Lyxor ETF STOXX Europe 600 Banks (EUR) | LYBNK |
von
Alastair Kellett28.01.2013
Rolle im Portfolio
The fund provides access to many of the largest and most liquid bank stocks in Europe. Because of the narrow focus, it should be used as a tactical tool to express a view on European banks. Not only is the sector focus of the underlying index narrow in scope, but at the security level it is very highly concentrated in the top names. And what the last few years has shown us is that the fortunes of large, highly leveraged financial institutions can change quickly in the face of shifting market sentiment. With this type of investment, caution is therefore required. Since the start of 1999, the STOXX Europe 600 Banks Index has been highly erratic, exhibiting annualised volatility of 24.8%, versus 15.0% for the MSCI World. During the same period it has shown correlation to the wider MSCI Europe Index of 86% and to the MSCI World of 82%. The Financials sector is already a significant weight within the broader European market, for example it makes up roughly 20% of the STOXX Europe 600 Index. So combining this fund with a European equity product may result in overweighting this particular sector.
Fundamentale Analyse
In the aftermath of the global financial crisis, sovereign debt has become a staggering concern for Europe, and of particular concern for European banks that are large holders of it. Government-debt-to-GDP levels have gone above 100% in several eurozone countries, Ireland and Portugal have had to be bailed out by the European Union and the International Monetary Fund (IMF), and Greece has seen a full-blown restructuring of its debt, with haircuts of more than 50%. The lifelines being tossed to various countries are also a way to shore up the banks that have lent to them. The good news is that banks have generally recapitalised. In June 2011, the European Banking Authority (EBA) suggested that 27 banks had a combined capital shortfall of €76 billion to get them to Core Tier 1 ratios of 9%. In the industry group’s final report on the recapitalisation project, released in October 2012, it revealed that those banks have gone above and beyond the target, bolstering their balance sheets by a collective total of €116 billion. Indeed, Morningstar research has found that Core Tier 1 ratios of European banks have improved and compare favourably to their U.S. peers. But the banks’ ratios of common tangible equity to tangible assets, a more robust measure of balance sheet risk, have failed to show similar improvement, and in some cases have actually deteriorated since the end of 2010. On average the European banks are well below U.S. banks by this metric. With some way yet to go in shoring up capital cushions, the European banks—historically bid dividend payers—will likely offer low or no dividend payouts for the next few years, which could weigh heavily on their valuations. As could be expected, having been beset by crisis for much of the last five years, the performance of the STOXX Europe 600 Banks Index has been miserable. An amount invested in the Index at the start of 1999 would have cumulatively lost 23.7% of its value through December 2012, despite a healthy rally off the lows of the financial crisis. That compares with cumulative gains of 39.1% for the broader MSCI Europe Index and 35.3% for the MSCI World over the same period. Between June 2007 and February 2009, the index suffered a peak-to-trough drawdown of more than 77%. After bottoming out at 3.3 in January 2009, the price-to-earnings ratio for the index has rebounded to 8.0 at the end of December 2012. Since September 2007 it has averaged 8.8. The index is very top-heavy, dominated by the fortunes of HSBC Holdings and, to a lesser extent, a handful of other top positions. Using the most recent closing price as of the time of this writing, shares of HSBC are trading at an 8.6% premium to what Morningstar’s equity research team reckons the company’s fair value is. Next largest position Banco Santander is trading at an 8.1% discount to Morningstar’s fair value estimate, and after that BNP Paribas and UBS are trading at respective discounts of 9.8% and 6.8% to Morningstar equity analysts’ fair value estimates.
Indexkonstruktion
The STOXX Europe 600 Banks Index is a free-float market capitalisation-weighted index covering bank stocks from the following countries: Germany, Austria, Belgium, Denmark, Spain, Finland, France, Greece, Ireland, Italy, Luxembourg, Norway, the Netherlands, Portugal, United Kingdom, Sweden, and Switzerland. It contains 46 stocks, but more than half of those had weights of less than 1% at the end of December 2012. HSBC Holdings, the top weight, accounts for 21.0% of the total, and the top 10 names make up 69.8%. The median market cap is €6.1 billion. The universe is screened to include only stocks that pass a minimum level of trading volume, and then ranked by size. The index is reviewed quarterly, with buffers around the entrance criteria in order to reduce the turnover. During the quarterly rebalancing, the size of the top position is capped at 30% and the second-largest at 15%. Intra-quarter, immediate action is taken to cap the top name at 35% and the second-largest at 20%.
Fondskonstruktion
The fund uses synthetic replication to provide exposure to the underlying benchmark, entering an unfunded swap transaction with parent bank Societe Generale. The fund uses investors’ cash to buy a substitute basket of securities, the performance of which is exchanged for the performance of the index. Lyxor provides full transparency on the components of the substitute basket, which is made up predominantly of European equities. The fund aims to maintain zero counterparty exposure by reviewing the swap on a daily basis and resetting whenever its value becomes positive. At the time of writing the substitute basket was valued at 100.2% of the net asset value of the fund. The fund’s holdings, which are monitored daily by Lyxor’s asset manager, are held in a segregated account at Lyxor’s custodian, Societe Generale Security Services. Under the terms of the swap, the counterparty agrees to provide the fund with exposure to the total return of the underlying index, net of any associated taxes, costs, or fees. At the time of writing the fund had assets of €510 million.
Gebühren
The fund’s total expense ratio (TER) is 0.30%, which is in line with other products offering similar exposure. Other costs potentially borne by the unitholder but not included in the TER include swap fees, bid-ask spreads on the ETF, and brokerage fees when buy and sell orders are placed for ETF shares.
Alternativen
To get exposure to European financial stocks, there are a few choices. These include Amundi ETF MSCI Europe Banks, ComStage ETF STOXX Europe 600 Banks, SPDR MSCI Europe Financials, db x-trackers STOXX Europe 600 Banks, Source STOXX Europe 600 Opt Banks, which excludes the least liquid components of the broader index, EasyETF STOXX Europe 600 Banks, and iShares STOXX Europe 600 Banks. Of these, the Lyxor fund is the largest. The Amundi and ComStage products have the lowest TER, at 0.25% each.
