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PIP REVIEWS p r i va t e & i n s t i t u t i o n a l p o r t f o l i o


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Contents 1.

Managing Market Risk–Did Fund Managers Learn Their Lesson From the Recent Crisis? Lipper


ETFs for Professionals EasyETF, BNP Paribas

3. Time to Invest in Commodities ETFs EasyETF, BNP Paribas Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds


iShares BlackRock 5.

Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR Commerzbank


The Fundamental Difference: PowerShares FTSE RAFI ETFs Invesco Powershares


Maximum Drawdown as Risk Measure for Assessment of Extreme Losses AVANA Invest


Performance Calculations for iShares ETFs iShares BlackRock


ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds

German Article


Managing Market Risk–Did Fund Managers Learn their Lesson from the Recent Crisis? Lipper

In the last decade investors and fund managers faced two major

average return of the analyzed funds was below the market

crises in the stock markets, both with drawdowns around 50% on

average. As seen in the graph below the analyzed funds showed

average. These losses in their portfolios led investors to question

much lower variation compared to the market benchmark during

whether and what their fund managers learned from these

the second period (January 1, 2006–December 31, 2010).

periods. To answer this question Lipper and Avana Invest GmbH ran a study on the maximum drawdown of actively managed

These findings lead to the assumption that the asset managers

funds registered for sale in Germany that invest in Asia/Pacific,

tightened the risk budgets of the funds and gave the fund

Europe, and North America as well as globally. To analyze the

managers stricter guidelines in terms of acceptable risks they

behavior of actively managed funds in terms of the maximum

could use to outperform the benchmarks. As a result of these new

drawdown of funds, the study covered two different periods.

paradigms, fund managers started to hug their benchmarks even

The first period was during the bursting of the technology bubble

more closely during the negative market periods. Since the risk of

(January 1, 2001–December 31, 2005), while the second period

funds is in general measured against their respective benchmark,

was the financial crisis (January 1, 2006–December 31, 2010).

this kind of behavior covers the position of the fund manager by protecting him from unexpected risks. Even though this behavior

The study showed that the markets, measured by the movements

seems to be common sense, this kind of risk assumption within

of the broad market indices, exhibited similar drawdowns in

today’s risk management approach does not always fit the

the different regions during both periods. This result, generally

needs of investors; they are looking for risk-adjusted returns and

speaking, was not surprising, since risky assets tend to narrow

managers who can preserve their wealth in absolute instead of

their correlations and therefore move in the same direction

relative terms.

during such periods. Opposite of the markets, the analyzed funds showed a different behavior over the periods. Since the general

From my perspective the asset management industry has to

results in the different regions showed the same picture, one

better follow the needs of investors and start to use the, in some

needs to look at only one of the fund categories to estimate what

cases, endless opportunities given by their investment guidelines

was happening in the other regions. For this reason all of the

(the fund prospectus) very actively; otherwise, investors may

mentioned results are based on the peer group Equity Europe.

start to allocate even more money to pure-beta instruments

During the first period (January 1, 2001–December 31, 2005) a

such as exchange-traded funds (ETFs). To achieve these goals

number of actively managed funds in the Equity Europe category

fund managers need to use all allowable opportunities of their

showed much smaller losses than the markets did, but because

investment guidelines and seek superior returns by using multiple

other funds showed much higher losses than the markets, the

asset classes for their allocations. In other words, fund managers

Managing Market Risk–Did Fund Managers Learn their Lesson From the Recent Crisis?

need to become more active instead of focusing solely on their benchmark during negative market scenarios.

Drawdown of Active Managed Mutual Funds (blue) versus the MSCI Europe TR EUR (orange)

ETFs for Professionals EasyETF, BNP Paribas

In April 2009, Europe surpassed the United States in terms of the

Clarity of choice

number of its ETFs, and the pace of development has not slowed

Today, the EasyETF range covers a total of 48 trackers across

since. With 1,154 ETFs and 3,954 listings on 23 exchanges,

all asset classes. The product range provides a comprehensive

European ETF providers managed USD 318 billion as at the end of

product and strategy choice for our investors:

May 2011 and had more than 1 000 new products in the pipeline for the European market1 . Competitive pressure has led many

ETF providers into a constant flow of new product launches and

series of broad market ETFs tracking the US, European, Asian

the need for differentiation has engendered the development of

and emerging markets. Our sector products (Stoxx Europe 600

many small niche markets. Even so, assets remain concentrated

sectors) allow targeted allocation within European sectors.

Country and geographic equities - THEAM offers a

in ETFs referenced to the main market indices, and the high level of niche innovation may simply be complicating matters for

investors, who are increasingly demanding a return to simplicity

rated European sovereign bonds with different duration. The

and quality.

EuroMTS Fed Funds index (synthetically replicated) provides

With the creation of THEAM, resulting from the merger of BNP

access to the US money market. Investors can take credit spread

Paribas Asset Management’s SIGMA teams and Harewood

exposure through the iTraxx series. The EasyETF iBoxx Liquid

Asset Management, BNP Paribas had the opportunity to adapt

Sovereigns Global fully replicates Markit’s index, comprising 30

its ETF strategy to meet these new market challenges and to fit

investment grade eurozone sovereign bonds.

Fixed income -The iBoxx index series focuses on highly

the EasyETF range within the global product range it offers its clients.

THEAM is an investment specialist offering investment solutions

GSCI Indices, with different weightings across five commodities

across all asset classes, from pure and enhanced beta to alpha

segments. While EasyETF S&P GSCI Ultra Light Energy has a

products. With EasyETF, THEAM provides investors with liquid

reduced weighting in energy, EasyETF S&P Light Energy Dynamic

investment instruments, allowing easy and reactive exposure to

replicates an optimised index that dynamically adjusts the

broad market benchmarks.

monthly roll of futures. EasyETF S&P GSCI Capped Commodities

Commodities - Our commodities range covers three S&P

35/20 was the first commodities ETF launched worldwide, back in 2005. Today, its assets amount to USD 794 million3.

ETFs for Professionals

Thematic - THEAM offers ETFs linked to alternative asset

Finally, there is the ongoing debate between providers who offer

classes such as real estate, infrastructure and environmental

synthetic replication and those providing physical replication.

opportunities. The EasyETF FTSE EPRA Eurozone offers access

THEAM believes that each of these techniques has its benefits

to listed real estate stocks across different sectors (residential,

and constraints. Full replication is a simple and highly transparent

industrial and offices, diversified, etc.) and enables investors

method. Yet, when dealing with some difficult-to-access asset

to benefit from this growing sector with a single, cost-efficient

classes, or indices with a large number of underlying components,


synthetic replication presents benefits: i) easy access to exotic markets; ii) low tracking error; iii) cost efficiency. However,

In search of performance and quality

investors should note that synthetic replication induces a specific

THEAM has an institutional client base and is fully aware of the

counterparty risk.

quality requirements of such sophisticated investors, who seek only sound marketing arguments when judging products.

