset of inflation, but when investing in local currency bonds should one be equally concerned about
iShares is now offering the investor the opportunity to invest
rising inflation? In other words, how does the rate of inflation
in either an ETF comprising USD-denominated EM government
in each local country impact the ETF’s short- or long-term
bonds or one that entirely consists of government bonds
performance?
denominated in the local currency. The question which arises is, what are the key differences and risk factors of these two
We examine the historical relationship between the local
investment vehicles? For example, how do the risk factors of this
currency exchange rates as measured against the dollar and
particular emerging market bond ETF compare to the exposures
the level of inflation prevalent in the countries issuing the
that an investor bears when taking a position in the iShares
government debt. We find there is a significant relationship
JPMorgan $ Emerging Markets Bond ETF? This research article
between these FX rates and the level of inflation, which can be
examines the key aspects of what an investor needs to consider
loosely explained by the rate setting policies of the local central
when accessing the emerging market local currency government
banks. While the onset of inflation can unduly affect the FX
bond market.
cross-rate against the dollar, the impact is not one-directional, and for a long-term investor offers the possibility that the impact
What makes this product attractive?
on returns could cancel out.
Compared to the yields in other fixed income areas, be it developed market government or investment-grade corporate
Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds
bonds, the yields of the emerging markets local currency bonds seem very attractive. The only comparative yields in developed markets are those of high yield bonds. On top of that, there is the potential of further economic growth in emerging markets which could lead to an increase in bond prices in local currency and to the currencies appreciating against the dollar. These factors combined make this a very attractive market.
Attractive yields The table below has a breakdown of the yields of the different countries of the underlying index. The yields vary widely from country to country with Brazil currently the highest at 12.3% and Malaysia currently the lowest at 3.7%. The overall yield at 7.8% is still very attractive for an investor in the developed world.
Strong performance historically The performance in emerging market local currency bonds has been quite high in recent years. While one may not expect the very high returns of the year 2009 of more than 21% in the future, the market seems still attractive. The returns will depend on two main factors: 1. the returns of bond prices in the local market and 2. the appreciation/depreciation of the local currency compared
to the dollar.
With the flight to quality during the global financial crisis, the dollar appreciated significantly compared to most other currencies. The local currency bonds, while performing not too badly in their local currencies, did not perform very well in the In comparison to that, Table 2 has a breakdown of the current yield to maturities and the modified durations of other fixed income indices. One can see that the only other areas in fixed income with similar yields are in the developed markets corporate high yield bond market and the emerging markets USD-denominated bond market. While the correlations between these three indices are fairly high, the risk factors are different. This makes the emerging markets local currency bond ETF a very attractive product as a conservative allocation to the ETF should provide enhanced returns and diversification within a portfolio
second half of 2008 when converted into dollars.
Potential currency appreciation During the global financial crisis, due to the flight to safety and the dollar gaining in value, the local currencies have depreciated significantly. The returns of the index reflect this very well.
If the currency appreciation persists, and there are some fundamentals that indicate a further appreciation, then the performance could indeed remain attractive.
Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds
To be able to compare the returns of USD-denominated and local
A third reason for a potential currency appreciation lies in the
currency bonds for a longer history, we have plotted the returns of
favourable demographics of emerging market countries.
the JPMorgan emerging markets indices, both for local currency-
Developed economies often have a rising proportion of people
denominated bonds (JPMorgan GBI-EM Local Government Index)
aged 65 or over. In emerging market countries, on the other
and USD-denominated bonds (JPMorgan $ EM Core Bond Index).
hand, the working age adults are at a relatively high proportion
The returns are similar, but still somewhat different. Both indices
and many young people are entering the workforce in the coming
have had a strong performance except for the global financial
years. With a growing workforce and a growing number of
crisis and while some of the peaks and troughs are very similar,
consumers, emerging market countries should achieve additional
there are also differences. In fact for the early part of 2011, the
GDP growth.
local currency index has appreciated while the USD-denominated index has produced negative returns.
One should, of course, not forget that currency appreciation or depreciation can, to some extent, be controlled by central banks.
When looking at the fundamentals of emerging market countries
Some of the emerging market countries have already started in
compared to developed countries, there is potential for the
tackling high capital inflows. This can be done in various different
emerging currencies to appreciate against the dollar. This is
ways. Brazil, at the time of writing, has increased its so-called IOF
one of the benefits of the emerging market local currency bond
tax on foreign investments of fixed income products to 6%, thus
market. In the following, we highlight some of the fundamentals
trying to prevent an increase in capital inflow which can appreciate
that could drive that currency appreciation.
the currency against the dollar. Indonesia is imposing capital gains and withholding tax of 20% and Poland has introduced a
Firstly, most of the emerging market countries have a very strong
withholding tax of 10%.
balance sheet. Lower debt levels mean that a more flexible monetary policy can be applied in response to the global financial
Correlation to other asset classes
crisis. For many of the developed countries, with relatively high
From Table 3, one can see that the Barclays Capital Emerging
levels of debt, this is not so easily the case.
