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Analyse: RBS Market Access Jim Rogers International Commodity Index Fund

Dieser breit diversifizierte ETF setzt seinen Schwerpunkt auf die Energie-Komponente. Rollverluste minimieren allerdings die Tracking-Effizienz bei diesem Produkt.

Lee Davidson 01.03.2013

Rolle im Portfolio

The RBS Market Access Rogers International Commodity Index ETF offers broad commodity exposure by tracking the Rogers International Commodity Index (RICI) covering 38 commodities in the energy, agriculture, and metals subsectors. Historically, commodities have been sought out by investors to increase their risk-adjusted returns given their low to negative correlation with equities and fixed income securities. In recent years, investors have seen trailing five-year correlations for broad-basket commodity indices and equities (DJ UBS Commodity and Reuters/Jefferies CRB) go from near 0% in 2006 to upwards of 71%, in 2012 as measured against the STOXX Europe 600 and the MSCI World indices. The Rogers International Commodity Index has realised slightly more of an increase in correlation to these same equity benchmarks over the same timeframe from 0% to 74%.

Despite this rise in correlation, commodities have not lost all of their investment appeal. An exchange-traded product tracking a broad basket of commodity futures can still be utilised as a role player in a well diversified portfolio to hedge against unexpected inflation.

Fundamentale Analyse

The Rogers International Commodity Index maintains constant exposure across a broad spectrum of commodities. Representing 44% of the index, the energy sector's performance is largely driven by its largest constituent commodities, Brent and WTI crude oil. Oil prices tend to be driven, by global economic activity, OPEC actions, and geopolitical events. In recent years, production and inventory levels for WTI have been on the rise primarily due to the proliferation of horizontal drilling techniques and the completion of a transnational pipeline connecting Canadian oil reserves to the Cushing hub--where WTI prices are set. As a result, the performance of WTI crude oil futures has been less robust—declining approximately 3.8% on an annualised basis over the past three years. By comparison, Brent crude futures have increased by approximately 15.4% on an annualised basis over the same timeframe due in large part to supply-side disruptions in the Middle East during 2011 and tensions regarding Iran's exports in 2012. Going forward, with the continued urbanisation of emerging market economies and the absence of any suitable substitutes, demand for crude oil shows no signs of abating. Since crude oil is a depletable resource which cannot be recycled, economic theory would suggest that as the world's consumption of oil increases (or even remains constant), oil prices must increase in the long run due to a diminishing level of supply and a lack of available substitutes.

In recent years, agricultural commodities (~35% of the index value) have seen increased investor interest due to escalating demand and diminishing supply as populations continue to grow and arable land grows scarcer. While population growth rates are expected to decline over the next few decades, population growth is still expected to be positive. In fact, the World Bank predicts that within the next 35 years roughly 2.5 billion people will be added to the current population of 7 billion. The absolute increase in population levels implies a greater need for food. Despite a bullish medium-to-long term outlook, agricultural commodities are not without their share of risk as their prices tend to be very volatile in the short-run due to unpredictable weather patterns.

Since precious metals are not heavily consumed by the world's population compared to other commodities, RICI does not allocate a significant portion of the index to these metals (~7%). On the other hand, industrial metals (~14 of the index value) have historically been consumed in great quantities by developed and developing nations alike, who have put them to use building infrastructure and improving industrial machinery and transportation networks. In the past half decade, demand from China and other emerging markets has been the single most significant driver for many of the metals represented in this index, especially copper. In 2011, Chinese copper consumption accounted for roughly 40% of global copper demand. Going forward, even with expectations for tapering Chinese growth, many industry experts still predict that global demand for industrial metals will ultimately exceed current supplies and even outstrip expected future production levels.


The Rogers International Commodity Index (RICI) offers a balanced broad-basket commodity futures exposure to the energy, agriculture, industrial metals, and precious metal subsectors. Since this index tracks front-month futures contracts, it is especially susceptible to changes in the slope of its component commodities’ futures curves. Depending on the slope of the futures curve, the return of a long futures investment will be impacted by the roll yield generated when contracts are sold and repurchased. Historically, when contango is present, many commodity indices with front-month strategies have faced significant headwinds in the form of negative roll yield. Conversely, when backwardation is present, long commodities futures investments using front-month contracts have benefited from positive roll yield. The index’s weightings are based on the worldwide consumption of each commodity. Worldwide consumption is measured by tracking international import/export patterns, and domestic consumption of the world's primary commodity consumers. Unlike some other broad commodity indices, RICI does not take into account commodity production data. At the time of this writing, the index’s largest subsector exposure was to the energy sector (~44%), followed by agriculture (~35%), industrial metals (14%), and precious metals (~7%). The index is reconstituted annually and rebalanced monthly.


To deliver the index return to investors, the RBS Market Access Rogers International Commodity Index ETF employs synthetic replication. The fund uses an unfunded swap with parent company, The Royal Bank of Scotland (A2, A+, AA-) to provide the index’s return. In this structure, RBS Market Access buys a basket of securities from RBS and enters into an arrangement in which the bank pays the index performance (net of fees) in exchange for the performance of the fund’s holdings. At this point, there is no bidding process in selecting the swap counterparty for, but the selection of swap counterparties is reassessed periodically on the basis of commercial criteria and legal requirements. RBS Market Access ETFs currently hold large-cap liquid stocks typically from the US and Canada. RBS Market Access will reset swaps at a minimum once per month or whenever counterparty exposure exceeds 7% of the fund’s NAV. Additionally, swaps will be reset any time that there is a creation/redemption in the fund. The substitute baskets are held in ring-fenced segregated accounts by the custodian, RBS Dexia Investor Services Bank. RBS Market Access ETFs do not engage in securities lending. This ETF trades on the Deutsche Börse, SIX Swiss Exchange, Amsterdam Stock Exchange, Milan Stock Exchange, London Stock Exchange and Vienna Stock Exchange.


RBS Market Access Rogers International Commodity Index ETF charges a total expense ratio (TER) of 0.70%, which is one of the highest fees currently levied for broad-basket commodity futures ETPs.


Investors have an abundance of choices when it comes to broad-basket commodity ETPs. The key differentiating factor amongst them will be index construction, which implies that not all broad-basket ETPs will perform similarly. In considering differences of index construction, an investor will want to focus on these indices sector exposure and rolling methodology. Historically, more evenly weighted (as measured by sector concentration) indices and those utilising “intelligent” rolling practices have generated superior performance and lower volatility relative to more concentrated, standard-rolling indices.

ComStage ETF Commerzbank Commodity EW tracks an equally weighted broad-basket commodity index and charges a TER of 0.30%. Due to the equal-weight methodology, the ComStage ETF has experienced significantly lower volatility compared to its peer group and has had higher correlation to the movements of each commodity sector, as opposed to a commodity index with an aggressive tilt towards one sector. For example, in contrast to its energy-centric peers, this ETF will be less susceptible to the movements in the energy sector and more sensitive to the precious metals, industrial metals, and softs sectors.

db X-trackers DBLCI OY Balanced has addressed the dynamic nature of the commodity futures curves by employing an optimum yield methodology, which seeks to generate maximum implied roll yield. The db X-trackers ETF charges a TER of 0.55%.


Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.