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Update: db x-trackers MSCI Europe Index UCITS ETF

Dieser Aktien-ETF bildet die Schwergewichte am paneuropäischen Aktienmarkt ab. Nach dem Scheitern der schottischen Unabhängigkeitsbestrebungen kann der gut 30-prozentige Grossbritannien-Anteil wieder eher als Chance denn als Risiko angesehen werden.

Rolle im Portfolio

This fund can be used as a core portfolio building block for investors seeking exposure to equity markets across developed Europe. As for its potential uses as a tactical tool, more aggressive investors could use this ETF to overweight European equities.

The inclusion of Switzerland and the UK within the MSCI Europe Index makes this ETF a somewhat more diversified option than a strict Eurozone equity benchmark. Still, at 0.99, the 10-year correlation between the MSCI Europe index and the MSCI EMU index has been almost perfect. As such, there is no real diversification benefit to using this fund in tandem with other vehicles tracking broad developed Europe benchmarks.

Investors in the UK or Switzerland, who already have exposure to their domestic equity market, perhaps through a FTSE 100- or SMI-following ETF, should take care not to unintentionally overweight their domestic exposure in their portfolio by adding this ETF.

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Fundamentale Analyse

The fortunes of European stocks turned around in the summer of 2012 when European Central Bank (ECB)president Mario Draghi summarily put an end to euro break-up speculation with his promise to “do whatever it takes” to preserve the single currency. Since Draghi’s unequivocal pledge, the MSCI Europe Index has risen by around 40% (to end of July 2014), reflecting the increasing confidence of investors in the European economic recovery against a backdrop of low interest rates, extremely loose global monetary policies, and an improving outlook for the global economy.

The recovery in the Eurozone, which started in Q2 2013, is now expected to gain strength, while simultaneously becoming more balanced across growth drivers, according to the ECB. Growth differentials between the weak peripheral countries like Spain and Italy continue to exist, however the gap is expected to narrow in 2014. Furthermore, it is expected that all EU economies will post positive growth rates by 2015 as the structural reforms are bearing fruits. Ireland successfully exited from the Troika bailout in December 2013 while Spain and Italy benefit from strong export. At the same time, steady growth of domestic demand spurs Germany while France’s recovery remains weak.

Overall, Europe is slowly moving from an export-driven economy towards an economy driven by domestic demand which is expected to pick up in 2015, fuelled by private and public demand. Private consumption will be supported by an improving labour market while real disposable income will benefit from low consumer price inflation. Public spending, on the other hand, is expected to rise as fiscal consolidation will be less of a drag.

Looking at the UK – the largest country exposure of the index -, the economy is well on track to grow by about 3% this year after a 1.7% growth in 2013. The recovery is mainly driven by the services as well as the construction and manufacturing sectors. Business surveys for all three sectors indicate a healthy growth for the second half of 2014. As with the rest of Europe, consumer spending was a main contributor to GDP growth as employment and confidence improved. On the back of an improving outlook, Bank of England governor Mark Carney has suggested that UK interest rates could rise before year end. In any case, the exact timing of the first rate move since March 2009 will remain dependent on the progress of the economy, while subsequent increases will likely be small, gradual and towards a “new normal” peak below the pre-crisis era.

According to the ECB, the main risks to the growth outlook are stalling or partial implementation of structural, fiscal and institutional reforms at the country levels, and low inflation. Inflation in the Euro area is expected to drop to 1.0% in 2014, and then rise to only 1.3% in 2015. Low inflation increases real interest rates, affecting growth and real debt burden negatively.

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Indexkonstruktion

The MSCI Europe Index includes approximately 85% of the equity market capitalisation of 16 countries across developed Europe. Components must meet minimum criteria for liquidity, as well as foreign ownership restrictions. The securities are weighed by free-float adjusted market capitalisation. Because closely-held firms will have a smaller piece of their aggregate market capitalisation floated on public exchanges, the free float adjustment serves to ensure the underlying liquidity of the holdings is superior relative to a pure market capitalisation weighting. The index is reviewed four times a year. As of this writing, there are around 440 stocks in the index. With about a third of the index weight, the UK is the most represented nation in the index, followed by France, Germany and Switzerland (all about 12%-15% of the index’s value). Meanwhile, the index has fairly limited sector concentration, with financials accounting for 20%-25% of the index’s value, followed by consumer staples and health care (both 10%-15%).The index is also well-diversified at the stock level, with about 20% of its total value comprised by the top ten constituents. The largest single equity exposure represented is Nestle, with a 3% weighting, followed by Novartis (2%-3%) and Roche Holding (2%-3%).

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Fondskonstruktion

This fund uses full replication to track the performance of the MSCI Europe index, which means that it aims to hold all the index constituents at the same weight as stipulated by the index. For the purposes of efficient management, db x-trackers physical ETFs may hold a small amount of index futures contracts. The combined weight of these components is capped at 2% of the portfolio’s value, although internally a 1% target is aimed for. For its suite of physically-replicated funds, db x-trackers may engage in securities lending in order to improve the ETF’s tracking performance. Deutsche Bank Agency Securities Lending (DB ASL) acts as the lending agent. The fund may lend out a maximum of 50% of its portfolio, although in practice the average percentage lent out tends to be below this limit (e.g. 9.91% average annual with a maximum of 37.75% for this ETF in the 12 months ending June 2014). All transactions are over-collateralised and the securities taken as collateral tend to be top-rated government bonds and blue chip stocks. Lending revenue is split 70/30 between the ETF and the lending agent, respectively. db x-trackers fully discloses all details pertaining to securities lending for this ETF in its website.

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Gebühren

The fund charges a total expense ratio (TER) of 0.30%, which lies in the middle of the range of ETFs tracking European equities. Other potential costs associated with holding this fund which are not included in the TER include rebalancing costs, bid-ask spreads and brokerage fees.

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Alternativen

There are several ETFs offering European equity exposure, tracking different indices. The largest alternative in terms of total asset under management is the iShares STOXX Europe 600 ETF, which uses physical replication and levies a TER of 0.20%. The underlying index is very similar to the MSCI Europe Index in terms of sector and country exposure. However, the MSCI Europe Index has slightly fewer constituents. Investors looking for pure eurozone exposure can make use of the ComStage EURO STOXX 50 ETF. The fund uses synthetic replication and levies a TER of 0.08%, which makes it the cheapest EURO STOXX 50 ETF available.

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Über den Autor Gordon Rose, CIIA, CAIA,

Gordon Rose, CIIA, CAIA,  ist Fondsanalyst bei Morningstar.