Markets Local Currency Core Government Index is more
A second reason for emerging currencies to appreciate against
correlated with equities than with fixed income. It is also fairly
the dollar is their higher purchasing power in dollars. As we can
highly correlated to our two other high yielding fixed income
see from the graph below, developed countries tend to have a
ETFs, namely the USD-denominated emerging markets bonds and
purchasing power at or below their exchange rate. For emerging
the Euro high yield bonds. Nevertheless, this new ETF provides a
market countries, on the other hand, the purchasing power may
new opportunity set with a different combination of risk factors.
significantly exceed that of par. As emerging market countries
One should bear in mind that the correlations are calculated
grow in productivity, the purchasing power of the dollar in those
from the index inception date, which is 30 June 2008. It therefore
countries is likely to decline, resulting in an appreciation of their
covers the global financial crisis, where the correlations between
local currencies against the dollar.
nearly all assets were much higher.
Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds
Woe betide inflation Historically inflation has been one of the major concerns for investors in the emerging market bond sector. In the past, hyperinflation has had the capacity to destroy an economy and its ability to meet its debt repayments.
In this section we examine the relationship between consumer price inflation on a 12-month rolling window basis and the appreciation of the dollar relative to the local currency. The increase in the issuance of local currency debt has been a recent feature of emerging markets and by its very nature helps to avoid the problem that beset the markets in the past. This is in contrast to the case of Mexico and Brazil in the mid 1980s to mid 1990s, when an over-abundance of USD-denominated bond issuance led to a subsequent devaluation of their currencies.
To keep hold of the big picture it is worth looking at Table 4 which shows the defaults per country since the early 1800s or since the country’s independence.
iShares Dr. Andreas Zingg Leiter Vertrieb Deutschschweiz - iShares andreas.zingg@blackrock.com +41 44 297 7340 Mathieu Vinson Distribution Romandie & Ticino - iShares mathieu.vinson@blackrock.com +41 44 297 7344
Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR Commerzbank
Commodities are an important component of any well-structured
effective in just one fund. It is always a selected index that forms
investment portfolio. They provide income opportunities that
the basis for an ETF.
are largely independent of the development of traditional asset classes.
ComStage ETF is based on the Commerzbank Commodity EW Index TR which is made up of 16 important commodities. It
The diversity of the commodities market
reflects the performance of 16 futures contracts which are traded
Commodities accompany our everyday lives in many different
on the stock exchange plus the interest component.
ways. Without commodities modern life would be unimaginable. While metals and energy commodities are a vital part for many areas of the industry, agricultural commodities feed the world. However, they are increasingly also used for the production of energy. The increasing demand, especially from China, India and other emerging nations, has been making commodity prices grow for years. Resources that are becoming increasingly scarce due to the continuously growing world population make the commodity sector a promising asset class.
ComStage ETF Commerzbank Commodity EW Index TR While industrial investors have been focusing on the commodity asset class for years, now, large interest from private investors can also be increasingly observed. Not least of all from utilising Exchanged Traded Funds (ETFs), such as the ComStage ETF Commerzbank Commodity EW Index TR (ComStage ETF), instiÂŹtutional investors and also private investors can reflect the global commodity market comfortably and particularly cost-
Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR
Compared to known commodity indices, such as the S&P GSCI
four commodity values which are initially represented with 6.25%
TR, the ComStage ETF Commerzbank Commodity EW Index
each in the index. The index is reviewed twice a year on defined
TR attaches great importance to the balance of the included
adjustment days and the initial weighting of 6.25% for each index
commodity sectors. The four sectors (energy, agriculture,
component is restored (rebalancing). As a result, imbalances
industrial metals and precious metals) are initially represented
which incur due to the price development of the individual
with 25% each in the index and therefore equally weighted (EW =
commodity sectors during the term are adjusted.
equally weighted). Each of the four sectors in turn is composed of
Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR
Commodities to the Securities Account
included in every securities account. From the capital market
More and more investors use the opportunity to set up a broader
theory, it is known that only a wide diversification into several
spectrum for their portfolio by adding the commodity asset class.
asset classes reduces the risk of a portfolio or alternatively, with
Historically, commodities show a slightly negative correlation
the same risk, the expected overall yield can be increased.
or no correlation compared to bonds and shares (see table). For reasons of diversification, commodities should therefore be
Protection against inflation The addition of commodities to a security portfolio is a method that has been proven in the past for securing assets against inflation. Evidentially, high commodity prices represent an important cause for inflation. Increasing commodity prices have a direct impact on the costs of producers who, in return, transfer these costs to consumers. Especially the recent past has clearly shown that increasing energy prices result in higher inflation.
Commodities have managed to establish themselves as an asset class during the past few years. We have learnt that commodities significantly contribute to optimizing the risk-return potential in context with a diversified portfolio. The concept of the ComStage ETF Commodity Index with its equally weighted 16 commodity segments is a promising and cost effective option for a long-term engagement in the commodity market.
