Update: Lyxor JPX-Nikkei 400 UCITS ETF Daily Hedged C-CHF

Profitabilität, Eigenkapitalrendite, keine aggressiven Aktienrückkäufe: Dieser ETF versucht, aus dem japanischen Aktienuniversum Qualitätstitel zu identifizieren. Diversifikation durch enge Limits für Einzeltitel.

Kenneth Lamont 26.02.2016

Rolle im Portfolio

The Lyxor JPX-Nikkei 400 UCITS ETF provides broad exposure to small, mid-, and large capitalisation Japanese companies that are screened for good governance.

The ETF tracks the Nikkei 400 Index, which selects companies on a mix of qualitative and quantitative factors, including profitability and return on equity. The index excludes companies that engage in short-term policies, such as distributing very high dividends or aggressive buybacks, which may harm long-term profitability. The index is well-diversified at stock and sector level.

The Nikkei 400’s focus on sustainable long-term performance makes this ETF particularly suitable as a core developed equity holding within a geographically diversified portfolio. It can also be used as a tactical trade for those wishing to take a view on the Japanese stock market.

This ETF is offered in currency-unhedged and hedged (CHF, EUR, GBP, USD) share classes. The foreign-exchange hedge is set on a daily basis. The decision of whether to use hedged or unhedged products depends on two factors: the holding period and personal attitudes to risk. Because of the higher costs associated with currency hedging and the fact that, over very long periods of time, currency-hedged and unhedged returns tend to converge, these products tend to work best over shorter time periods.

The fund is offered in an accumulating class, and therefore it is not suitable for income-seeking investors.

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Fundamentale Analyse

Japan, the world’s third-largest economy, has struggled for the best part of the past three decades against persistent deflationary pressures and a spiralling public-debt burden, precipitated by the falling tax revenues associated with an aging population and weak levels of growth.

In late 2012, Prime Minister Shinzo Abe announced the launch of a package of fiscal stimulus, monetary easing, and structural reforms designed to kick-start the country’s stagnant economy. The direct effect of these policies, collectively known as "Abenomics," has been an abrupt fall in the yen.

The markets responded very favourably in 2013, with the Topix (a proxy for the broad Japanese equity market) rising more than 50%. The weak yen has had a particularly dramatic effect on export-oriented firms like Toyota or Sony, which generate 70%-80% of their revenue abroad. Over the trailing three-year period to February 2015, Japanese equities have outperformed global equities--as measured by the MSCI World--by an annualised 7.1%.

The reality, however, is that gross domestic product growth remains meagre and deflationary pressures persist. That’s why, in a further attempt to stimulate domestic demand and promote capital investment, the Japanese central bank introduced negative interest rates in early 2016.

Despite the economy stagnating, the industrials sector--one of the largest in the index--is still one of the most advanced and innovative in the world, with the automobile industry being particularly strong.

Looking forward, the Trans-Pacific Partnership free trade agreement should benefit the Japanese economy but will also require major changes in some of the most protected industries. Further steps taken by the government include improving the flexibility and the productivity of the labour force, which is hampered by long-term job security, seniority-based wages, limited female participation in the workforce, and company-based labour unions.

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Indexkonstruktion

The JPX-Nikkei 400 Index was created in 2013 to better reflect the new reality of the Japanese economy, in particular the initiation of government-led efforts to improve Japanese companies’ corporate governance. The JPX-Nikkei 400 consists of 400 companies selected in descending order of aggregated scores resulting from a screening process mixing quantitative and qualitative factors. To ensure diversification, the index sets a 1.5% cap at constituent level. The quantitative filtering is based on ranking scores determined by the companies’ three-year average return on equity (40%), three-year cumulative operating profits (40%) and market capitalisation (20%). Equal importance is assigned to both return on equity and operating profit on the principle that companies with a strong focus on shareholders are also expected to have profitable operations. The qualitative screening focuses on corporate governance credentials. Eligible companies must employ independent directors, use the International Financial Reporting Standards framework, and disclose comprehensive earnings information in English. The index is rebalanced quarterly, and the basket of constituents is fully reviewed once per year on the last day of August. At the time of writing, the fund offers the highest sector exposure to industrials (20%) and consumer cyclicals (18%) with consumer defensive, healthcare, technology, and financial services, each taking around 10% of weight.

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Fondskonstruktion

Lyxor uses full physical replication to replicate the performance of JPX Nikkei Net Total Return Index. The fund holds all the index securities in the same weightings stipulated by the index. It is worth noting that this ETF switched from synthetic to physical replication in July 2015. Lyxor engages in securities lending within this fund to improve its performance. The amount of securities that can be lent is capped at 25% of assets under management, although the maximum amount lent by this fund since it began securities lending is only 0.18%. The fund has lent an average of 0.06% net asset value since July 2015, returning less than 0.01% in additional revenue in the process. Lending operations are hedged by taking UCITS-approved high-quality collateral (for example, blue-chip stocks and G7 government bonds) in excess of the loan value. The level of overcollateralisation is set at 105% for bonds and 110% for stocks. Both loan and collateral values are marked-to-market daily. As of this writing, the collateral basket is collateralised to 116.94%. The lending agent, Société Générale Securities Services, routinely monitors the quality of accepted borrowers and also provides full indemnification to the ETF in case of a borrower failure to return the securities. Gross lending revenue is split as follows: min 65% to the ETF, max 20% to Lyxor, and 15% to the lending agent. Portfolio managers may use futures for cash-equitisation purposes. However, its use rarely exceeds 1% of the ETF’s NAV.

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Gebühren

The fund levies a total expense ratio of 0.25%. This lies below the average for ETFs tracking both the JPX-Nikkei 400 Index and other broad Japanese equity indexes. The annual tracking difference (fund return less index return) for the fund in 2015 was 0.43%, suggesting that the total holding cost per year is higher than the total expense ratio. 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.

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Alternativen

Given its rising popularity, several providers in Europe offer a suite of currency-hedged and unhedged ETFs tracking the Nikkei 400 Index. Levied fees range between 0.18% and 0.45% per year. In the unhedged range, the cheapest is Amundi (synthetic; 0.18% total expense ratio), followed by db x-trackers (physical; 0.20% total expense ratio), and Source (synthetic; 0.20% total expense ratio). These three providers also offer currency-hedged versions in EUR, GBP, and USD, while, as of this writing, iShares only offers a EUR-hedged version.

Investors seeking broad equity exposure to Japanese equities have several options in addition to the Nikkei 400.

The cheapest Japanese equity exposure is offered by the physically replicated db X-trackers Nikkei 225 ETF, which charges a management fee of only 0.09%. Despite the similarities in name, the Nikkei 225 doesn’t employ the same "quality filters" as its larger stablemate the Nikkei 400, instead weighting constituents solely based on their market price.

The most commonly tracked Japanese equity index is the cap-weighted MSCI Japan, which tracks around 300 of the largest companies in Japan. The UBS (LU) MSCI Japan ETF offers tight tracking difference for a total expense ratio of 0.35%.

The iShares Core MSCI Japan IMI ETF offers broader market exposure (approximately 1,200 constituents) for an even lower fee (total expense ratio of 0.20%).

Finally, the broadest market exposure to Japanese equity is provided by funds tracking the Topix index, which is made up of around 1,900 constituents. The cheapest Topix ETF is provided by Comstage, which charges a fee of 0.25%.

Über den Autor

Kenneth Lamont  ist Fondsanalyst bei Morningstar.