Depending on the characteristics of the index, THEAM will select

For example, we are currently witnessing a marketing war in

the optimal technique for its ETF. At THEAM, it is targeted that

terms of management fee levels. Yet total costs are not limited to

50% of the ETF assets are replicated in full and 50% are replicated

the ETF management fees as almost all providers draw revenues

synthetically. Thanks to our long experience and expertise in index

from other sources, such as swap margins or securities lending.

and derivatives instruments, we aim to adopt a more balanced

THEAM’s track record reflects the fund manager’s continuous


efforts to optimise different sources of returns, e.g. fiscal dividend optimisation and on its swap-based product range, the open-

Backed by BNP Paribas’ rigorous risk management

architecture structure, which ensures real competitive bidding.


Liquidity is also important for investors, but they can sometimes

With increasing use of synthetic replication in the market,

be confused as to the measure of liquidity. When creating an

regulators have recently raised concerns over ETFs that use

ETF, THEAM ensures that the underlying index is sufficiently

derivatives, mainly around the collateral arrangement and swaps

diversified and that the index components have good liquidity.

counterparty risk.

As long as the underlying stocks are liquid, the liquidity of the ETF will be ensured, thanks to the primary creation and redemption

EasyETF is established under the UCITS III framework to ensure


investors are offered a transparent and diversified investment portfolio. When implementing synthetic replication, THEAM

In secondary market trading, market makers also play an

will only hold quality assets in the fund, e.g. large cap European

important role as to liquidity. THEAM works with 20 market

equities or minimum AA- rated money market instruments. The

makers and authorised participants in the market on a multi-

derivatives exposure and diversification rules are in line with the

market maker model, which ensures market liquidity and a tight

UCITS III guidelines, e.g. exposure to a single counterparty may

bid-offer spread on the ETFs.

not exceed 10% of the fund’s assets. To mitigate counterparty risk, swaps contracts are concluded only with eligible counterparties

ETFs for Professionals

that satisfy BNP Paribas Investment Partners’ risk requirements. THEAM favours an open-architecture swap bidding process so as to reduce transaction costs and counterparty risk. EasyETF synthetic ETFs benefit from the THEAM structuring team’s expertise in obtaining the best market conditions for their swaps in terms of price, credit risk and quality of service. Additional swap features, such as early termination options for all synthetic ETFs and over-collateralisation for our credit and commodities ETF range, have been implemented with the intention of further reducing counterparty risk.

ETFs using full replication also benefit from rigorous risk management with the use of internal and external tools (pre-trade system, corporate action analysis, tracking error calculations, etc.). Securities lending activity is closely monitored by BNP Paribas Investment Partners’ risk department and all lending transactions are fully collateralised.

Conclusion As the ETF market matures, investors are becoming more demanding, increasingly seeking quality ETF products in terms of performance, cost and transparency. THEAM’s business model offers a wide selection of EasyETF products, each carefully designed to enable investors to build their portfolio in an efficient and cost effective way. Apart from the EasyETF platform, THEAM also provides other index solutions, including index funds, customised mandates and advisory services.

This material is issued and has been prepared by BNP Paribas Investment Partners UK Limited (“BNPP IP UK”)*, of 5 Aldermanbury Square, London EC2V 7BP a member of BNP Paribas Investment Partners (BNPP IP)** . This material is produced for information purposes only and does not constitute: 1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or 2. any investment advice. This material makes reference to certain financial instruments (the “Financial Instrument(s)”) authorised and regulated in its/their jurisdiction(s) of incorporation including reference to swap based or synthetic Exchange Traded Funds (ETFs). It should be noted that unlike physical ETFs, which own all or a portion of the instruments whose performance they track, synthetic ETFs may hold none of the underlying components. Swap based on synthetic ETFs gain their exposure to the underlying components by entering into swap contracts with investment banks greatly increasing the counterparty risk of the product. Investors should understand that if the Investment Bank which is party to the swap contract fails then the original capital invested is at risk. Both physical and swap based or synthetic ETFs are also subject to other types of risks including currency risk and are only promoted to professional investors because of these and other risk factors. No action has been taken which would permit the public offering of the Financial Instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus, offering document or any other information material, as applicable, of the relevant Financial Instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such Financial Instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the Financial Instrument(s). Investors considering subscribing for the Financial Instrument(s) should read carefully the most recent prospectus, offering document or other information material and consult the Financial Instrument(s)’ most recent financial reports. The prospectus, offering document or other information of the Financial Instrument(s) are available from your local BNPP IP correspondents, if any, or from the entities marketing the Financial Instrument(s). Opinions included in this material constitute the judgment of BNPP IP UK at the time specified and may be subject to change without notice. BNPP IP UK is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the Financial Instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for a client or prospective client’s investment portfolio. Given the economic and market risks, there can be no assurance that the Financial Instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the Financial Instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to the Financial Instruments may have a significant effect on the results portrayed in this material. Past performance is not a guide to future performance and the value of the investments in Financial Instrument(s) may go down as well as up. Investors may not get back the amount they originally invested. The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes. This document is directed only at person(s) who have professional experience in matters relating to investments (“relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Services Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents.

Time to Invest in Commodities ETFs EasyETF, BNP Paribas Why commodities?

market benchmarks. Within the index family are various sub-

Commodities ETFs have enjoyed impressive popularity in recent

indices with different weightings and strategy.

years, reaching USD 54.3 bn in May 2011, up 112% since 2009. The EasyETF S&P GSCI Capped Commodities 35/20 is the only Commodities have the potential advantage of being lowly

ETF tracking a capped version of the S&P GSCI TR Index, and

correlated to traditional asset classes such as equities and bonds.

the cap on oil securities allows it to fulfil UCITS III diversification

Over the long term, commodities canoffer a risk/return profile


comparable to equities adding them to a portfolio may improve its risk/return ratio. Indeed, there is a strong relationship between

This ETF gives investors access to an index performance that is

commodities and inflation, as raw materials prices contribute

highly correlated to the energy market, yet with reduced volatility

to inflation. Empirical evidence shows that, in periods of high

compared to oil futures investments.

inflation, commodities have been the best performing asset class. Even with low inflation, commodities can still produce bond-like

The EasyETF S&P GSCI Light Energy Dynamic has a reduced weight


in energy and incorporates a dynamic forward strategy, while the EasyETF S&P GSCI Ultra Light Energy contains a balanced

The main benefits for investors incorporating commodities into

weighting among the five commodities sectors, and thus a higher

their portfolio are diversification and as a hedge against inflation.

representation on the agriculture and metals sectors.

Benefits of a commodities ETF The main benefits of investing in a commodities ETF is that it offers beta exposure to this asset class with a low transaction cost. Commodities ETFs are liquid, can be traded instantly and, unlike certificates, which are nowadays the main products used to gain exposure to cross-commodities, “UCITS compliant” commodities ETFs have limited counterparty risk. Risk exposure to a single counterparty may not exceed 10% of the fund’s assets.

The EasyETF commodity range uses S&P GSCI indices, which are the best known for liquidity and are representative commodities

Time to Invest in Commodities ETFs

Replicating the indices THEAM believes that synthetic replication is the most appropriate method for these commodities ETFs, based on the fact that it provides efficient replication, low tracking error and cost optimisation. The funds invest in money market instruments (AA minimum rating, duration around three months) and swap their performance against that of the underlying index. Swaps are concluded through an open-architecture bidding process. This competitive bid mechanism allows us to obtain wherever possible best market conditions for our swaps in terms of price, counterparty risk and quality of service. In addition to the UCITS III product regulation, THEAM has developed a strict internal risk monitoring and control system. The ETFs only conclude swaps with counterparties approved by BNPP IP’s global risk department and fund managers can reset and terminate swap contracts at any time (early termination option). Finally, swaps are overcollateralised with money market instruments (AA minimum rating, duration around three months).