The Fundamental Difference PowerShares FTSE RAFI ETFs Invesco Powershares
If you were planning a long trip would you choose a vehicle from
based on portfolio weightings obtained by company fundamentals
1957 or a super accessorised berlina 2009? Would you prefer to
(sales, net assets, cash flow and dividends) and not on portfolio
watch your team in the Champions League Final on a television
weightings determined by market valuation inefficiencies.
from 1957 or on a new generation, high definition TV? Fundamentally weighted indexes measure the real value of every Except for vintage cars fans and maybe those nostalgic, the
company using variable fundamentals that are not subject to
replies would probably be discounted. But it is not like this in
market price fluctuations. Furthermore the performances are
the field of the main share market benchmarks. Most of them
influenced only in a minor measure by the financial “bubbles”
were in fact set up in the sixties and seventies starting with
and help avoid overweighting overvalued securities, an operation
S&P500. This was introduced in 1957, used the most advanced
that constitutes a potential defect of market capitalisation
technology then available and was the first market capitalisation
indexes. FTSE RAFI indexes in particular offer the advantages of a
weighted index: since then the investor community has adopted
qualitative management strategy together with the key elements
the market capitalisation weighting methodology which is the
of a passive investment: minor rotation costs, transparent
basis for nearly every index, as well as those concerning indexed
selection based on precise rules and maintenance of increased
funds and ETF (exchange- traded fund), available. The point is
investment capacity.
that this methodology which seems to be obsolete and surpassed by the actual technology and extraordinary progress achieved in
The RAFI (Research Affiliates) methodology does not look for the
the financial markets is the source of problems. This is because
target price of securities that compose the indexes but rather the
market speculation can cause significant share price distortion
exact value obtained based on main balance sheet values that
(mispricing) that consists in overweighting overvalued shares and
have been weighted for the last 5 years and, after 12 months»,
underweighting those undervalued. A sensational example of
says Thibaud de Cherisey, European ETF Development Director
such a phenomenon was seen during the dotcom bubble of 1999-
Invesco PowerShares. “This systematic approach avoids excessive
2000 when Internet operating companies influenced market
exposure to more overvalued securities guaranteeing similar
capitalisations with index weightings of many exceeding the
liquidity to that of capitalisation weighted indexes.” Based on
value of consolidated companies. The solution to these problems
the analysis that RAFI has conducted, rigorously applying the
is found in fundamentally weighted indexes. These constitute a
fundamentals indexes method from 1985 to date, it has come to
substantial evolution compared to the preceding benchmarks
light that the extra yield obtainable from traditional indexes that
that measure index weights based on the real financial size of a
adopt the capitalisation method is between 2% and 4% annually
company and not on its market capitalisation. Such indexes are
underlines Mr de Cherisey. Results that tend to increase relative
The Fundamental Difference: PowerShares FTSE RAFI ETFs
to less efficient markets like the international small caps segment (where estimated added value is around 5%) and Stock Markets in Emerging Countries (for which the expected extra performance exceeds 10 percentage points).
FTSE RAFI Index series features
FTSE RAFI indices offer the advantages of a quantitative
active management strategy with the highlights of passive investment: lower turnover costs and transparent rules-based selection, whilst retaining high investment capacity.
By using fundamental factors rather than prices to
weight stocks, reviews of the FTSE RAFI Indices take advantage of price movements by reducing the index’s holdings in constituents whose prices have risen relative to other constituents, and increasing holdings in companies whose prices have fallen behind. This is effectively a buy-low, sell-high strategy.
Fundamentals weighting does not increase exposure to
high P/E stocks during episodes of unsustainable P/E expansion. It therefore avoids over-exposure to the more overvalued stocks.
Similar liquidity and capacity to market-cap weighted
indices and superior mean-variance portfolio construction.
Maximum Drawdown as Risk Measure for Assessment of Extreme Losses AVANA Invest
Judging the success of an investment is sensible only through
One of the most common representatives of downside measure is
the combined analysis of returns and the assumed risk. While
the Value-at-Risk (VaR). It describes the maximum loss that will not
the determination of returns is unproblematic, there is1 in
be exceeded within a specified period of time and with specified
science and practice a lively dispute about the appropriate risk
probability. Since it is assumed however, that losses that exceed
measure.
the VaR are completely irrelevant to the investor, this measure is very controversial. It is precisely such extreme losses, investors
Since the birth of modern portfolio theory, symmetrical figures,
try to protect themselves from. Often, it is the assumption of
which define risk as variability of returns, are mostly used in both
normal distribution of returns that leads to the probability of large
theory and practice. Volatility and variance are the best known
losses being underestimated. Also the Expected shortfall (ES) as
representatives of this form.2 However, a major criticism of these
an evolution of the VaR, makes the unrealistic assumption that all
measures of dispersion is that they do not always reflect the actual
the losses exceeding VaR, regardless of their actual magnitude,
risk perceived by investors. This is due to a lack of differentiation
are seen as equal by the investor and can therefore be described
between positive and negative deviations from the reference
by expected value. For a meaningful evaluation of risk we need
(mean), so even above-average returns will be punished with a
a measure that is both intuitive and easy to understand and that
poorer measure of risk. Investors however, assess the upside
realistically reflects the asymmetric risk perception of investors.
differently than the downside, in that they fear large losses of their assets or that they attempt to minimize the uncertainty of
Maximum Drawdown, meets these criteria and has considerably
the investment.3 Therefore, any realistic way of measuring risk
higher relevance for hedging against large risks than the VaR or
should be asymmetric.4
ES.6 Under a Drawdown we understand the cumulative loss from a previous peak to subsequent low. It therefore describes the
This problem is addressed by the group of downside risk measures
maximum percentage loss to the investor that bought (at peak)
that measure only the unfavorable deviations from a reference
and sold (at trough) in the least favorable time.
