Analyse: Lyxor ETF STOXX Europe 600 Personal & Household Gds

Defensive Wette in einem schwierigen Marktumfeld: Dieser ETF investiert in Konsumgüter - mit sehr hohem Anteil an Tabak-Aktien.

Lee Davidson 15.06.2012
Rolle im Portfolio

The Lyxor ETF STOXX Europe 600 Personal and Household Goods provides equity exposure to the European consumer staples market segment. Consumer staples equities are typically identified as defensive stocks due to their tendency to weather economic downturns better than most other equity sectors. The defensive characteristic applies to consumer staples firms because consumers typically buy household necessities like toothpaste, toilet paper, cigarettes, and detergent regardless of the economic climate. The index is filled with high-quality, wide-moat firms boasting defensible competitive advantages and dominant market shares. Furthermore, many of these companies operate a diverse product line dominated by trusted brand names and distributed to consumers through difficult-to-replicate supply chains.

Over the past ten years, the reference index has exhibited high correlations to the MSCI World (0.91) and STOXX Europe 600 (0.93) indices. Correlation levels of this magnitude indicate that holding this ETF offers minimal diversification benefits to the equity portion of an investor's portfolio. However, as mentioned before, investors tend to value the less pronounced cyclicality corresponding to lower volatility of this equity sector. Over the past five years, the standard deviation of returns for this index has been lower than that of the STOXX Europe 600 index (23% compared to 26%). Moreover, this ETF tends to offer substantial downside protection relative to the MSCI World index as measured by its downside capture ratio of 72.5 compared to 153.0 for the STOXX Europe 600 over the past three years. These downside capture measurements indicate that for a 10% loss in the MSCI World index, the reference index will only lose 7.25% of its value, compared to the STOXX Europe 600 which would lose 15.3%. These data points help to corroborate the basic investor thesis that lower risk and downside protection can be achieved by investing in firms in the consumer staples sector. However, given that this ETF represents firms in a single sector, this ETF is most suitable for use as a tactical tool. 

Fundamentale Analyse

The consumer staples sector has been a bright spot in the European equity space recently. Over the past three years, the reference index has climbed 19.3% annualised compared to returns for the STOXX Europe 600 of 0.1%. Given the recessionary environment of the past three years, these return figures serve to further illustrate the defensive nature of the consumer staples sector.

In May, the European Commission's consumer confidence report improved modestly reflecting consumers' expectations that unemployment fears may begin to ease. The confidence survey is typically viewed as a leading indicator for eurozone consumption, which makes up half of eurozone's economic output. That said eurozone households are currently under substantial pressure with the advent of wage cuts, government spending freezes, and record unemployment levels.

In the US, retail sales declined in April and May suggesting that consumer spending may to be losing some of its momentum built up in the past two quarters. Real personal consumption expenditures in Q1-2012 increased by 2.7% compared to 2.1% in Q4-2012, contributing to solid GDP annual growth of 1.9%. Consumption growth in Q1-2012 was fueled by increases in spending on both durable and nondurable goods. Despite recently falling retail sales, however, consumer confidence surveys published by the University of Michigan indicate a trend of improving US consumer confidence. According to the May report, US consumer confidence levels are at their highest since 2007 due to a better employment outlook and falling gas prices. 

British American Tobacco and Imperial Tobacco alone account for 33% of the index's overall value and figure to be key drivers of the index's performance. British American (24%) produces an addictive product and distributes it globally, maintaining an especially strong presence in Latin America with a near 50% market share. Global sales volume is equally split amongst the various quality tiers of premium, midprice, and value products. As such, British American maintains an enviable arrangement to capture any shift in consumer preferences given a corresponding shift in income. As governments continue to struggle to balance their budgets, tobacco firms are among the easiest targets for generating tax revenue via higher excise taxes. Tobacco firms face the risk that if excise taxes rise, sales volume will fall as smokers quit.

Luxury goods are perhaps a peculiar addition to this index, but nonetheless represent over 27% of its overall value. Burberry trench coats and Louis Vutton bags don't often get lumped into the same category as toilet paper and toothpaste, but ironically, these luxury producers have a propensity to exhibit the same defensive qualities as other consumer staples producers. Regardless of economic environment, higher net-worth individuals do not usually soften their demand for luxury items. Going forward, expansion into Asian markets and product innovation should be key growth drivers. However, luxury producers face the ever-present risk of shifting consumer preferences for their brands as fashions, tastes, and trends are constantly evolving. 

Indexkonstruktion

The STOXX Europe 600 Personal & Household Goods Index is a total return index and a subset of the broader STOXX Europe 600 index, which covers about 90% of the aggregate market capitalisation of the eligible countries. The components are selected from publicly-traded companies headquartered in the 18 eligible countries within Europe. The index is free-float adjusted and market capitalisation weighted. Because closely held firms will have a smaller piece of their aggregate market capitalisation floated on public exchanges, the free-float adjustment serves to ensure the underlying liquidity of the holdings is superior relative to a pure market capitalisation weighting. As of this writing the index has 30 components. The index is biased towards the UK (47% of the index’s value), followed by France (20%) and Switzerland (11%). Moreover, the index is very top-heavy with the top 5 constituents accounting for almost 60% of its total value. British American Tobacco alone represents 24% of the index’s value, followed by LVMH (11%) and Imperial Tobacco (9%).

Fondskonstruktion

The Lyxor ETF STOXX Europe 600 Personal & Household Goods Index uses synthetic replication to track the STOXX Europe 600 Personal & Household Goods Index. To achieve this performance, the fund buys a basket of securities and enters an un-funded swap with parent company Societe Generale. Under this agreement, the bank gives away the performance of the index in exchange for the performance of the fund’s holdings. In line with UCITS requirements, counterparty risk exposure mustn’t exceed 10% of the fund’s net asset value (NAV). This means that the ETF's holdings must represent at least 90% of the fund’s net asset value at the end of any given day. As of writing, the majority of the ETF's holdings are comprised of European blue chip equities. In addition, the ETF holds a fund (representing about 7% of its NAV) that invests in a repo fully collateralised with UK equities. The repo agreement helps to partially offset the value of the swap, thus reducing counterparty exposure. Lyxor’s risk department monitors the fund’s holdings and swap exposure on a daily basis. No securities lending is implemented within this fund, which limits counterparty risk at the fund level. Dividends are accumulated throughout the year and held in a ‘cash bucket’ until they are distributed to fund holders once a year. This dividend treatment can potentially create a drag on return in upward trending markets because dividends are not reinvested into the fund. In practice this cuts both ways. It could also result in outperformance if the benchmark falls. The fund’s cash bucket is currently earning the EONIA rate.

Gebühren

The fund levies a total expense ratio (TER) of 0.30%. This lies in the middle of the range for ETFs tracking the European consumer staples sector.

Alternativen

As of writing, there are a few alternative ETFs offering equity exposure to the European consumer staples sector. The largest alternative in terms of total AUM is the Source STOXX Europe 600 Optimised Personal and Household Goods ETF. Given the lower cap applied on the maximum weight per index constituent, this optimised index version is less biased towards the UK (40% of the index’s value) and British American Tobacco (15%). The fund uses synthetic replication to achieve its investment objective and levies a TER of 0.30%.

Investors can also make use of the SPDR MSCI Europe Consumer Staples ETF. The SPDR ETF makes use of full physical replication and levies a total expense ratio of 0.30%. The ETF’s MSCI benchmark is less biased towards British American Tobacco (10.7%) and favours Nestle (21.5%) relative to the STOXX sector index.

Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.