Analyse: Lyxor ETF Commodities CRB

Dieser ETF folgt dem Thomson Reuters/Jeffries CRB index, der das höchste Gewicht auf Agrarrohstoffe setzt. Roll-Problematik muss bei diesem Produkt beachtet werden.

Lee Davidson 01.03.2013

Rolle im Portfolio

The Lyxor ETF Commodities CRB TR offers broad commodity exposure by tracking a benchmark covering 19 commodity futures across six global exchanges. Historically, broad-basket commodity futures exposure has been an excellent source of portfolio diversification, demonstrating low correlations with traditional asset classes, like equities and fixed income. These low correlations have traditionally reduced portfolio volatility and increased risk-adjusted returns. In recent years, however, investors have seen these correlations begin to rise with respect to equities. Despite this rise in correlation, commodity futures can still be utilised as a hedge against unexpected inflation and furthermore, unexpected inflation has historically driven positive returns for the broad commodity space. To capitalise on this asset class properly, an investor may, therefore, consider a broad-basket commodity futures allocation to hedge against inflation.

Fundamentale Analyse

Broad-basket commodity exposure has traditionally been sought out by investors for its diversification and inflation-hedging benefits. Historically, commodities have exhibited low to negative correlations with equities and fixed income securities. In recent years, however, commodities’ correlations with equities have been rising. Increased correlation implies that the asset class’s touted diversification benefits may not be applicable anymore, and that a portfolio’s risk-adjusted returns may not be enhanced by a commodity allocation.

Since 2005, the trailing 5 year average correlation between the S&P GSCI index and the MSCI World and STOXX Europe 600 has been trending higher, from -10% (2002-2007) to 70% (2007-2012) across both indices. Over this timeframe, rising correlations to equities have pervaded the majority of broad commodity indices. The trend is not unique to the Reuters/Jefferies CRB index. Over this timeframe, rising correlations to equities have pervaded the majority of broad commodity indices. While this increase in correlation may seem surprising, this phenomenon has actually been demonstrated in other previously hard-to-reach asset classes, like REITS, and has been labeled trading commonality by James Xiong of Ibbotson Associates. Increased investor interest and capital inflows into historically inaccessible or illiquid markets--such as REITs or commodities--have in part led to these instruments’ progressively higher correlation with equity markets.

But commodities have not lost all of their investment appeal. The case remains that commodities have maintained low to negative correlations with fixed income securities and have continued to demonstrate their value as an inflation hedge. In fact, unexpected inflation has reliably accompanied positive broad basket commodity index returns since 1970. Regressing the returns of the S&P GSCI index against unexpected inflation (defined as year over year changes in inflation rates and measured by the US CPI) yields a statistically significant result, indicating that unexpected inflation explains a portion of the performance of broad commodity indices. This property makes commodities a valuable tool for those seeking to hedge against inflation.

Indexkonstruktion

Lyxor ETF Commodities CRB tracks the Thomson Reuters/Jeffries CRB index, which offers broad commodity futures exposure to the energy, agriculture, industrial, and precious metals sectors. Given that it is a futures-based index, it has three unique sources of return: spot price return, roll yield, and collateral yield. Roll yield is generated when selling expiring futures contracts and purchasing the next contract. Depending on the price of the next futures contract, the index could either experience positive roll yield when the relevant futures curve is in backwardation or could experience negative roll yield in contango markets. Collateral yield is generated via interest payments from U.S. Treasury bills, which are held as collateral backing the commodity futures positions. The index weights the commodities by their perceived economic significance, trading frequency, and historical return contribution to the commodities space. Using these factors, it places a 39% weighting in the energy sector, 41% in agriculture, 13% in industrial metals, and 7% in precious metals. Individual commodities are weighted based on the same factors of economic significance and trading frequency. Despite being somewhat underweight energy in comparison with its peers, the index does maintain a large allocation to WTI Crude oil at 23%. The remainder of the index’s constituent commodities is regularly rebalanced to tier-based weightings of 6%, 5%, and 1%.

Fondskonstruktion

To deliver the index return to investors, the Lyxor ETF Commodities CRB employs synthetic replication using an unfunded swap structure with parent company, Societe Generale (Aa2, A+, A+). In this structure, Lyxor buys a basket of securities from SocGen and enters into an arrangement in which the bank pays the index performance (net of fees) in exchange for the performance of the fund’s holdings. While Lyxor is a wholly owned subsidiary of SocGen, it does follow the best execution principle laid out by the European Markets in Financial Instruments Directive. In doing so, Lyxor challenges SocGen’s swap prices by putting the bank in competition with other external swap providers. If an external provider offers a better price, SocGen will match that swap price. Lyxor commodity ETFs currently hold liquid stocks from OECD countries, which comprise a minimum of 75% of the fund’s asset basket. Since the majority of the basket’s assets reside in the same or similar time zones as the ETF, overlapping trading hours will reduce liquidity risk if a liquidation of the basket is necessary. Lyxor has a daily target of zero counterparty exposure, which means that swaps are reset whenever their value becomes positive. Swaps may sometimes have a negative value (between -2% and 0%), which is equivalent to an over- collateralisation of the fund. A negative swap value means that the fund owes the counterparty money. Lyxor has begun to reduce its fund’s exposure to SocGen by holding a fund that invests in a repo fully collateralised with European equities. This European equity can potentially be increased to 10%. At the time of this writing, the fund’s exposure to Societe Generale was 0% of the fund’s NAV. Lyxor does not engage in securities lending at the fund level. This ETF is available in multiple currency denominations – USD, GBP, and EUR – for those wishing to assume or eliminate currency risk from their investment.

Gebühren

Lyxor charges a total expense ratio (TER) of 0.35% for this ETF, which is lower than its peer group. By comparison, iShares DJ-UBS Commodity Swap charges a TER of 0.47% and EasyETF S&P GSCI charges a TER of 0.55%.

Alternativen

Investors have an abundance of choices when it comes to broad-basket commodity futures ETPs. The key differentiating factor amongst them will be index construction. Due to differences in index construction, the variety of broad-basket ETPs will not necessarily perform similarly. In considering differences of index construction, an investor will want to focus on these indices sector exposure and rolling methodology. Historically, more evenly weighted (as measured by sector concentration) indices and those utilizing “intelligent” rolling practices have generated superior performance and lower volatility relative to more concentrated indices that use more standard rolling practices.

ComStage ETF Commerzbank Commodity EW tracks an equally weighted broad-basket commodity index and charges a TER of 0.30%. Due to the equal-weight methodology, the ComStage ETF has experienced significantly lower volatility compared to its peer group and has had higher correlation across a breadth of commodity sectors. In contrast to its energy-centric cohorts, this ETF will be less susceptible to the movements in the energy sector and more sensitive to the precious metals, industrial metals, and softs sectors.

db X-trackers DBLCI OY Balanced has addressed the dynamic nature of the commodity futures curves by employing an optimum yield methodology, which seeks to generate maximum implied roll yield. The db X-trackers ETF charges a TER of 0.55%.

 

Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.