value (zero line, mean or minimum return) as a risk. As long as no assumptions are made about the shape of the distribution
The Maximum Drawdown is the greatest of all these drawdowns
of returns, the results are meaningful also for returns that are
and thus the observed worst-case scenario. This measure has
not normally distributed. Particularly for extreme events, such as
considerable importance for all groups of investors who want to
sharp price declines, the returns do not follow normal distribution
avoid large losses. Such investors include a large proportion of
and have a high concentration of strongly negative returns (fat
institutional investors, e.g. insurance companies, foundations and
tails).5
pension funds. These groups usually work with venture capital,
Maximum Drawdown as Risk Measure for Assessment of Extreme Losses
with defined maximum tolerated loss after which the investment
The following figure shows the Drawdown concept on the example
must be liquidated. The Maximum Drawdown gives them a
of STOXX Europe 600 TR. The area A marks the drawdown of 9.5%.
realistic picture of the potential loss.
The second area B marks significantly higher drawdown (58%) which is the also the maximum drawdown for the observation period,7 with -1.9% return p.a. and the annualized volatility of 24.0%. The investor could in the worst case lose 58% of his assets.
700
650
600
B
550
500
A
450
400
350
300
250
200 Jan 06
Jul 06
Jan 07
Jul 07
Jan 08
Jul 08
Jan 09
Jul 09
Jan 10
Jul 10
Using Drawdowns, over time, the risk of loss can be more easily
drawdown for the MSCI Emerging Markets TR is higher and also
determined and compared between investments than from a
lasts longer.
price chart. A drawdown has a negative sign and progresses starting from the zero line downward to its maximum, up to its completion, the zero line again. Thus, the duration of drawdowns can also be assessed.
The following figure compares the
drawdown of the STOXX 600 TR Europe with the MSCI Emerging Markets TR. As shown by the two red marks in the example, the
Maximum Drawdown as Risk Measure for Assessment of Extreme Losses
Jan 06
Jul 06
Jan 07
Jul 07
Jan 08
Jul 08
Jan 09
Jul 09
Jan 10
Jul 10
0%
-10%
-20%
-30%
-40%
-50%
-60%
-70% Drawdown STOXX Europe 600 TR
Drawdown MSCI Emerging Markets
Figure 2: Drawdown graphics for STOXX Europe 600 TR and MSCI Emerging Markets TR
The maximum drawdown is independent from assumptions of
Rather than uncritically using the common risk and performance
return distribution and implicitly captures serial correlation in
measures, investors should first examine how these measures
returns. Since it is not defined over any fixed time period, there is
actually reflect their view of risk and loss tolerance. Sometimes the
no susceptibility to the duration of drawdowns, as long as the time
consideration of further measures provides important additional
intervals selected are not too short.8 When used for optimization
information. The Maximum Drawdown represents value that
of strategic asset allocation the Maximum Drawdown pinpoints
can be helpful for risk averse investors. The AVANA Invest GmbH
portfolios with the same expected return, considerably smaller
developed for private and institutional investors risk reducing
Drawdowns and only marginally higher volatilities than with
strategies, with the goal of significantly reducing the Maximum
classic optimization based on rate of return and volatility.9 Like
Drawdown. Currently, they are available for European equities
the volatility in the Sharpe ratio, the Maximum Drawdown can
and bonds, emerging market equities and commodities on basis
be used for calculation of risk adjusted returns as a measure of
of ETFs and ETCs. These individual strategies can be combined
performance. Performance measures based on drawdowns, such
and optimized according to the investor’s risk requirements.
as the Calmar Ratio provide qualitatively comparable results with the Sharpe Ratio.10
Maximum Drawdown as Risk Measure for Assessment of Extreme Losses
AVANA Invest Thomas W. Uhlmann, Managing Partner info@avanainvest.com +49/89 2102358-0
Acar, Emmanuel / James, Shane (1997): Maximum Loss and Maximum Drawdown in Financial Markets, Working Paper. Chen, Dar-Hsin / Chen, Chun-Da / Chen, Jianguo (2009): Downside Risk Measures and equity returns, Applied Economics 41, p. 1055-1070. Dorfleitner, Gregory 2002): Continuous vs. discrete returns, credit and capital 35 (2), p. 216-241. Garcia, CB / Gould, FJ (1987): A Note on the Measurement of Risk in a Portfolio, Financial Analysts Journal 43 (2), p. 61-68. Hamelink, Foort / Hoesli, Martin (2004): maximum drawdown and the allocation to real estate, Journal of Property Research 21 (1), p. 5-29. Harlow, WV (1991): Asset Allocation in a Downside Risk Framework, Financial Analysts Journal 47 (5), p. 28-40. Jacquier, Eric / Kane, Alex / Marcus, Alan J. (2003): Geometric or Arithmetic Mean: A Reconsideration, Financial Analysts Journal 59 (6), p. 46-53. Johansen, Anders / Sornette, Didier (2001) Large Stock Market Price Drawdowns Are Outliers, Journal of Risk 4 (2), p. 69-110. Ortobelli, S. / Rachev, ST / Stoyanov, S. / Fabozzi, Frank J. / Biglova, A. (2005): The Proper Use of Risk Measures in Portfolio Theory, International Journal of Theoretical and Applied Finance 08 (08), p. 1107-1133. Pereira, Richardo / Leal, Camara / Mendes, Beatriz Vaz de Meldo (2005): Maximum Drawdown: Models and Applications, The Journal of Alternative Investments (1), p. 83-91. Rachev, ST / Ortobelli, S. / Stoyanov, S. / Fabozzi, Frank J. / Biglova, A. (2008): Desirable Properties of an Ideal Risk Measure in Portfolio Theory, International Journal of Theoretical and Applied Finance (IJTAF) 11 (1), p. 19-54. Shuhmacher, Frank / Eling, Martin (2010): Sufficient Conditions for Expected Utility to Imply drawdown-based performance rankings, Working Paper. Young, Terry W. (1991): Calmar Ratio - A Smoother Tool, Futures 20 (1), p. 40 1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
Ref. Calculation of returns by e.g. Jacquier/Kane et al. (2003) or Dorfleitner (2002) The Variance is the sum of the squared deviations of returns from their mean, the Volatility is the square root of the Variance. For its ease of understanding, the Volatility is the most used measure in theory and praxis. Ref. e.g. Garcia/Goud (1987), Pereira/Leal et al. (2005) and Ortobelli/ Rachev et al. (2005) Ref. e.g. Rachev/Ortobelli et al. (2008) Ref. Harlow (1991) Ref. e.g. Chen/Chen et al. (2009) and Johansen/Sornette (2001) Drawdown in A is determined by high (499.3) and low (451.7): (499.3- 451.7)/499.3 = 9.5% Ref. Acar/James (1997) and Hamelink/Hoesli (2004) Ref. Pereira/Leal et al. (2005) Ref Young (1991) and Schuhmacher/Eling (2010)
Performance Calculations for iShares ETFs iShares BlackRock
Risk and Return Calculation
The return calculation is based on the Total Return Net Asset
The risk return profile of a fund supports investors to compare
Value (TRNAV) to enable investors comparing distributing and
different funds if some calculation restrictions are considered.
accumulating funds.
Total Return Net Asset Value (TRNAV)
The assumption for the calculation of the TRNAV is to reinvest
The Net Asset Value (NAV) per share reflects the value of a
the fund gross distribution immediately into new fund shares.
fund share after costs and revenues on fund level (securities
Additionally, the tax component of the German domiciled funds is
lending revenues, management fees, custody fees, etc.). Client
considered as some investors are able to claim back1. Accordingly,
specific costs like individual deposit fees or trading costs are not
the adjustment of the NAV takes place for distributing and also
considered.
accumulating German domiciled funds.
1. The dividends of the underlying securities are reinvested on fund level immediately. On the fiscal year end, the fund has to pay the tax on these reinvested dividends cumulatively.
Performance Calculations for iShares ETFs
Return
Usually returns are calculated by the arithmetic return method. To compare returns from different dates and time periods the returns are shown annualised (p.a.).
Volatility
Performance Calculations for iShares ETFs
Tracking Calculation Exchange Traded Funds as passive investment products should be examined by the Tracking profile next to the risk return profile of a fund.
Tracking Difference The Tracking difference is the difference between the ETF return and the benchmark return based on a Total return view, usually displayed per annum. Sometimes the Tracking difference is also known as Active return. It has to be considered that the Tracking difference does not measure the volatility of the deviation between fund and benchmark.
Tracking Error The Tracking error is the theoretic Standard deviation of
the constant deviation between ETF and benchmark is not
the daily Active return (difference between ETF return and
included. Usually the Tracking error is calculated for a data
benchmark return). The Tracking error considers only the
period of more than one year and per annum.
deviation to the mean value of the Active return. Accordingly,
iShares Dr. Andreas Zingg Leiter Vertrieb Deutschschweiz - iShares andreas.zingg@blackrock.com +41 44 297 7340 Mathieu Vinson Distribution Romandie & Ticino - iShares mathieu.vinson@blackrock.com +41 44 297 7344
ETF ist nicht gleich ETF Auswahlkriterien für Exchange Traded Funds UBS Im
letzten
Jahrzehnt
ist
der
europäische
Markt
für
1. Replikationsstrategie
börsennotierte Fonds – Exchange Traded Funds, kurz ETF –
Um das Engagement in einem gewünschten Marktsegment zu
exponentiell gewachsen. Bereits jetzt können Anleger aus über
erreichen, können ETFs grundsätzlich zwei Strategien verwenden:
1’000 Produkten wählen, ein Ende des Wachstums ist nicht
physische und synthetische Replikation. Betrachten wir zuerst die
in Sicht. Versucht man, all die Unterschiede einzelner ETF zu
einfache Version der physischen Replikation (auch als cashbasierte
berücksichtigen, kann es leicht zu Verwirrung kommen. Der
Replikation bezeichnet), die einer vollständigen physischen
vorliegende Artikel dient als grober Leitfaden bei der Auswahl
Replikation entspricht. Der Fonds hält hierbei alle Komponenten
des für Sie passenden Angebots.
