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Analyse/iShares S&P SmallCap 600 UCITS ETF

Dieser ETF bildet nur vier Prozent des US-Aktienmarkts ab. Allerdings gibt es Anforderungen an die Mindestliquidität, und der zugrunde liegende Index streut breit über mehrere Branchen.

Rolle im Portfolio

This fund is best suited as a core building block for a portfolio, providing broad exposure to small-cap stocks in the world’s biggest economy. With 600 small-cap constituents, the S&P SmallCap 600 Index covers a relatively small section (4%) of the U.S. equity market, however it is well diversified by sector and security.

U.S. small caps have historically provided some portfolio diversification benefits. The S&P SmallCap 600 index has had a correlation of 83% with the S&P 500 Index over the past 15 years.

Combining this fund with a large-cap product that tracks the S&P 500 or the MSCI USA would provide a well-balanced market cap exposure to the US equity market. It would also work well in conjunction with a Europe, Australia and Far East (EAFE) or World ex-U.S. exposure.

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Fundamentale Analyse

Historically, small cap companies have tended to be riskier investments than large cap companies: Their earnings are more volatile and their equity prices tend to fall farther during tough economic environments. They also show greater sensitivity to the business cycle and typically lack sustainable competitive advantages. Of the companies in the S&P 600, fewer than 5% have a narrow Morningstar Economic Moat Rating, which indicates a structural competitive advantage that allows a company to earn above-average returns on capital over a long period of time. By comparison, about 25% of the S&P 500 constituents have a wide moat rating and about 50% have a narrow moat rating.

But because small cap companies start from a smaller profit base than large cap companies, they generally have greater growth potential-- especially during periods of economic expansion. For example, from the start of the second round of the Federal Reserve’s quantitative easing programme in November 2010 through April 2014, the U.S small cap market as measured by the S&P SmallCap 600 had a cumulative return of 81%, versus 70% for the S&P 500. Companies gained easier access to debt financing at the same time as encouraged investors started to buy riskier assets.

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Indexkonstruktion

The S&P SmallCap 600 Index is a free float capitalisation-weighted portfolio of 600 small-cap, United States domiciled stocks. To join the index, constituents must meet minimum liquidity requirements, have a public float greater than 50% of the value of their stock and have market capitalisations between $350 million and $1.6 billion. A committee maintains the index and meets regularly to review its underlying components, making changes on an as-needed basis. If a constituent falls out of line with any of the index’s entrance criteria, the committee can use its discretion to keep it in the index if the change is deemed temporary. New entrants to the index are meant to contribute to a sector balance consistent with that of the universe of eligible companies, as measured using the Global Industry Classification Standards (GICS®). The most significant sector exposures are financials (20-22%), information technology (18-20%), industrials (15-17%) and consumer discretionary (15-17%). Portfolio concentration is extremely limited, with the top ten stocks in the index making up less than 6% of its total. The top constituents are Questcor Pharmaceuticals (0.7-0.9%), Centene Corporation (0.6-0.8%), Teledyne Technologies (0.5-0.7%) and Toro (0.5-0.7%). The median market capitalisation of constituents is about $1 billion.

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Fondskonstruktion

The fund uses full physical replication to try to capture the performance of its benchmark, owning—to the extent possible and efficient—shares in all of the underlying constituents in the same weights as those of the index. In certain circumstances it may also use derivatives to achieve its objectives. Cash received as dividends from the underlying stocks are distributed to fund unitholders on a semi-annual basis. This can create a cash drag on the portfolio, causing it to underperform its benchmark in rising markets, and outperform in declining markets. Given the fund’s stated semi-annual distribution yield of 0.70%, the cash build up between distributions is unlikely to amount to much. In the 12 months through the end of March 2014, an average of 3.98% of the portfolio was out on loan, up to a maximum of 8.41%. The lending programme added 4 basis points of net return to the fund. BlackRock, iShares’ parent company and lending agent, keeps 40% of gross securities lending revenue for itself, out of which amount it will pay the associated costs of the activity, and passes 60% of the revenue to the fund. BlackRock has a 50% cap on the amount of assets that its iShares funds can lend out. To protect the fund from a borrower’s default, BlackRock takes collateral greater than the loan value. Collateral levels vary from 102.5% to 112% of the value of the securities on loan, depending on the assets provided by the borrower as collateral. Additional counterparty risk mitigation measures include borrower default indemnification. Specifically, BlackRock commits to replace the securities that a borrower fails to return, but it will not cover losses incurred on the reinvestment of cash collateral.

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Gebühren

The fund charges a total expense ratio of 0.40%, which is comparable to other funds offering similar exposure. Other costs potentially borne by the unitholder but not included in the total expense ratio include transaction costs on the infrequent occasions when the underlying holdings change and bid-ask spreads and brokerage fees when buy and sell orders are placed for ETF shares. Income generated from securities lending could potentially recoup some of the total costs.

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Alternativen

IShares is currently the only provider that offers an ETF tracking the S&P 600 SmallCap Index, however there are a number of index alternatives for the U.S. small-cap equity market. Comstage and iShares both offer ETFs that track the MSCI USA Small Cap Index, while Amundi, Lyxor, ETFS, db x-trackers and Source have products that track the Russell 2000 Index. The ComStage product is the least expensive, with a TER of 0.35%.

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Über den Autor

Morningstar ETF Analysts  Alan Rambaldini is an ETF analyst with Morningstar.