Conclusion Entering the second semester of 2011 with all the uncertainty surrounding global economic growth, the eurozone and US debt crisis, analysis suggests that there may be greater volatility in the equity and bond markets and that inflation may remain an issue in certain emerging markets. In such an environment, commodities investments appear a good alternative, and we believe commodities ETFs offer investors convenient, costeffective solutions in this area. Easy ETF - BNP Paribas Margot Pages - Tel : + 33 1 58 97 16 09

Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds iShares BlackRock Executive summary


Post the 2008 global credit crisis the success of the Emerging

With the continuing growth of the ETF market, more corners of

Markets story has been the focus of much commentary. With

the investment world are now accessible via a single security. In

economic growth rates in these countries continuing to be above

particular with the recent launch of the iShares Barclays Capital

that of the developed world, it is entirely understandable that

Emerging Markets Local Government Bond, one can gain access

investors continue to look towards these markets in increasing

to the eight largest and most liquid emerging market local

numbers. The noticeably higher yields offered by these bonds

government bond markets. This ETF directly invests in the physical

is the key feature that attracts investors, but in light of the fact

bonds, and aims to track the Barclays Capital Emerging Markets

that the cash flows are denominated in the local currency, this

Local Currency Core Government Index. The index comprises

exposes the investor to currency risk.

approximately 100 fixed-rate local currency government bonds across eight countries and three regions. The amount outstanding

Generally when investing in bonds, one finds that the real rate

of the bonds in the index is US$508bn as at 28 February 2011.

of return is eroded by the onset of inflation, but when investing in local currency bonds should one be equally concerned about

iShares is now offering the investor the opportunity to invest

rising inflation? In other words, how does the rate of inflation

in either an ETF comprising USD-denominated EM government

in each local country impact the ETF’s short- or long-term

bonds or one that entirely consists of government bonds


denominated in the local currency. The question which arises is, what are the key differences and risk factors of these two

We examine the historical relationship between the local

investment vehicles? For example, how do the risk factors of this

currency exchange rates as measured against the dollar and

particular emerging market bond ETF compare to the exposures

the level of inflation prevalent in the countries issuing the

that an investor bears when taking a position in the iShares

government debt. We find there is a significant relationship

JPMorgan $ Emerging Markets Bond ETF? This research article

between these FX rates and the level of inflation, which can be

examines the key aspects of what an investor needs to consider

loosely explained by the rate setting policies of the local central

when accessing the emerging market local currency government

banks. While the onset of inflation can unduly affect the FX

bond market.

cross-rate against the dollar, the impact is not one-directional, and for a long-term investor offers the possibility that the impact

What makes this product attractive?

on returns could cancel out.

Compared to the yields in other fixed income areas, be it developed market government or investment-grade corporate

Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds

bonds, the yields of the emerging markets local currency bonds seem very attractive. The only comparative yields in developed markets are those of high yield bonds. On top of that, there is the potential of further economic growth in emerging markets which could lead to an increase in bond prices in local currency and to the currencies appreciating against the dollar. These factors combined make this a very attractive market.

Attractive yields The table below has a breakdown of the yields of the different countries of the underlying index. The yields vary widely from country to country with Brazil currently the highest at 12.3% and Malaysia currently the lowest at 3.7%. The overall yield at 7.8% is still very attractive for an investor in the developed world.

Strong performance historically The performance in emerging market local currency bonds has been quite high in recent years. While one may not expect the very high returns of the year 2009 of more than 21% in the future, the market seems still attractive. The returns will depend on two main factors: 1. the returns of bond prices in the local market and 2. the appreciation/depreciation of the local currency compared

to the dollar.

With the flight to quality during the global financial crisis, the dollar appreciated significantly compared to most other currencies. The local currency bonds, while performing not too badly in their local currencies, did not perform very well in the In comparison to that, Table 2 has a breakdown of the current yield to maturities and the modified durations of other fixed income indices. One can see that the only other areas in fixed income with similar yields are in the developed markets corporate high yield bond market and the emerging markets USD-denominated bond market. While the correlations between these three indices are fairly high, the risk factors are different. This makes the emerging markets local currency bond ETF a very attractive product as a conservative allocation to the ETF should provide enhanced returns and diversification within a portfolio

second half of 2008 when converted into dollars.

Potential currency appreciation During the global financial crisis, due to the flight to safety and the dollar gaining in value, the local currencies have depreciated significantly. The returns of the index reflect this very well.

If the currency appreciation persists, and there are some fundamentals that indicate a further appreciation, then the performance could indeed remain attractive.

Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds

To be able to compare the returns of USD-denominated and local

A third reason for a potential currency appreciation lies in the

currency bonds for a longer history, we have plotted the returns of

favourable demographics of emerging market countries.

the JPMorgan emerging markets indices, both for local currency-

Developed economies often have a rising proportion of people

denominated bonds (JPMorgan GBI-EM Local Government Index)

aged 65 or over. In emerging market countries, on the other

and USD-denominated bonds (JPMorgan $ EM Core Bond Index).

hand, the working age adults are at a relatively high proportion

The returns are similar, but still somewhat different. Both indices

and many young people are entering the workforce in the coming

have had a strong performance except for the global financial

years. With a growing workforce and a growing number of

crisis and while some of the peaks and troughs are very similar,

consumers, emerging market countries should achieve additional

there are also differences. In fact for the early part of 2011, the

GDP growth.

local currency index has appreciated while the USD-denominated index has produced negative returns.

One should, of course, not forget that currency appreciation or depreciation can, to some extent, be controlled by central banks.

When looking at the fundamentals of emerging market countries

Some of the emerging market countries have already started in

compared to developed countries, there is potential for the

tackling high capital inflows. This can be done in various different

emerging currencies to appreciate against the dollar. This is

ways. Brazil, at the time of writing, has increased its so-called IOF

one of the benefits of the emerging market local currency bond

tax on foreign investments of fixed income products to 6%, thus

market. In the following, we highlight some of the fundamentals

trying to prevent an increase in capital inflow which can appreciate

that could drive that currency appreciation.

the currency against the dollar. Indonesia is imposing capital gains and withholding tax of 20% and Poland has introduced a

Firstly, most of the emerging market countries have a very strong

withholding tax of 10%.

balance sheet. Lower debt levels mean that a more flexible monetary policy can be applied in response to the global financial

Correlation to other asset classes

crisis. For many of the developed countries, with relatively high

From Table 3, one can see that the Barclays Capital Emerging

levels of debt, this is not so easily the case.

