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Analyse: Lyxor ETF MSCI Emerging Markets C

Zieht die Wachstums-Story noch? Seit 2011 enttäuschen Schwellenländer Aktien, was nicht zuletzt am Schwergewicht China liegt. Dieser ETF ist heute eine antizyklische Wette.

Alastair Kellett 20.06.2013

Rolle im Portfolio

The Lyxor ETF MSCI Emerging Markets C provides exposure to a wide array of mid- and large-cap companies within the world’s emerging regions. This broad category of countries has seen its importance on the global stage rise dramatically in recent years. Whereas this type of exposure would once have been considered only as a speculative tactical tool, it is increasingly becoming a core component of a globally balanced portfolio. That said, this can be a volatile area of the market. The MSCI Emerging Markets Index has had annual standard deviation of 18.8% for the past 10 years, versus 14.0% for the MSCI World. Its correlation to other equity exposures does suggest some benefit as a diversifier. Over the same period it has shown correlation to the local-currency returns of the S&P 500, the MSCI Europe, and the broader MSCI World Index of 77%, 80%, and 83%, respectively. Some of that benefit, however, has shrunk in recent years. The corresponding five-year correlations are 85%, 85%, and 88%. The fund does not intend to make any distributions; therefore it may not suit an investor looking for regular investment income.

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Fundamentale Analyse

 

Even as developed markets have slowed down amidst consumer and government deleveraging, much of the developing world has continued to exhibit somewhat stronger growth. As the group’s largest economy, and the biggest weighting in the index, China will have a considerable impact on the fortunes of the MSCI Emerging Markets Index. The Chinese economy continues to post strong growth numbers, but against a backdrop of sky-high expectations, opinion remains divided on when the country’s prospects will descend back down to earth and whether the landing will be hard or soft. The first quarter’s GDP release, which showed growth for the prior 12 months of 7.7%, was high relative to what most of the world is experiencing, but fell short of expectations. As the beleaguered developed-world consumer continues to pare back, China will have to rely more and more on domestic demand from its own burgeoning middle class. Another area for concern is China’s swiftly rising housing market. To cool things down, the government has enacted higher down payment requirements and higher mortgage rates for purchases of second homes. A correction in the housing market could hurt the financial sector, as real estate is typically used as collateral for bank loans. The economy of South Korea has grown dramatically in the past few decades. According to The Economist, it now boasts a GDP per head that is higher than the European Union average. Although still classified as an emerging market by MSCI, many now consider South Korea a developed country. Much of the private sector growth has been driven by a system of very large conglomerates. Many of these chaebol —such as Samsung, LG, and Hyundai – have been tremendously successful, but corporate governance concerns have dogged them as a result of their family-run structure. Like South Korea, Taiwan is heavily dependent on China as a trading partner. Its export-driven economy has expanded considerably in the last few decades. Recent growth, however, has not been as robust as some of its neighbours. Its GDP grew by just 1.5% in the twelve months through the end of the first quarter. Brazil’s wealth of natural resources has made it a substantial beneficiary of the past decade’s trend towards higher commodity prices. A big part of that trend has been the rapid growth of China, with its seemingly insatiable appetite for raw materials, as well as Malthusian concerns about the world running out of non-renewable resources. The concern right now is that with China slowing down and other parts of the world in recession, the demand for raw materials could fall considerably. Further muddying the picture is the rapid pace of new natural gas discoveries throughout the world, particularly in the United States. Indeed, Brazil’s growth has slowed considerably in recent periods. For the 12 months through the fourth quarter of 2012, its GDP growth rate was just 1.4%, less than that of the United States. Over the last 10 years, the MSCI Emerging Markets Index has produced annual returns of 15.08%, versus 7.16% for the MSCI World Index, which covers only developed market equities. Its price-to-earnings ratio was 12.2 at the end of April, up from its low of 7.1 in May 2009, and above its five year average of 11.4.

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Indexkonstruktion

The MSCI Emerging Markets Index is a free float market capitalisation-weighted index covering 21 emerging market countries from all over the world. It currently has 822 large- and mid-cap constituents and covers approximately 85% of the free float-adjusted market capitalisation of the component countries. The index is reviewed quarterly, with size cut-offs recalculated semi-annually. The universe is initially screened for liquidity, as measured by the value and frequency of trading. The median constituent has a market capitalisation of $2.3 billion. At the end of April, the top geographic exposures were China, South Korea, and Brazil, with respective weights of 18.2%, 14.4%, and 12.7%, followed by Taiwan at 11.2% and South Africa at 7.0%. On a sector basis the top weight is financials, making up 27.9% of the total, followed by information technology at 14.2%, Energy at 11.8%, Materials at 10.3%, and Consumer Staples at 9.3%. The index is not very concentrated, with just 16.1% in the top 10 names. The top individual security is Samsung Electronics Co., at a 4.0% weight.

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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 mainly 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 100.86% 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. The fund is domiciled in France. It uses the euro as its base currency and at the time of writing had assets of roughly €1.3 billion.

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Gebühren

The fund has a total expense ratio (TER) of 0.55%, which is middling relative to other funds offering similar exposure. Other costs potentially borne by the unitholder but not included in the TER include swap fees, and bid-ask spreads and brokerage fees when buy and sell orders are placed for ETF shares.

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Alternativen

 

In Europe, many providers offer ETFs tracking the MSCI Emerging Markets Index, including UBS, Amundi, SPDR, ComStage, Credit Suisse, db X-trackers, iShares, Source, ETFlab, and HSBC. Vanguard FTSE Emerging Markets ETF follows a different benchmark but provides a similar exposure. For alternatives to market capitalisation-weighted exposures, there are Ossiam ETF Emerging Markets Minimum Variance and PowerShares FTSE RAFI Emerging Markets ETF. Of all of these, the largest are the iShares and the db X-trackers funds, with assets of $6.9 billion and $3.5 billion respectively. The funds with the lowest TER are the Amundi product, the Vanguard product, and the Source product, each with a TER of 0.45%.

In Asia, this ETF (listed in Singapore) together with the db x-trackers MSCI Emerging Markets Index UCITS ETF (03009 listed in Hong Kong and J0M listed in Singapore) are the only ones to offer broad exposure to emerging markets. Both ETFs levy a TER of 0.65%.

Über den Autor

Alastair Kellett  Al Kellett is an ETF analyst with Morningstar Europe.