des Index entsprechend ihrer Indexgewichtung. Aus diesem Grund verursachen Indexanpassungen und Kapitalveränderungen der
Der erste Schritt besteht normalerweise darin, einen Index
Unternehmen regelmässige Transaktionen und ein aufmerksames
auszuwählen. Schon diese Indexauswahl ist von grosser
Management der Cashflows aus Zinsen und Dividenden. Die
Bedeutung, da die Sektorzusammensetzung, der Stil, die
vollständige Replikation wird in der Regel für liquide Large-Cap-
Marktkapitalisierung und Zahl der Komponenten zwischen
Indizes mit einer begrenzten Zahl von Indexkomponenten, wie
scheinbar ähnlichen Indizes stark variieren kann. Geht man
etwa den Euro Stoxx 50, angewandt. Die andere Art der physischen
jedoch davon aus, dass die Entscheidung bezüglich eines Index
Replikation bezeichnet man als «Stratified Sampling» (zu Deutsch
bereits gefallen ist und vor allem auch beschlossen wurde, die
etwa «Optimierungsverfahren»). Hier hält der Index nur eine
Anlagemeinung anhand eines ETF zu realisieren, stellt sich die
Teilmenge der Indexkomponenten, durch Optimierungsstrategien
Frage «Welcher ETF?.
und verschiedene Instrumente werden die Transaktionskosten reduziert, die Liquidität erhöht und der Tracking Error minimiert.
Um die Sache zu vereinfachen: Anleger interessiert unter
In der Regel besteht der Vorteil einer vollständigen physischen
dem Strich nur die Performance ihres Portfolios, der effektiv
Replikation in einem niedrigeren Tracking Error, der Nachteil in
generierte Mehrwert. Als professionelle Investoren wissen
relativ höheren Kosten. Daher haben ETFs, die nach der Stratified-
wir jedoch, dass es einige Auswahlkriterien gibt, die nicht nur
Sampling-Methode vorgehen, gewöhnlich einen höheren Tracking
die Performance beeinflussen, sondern auch die Risiken und
Error, aber niedrigere Kosten.
wie nah eine ETF-Performance an der zugrunde liegenden Indexperformance verläuft. In diesem Artikel werden die acht
Die zweite Strategie, die synthetische Replikation (auch
wichtigsten Kriterien für die Auswahl eines ETF vorgestellt.
als swapbasierte Replikation bezeichnet) kennzeichnet ein wachsendes Segment des ETF-Marktes. Der ETF hält hierbei nicht tatsächlich die zugrunde liegenden Wertpapiere des Index,
ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds
sondern setzt stattdessen Swaps ein, um die Indexperformance
beim Kauf danach zu fragen (im Verkaufsprospekt müssen
zu replizieren. Normalerweise geschieht dies in Form von Total
Wertpapierleihgeschäfte offengelegt werden).
Return Swaps. Dabei hält der Fonds einen Korb von Wertpapieren (deren Art gegenüber dem Referenzindex variieren kann) und
Swapbasierte ETFs generieren die Performance des Index
schliesst eine Swap-Vereinbarung ab, mit der die Performance
dagegen durch den Einsatz von Swaps. Das bedeutet, dass ein
dieses Korbs gegen die Performance des Referenzindex getauscht
Swap-Gegenparteirisiko besteht. Auch hier sollte man vor dem
wird. Der Swap wird zum Teil (je nach Anbieter) besichert,
Kauf eines ETFs nach der Besicherung dieses Risikos fragen. Die
die Anleger sollten jedoch daher im eigenen Interesse das
Analyse der Gegenparteirisiken - wie besprochen sind diese stark
Gegenparteirisiko aus Swapgeschäften überprüfen. ETF- Anbieter
von der zugrunde liegenden Replikationsstrategie abhängig -
wählen Replikationsstrategien auf Grund des Index, ihrer
sollte eine wichtige Überlegung bei der Auswahl von ETFs sein.
Kapazitäten für den Handel und das Portfoliomanagement oder nach anderen Faktoren. UBS bietet sowohl vollständige physische
3. Performance
Replikation (Stratified Sampling) als auch synthetisch replizierte
Eines der wichtigsten Kriterien, wenn nicht gar das wichtigste,
ETFs an.
ist die Performance. Die Performance von ETFs hängt von vielen Faktoren ab – einige wirken sich positiv aus, andere negativ.
2. Risiken
Wertpapierleihgeschäfte, die wir kurz im Abschnitt über die
Ein weiteres Kriterium bei der Auswahl des ETF ist die
Risiken angesprochen haben, kommen bei physisch replizierten
Betrachtung der Risiken. ETFs halten die zugrunde liegenden
ETFs zum Einsatz, um einen Mehrertrag für den Fonds zu erzielen,
Wertpapiere in einem abgeschlossenen, separaten Portfolio.
der die Performance positiv beeinflusst. Anleger nehmen damit
Somit besteht bei ETFs zwar kein Emittentenrisiko (im Gegensatz
zwangsläufig aber auch Gegenparteirisiken in Kauf. Bei Fonds mit
zu börsengehandelten Schuldtiteln und Rohstoffen), sie können
sehr stark nachgefragten Anlagen (unter dem Gesichtspunkt
jedoch in unterschiedlichem Ausmass Gegenparteirisiken aus
der Wertpapierleihe), wie etwa europäischen Aktien, kann der
Swap-Transaktionen, Wertpapierleihgeschäften und anderen
zusätzliche Ertrag die Kosten mehr als aufwiegen, sodass der ETF
Geschäften unterliegen.
nach Abzug der Kosten den Index übertrifft.