Markets Local Currency Core Government Index is more

A second reason for emerging currencies to appreciate against

correlated with equities than with fixed income. It is also fairly

the dollar is their higher purchasing power in dollars. As we can

highly correlated to our two other high yielding fixed income

see from the graph below, developed countries tend to have a

ETFs, namely the USD-denominated emerging markets bonds and

purchasing power at or below their exchange rate. For emerging

the Euro high yield bonds. Nevertheless, this new ETF provides a

market countries, on the other hand, the purchasing power may

new opportunity set with a different combination of risk factors.

significantly exceed that of par. As emerging market countries

One should bear in mind that the correlations are calculated

grow in productivity, the purchasing power of the dollar in those

from the index inception date, which is 30 June 2008. It therefore

countries is likely to decline, resulting in an appreciation of their

covers the global financial crisis, where the correlations between

local currencies against the dollar.

nearly all assets were much higher.

Friend or Foe? The Impact of Inflation on Local Currency Emerging Market Bonds

Woe betide inflation Historically inflation has been one of the major concerns for investors in the emerging market bond sector. In the past, hyperinflation has had the capacity to destroy an economy and its ability to meet its debt repayments.

In this section we examine the relationship between consumer price inflation on a 12-month rolling window basis and the appreciation of the dollar relative to the local currency. The increase in the issuance of local currency debt has been a recent feature of emerging markets and by its very nature helps to avoid the problem that beset the markets in the past. This is in contrast to the case of Mexico and Brazil in the mid 1980s to mid 1990s, when an over-abundance of USD-denominated bond issuance led to a subsequent devaluation of their currencies.

To keep hold of the big picture it is worth looking at Table 4 which shows the defaults per country since the early 1800s or since the country’s independence.

iShares Dr. Andreas Zingg Leiter Vertrieb Deutschschweiz - iShares +41 44 297 7340 Mathieu Vinson Distribution Romandie & Ticino - iShares +41 44 297 7344

Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR Commerzbank

Commodities are an important component of any well-structured

effective in just one fund. It is always a selected index that forms

investment portfolio. They provide income opportunities that

the basis for an ETF.

are largely independent of the development of traditional asset classes.

ComStage ETF is based on the Commerzbank Commodity EW Index TR which is made up of 16 important commodities. It

The diversity of the commodities market

reflects the performance of 16 futures contracts which are traded

Commodities accompany our everyday lives in many different

on the stock exchange plus the interest component.

ways. Without commodities modern life would be unimaginable. While metals and energy commodities are a vital part for many areas of the industry, agricultural commodities feed the world. However, they are increasingly also used for the production of energy. The increasing demand, especially from China, India and other emerging nations, has been making commodity prices grow for years. Resources that are becoming increasingly scarce due to the continuously growing world population make the commodity sector a promising asset class.

ComStage ETF Commerzbank Commodity EW Index TR While industrial investors have been focusing on the commodity asset class for years, now, large interest from private investors can also be increasingly observed. Not least of all from utilising Exchanged Traded Funds (ETFs), such as the ComStage ETF Commerzbank Commodity EW Index TR (ComStage ETF), instiÂŹtutional investors and also private investors can reflect the global commodity market comfortably and particularly cost-

Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR

Compared to known commodity indices, such as the S&P GSCI

four commodity values which are initially represented with 6.25%

TR, the ComStage ETF Commerzbank Commodity EW Index

each in the index. The index is reviewed twice a year on defined

TR attaches great importance to the balance of the included

adjustment days and the initial weighting of 6.25% for each index

commodity sectors. The four sectors (energy, agriculture,

component is restored (rebalancing). As a result, imbalances

industrial metals and precious metals) are initially represented

which incur due to the price development of the individual

with 25% each in the index and therefore equally weighted (EW =

commodity sectors during the term are adjusted.

equally weighted). Each of the four sectors in turn is composed of

Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR

Commodities to the Securities Account

included in every securities account. From the capital market

More and more investors use the opportunity to set up a broader

theory, it is known that only a wide diversification into several

spectrum for their portfolio by adding the commodity asset class.

asset classes reduces the risk of a portfolio or alternatively, with

Historically, commodities show a slightly negative correlation

the same risk, the expected overall yield can be increased.

or no correlation compared to bonds and shares (see table). For reasons of diversification, commodities should therefore be

Protection against inflation The addition of commodities to a security portfolio is a method that has been proven in the past for securing assets against inflation. Evidentially, high commodity prices represent an important cause for inflation. Increasing commodity prices have a direct impact on the costs of producers who, in return, transfer these costs to consumers. Especially the recent past has clearly shown that increasing energy prices result in higher inflation.

Commodities have managed to establish themselves as an asset class during the past few years. We have learnt that commodities significantly contribute to optimizing the risk-return potential in context with a diversified portfolio. The concept of the ComStage ETF Commodity Index with its equally weighted 16 commodity segments is a promising and cost effective option for a long-term engagement in the commodity market.

The Fundamental Difference PowerShares FTSE RAFI ETFs Invesco Powershares

If you were planning a long trip would you choose a vehicle from

based on portfolio weightings obtained by company fundamentals

1957 or a super accessorised berlina 2009? Would you prefer to

(sales, net assets, cash flow and dividends) and not on portfolio

watch your team in the Champions League Final on a television

weightings determined by market valuation inefficiencies.

from 1957 or on a new generation, high definition TV? Fundamentally weighted indexes measure the real value of every Except for vintage cars fans and maybe those nostalgic, the

company using variable fundamentals that are not subject to

replies would probably be discounted. But it is not like this in

market price fluctuations. Furthermore the performances are

the field of the main share market benchmarks. Most of them

influenced only in a minor measure by the financial “bubbles”

were in fact set up in the sixties and seventies starting with

and help avoid overweighting overvalued securities, an operation

S&P500. This was introduced in 1957, used the most advanced

that constitutes a potential defect of market capitalisation

technology then available and was the first market capitalisation

indexes. FTSE RAFI indexes in particular offer the advantages of a

weighted index: since then the investor community has adopted

qualitative management strategy together with the key elements

the market capitalisation weighting methodology which is the

of a passive investment: minor rotation costs, transparent

basis for nearly every index, as well as those concerning indexed

selection based on precise rules and maintenance of increased

funds and ETF (exchange- traded fund), available. The point is

investment capacity.

that this methodology which seems to be obsolete and surpassed by the actual technology and extraordinary progress achieved in

The RAFI (Research Affiliates) methodology does not look for the

the financial markets is the source of problems. This is because

target price of securities that compose the indexes but rather the

market speculation can cause significant share price distortion

exact value obtained based on main balance sheet values that

(mispricing) that consists in overweighting overvalued shares and

have been weighted for the last 5 years and, after 12 months»,

underweighting those undervalued. A sensational example of

says Thibaud de Cherisey, European ETF Development Director

such a phenomenon was seen during the dotcom bubble of 1999-

Invesco PowerShares. “This systematic approach avoids excessive

2000 when Internet operating companies influenced market

exposure to more overvalued securities guaranteeing similar

capitalisations with index weightings of many exceeding the

liquidity to that of capitalisation weighted indexes.” Based on

value of consolidated companies. The solution to these problems

the analysis that RAFI has conducted, rigorously applying the

is found in fundamentally weighted indexes. These constitute a

fundamentals indexes method from 1985 to date, it has come to

substantial evolution compared to the preceding benchmarks

light that the extra yield obtainable from traditional indexes that

that measure index weights based on the real financial size of a

adopt the capitalisation method is between 2% and 4% annually

company and not on its market capitalisation. Such indexes are

underlines Mr de Cherisey. Results that tend to increase relative

The Fundamental Difference: PowerShares FTSE RAFI ETFs

to less efficient markets like the international small caps segment (where estimated added value is around 5%) and Stock Markets in Emerging Countries (for which the expected extra performance exceeds 10 percentage points).

