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Update: Lyxor UCITS ETF Stoxx Europe 600 Oil & Gas

Risikobereite und antizyklisch handelnde Investoren haben die Möglichkeit, mit diesem ETF in die Aktien von Öl-Unternehmen aus Europa zu investieren.  Historisch lag die Korrelation zwischen diesem Index und dem Ölpreis bei nahe 1. Die hohe Konzentration dieses Index ist dabei zu beachten.

Kenneth Lamont 12.02.2016

Rolle im Portfolio

The Lyxor UCITS ETF Stoxx Europe 600 Oil & Gas ETF provides exposure to top-tier Europe-domiciled oil and gas producers. Given the nature of the oil and gas industry, the exposure gained through this exchange-traded fund is not Europe-specific but rather linked to the global energy markets.

Investors looking to invest in this fund as an indirect way of gaining exposure to energy prices, and to the price of oil in particular, must understand that the companies making up the STOXX Europe 600 Oil & Gas operate at various levels of the energy value chain and, as such, have various degrees of sensibility to fluctuations in the price of the commodities. In fact, this ETF has had a relatively high correlation (0.85) with the price of WTI crude oil over the trailing five-year period.

Much weaker has been the correlation with natural gas over the same period (0.11). This is not particularly surprising given that historically, revenues generated by the oil majors from natural gas have been dwarfed by those gained from crude oil. For this reason, despite the appearance of gas in the fund's name, investors should think twice before using it as a proxy for the price of natural gas.

Investors should be mindful of the idiosyncratic or firm-specific risk inherent to this ETF as the STOXX Europe 600 Oil & Gas index is highly concentrated--as would be expected of a sector index--with the top five constituents comprising around 80% of its value.

Oil & gas stocks, in part because of their connection with energy prices, are generally considered to be more volatile than other equity market sectors. This can be observed in the higher 10-year standard deviation of the reference index (19%) when compared with its parent, the Stoxx Europe 600 Index (15%).

Fundamentale Analyse

Integrated oil and gas companies, which make up more than 80% of the index weight, have operations that span the full energy value chain. These companies explore for and produce oil and gas (upstream operations), transport it, refine or process it, and sell it to end users (downstream operations). By integrating across the energy value chain, these firms are able to gain much tighter control over the production and sale of the commodities and to keep profits they would otherwise have to share with middlemen in the form of economic rents.

Another feature of the integrated model is that the exposure to the price of oil and gas is cushioned. Firms operating "upstream" tend to incur high fixed costs (drilling equipment, and so on) and sell oil at market prices, making them sensitive to fluctuations in the price of the commodity. By comparison, firms operating "downstream" such as refineries, provide a service for a fee that remains relatively stable in the face of movements in the price of oil.

In addition to being diversified across the full value chain exposure, fully integrated firms are diversified across the energy spectrum, with an increasing amount of revenues deriving from alternative energy sources such as renewables.

The damping effects of this diversification can be seen in the impact of tumbling oil prices since the summer of 2014. As the WTI crude spot price has dropped by more than 70%, the Lyxor Europe 600 Oil & Gas ETF has seen losses limited to 35%. Oil companies have scrambled to adapt to "cheap oil" by shedding staff and postponing or cancelling billions of euros of new projects.

Total, currently the largest single holding in the target index, is a good example of a fully integrated oil and gas company. The French giant produces more than 2 million of barrels of oil equivalent a day (approximately 50% is oil). It also operates a global refinery and chemical footprint, most of which is in Europe but also in Saudi Arabia, Korea, and Texas. Finally, the company owns a multitude of downstream and marketing assets, a 18% interest in Novatek (Russia's second-largest natural gas producer), and roughly two thirds of SunPower, a U.S. solar company.


The STOXX Europe 600 Oil and Gas Index is constructed using a free-float market-capitalisation-weighting methodology applied to oil and gas sector constituents of the broad STOXX Europe 600 Index. Underneath the oil and gas supersector umbrella are the oil and gas producers, oil equipment/distribution, and alternative energy subsectors. As would be expected of a sector index, the STOXX Europe 600 Oil and Gas Index is relatively top-heavy with the top five index constituents comprising around 80% of its value. The largest holding is Total (~27%), followed by Royal Dutch Shell (~13%), BP (~15%), Eni (~10%), and BG Group (~12%). As of writing, the index has 32 constituents. Based on the firms' domicile, the index is biased towards the UK and France. However, most of these companies operate globally so any geographic bias is less relevant. Individual constituents weightings are not capped, but they are adjusted on a quarterly basis in March, June, September, and December as part of the review of the STOXX Europe 600.


This ETF uses synthetic replication to track the STOXX Europe 600 Oil & Gas Net Return Index. To achieve this performance, the fund buys and holds a basket of securities and simultaneously enters an unfunded swap agreement with parent company Société Générale. Under this agreement, the ETF receives the performance of the index (net of a positive or negative swap spread) in exchange for the performance of the fund's holdings. Lyxor commits to targeting zero counterparty risk exposure. The swap is therefore reset whenever the swap value becomes positive. Swaps may sometimes have a negative value, which would indicate an overcollateralisation of the fund. The substitute basket, which can change daily, is made up of liquid stocks that belong to major indexes and maintain a minimum average trading volume and market capitalisation. As of this writing, the holdings represent 100.09% of fund's net asset value, which means the ETF has a negative swap exposure of negative 0.09% to Société Générale. The holdings, which are monitored daily by Lyxor’s asset manager, are held in a segregated account at Lyxor’s custodian, Société Générale Security Services. No securities lending is implemented within this fund.


The fund levies a total expense ratio of 0.30%. This lies in the middle of the range of ETFs providing equity exposure to the European oil & gas sector. As this fund uses synthetic replication, investors are exposed to swap spreads, which can be positive or negative. Over the past three years, swap enhancements have led to an outperformance of the fund relative to its benchmark. There are additional, investor-specific costs associated with trading the ETF, including bid/offer spreads and brokerage commissions, which should be factored into an investment decision.


There is an array of ETFs providing exposure to the European oil & gas equity sector.

The most popular of them, as measured by assets under management, is the physically replicated iShares STOXX Europe 600 Oil & Gas (DE) ETF. Despite charging a higher-than-average total expense ratio of 0.46%, this fund has outperformed all other directly comparable ETFs over the past two years, as measured by tracking difference.

Alternatively, investors may consider the synthetically replicated Amundi ETF MSCI Europe Energy ETF (trading expense ratio of 0.25%). While offering broadly similar exposure to the STOXX Europe 600 Oil & Gas Index, the MSCI Europe Energy gives an overweighting to UK equities.

Über den Autor

Kenneth Lamont  ist Fondsanalyst bei Morningstar.