Einige ETF-Anbieter führen bei physisch replizierten ETFs
Es gibt fünf Faktoren, die sich nachteilig auf die Performance
Wertpapierleihgeschäfte
eines
durch.
Mit
dem
Wertpapier-
ETF
auswirken
können:
Verwaltungsgebühren,
leihgeschäft lassen sich zusätzliche Erträge für den Fonds
Besicherungskosten, Handelskosten, Rebalancingkosten sowie
erzielen, die der Performance und somit dem Investor zugute
Belastung durch nicht investiertes Geld (Cashposition). Je
kommen. Die Kehrseite dieses Verfahrens besteht darin, dass
nach Marktentwicklung kann sich Letzteres allerdings auch
dieses Leihgeschäft zwar voll besichert (und in vielen Fällen
positiv auswirken. Ohne allzu sehr auf die Details der einzelnen
sogar überbesichert) ist, ein Restrisiko jedoch bestehen bleibt.
Faktoren einzugehen, sind dies die grundsätzlichen Kosten für
Auf Wertpapierleihverfahren wird unter Umständen bei der
das Management des Fonds. Die Verwaltungsgebühren sind
Beratung nicht ausdrücklich hingewiesen. Daher ist es wichtig,
vermutlich der sichtbarste Kostenfaktor, sollten jedoch nicht die
ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds
einzige Überlegung darstellen. Handelskosten, Rebalancingkosten,
insgesamt gute Performance ausgeglichen wird. Mit anderen
die Belastung durch die Cashposition sowie das Management von
Worten: Möglicherweise sind Sie bereit, stärkere Schwankungen
Indexereignissen sind Faktoren, welche die Kompetenzen eines
in Bezug auf den Index in Kauf zu nehmen, wenn dies durch
ETF-Anbieters verdeutlichen.
eine insgesamt gute Performance belohnt wird. Damit stellt sich die Frage: Wie sollte der Tracking Error bei der ETF-Auswahl
Kompetente ETF-Anbieter zeichnen sich zum Beispiel durch ein
berücksichtigt werden? Wie bei den meisten anderen Faktoren
erfahrenes
hängt dies tatsächlich von den Bedürfnissen des Anlegers ab.
Portfoliomanagementteam,
spezialisierte
Index-
Research-Analysten sowie globale Handelskompetenzen aus, um
Ignoriert werden sollte er nicht.
nur einige Aspekte zu nennen.
5. Liquidität Die Replikationsstrategie und das Fondsdomizil können sich
Wie wir alle wissen, ist die Liquidität einer der wichtigsten Vorteile,
je nach dem gewählten ETF und je nach Situation des Anlegers
mit dem für ETFs geworben wird. Wir wollen die Sache etwas
positiv oder negativ auf den Fonds auswirken. So auch das
genauer betrachten, um festzustellen, was mit Liquidität wirklich
Management von Indexereignissen. Denn wie stark dieser Faktor
gemeint ist. Tatsächlich gibt es im Zusammenhang mit ETFs zwei
zu Buche schlägt, hängt vom Geschick des Portfoliomanagers ab.
Ebenen von Liquidität. Zunächst die Liquidität des ETF selbst, der
Ereignismanagement umfasst Aktivitäten wie die Optimierung
auf sekundärer Basis an der Börse gehandelt wird. Market Maker,
des Anlagezeitpunkts, also wenn Titel einem Index hinzugefügt
wie die Commerzbank im Falle der UBS ETFs, haben vertragliche
oder entfernt werden.
Vereinbarungen mit Emittenten und Börsen und sind daher verpflichtet, während der Handelsstunden kontinuierlich Geld-
Die erwähnten Faktoren haben Einfluss auf die ETF-Performance.
Briefkurse und Geld-Briefvolumen anzubieten. Dabei werden
Die Gesamtperformance für den Anleger ist das Nettoergebnis
niedrige Geld-Brief-Spannen sowie eine hohe Handelsliquidität
aus der Kombination von ETF-Performance und Handelskosten
sichergestellt. Daher wird die Liquidität von ETFs nicht am
des ETF (einschliesslich Brokerage- gebühren und Geld-Brief-
tatsächlich gehandelten Volumen gemessen, sondern an der Zahl
Spanne). Mit den expliziten und impliziten Kosten befassen wir
der notierten Anteile mit der Geld-Brief-Spanne. Die zweite Ebene
uns noch eingehender im Abschnitt Kosten weiter unten.
betrifft die Liquidität der zugrunde liegenden Anlagen selbst. Die Liquidität der Basiswerte des Fonds beeinflusst die Liquidität
4. Tracking Error
des ETFs. Worauf sollte man also achten, um zu beurteilen, wie
Durch den Tracking Error kann man sich leicht in die Irre führen
liquide ein ETF wirklich ist? Der einfachste Massstab für die
lassen. Auf den ersten Blick könnte man ihn einfach für den
Beurteilung der Liquidität ist die Geld-Brief-Spanne. Hier sollten
Unterschied zwischen der Benchmark und dem ETF halten.
Sie auf niedrige Spannen und ein ausreichendes Geld/Brief-
Tatsächlich aber ist die Sache etwas komplizierter: der Tracking
Volumen achten.