FTSE RAFI Index series features

FTSE RAFI indices offer the advantages of a quantitative

active management strategy with the highlights of passive investment: lower turnover costs and transparent rules-based selection, whilst retaining high investment capacity.

By using fundamental factors rather than prices to

weight stocks, reviews of the FTSE RAFI Indices take advantage of price movements by reducing the index’s holdings in constituents whose prices have risen relative to other constituents, and increasing holdings in companies whose prices have fallen behind. This is effectively a buy-low, sell-high strategy.

Fundamentals weighting does not increase exposure to

high P/E stocks during episodes of unsustainable P/E expansion. It therefore avoids over-exposure to the more overvalued stocks.

Similar liquidity and capacity to market-cap weighted

indices and superior mean-variance portfolio construction.

Maximum Drawdown as Risk Measure for Assessment of Extreme Losses AVANA Invest

Judging the success of an investment is sensible only through

One of the most common representatives of downside measure is

the combined analysis of returns and the assumed risk. While

the Value-at-Risk (VaR). It describes the maximum loss that will not

the determination of returns is unproblematic, there is1 in

be exceeded within a specified period of time and with specified

science and practice a lively dispute about the appropriate risk

probability. Since it is assumed however, that losses that exceed


the VaR are completely irrelevant to the investor, this measure is very controversial. It is precisely such extreme losses, investors

Since the birth of modern portfolio theory, symmetrical figures,

try to protect themselves from. Often, it is the assumption of

which define risk as variability of returns, are mostly used in both

normal distribution of returns that leads to the probability of large

theory and practice. Volatility and variance are the best known

losses being underestimated. Also the Expected shortfall (ES) as

representatives of this form.2 However, a major criticism of these

an evolution of the VaR, makes the unrealistic assumption that all

measures of dispersion is that they do not always reflect the actual

the losses exceeding VaR, regardless of their actual magnitude,

risk perceived by investors. This is due to a lack of differentiation

are seen as equal by the investor and can therefore be described

between positive and negative deviations from the reference

by expected value. For a meaningful evaluation of risk we need

(mean), so even above-average returns will be punished with a

a measure that is both intuitive and easy to understand and that

poorer measure of risk. Investors however, assess the upside

realistically reflects the asymmetric risk perception of investors.

differently than the downside, in that they fear large losses of their assets or that they attempt to minimize the uncertainty of

Maximum Drawdown, meets these criteria and has considerably

the investment.3 Therefore, any realistic way of measuring risk

higher relevance for hedging against large risks than the VaR or

should be asymmetric.4

ES.6 Under a Drawdown we understand the cumulative loss from a previous peak to subsequent low. It therefore describes the

This problem is addressed by the group of downside risk measures

maximum percentage loss to the investor that bought (at peak)

that measure only the unfavorable deviations from a reference

and sold (at trough) in the least favorable time.

value (zero line, mean or minimum return) as a risk. As long as no assumptions are made about the shape of the distribution

The Maximum Drawdown is the greatest of all these drawdowns

of returns, the results are meaningful also for returns that are

and thus the observed worst-case scenario. This measure has

not normally distributed. Particularly for extreme events, such as

considerable importance for all groups of investors who want to

sharp price declines, the returns do not follow normal distribution

avoid large losses. Such investors include a large proportion of

and have a high concentration of strongly negative returns (fat

institutional investors, e.g. insurance companies, foundations and


pension funds. These groups usually work with venture capital,

Maximum Drawdown as Risk Measure for Assessment of Extreme Losses

with defined maximum tolerated loss after which the investment

The following figure shows the Drawdown concept on the example

must be liquidated. The Maximum Drawdown gives them a

of STOXX Europe 600 TR. The area A marks the drawdown of 9.5%.

realistic picture of the potential loss.

The second area B marks significantly higher drawdown (58%) which is the also the maximum drawdown for the observation period,7 with -1.9% return p.a. and the annualized volatility of 24.0%. The investor could in the worst case lose 58% of his assets.













200 Jan 06

Jul 06

Jan 07

Jul 07

Jan 08

Jul 08

Jan 09

Jul 09

Jan 10

Jul 10

Using Drawdowns, over time, the risk of loss can be more easily

drawdown for the MSCI Emerging Markets TR is higher and also

determined and compared between investments than from a

lasts longer.

price chart. A drawdown has a negative sign and progresses starting from the zero line downward to its maximum, up to its completion, the zero line again. Thus, the duration of drawdowns can also be assessed.

The following figure compares the

drawdown of the STOXX 600 TR Europe with the MSCI Emerging Markets TR. As shown by the two red marks in the example, the

Maximum Drawdown as Risk Measure for Assessment of Extreme Losses

Jan 06

Jul 06

Jan 07

Jul 07

Jan 08

Jul 08

Jan 09

Jul 09

Jan 10

Jul 10








-70% Drawdown STOXX Europe 600 TR

Drawdown MSCI Emerging Markets

Figure 2: Drawdown graphics for STOXX Europe 600 TR and MSCI Emerging Markets TR

The maximum drawdown is independent from assumptions of

Rather than uncritically using the common risk and performance

return distribution and implicitly captures serial correlation in

measures, investors should first examine how these measures

returns. Since it is not defined over any fixed time period, there is

actually reflect their view of risk and loss tolerance. Sometimes the

no susceptibility to the duration of drawdowns, as long as the time

consideration of further measures provides important additional

intervals selected are not too short.8 When used for optimization

information. The Maximum Drawdown represents value that

of strategic asset allocation the Maximum Drawdown pinpoints

can be helpful for risk averse investors. The AVANA Invest GmbH

portfolios with the same expected return, considerably smaller

developed for private and institutional investors risk reducing

Drawdowns and only marginally higher volatilities than with

strategies, with the goal of significantly reducing the Maximum

classic optimization based on rate of return and volatility.9 Like

Drawdown. Currently, they are available for European equities

the volatility in the Sharpe ratio, the Maximum Drawdown can

and bonds, emerging market equities and commodities on basis

be used for calculation of risk adjusted returns as a measure of

of ETFs and ETCs. These individual strategies can be combined

performance. Performance measures based on drawdowns, such

and optimized according to the investor’s risk requirements.

as the Calmar Ratio provide qualitatively comparable results with the Sharpe Ratio.10

