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Update: db x-trackers Russell 2000 UCITS ETF

Der Russell 2000 bildet amerikanische Micro- und Smallcaps ab. Das Investment ist eher für risikobereite Anleger geeignet, die auf den Aufschwung in den USA setzen möchten. Übernahmen haben in der Vergangenheit für Kursphantasie gesorgt. 

Rolle im Portfolio

The fund provides exposure to US micro- and small-cap equities.

The ETF is suitable for investors believing in an improving US economy, especially one driven by growing domestic demand.

For tactical purposes, this ETF might be suitable for investors believing that large caps will unload their cash reserves through acquisitions in the hunt for external growth targeting small- and mid-cap companies.

The Russell 2000 index shows a high correlation to international stock markets; hence its usefulness as diversifier within a broader equity allocation appears limited.

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Fundamentale Analyse

Against a backdrop of expansionary monetary and fiscal policies, US small caps outperformed large caps by an annualised 2% over the trailing 3 year period but have underperformed quite significantly so far this year (to the end of August 2014), lagging its large cap counterpart, the Russell 200 Index,  by 8%. Many market experts saw small caps overvalued at the beginning of 2014 and adjusted their asset allocation accordingly.

The Russell 2000 Index is more heavily biased towards financial stocks and less exposed to energy stocks compared to the S&P 500 Index. The small-cap index favours regional banks that are reliant on mortgage lending. Therefore, an improving US housing market and falling oil prices could benefit the performance of the Russell 2000 Index relative to the S&P 500 Index in the near term.

Since the mid-1930s, small caps have returned 19% on an annualised basis--about a 10 percentage point annualised outperformance as compared to large caps—during periods of negative real short-term interest rates, i.e. low nominal interest rates coupled with high inflation. Those periods are usually the product of a broader crisis, during which large-cap companies will seek to cut costs and preserve cash, leaving them with huge cash reserves as mentioned before. During the following quarters, many of these same companies unload their cash by acquiring small caps, hence explaining a portion of the outperformance of small caps in such circumstances. During the latest period of negative real interest rates (beginning in December 2009) US small caps have outperformed large caps by over 4.0 percentage points on an annualised basis. 

Elsewhere, the US economy remains below its estimated potential since 2007 with a cumulated shortfall of GDP of over $1.5 trillion as of Q2 2014. Several official institutions, like the Fed, the IMF or the OECD, recently lowered their GDP forecast for the current year on the back of weaker growth in Q2 2014. Moreover, a paper by the National Bureau of Economic Research published in September 2014 points out that many economists have continuously overestimated the world’s capacity for economic growth since the financial crisis. For the economy expanding as quickly as forecast, US productivity has to improve by far more than previously. While GDP growth has been below average of previous recoveries, expanding by about 2.1% per year since 2009, unemployment rate has made some good progress, falling from 10% at the peak of the recession to 6.1% in August 2014.

The big problem for the US economy is the fact that output and productivity growth is on a downward trend since the early 1970s. While many economic forecast models are based on the perspective of demand, population growth that fuels a larger labour force and productivity growth to supply demand in a timely matter is often overlooked.

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The Russell 2000 Index is a sub-index of the Russell 3000 Index, representing the bottom 10% of companies as measured by market capitalisation of the broader Russell 3000 Index. The index consists of around 2000 of the smallest publicly traded companies in the US and is constructed to provide a broad and unbiased small-cap indicator. The index is reconstituted annually to account for market performance. The index is well diversified across different sectors. The biggest sector allocation is financials (20-25% of the index’s value), followed by IT (16-20%) and industrials (12-15%). On an individual security level, the biggest exposure is InterMune Inc (0.40%) making it apparent that the index has very little risk to any single issuer.

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The ETF uses swap-based replication methods to track the performance of the Russell 2000 index. To achieve this return, the fund enters into an unfunded swap agreement with parent company Deutsche Bank AG. The fund uses investors’ cash to buy a substitute basket of securities. Deutsche Bank provides full transparency on the substitute basket. At the time of writing, it was made up primarily of US, German and Dutch equities, and its total value was 102.49% of the fund’s net asset value. 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, in exchange for the return on the substitute basket. The swap is reset to zero whenever there is a creation or redemption in the fund or the maximum swap exposure exceeds 5% of the funds prevailing NAV.

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The fund levies an annual total expense ratio (TER) of 0.45%. This falls in the upper range of ETFs tracking the US small caps. However, the TER may be fully offset by swap enhancements which db X-trackers estimates to be around 0.75% per annum. The fund’s estimated tracking difference (not to be confused with tracking error) is therefore 0.30%, according to the company website. In other words, the fund is expected to outperform its underlying index by 0.30% per annum. Investors should bear in mind that the realised tracking difference may be different from this estimate. In addition, investors will typically be charged trading costs, including bid-offer spreads and brokerage commissions when buy and sell orders are placed for ETF shares.

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There are a few ETFs tracking US small cap indices. As a directly comparable alternative, investor may want to consider the Amundi Russell 2000 ETF. The fund uses synthetic replication and levies a lower total expense ratio of 0.35%.

However, the largest alternative in terms of total assets under management is the iShares S&P SmallCap 600 (DE). The fund offers narrower exposure to the low end of the market cap spectrum and charges a slightly lower TER of 0.40%.

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Über den Autor Gordon Rose, CIIA, CAIA,

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