Error bezieht sich auf die Volatilität der Differenz zwischen der Benchmark und dem ETF (die Standardabweichung). Ein hoher
6. Verwaltungsgebühr / Kosten
Tracking Error ist nicht immer schlecht, wenn er durch eine
Die wichtigste Erkenntnis aus diesem Abschnitt lautet: Es kommt
ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds
auf die Gesamtkosten an! Die Verwaltungs- gebühren sind nur
Börsenplatz unterschiedlich: An der Deutschen Börse ist dieser
eine Komponente der Gesamtkosten in einem ETF. Anleger
ETF in EUR notiert, d.h. für den Anleger er kann das Produkt in
sollten nicht nur die offensichtlichen (expliziten) Kosten wie
EUR erwerben. An der SIX Swiss Stock Exchange ist derselbe Fonds
Verwaltungsgebühren und Kommissionen oder Handelsgebühren
in CHF, USD und GBP notiert, d.h., der Investor kann diesen ETF
berücksichtigen, sondern auch implizite Kosten wie die Geld-
zusätzlich auch in CHF oder GBP bezahlen. An der Nasdaq OMX
Brief-Spanne und den Markteffekt. Bei Entscheidungen über ETFs
in Stockholm ist der UBS-ETF MSCI USA in SEK notiert, was einen
ist es daher wichtig, die Gesamtkosten sowie den Anlagehorizont
Erwerb in SEK ermöglicht.
zu berücksichtigen.
8. Domizil Eine weitere wichtige Komponente ist das Konzept mehrerer
Nicht zuletzt sollte im Rahmen der ETF-Auswahl auch das Domizil
Anteilsklassen. UBS bietet für die meisten seiner ETFs
berücksichtigt werden. Da die Steuerabkommen
mehrere Anteilsklassen an, wobei sich die Anteilsklasse «I» an
von Land zu Land erheblich variieren, kann dies grossen Einfluss
institutionelle Anleger und vermögende Privatkunden richtet.
auf die Steuersituation des Fonds haben. Dies wirkt
Die Anteilsklassen «A» sind auf die Bedürfnisse der Privatkunden
sich wiederum auf die Performance des ETFs und somit auf die
ausgerichtet und mit konkurrenzfähigen Verwaltungsgebühren
Investition des Anlegers aus. Fonds können auf der
ausgestattet. Die Anteilsklassen «I» haben deutlich niedrigere
Basis
Verwaltungsgebühren als die Anteilsklassen «A», anderseits
Domizilland des Fonds und dem Ursprungsland der
aber einen wesentlich höheren Nettoinventarwert. Beide
zugrunde
Anteilsklassen gehören zum selben Subfund und somit Pool
Quellensteuern zurückfordern. Fondsanbieter wägen bei
von Anlagen. Diese gepoolten Vermögen ermöglichen ein
der Schaffung ihrer ETFs ab, welches Domizil dafür geeignet ist.
effizienteres Portfoliomanagement, was wiederum dem Anleger
Anleger sollten dies bei der Auswahl von ETFs
zu Gute kommt.
ebenfalls berücksichtigen.
7. Währung
Fazit: Den passenden ETF finden
Bei
der
Beurteilung
ETFs
Indexanlagen
in
gewissem
dem
Umfang
Basiswährung
Sie vielleicht zu dem Schluss, dass es keinen perfekten ETF gibt
und Notierungswährung. Die Basiswährung bestimmt das
und fragen sich: «Wie soll ich mich je entscheiden können?»
Währungsrisiko des Anlegers, welches er durch ein Investment in
Wahrscheinlich gibt es keinen perfekten ETF für alle Investoren,
ein Produkt eingeht. Die Notierungswährung definiert in welcher
aber den optimalen für Ihre Bedürfnisse. Um diesen ETF zu finden,
Währung der Anleger in das Produkt investieren kann, ändert
sollten Sie sich mit den Auswahlkriterien wie Replikationsstrategie,
jedoch nicht das Währungsrisiko (kein Währungshedge). Im
Risiken und Performance auseinandersetzen. Sollten Sie sich
Beispiel vom UBS-ETF MSCI USA ist die Basiswährung immer USD,
nicht mit allen Auswahlkriterien beschäftigen wollen, empfehlen
d.h. das Währungsrisiko des Anlegers ist ebenfalls immer USD.
wir Ihnen, zumindest die Performanceunterschiede der einzelnen
Die Notierungswährung des UBS-ETF MSCI USA ist jedoch je nach
ETFs (bezogen auf die gleiche Benchmark) zu berücksichtigen.
werden:
zwei
liegenden
zwischen
Nach Berücksichtigung der erwähnten Auswahlkriterien kommen
beachtet
müssen
Doppelbesteuerungsabkommen
wichtige
Währungskomponenten
von
von
ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds
Denn im Grunde wirken sich die meisten angesprochenen Auswahlkriterien ohnehin auf die Performance aus. Wählen Sie den richtigen ETF, dann profitieren Sie in vollem Umfang von den wahren Vorteilen dieser Produkte – Transparenz, Liquidität und Kosteneffizienz.
UBS AG Florian Cisana Head ETF Sales EMEA Talacker 30 8001 Zürich Tel. + 41 (0) 44 234 39 81 florian.cisana@ubs.com
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