Maximum Drawdown as Risk Measure for Assessment of Extreme Losses

AVANA Invest Thomas W. Uhlmann, Managing Partner +49/89 2102358-0

Acar, Emmanuel / James, Shane (1997): Maximum Loss and Maximum Drawdown in Financial Markets, Working Paper. Chen, Dar-Hsin / Chen, Chun-Da / Chen, Jianguo (2009): Downside Risk Measures and equity returns, Applied Economics 41, p. 1055-1070. Dorfleitner, Gregory 2002): Continuous vs. discrete returns, credit and capital 35 (2), p. 216-241. Garcia, CB / Gould, FJ (1987): A Note on the Measurement of Risk in a Portfolio, Financial Analysts Journal 43 (2), p. 61-68. Hamelink, Foort / Hoesli, Martin (2004): maximum drawdown and the allocation to real estate, Journal of Property Research 21 (1), p. 5-29. Harlow, WV (1991): Asset Allocation in a Downside Risk Framework, Financial Analysts Journal 47 (5), p. 28-40. Jacquier, Eric / Kane, Alex / Marcus, Alan J. (2003): Geometric or Arithmetic Mean: A Reconsideration, Financial Analysts Journal 59 (6), p. 46-53. Johansen, Anders / Sornette, Didier (2001) Large Stock Market Price Drawdowns Are Outliers, Journal of Risk 4 (2), p. 69-110. Ortobelli, S. / Rachev, ST / Stoyanov, S. / Fabozzi, Frank J. / Biglova, A. (2005): The Proper Use of Risk Measures in Portfolio Theory, International Journal of Theoretical and Applied Finance 08 (08), p. 1107-1133. Pereira, Richardo / Leal, Camara / Mendes, Beatriz Vaz de Meldo (2005): Maximum Drawdown: Models and Applications, The Journal of Alternative Investments (1), p. 83-91. Rachev, ST / Ortobelli, S. / Stoyanov, S. / Fabozzi, Frank J. / Biglova, A. (2008): Desirable Properties of an Ideal Risk Measure in Portfolio Theory, International Journal of Theoretical and Applied Finance (IJTAF) 11 (1), p. 19-54. Shuhmacher, Frank / Eling, Martin (2010): Sufficient Conditions for Expected Utility to Imply drawdown-based performance rankings, Working Paper. Young, Terry W. (1991): Calmar Ratio - A Smoother Tool, Futures 20 (1), p. 40 1. 2. 3. 4. 5. 6. 7. 8. 9. 10.

Ref. Calculation of returns by e.g. Jacquier/Kane et al. (2003) or Dorfleitner (2002) The Variance is the sum of the squared deviations of returns from their mean, the Volatility is the square root of the Variance. For its ease of understanding, the Volatility is the most used measure in theory and praxis. Ref. e.g. Garcia/Goud (1987), Pereira/Leal et al. (2005) and Ortobelli/ Rachev et al. (2005) Ref. e.g. Rachev/Ortobelli et al. (2008) Ref. Harlow (1991) Ref. e.g. Chen/Chen et al. (2009) and Johansen/Sornette (2001) Drawdown in A is determined by high (499.3) and low (451.7): (499.3- 451.7)/499.3 = 9.5% Ref. Acar/James (1997) and Hamelink/Hoesli (2004) Ref. Pereira/Leal et al. (2005) Ref Young (1991) and Schuhmacher/Eling (2010)

Performance Calculations for iShares ETFs iShares BlackRock

Risk and Return Calculation

The return calculation is based on the Total Return Net Asset

The risk return profile of a fund supports investors to compare

Value (TRNAV) to enable investors comparing distributing and

different funds if some calculation restrictions are considered.

accumulating funds.

Total Return Net Asset Value (TRNAV)

The assumption for the calculation of the TRNAV is to reinvest

The Net Asset Value (NAV) per share reflects the value of a

the fund gross distribution immediately into new fund shares.

fund share after costs and revenues on fund level (securities

Additionally, the tax component of the German domiciled funds is

lending revenues, management fees, custody fees, etc.). Client

considered as some investors are able to claim back1. Accordingly,

specific costs like individual deposit fees or trading costs are not

the adjustment of the NAV takes place for distributing and also


accumulating German domiciled funds.

1. The dividends of the underlying securities are reinvested on fund level immediately. On the fiscal year end, the fund has to pay the tax on these reinvested dividends cumulatively.

Performance Calculations for iShares ETFs


Usually returns are calculated by the arithmetic return method. To compare returns from different dates and time periods the returns are shown annualised (p.a.).


Performance Calculations for iShares ETFs

Tracking Calculation Exchange Traded Funds as passive investment products should be examined by the Tracking profile next to the risk return profile of a fund.

Tracking Difference The Tracking difference is the difference between the ETF return and the benchmark return based on a Total return view, usually displayed per annum. Sometimes the Tracking difference is also known as Active return. It has to be considered that the Tracking difference does not measure the volatility of the deviation between fund and benchmark.

Tracking Error The Tracking error is the theoretic Standard deviation of

the constant deviation between ETF and benchmark is not

the daily Active return (difference between ETF return and

included. Usually the Tracking error is calculated for a data

benchmark return). The Tracking error considers only the

period of more than one year and per annum.

deviation to the mean value of the Active return. Accordingly,

iShares Dr. Andreas Zingg Leiter Vertrieb Deutschschweiz - iShares +41 44 297 7340 Mathieu Vinson Distribution Romandie & Ticino - iShares +41 44 297 7344

ETF ist nicht gleich ETF Auswahlkriterien für Exchange Traded Funds UBS Im








1. Replikationsstrategie

börsennotierte Fonds – Exchange Traded Funds, kurz ETF –

Um das Engagement in einem gewünschten Marktsegment zu

exponentiell gewachsen. Bereits jetzt können Anleger aus über

erreichen, können ETFs grundsätzlich zwei Strategien verwenden:

1’000 Produkten wählen, ein Ende des Wachstums ist nicht

physische und synthetische Replikation. Betrachten wir zuerst die

in Sicht. Versucht man, all die Unterschiede einzelner ETF zu

einfache Version der physischen Replikation (auch als cashbasierte

berücksichtigen, kann es leicht zu Verwirrung kommen. Der

Replikation bezeichnet), die einer vollständigen physischen

vorliegende Artikel dient als grober Leitfaden bei der Auswahl

Replikation entspricht. Der Fonds hält hierbei alle Komponenten

des für Sie passenden Angebots.

des Index entsprechend ihrer Indexgewichtung. Aus diesem Grund verursachen Indexanpassungen und Kapitalveränderungen der

Der erste Schritt besteht normalerweise darin, einen Index

Unternehmen regelmässige Transaktionen und ein aufmerksames

auszuwählen. Schon diese Indexauswahl ist von grosser

Management der Cashflows aus Zinsen und Dividenden. Die

Bedeutung, da die Sektorzusammensetzung, der Stil, die

vollständige Replikation wird in der Regel für liquide Large-Cap-

Marktkapitalisierung und Zahl der Komponenten zwischen

Indizes mit einer begrenzten Zahl von Indexkomponenten, wie

scheinbar ähnlichen Indizes stark variieren kann. Geht man

etwa den Euro Stoxx 50, angewandt. Die andere Art der physischen

jedoch davon aus, dass die Entscheidung bezüglich eines Index

Replikation bezeichnet man als «Stratified Sampling» (zu Deutsch

bereits gefallen ist und vor allem auch beschlossen wurde, die

etwa «Optimierungsverfahren»). Hier hält der Index nur eine

Anlagemeinung anhand eines ETF zu realisieren, stellt sich die

Teilmenge der Indexkomponenten, durch Optimierungsstrategien

Frage «Welcher ETF?.

und verschiedene Instrumente werden die Transaktionskosten reduziert, die Liquidität erhöht und der Tracking Error minimiert.

