Update: Amundi ETF Jpx-Nikkei 400 UCITS ETF Daily Hedged

Dieser ETF versucht, aus dem japanischen Aktienuniversum Qualitätstitel zu identifizieren. Das bedeutet: Nachhaltige Profitabilität und Eigenkapitalrendite, keine aggressiven Aktienrückkäufe oder kurzfristig hohe Dividenden. Mit 18 Basispunkten ist es der günstigste ETF auf den noch jungen Index Nikkei 400 und ist währungsgesichert.

Kenneth Lamont 01.07.2016

Rolle im Portfolio

The Amundi ETF Jpx-Nikkei 400 provides broad exposure to small-, mid-, and large-cap 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 broader than the popular MSCI Japan Index (400 constituents versus 300) and is broadly representative of the available opportunity set. That said, a style tilt towards large-cap stocks when compared with the category average shouldn’t be overlooked.

As the fund was launched at the beginning of 2014, it lacks a sufficient track record for us to fairly evaluate performance. However, if we look at the index back-test, we can see it has comfortably outperformed both the rival MSCI Japan JPY and TOPIX JPY indexes on a risk-adjusted basis since available records begin in mid-2006, a period of observation that includes periods of severe market stress.

Charging a total expense ratio of just 0.18%, the fund is currently the cheapest ETF tracking the Nikkei 400 index and one of the cheapest passive funds offering exposure to broad-basket Japanese equities. The fund is offered in currency-unhedged and -hedged (EUR, GBP, USD, CHF) share classes.

In sum, the low TER and focus on sustainable long-term performance has helped make this ETF a worthwhile option available for investors looking to take a view on the Japanese stock market.

Fundamentale Analyse

Launched in January 2014, the JPX-Nikkei 400 Index is somewhat unique in that it owes its existence to government-led efforts to improve Japanese companies’ corporate governance. It screens companies according to their profitability, shareholder return, and superior corporate governance. Dubbed the “shame index,” it has generated headlines in Japan and elsewhere as it directly points the finger at companies which are either unprofitable or have demonstrated subpar corporate governance.

The index has been specifically designed to encourage a virtuous cycle of change in the Japanese corporate world by rewarding well-run companies that prioritise the interests of shareholders and by pressuring excluded companies into changing their ways.

For example, during its constituent review in August 2014, Sony was not included because of dwindling operating profits, which had led to reporting losses in the previous six years. Panasonic, on the other hand, was awarded a place in the index thanks to healthy profits through strong demand for its core products and new businesses, such as batteries for electric cars.

Like traditional benchmarks such as the MSCI Japan and TOPIX, the Nikkei 400 weighs constituents based on market cap, except that it does so after selecting stocks based on certain factors and individual securities are capped at 1.5%. The stock-selection process effectively offers investors "quality" screened exposure to Japanese equities.

Inclusion relies on a series of quantitative and qualitative factors. A company’s three-year average return on equity and three-year operating profits are the two key eligibility criteria, and the combination of the two ensures that companies with short-term practices will be penalised with exclusion from the index. For example, a company that does not make profits but has stockpiled a substantial amount of cash which it then distributes back to the shareholders to increase its ROE would not qualify for inclusion.

Ahead of the quantitative screening, the companies are scrutinised for qualitative factors. Companies are required to report in English, employ the International Financial Reporting Standards framework, and have independent directors.

As the fund was launched at the beginning of 2014, it lacks a sufficient track record for us to fairly evaluate performance. However, if we look at the index back-test, we can see it has comfortably outperformed both the rival MSCI Japan JPY and TOPIX JPY indexes on a risk-adjusted basis since available records begin in mid-2006, a period of observation that includes periods of severe market stress.

Indexkonstruktion

The JPX-Nikkei 400 Index 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 IFRS 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 (17%), with consumer defensive, healthcare, technology, and financial services each taking around 10%.

Fondskonstruktion

The fund uses the synthetic replication method to track the JPX Nikkei 400 Total Net Return Index. The fund uses unfunded swaps. Specifically, Amundi ETF buys and holds a basket of securities and simultaneously enters into a swap agreement with a counterparty BNP Paribas, which commits to pay the index performance (net of swap spread) in exchange for the performance of the fund holdings. At the time of writing, the substitute basket consists mainly of stocks from the MSCI Europe Index and/or stocks from the underlying index and, to a lesser extent, stocks in the S&P 500 and/or the Nikkei 225. Additionally, the UCITS 5/10/40 diversification rule applies. Up-to-date holdings, which can change daily, are available on Amundi's website. Amundi aims to maintain zero daily counterparty exposure. To achieve this, the portfolio manager resets the swap on a daily basis regardless of exposure. In the event of a swap-counterparty default, Amundi may appoint another swap counterparty, switch to physical replication or return funds to investors by liquidating the ETF. No securities lending is implemented within this fund.

Gebühren

The fund levies a total expense ratio of 0.18%, making it the cheapest ETF tracking the JPX-Nikkei 400 Index and the second-cheapest tracking broad-basket Japanese equities. The annual tracking difference (fund return less index return) for the fund since inception suggests 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.

Alternativen

As of this writing, several providers in Europe offer a suite of 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 (0.18% TER), followed by db x-trackers (0.20% TER) and Source (0.20% TER). These three providers also offer currency-hedged versions in EUR, GBP, and USD, while as of this writing iShares offers only 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 Index, which tracks around 300 of the largest companies in Japan. UBS (LU) MSCI Japan ETF offers tight tracking difference for a TER of 0.35%.

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.