Analyse/Lyxor UCITS ETF MSCI World

Dieser global anlegende Aktien-ETF investiert zu einem großen Teil in die USA, ist auf Branchen- und Einzeltitel-Ebene allerdings sehr breit diversifiziert. 

Rolle im Portfolio

The Lyxor MSCI World ETF provides exposure to many of the largest publicly-traded companies in the developed world. It is best used as a core building block for investors who want to gain developed equity exposure through one fund rather than build a geographically- and/or sector-diversified equity portfolio. Although the underlying MSCI World Index has a broad geographic scope, it is heavily concentrated in the U.S.

Investors seeking exposure to the global, rather than just developed, equity market should consider pairing this ETF with some form of emerging markets equity exposure which would provide portfolio diversification, as this ETF contains less than 1% emerging markets equity. In the last five years, the MSCI World and the MSCI Emerging Markets Index have shown a correlation to one another of 83%, but this has dropped to just 70% over the past year.

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Fundamentale Analyse

Valuations around the world have improved significantly since the start of the financial crisis, and price-to-earnings (P/E) ratios clearly indicate this. The MSCI World P/E ratio endured a rollercoaster ride, reaching 14.3 in April 2008 before dropping to 8.4 in February 2009, but has since climbed to new heights, hitting 16-17 in the second quarter of 2014. One could argue loose monetary policy has artificially inflated stock prices, but their levels still indicate an improved macroeconomic environment.

The U.S.--by far the ETF’s largest country exposure--has experienced a steady economic recovery over the last few of years. The improved performance and more positive outlook led the Federal Reserve to start unwinding its quantitative easing (QE) programme in December 2013.

A key factor allowing the Fed’s so-called ‘tapering’ has been a steadily dropping unemployment rate. It has dropped steadily dropped to 6.3% year-to-date, its lowest level since the financial crisis began. With average household debt levels at their lowest since the 1990s, a recovering housing market and restored consumer confidence, conditions are suitable for the U.S. recovery to remain on course in 2014.

Meanwhile, the eurozone continues its recovery. In fact, after ending an 18-month recession last year, the region is expected to produce the largest contribution to the advance in global growth in 2014. However, the recovery remains subject to downside risks. Aside from a stubbornly high unemployment rate and still-impaired bank lending, deflation has become a new threat to the currency bloc. Historically, stock markets have accommodated--and even rallied behind--short spurts of deflation, but as Japan experienced in the 1990s, entrenched deflation can cripple an economy. ECB officials have reassured markets they will defend the economy against deflation but doubts remain as to whether they have enough room for manoeuvring.

Across the pond, the strength of the UK economic recovery has been surprisingly positive, with GDP growth averaging 0.7% q/q since Q2 2013. This has prompted widespread upside revisions to growth forecasts for 2014 and beyond. The bulk of growth is being generated by domestic demand supported by a resilient labour market.

By contrast, the economic outlook for Japan remains considerably uncertain. Abenomics, the unorthodox monetary policy put forward by Prime Minister Shinzo Abe since the end of 2012, has reined in deflation and reignited consumer confidence and spending. But there are fears the consumption tax hike that came into effect in April could derail the economy’s nascent recovery.

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Indexkonstruktion

The MSCI World Index is a free-float market capitalisation-weighted index covering 23 developed countries around the world. The index holds about 1,600 mid- and large-cap components, and covers approximately 85% of the total free float of the component markets. The index is calculated on a net return basis and is USD-denominated. However, it does not hedge against its various currency exposures so there may be currency-related risk. 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 $8.7 billion. The index is heavily tilted towards the U.S., whose weighting of 52-56% is more than five times larger than the next highest representatives, the UK and Japan, with weights of 8-9% each. On a sector basis, the index is broadly diversified. The top weight is financials, which makes up around 20% of the total, followed by consumer discretionary and information technology at around 12% each. Industrials, consumer staples, healthcare and energy all tend to have weights between 9% and 12%. There is very little portfolio concentration, with no more than 10% of the index within its top 10 names. The top individual position is Apple, with a 1-2% 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 entirely of 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 101.36% 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.

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Gebühren

The fund has a total expense ratio (TER) of 0.45%, which is comparable 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

For broad exposure to global developed markets there are plenty of choices available. Providers offering ETFs that track the MSCI World Index include UBS, Source, iShares, db x-trackers, HSBC, CS, ComStage and Amundi. The UBS fund charges the lowest fees, with a TER of 0.30%. The Vanguard FTSE All-World UCITS ETF, with a TER of 0.25% follows a similar benchmark which is slightly more diversified at the country level. It includes lower exposure to the U.S. and higher exposure to emerging markets, including China.

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Über den Autor

Morningstar ETF Analysts  research hundreds of ETFs available to European investors. The Morningstar Rating for ETFs is based on a risk-adjusted performance measure.