Um die Sache zu vereinfachen: Anleger interessiert unter

In der Regel besteht der Vorteil einer vollständigen physischen

dem Strich nur die Performance ihres Portfolios, der effektiv

Replikation in einem niedrigeren Tracking Error, der Nachteil in

generierte Mehrwert. Als professionelle Investoren wissen

relativ höheren Kosten. Daher haben ETFs, die nach der Stratified-

wir jedoch, dass es einige Auswahlkriterien gibt, die nicht nur

Sampling-Methode vorgehen, gewöhnlich einen höheren Tracking

die Performance beeinflussen, sondern auch die Risiken und

Error, aber niedrigere Kosten.

wie nah eine ETF-Performance an der zugrunde liegenden Indexperformance verläuft. In diesem Artikel werden die acht

Die zweite Strategie, die synthetische Replikation (auch

wichtigsten Kriterien für die Auswahl eines ETF vorgestellt.

als swapbasierte Replikation bezeichnet) kennzeichnet ein wachsendes Segment des ETF-Marktes. Der ETF hält hierbei nicht tatsächlich die zugrunde liegenden Wertpapiere des Index,

ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds

sondern setzt stattdessen Swaps ein, um die Indexperformance

beim Kauf danach zu fragen (im Verkaufsprospekt müssen

zu replizieren. Normalerweise geschieht dies in Form von Total

Wertpapierleihgeschäfte offengelegt werden).

Return Swaps. Dabei hält der Fonds einen Korb von Wertpapieren (deren Art gegenüber dem Referenzindex variieren kann) und

Swapbasierte ETFs generieren die Performance des Index

schliesst eine Swap-Vereinbarung ab, mit der die Performance

dagegen durch den Einsatz von Swaps. Das bedeutet, dass ein

dieses Korbs gegen die Performance des Referenzindex getauscht

Swap-Gegenparteirisiko besteht. Auch hier sollte man vor dem

wird. Der Swap wird zum Teil (je nach Anbieter) besichert,

Kauf eines ETFs nach der Besicherung dieses Risikos fragen. Die

die Anleger sollten jedoch daher im eigenen Interesse das

Analyse der Gegenparteirisiken - wie besprochen sind diese stark

Gegenparteirisiko aus Swapgeschäften überprüfen. ETF- Anbieter

von der zugrunde liegenden Replikationsstrategie abhängig -

wählen Replikationsstrategien auf Grund des Index, ihrer

sollte eine wichtige Überlegung bei der Auswahl von ETFs sein.

Kapazitäten für den Handel und das Portfoliomanagement oder nach anderen Faktoren. UBS bietet sowohl vollständige physische

3. Performance

Replikation (Stratified Sampling) als auch synthetisch replizierte

Eines der wichtigsten Kriterien, wenn nicht gar das wichtigste,

ETFs an.

ist die Performance. Die Performance von ETFs hängt von vielen Faktoren ab – einige wirken sich positiv aus, andere negativ.

2. Risiken

Wertpapierleihgeschäfte, die wir kurz im Abschnitt über die

Ein weiteres Kriterium bei der Auswahl des ETF ist die

Risiken angesprochen haben, kommen bei physisch replizierten

Betrachtung der Risiken. ETFs halten die zugrunde liegenden

ETFs zum Einsatz, um einen Mehrertrag für den Fonds zu erzielen,

Wertpapiere in einem abgeschlossenen, separaten Portfolio.

der die Performance positiv beeinflusst. Anleger nehmen damit

Somit besteht bei ETFs zwar kein Emittentenrisiko (im Gegensatz

zwangsläufig aber auch Gegenparteirisiken in Kauf. Bei Fonds mit

zu börsengehandelten Schuldtiteln und Rohstoffen), sie können

sehr stark nachgefragten Anlagen (unter dem Gesichtspunkt

jedoch in unterschiedlichem Ausmass Gegenparteirisiken aus

der Wertpapierleihe), wie etwa europäischen Aktien, kann der

Swap-Transaktionen, Wertpapierleihgeschäften und anderen

zusätzliche Ertrag die Kosten mehr als aufwiegen, sodass der ETF

Geschäften unterliegen.

nach Abzug der Kosten den Index übertrifft.

Einige ETF-Anbieter führen bei physisch replizierten ETFs

Es gibt fünf Faktoren, die sich nachteilig auf die Performance











leihgeschäft lassen sich zusätzliche Erträge für den Fonds

Besicherungskosten, Handelskosten, Rebalancingkosten sowie

erzielen, die der Performance und somit dem Investor zugute

Belastung durch nicht investiertes Geld (Cashposition). Je

kommen. Die Kehrseite dieses Verfahrens besteht darin, dass

nach Marktentwicklung kann sich Letzteres allerdings auch

dieses Leihgeschäft zwar voll besichert (und in vielen Fällen

positiv auswirken. Ohne allzu sehr auf die Details der einzelnen

sogar überbesichert) ist, ein Restrisiko jedoch bestehen bleibt.

Faktoren einzugehen, sind dies die grundsätzlichen Kosten für

Auf Wertpapierleihverfahren wird unter Umständen bei der

das Management des Fonds. Die Verwaltungsgebühren sind

Beratung nicht ausdrücklich hingewiesen. Daher ist es wichtig,

vermutlich der sichtbarste Kostenfaktor, sollten jedoch nicht die

ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds

einzige Überlegung darstellen. Handelskosten, Rebalancingkosten,

insgesamt gute Performance ausgeglichen wird. Mit anderen

die Belastung durch die Cashposition sowie das Management von

Worten: Möglicherweise sind Sie bereit, stärkere Schwankungen

Indexereignissen sind Faktoren, welche die Kompetenzen eines

in Bezug auf den Index in Kauf zu nehmen, wenn dies durch

ETF-Anbieters verdeutlichen.

eine insgesamt gute Performance belohnt wird. Damit stellt sich die Frage: Wie sollte der Tracking Error bei der ETF-Auswahl

Kompetente ETF-Anbieter zeichnen sich zum Beispiel durch ein

berücksichtigt werden? Wie bei den meisten anderen Faktoren


hängt dies tatsächlich von den Bedürfnissen des Anlegers ab.




Research-Analysten sowie globale Handelskompetenzen aus, um

Ignoriert werden sollte er nicht.

nur einige Aspekte zu nennen.

5. Liquidität Die Replikationsstrategie und das Fondsdomizil können sich

Wie wir alle wissen, ist die Liquidität einer der wichtigsten Vorteile,

je nach dem gewählten ETF und je nach Situation des Anlegers

mit dem für ETFs geworben wird. Wir wollen die Sache etwas

positiv oder negativ auf den Fonds auswirken. So auch das

genauer betrachten, um festzustellen, was mit Liquidität wirklich

Management von Indexereignissen. Denn wie stark dieser Faktor

gemeint ist. Tatsächlich gibt es im Zusammenhang mit ETFs zwei

zu Buche schlägt, hängt vom Geschick des Portfoliomanagers ab.

