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Analyse: SPDR MSCI Europe ETF (EUR)

Der ETF bildet den Index MSCI Europe ab, der breit gestreut ist und die Aktien von 449 europäischen Unternehmen enthält. Indexschwergewicht Großbritannien stellt alleine mehr als ein Drittel des Indexgewichts.

Alastair Kellett 27.07.2012
Rolle im Portfolio

The SPDR MSCI Europe ETF is best suited as a core building block for a portfolio, providing broad exposure to many of the largest companies in Europe. The index is well diversified by industry, and is spread over a large number of individual securities, although on a geographic basis it does tilt heavily towards the United Kingdom, which is important for investors to keep in mind when monitoring their overall portfolio mix. Over the last 10 years, the MSCI Europe Index has exhibited annualised volatility of close to 17%, implying that it may be more appropriate for those with a lengthy time horizon that can stomach the ups and downs. During the same period, it has shown correlation to the local currency returns of the S&P 500 and the MSCI Emerging Markets Index of 91% and 77%, respectively. The fund does not distribute any of the dividends paid out by its underlying constituents, instead reinvesting them immediately to maintain full exposure. Therefore, this product may not suit an investor looking for regular investment income.

Fundamentale Analyse

In the aftermath of the global financial crisis, Europe has been struggling with crises in sovereign debt and its banking system. Government-debt-to-GDP levels have gone above 100% in several eurozone countries, and for the eurozone as a whole reached 88.2% at the end of the first quarter of 2012. Ireland and Portugal have had to be bailed out by the European Union and the International Monetary Fund, and Greece has seen a full-blown restructuring of its debt, with haircuts of more than 50%. These countries’ debt troubles are also weighing heavily on the banks-- largely European ones-- that have lent to them. In the first quarter, the GDP of both the 17-member euro area and the 27-member European Union remained flat, after contracting by 0.3% in the fourth quarter of 2011. The Czech Republic, Spain, Italy, the Netherlands, Portugal, Romania, and the United Kingdom were all in technical recession, defined as two consecutive quarters of negative growth, while corresponding data was unavailable for Greece and Ireland. Against this backdrop the fate of the euro remains unclear. As long as they are using the common currency, member countries are unable to devalue in order to alleviate their debt burdens and bolster the competitiveness of their exports, which has prompted speculation that Greece, and perhaps others, will be forced to leave the Euro. 10-year government bond yields, often used as a risk barometer, spiked after German news magazine Der Spiegel suggested on July 22nd that the International Monetary Fund will cease to provide aid to Greece. Spain’s 10-year yield hit 7.45% after the news, a fresh euro-era high. The United Kingdom, whose economy is heavily reliant on the financial services sector, has perhaps benefitted from not joining the currency union but nonetheless faces high unemployment and anaemic growth. Germany has fared well through the crisis and has consequently seen its influence in the area rise considerably. Its economy grew by 1.2% in the year through the first quarter of 2012, and the unemployment rate was a relatively benign 6.8% in June. In France, newly elected Socialist president Francois Hollande has promised to emphasize growth over austerity in his dealings with the rest of Europe, and he intends to raise the top income tax rate in France to 75%. At a European Summit at the end of June, the 19th such attempt to deal with the sovereign crisis, European leaders agreed to allow troubled European banks direct access to bailout funds, which had a positive but short-lived effect on markets. In the past 10 years, performance on the MSCI Europe has been fairly weak. It has produced an annualised gain of 2.93% through June, which compares to local-currency returns of 4.69% for the S&P 500 and 12.86% for the MSCI Emerging Markets Index. Of the top constituent countries, Sweden has been the standout in that period, with an annualised return of 8.09%. France has been the weakest link, with a corresponding result of 0.85%. After bottoming out at 7.1 in January 2009, the price-to-earnings ratio for the MSCI Europe Index has climbed to 9.9 as of the end of June. That’s still well below its average level of 12.8 since 2004.


The MSCI Europe Index is a free float capitalisation-weighted index covering 16 developed markets in Europe. It has 449 mid-and large-cap constituents and covers approximately 84% of the free float-adjusted total market capitalisation of the component countries. The index is reviewed quarterly, with size cut-offs recalculated semi-annually. The universe is initially screened for liquidity, as measured by the value and frequency of trading. The median constituent has a market capitalisation of $5.4 billion. Geographically, it is heavily tilted towards the UK, which makes up 36.6% of the total. After that, top weights are France at 13.9%, Switzerland at 13.6%, Germany at 12.9%, and Sweden at 4.8%. On a sector basis the index is broadly diversified. The top weight is Financials, making up 17.4% of the total, followed by Consumer Staples and Health Care, at 15.2% and 12.5% respectively. Energy, Industrials, Materials, Consumer Discretionary, and Telecommunications each make up between 6% and 12%. The index is not very concentrated, with 21.4% in the top 10 names.


The fund uses full physical replication to try to capture the performance of its benchmark, owning-- to the extent possible and efficient-- shares in all of the underlying constituents in the same weights as those of the index. In certain circumstances it may also use derivatives to achieve its objectives. As of the end of May the fund contained derivatives positions on the Euro STOXX 50 and the FTSE 100, among its individual stock holdings. The fund is domiciled in France, is ISA eligible and has UK reporting status. It has the Euro as its base currency. At the time of writing it had assets of €315 million. Cash received as dividends from the underlying holdings is reinvested in the fund, rather than being paid out to the fund’s investors. This should reduce the cash drag that can result from accumulating dividends in advance of periodic distributions. The fund does engage in securities lending. In the 12 months through the end of June, an average of15% of the portfolio was out on loan, to a maximum of 23%. In total the lending activity added 11 basis points of net return to the fund. Generally, SPDR passes 50% of the revenue from securities lending on to unitholders. State Street Bank & Trust is engaged as lending agent, and indemnifies the fund in the event of a borrower default.


The fund has a total expense ratio (TER) of 0.30%, which is middling relative to other funds offering similar exposure. Other costs potentially borne by the unitholder but not included in the total expense ratio include bid-ask spreads on the ETF, securities lending fees, transaction costs on the infrequent occasions when the underlying holdings change, and brokerage fees when buy and sell orders are placed for ETF shares. Income generated from securities lending could potentially recoup some of the total costs.


There are plenty of choices out there for broad European equity exposure. These include UBS-ETF MSCI Europe ETF, Amundi ETF MSCI Europe, Source MSCI Europe, ComStage ETF MSCI Europe, Lyxor ETF MSCI Europe, CS ETF (IE) on MSCI Europe, iShares MSCI Europe, db x-trackers MSCI Europe TRN, HSBC MSCI Europe ETF, and ETFlab MSCI Europe. For alternatives to market capitalisation-weighted exposures, there are Ossiam ETF Europe Minimum Variance and PowerShares FTSE RAFI Europe. Of all of these, the largest are the iShares and the db x-trackers funds, with assets of roughly €1.4 billion and €970 million. The fund with the lowest TER is the ComStage product, with a TER of 25 basis points.
Über den Autor

Alastair Kellett  Al Kellett is an ETF analyst with Morningstar Europe.