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Update: iShares STOXX Europe 50 UCITS ETF

Dieser ETF könnte wegen seiner breiteren Diversifikation eine bessere Alternative als sein ungleich bekannterer Bruder sein: Im Gegensatz zum Euro STOXX 50 sind im STOXX Europe 50 auch die Schweiz und Grossbritannien vertreten.

Hortense Bioy, CFA 09.01.2015

Rolle im Portfolio

The iShares STOXX Europe 50 UCITS ETF is a suitable vehicle for investors seeking broad exposure to Europe's largest equities. This ETF may be most useful as a core portfolio building block, but it can also be used tactically to overweight a portfolio's exposure to European blue chips.

The inclusion of Switzerland and the UK, which combined account for about 50-60% of the fund's value, makes this ETF a somewhat more diversified option than a strict Eurozone equity benchmark like the EURO STOXX 50. Still, at 0.97, the trailing ten-year historical correlation between the STOXX Europe 50 index and the EURO STOXX 50 index has been near-perfect and any large-cap developed Europe fund will likely be highly correlated with this ETF as well.

Fundamentale Analyse

The fortunes of European stocks turned around in the summer of 2012 when European Central Bank 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 Stoxx Europe 50 (EUR) Index has risen by around 38% (to end November 2014), against a backdrop of low interest rates, extremely loose global monetary policies, and an improving outlook for the global economy.

That said, it would be a mistake to view Europe as a uniform market given the differences in the region’s economies. For example, growth in the Euro area remains lacklustre, while the UK has experienced an astonishing recovery. As a result, UK interest rates are expected to rise sometime in 2015. In contrast, the European Central Bank has been drawn into more accommodative policies to address the risk of deflation and reflate domestic demand.

Just as it would be a mistake to view all European countries as identical to each other, it would be a mistake to believe that all blue chips are the same in all parts of the continent and driven by the same economic fundamentals. For example, UK and Spanish mega caps are dominated by global banking groups that still derive a significant part of their revenues from their domestic markets. In contrast, Swiss mega-caps, e.g. healthcare and consumer goods heavyweights, are all large, globally-exposed companies with relatively less Swiss and EU-derived revenues.

Indexkonstruktion

The STOXX Europe 50 EUR index tracks the share price performance of 50 companies selected from a list of publicly-traded companies headquartered in Europe. The list of eligible companies is ranked by market-capitalisation and the 40 largest are automatically included in the index. The next ten are chosen from the companies ranked 41st to 60th with preference given to existing components in order to reduce turnover. The components are weighted by free-float adjusted market capitalisation, with each component capped at a maximum of 10% of the overall index. The STOXX Europe 50 TR EUR is reviewed in September of each year. The financial sector is the largest sector represented with a 23-26% weight, followed by consumer goods (19-22%), healthcare (16-19%), oil & gas (12-15%), and basic materials (9-12%), while the UK and Switzerland have the largest country weights, accounting for about 31-34% and 22-24% of the index's value respectively. Novartis, Nestle and Roche are the top constituents with a 5-7% weight each.

Fondskonstruktion

The iShares STOXX Europe 50 uses full replication to track the performance of the STOXX Europe 50 index on a net total return basis. The fund holds all the constituents of the index in the same weightings stipulated by the index. The fund uses futures for cash equitisation purposes, which helps to reduce tracking error. The fund buys all the securities within the index in the same weightings stipulated by the index. iShares engages in securities lending to generate additional revenues. Gross lending revenue is split 62.5/37.5 between the fund and lending agent BlackRock, with the latter covering all the operational costs. For the year ended September 2014, the net return to the fund was 0.05%. Although this activity helps to offset part of the fund's holding costs, it potentially exposes investors to counterparty risk. To protect the fund, borrowers are requested to post 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. The website reveals that 6.2% of the fund’s net asset value (NAV) was lent out on average over the year ended September 2014, with a maximum on-loan level on any single day of 19.5%. As a general rule, the amount of assets that iShares ETFs are allowed by BlackRock to lend out at any one point in time is capped at 50%. As an additional safeguard, BlackRock provides a guarantee for its ETFs in the event of a borrower default – if a shortfall existed between the collateral and the cost to repurchase a loaned security, BlackRock would reimburse the fund in full.

Gebühren

The iShares STOXX Europe 50 (DE) charges a total expense ratio (TER) of 0.35%, which is towards the high end of the range for ETFs tracking the STOXX Europe 50. However the tracking difference (fund return - index return) over the last few years suggests that the TER is partially offset through the use of tax optimisation (the fund enjoys a better withholding tax rate than the index). On top of holding costs, ETF investors will typically be charged trading costs, including bid-offer spreads and brokerage commissions, when buy and sell orders are placed for ETF shares.

Alternativen

There are four alternative ETFs tracking the performance of the STOXX Europe 50, each with significantly lower TERs. Among these, Amundi charges the lowest fees with a TER of 0.15%.

Investors looking to gain broad exposure to Europe could also turn to ETFs that track alternative indices such as the MSCI Europe or the STOXX Europe 600. Both indices are more diversified from the perspective of individual stocks, sectors and countries.

Investors may also consider ETFs tracking the EURO STOXX 50 index--which excludes non-EMU countries such as the UK and Switzerland. It is the most widely followed index in Europe, and the ETFs that track it have some of the lowest TERs around, including the db x-trackers EURO STOXX 50 ETF (DR) 1C, which carries a TER of 0.09%.

Über den Autor Hortense Bioy, CFA

Hortense Bioy, CFA  is director of passive fund research in Europe.