Ebenen von Liquidität. Zunächst die Liquidität des ETF selbst, der

Ereignismanagement umfasst Aktivitäten wie die Optimierung

auf sekundärer Basis an der Börse gehandelt wird. Market Maker,

des Anlagezeitpunkts, also wenn Titel einem Index hinzugefügt

wie die Commerzbank im Falle der UBS ETFs, haben vertragliche

oder entfernt werden.

Vereinbarungen mit Emittenten und Börsen und sind daher verpflichtet, während der Handelsstunden kontinuierlich Geld-

Die erwähnten Faktoren haben Einfluss auf die ETF-Performance.

Briefkurse und Geld-Briefvolumen anzubieten. Dabei werden

Die Gesamtperformance für den Anleger ist das Nettoergebnis

niedrige Geld-Brief-Spannen sowie eine hohe Handelsliquidität

aus der Kombination von ETF-Performance und Handelskosten

sichergestellt. Daher wird die Liquidität von ETFs nicht am

des ETF (einschliesslich Brokerage- gebühren und Geld-Brief-

tatsächlich gehandelten Volumen gemessen, sondern an der Zahl

Spanne). Mit den expliziten und impliziten Kosten befassen wir

der notierten Anteile mit der Geld-Brief-Spanne. Die zweite Ebene

uns noch eingehender im Abschnitt Kosten weiter unten.

betrifft die Liquidität der zugrunde liegenden Anlagen selbst. Die Liquidität der Basiswerte des Fonds beeinflusst die Liquidität

4. Tracking Error

des ETFs. Worauf sollte man also achten, um zu beurteilen, wie

Durch den Tracking Error kann man sich leicht in die Irre führen

liquide ein ETF wirklich ist? Der einfachste Massstab für die

lassen. Auf den ersten Blick könnte man ihn einfach für den

Beurteilung der Liquidität ist die Geld-Brief-Spanne. Hier sollten

Unterschied zwischen der Benchmark und dem ETF halten.

Sie auf niedrige Spannen und ein ausreichendes Geld/Brief-

Tatsächlich aber ist die Sache etwas komplizierter: der Tracking

Volumen achten.

Error bezieht sich auf die Volatilität der Differenz zwischen der Benchmark und dem ETF (die Standardabweichung). Ein hoher

6. Verwaltungsgebühr / Kosten

Tracking Error ist nicht immer schlecht, wenn er durch eine

Die wichtigste Erkenntnis aus diesem Abschnitt lautet: Es kommt

ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds

auf die Gesamtkosten an! Die Verwaltungs- gebühren sind nur

Börsenplatz unterschiedlich: An der Deutschen Börse ist dieser

eine Komponente der Gesamtkosten in einem ETF. Anleger

ETF in EUR notiert, d.h. für den Anleger er kann das Produkt in

sollten nicht nur die offensichtlichen (expliziten) Kosten wie

EUR erwerben. An der SIX Swiss Stock Exchange ist derselbe Fonds

Verwaltungsgebühren und Kommissionen oder Handelsgebühren

in CHF, USD und GBP notiert, d.h., der Investor kann diesen ETF

berücksichtigen, sondern auch implizite Kosten wie die Geld-

zusätzlich auch in CHF oder GBP bezahlen. An der Nasdaq OMX

Brief-Spanne und den Markteffekt. Bei Entscheidungen über ETFs

in Stockholm ist der UBS-ETF MSCI USA in SEK notiert, was einen

ist es daher wichtig, die Gesamtkosten sowie den Anlagehorizont

Erwerb in SEK ermöglicht.

zu berücksichtigen.

8. Domizil Eine weitere wichtige Komponente ist das Konzept mehrerer

Nicht zuletzt sollte im Rahmen der ETF-Auswahl auch das Domizil

Anteilsklassen. UBS bietet für die meisten seiner ETFs

berücksichtigt werden. Da die Steuerabkommen

mehrere Anteilsklassen an, wobei sich die Anteilsklasse «I» an

von Land zu Land erheblich variieren, kann dies grossen Einfluss

institutionelle Anleger und vermögende Privatkunden richtet.

auf die Steuersituation des Fonds haben. Dies wirkt

Die Anteilsklassen «A» sind auf die Bedürfnisse der Privatkunden

sich wiederum auf die Performance des ETFs und somit auf die

ausgerichtet und mit konkurrenzfähigen Verwaltungsgebühren

Investition des Anlegers aus. Fonds können auf der

ausgestattet. Die Anteilsklassen «I» haben deutlich niedrigere


Verwaltungsgebühren als die Anteilsklassen «A», anderseits

Domizilland des Fonds und dem Ursprungsland der

aber einen wesentlich höheren Nettoinventarwert. Beide


Anteilsklassen gehören zum selben Subfund und somit Pool

Quellensteuern zurückfordern. Fondsanbieter wägen bei

von Anlagen. Diese gepoolten Vermögen ermöglichen ein

der Schaffung ihrer ETFs ab, welches Domizil dafür geeignet ist.

effizienteres Portfoliomanagement, was wiederum dem Anleger

Anleger sollten dies bei der Auswahl von ETFs

zu Gute kommt.

ebenfalls berücksichtigen.

7. Währung

Fazit: Den passenden ETF finden











Sie vielleicht zu dem Schluss, dass es keinen perfekten ETF gibt

und Notierungswährung. Die Basiswährung bestimmt das

und fragen sich: «Wie soll ich mich je entscheiden können?»

Währungsrisiko des Anlegers, welches er durch ein Investment in

Wahrscheinlich gibt es keinen perfekten ETF für alle Investoren,

ein Produkt eingeht. Die Notierungswährung definiert in welcher

aber den optimalen für Ihre Bedürfnisse. Um diesen ETF zu finden,

Währung der Anleger in das Produkt investieren kann, ändert

sollten Sie sich mit den Auswahlkriterien wie Replikationsstrategie,

jedoch nicht das Währungsrisiko (kein Währungshedge). Im

Risiken und Performance auseinandersetzen. Sollten Sie sich

Beispiel vom UBS-ETF MSCI USA ist die Basiswährung immer USD,

nicht mit allen Auswahlkriterien beschäftigen wollen, empfehlen

d.h. das Währungsrisiko des Anlegers ist ebenfalls immer USD.

wir Ihnen, zumindest die Performanceunterschiede der einzelnen

Die Notierungswährung des UBS-ETF MSCI USA ist jedoch je nach

ETFs (bezogen auf die gleiche Benchmark) zu berücksichtigen.





Nach Berücksichtigung der erwähnten Auswahlkriterien kommen








ETF ist nicht gleich ETF: Auswahlkriterien für Exchange Traded Funds

Denn im Grunde wirken sich die meisten angesprochenen Auswahlkriterien ohnehin auf die Performance aus. Wählen Sie den richtigen ETF, dann profitieren Sie in vollem Umfang von den wahren Vorteilen dieser Produkte – Transparenz, Liquidität und Kosteneffizienz.

UBS AG Florian Cisana Head ETF Sales EMEA Talacker 30 8001 Zürich Tel. + 41 (0) 44 234 39 81

PIP REVIEWS p r i va t e & i n s t i t u t i o n a l p o r t f o l i o

address: IBPC 153 Fenchurch Street London EC3M 6BB

tel: +44 (0) 207 220 0440 fax: +44 (0) 207 220 0445 email: web:

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