Analyse: ComStage DAX

Wer in einen ETF auf den deutschen Leitindex investiert, setzt auf die deutsche Exportwirtschaft. Die Erholung der Eurozone lässt Anleger auch für dieses Jahr hoffen.

Facebook Twitter LinkedIn

Rolle im Portfolio

ComStage ETF DAX TR provides exposure to German large-capitalisation equities, and can be used as a core holding for investors looking to build a German-centric portfolio. Despite the fact that all index constituents are multinational companies generating revenue around the world, the DAX is often used as benchmark for the German market. For instance, the largest index constituent, Bayer, generated only about 30% of its sales in Western Europe in Q3 2013. Many other companies also generate far less than 50% of their revenue within Europe. As such, this investment can also be seen as a passive play on the pan-European and/or global economy with a German bias.Over the past three years, the DAX has shown a 89% correlation to the widely-held EURO STOXX 50 and an 76% correlation to the MSCI World. This in part reflects the fact that some of the largest constituents of the German index, such as Siemens and BASF, are truly global players that compete worldwide in sectors like industrial materials, financial services and automobile manufacturing.

ComStage ETF DAX TR can also act as a tactical tool to overweight German equities within a diversified portfolio. However, it is important for investors to examine the index’s constituents. Like many single country indices, the DAX is fairly top heavy, with the top 10 constituents accounting for almost 70% of its value. The largest holding is Bayer, which accounts for about 10% of the portfolio. The financial sector, consisting mainly of Allianz, Deutsche Bank and Munich Re accounts for about 18% of the index.

Go to top

Fundamentale Analyse

The German stock market was one of the best performing globally in 2013. After expanding by 29% in 2012, the DAX rose another 26% in 2013; closing near an all-time high. The DAX benefited from cheap money investors pumped into German stocks on expectations of a global economic recovery gathering pace into 2014. This seems to be the case, with mounting improving economic data in the US, Japan and China. Also, the Eurozone seems to be steadily recovering from the sovereign debt crisis; something that helped peripheral stock markets to expand strongly in the second half of 2013.

However, the DAX rally was not accompanied by rising earnings, leading to overvalued, though not yet expensive stocks, according to some analysts. As of this writing, the DAX trades at a price-earning-ratio of 14 and 12.6 based on 2014 forecasts. Despite expectations for increased volatility in months to come, equity analysts are overall optimistic for 2014. The average forecast is for the DAX to close 2014 at 10,072, against a forecast range going from as little as 8,900 to as high as 11,000.

Global manufacturing ended on a strong footing in 2013. Germany’s PMI rose to 54.3 in December from 52.7 a month earlier; marking its fastest pace since mid-2011. In addition, the number of people in work hit a new record high for the seventh consecutive year in 2013. The jobless rate has remained below 7% for the last two years. The strong labour market is particularly important for domestic demand, as the new grand coalition government hopes it will boost economic growth to compensate for the slowdown in some emerging markets and the still subdued demand from Germany’s Eurozone partners.

However, some economic institutes warn that the new government’s stronger focus on domestic demand may have a negative impact on the country’s long-term prospect. For example, the trade group BGA says that the policy risks deterring investment and crimping economic growth by raising employment costs. Many business leaders have criticised the coalition deal, arguing that it rows back on economic reforms that made Germany the European powerhouse.

Despite these dire warnings, the BGA itself forecasts GDP to expand by 1.5% in 2014, up from 0.5% in 2013. Meanwhile, the Bundesbank is also painting an optimistic picture for 2014, raising its growth forecasts on the expectation of stronger domestic spending underpinned on low unemployment and a boost in earnings. The central bank expects GDP to grow by more than 0.5% in 2013 and by 1.7% and 1.5% for 2014 and 2015, respectively.

Companies in the basic materials sector, the largest sector in the DAX, generally operate in a highly cyclical environment and are subject to fluctuating commodity prices. Rising raw material costs can put pressure on these firms’ margins and dampen demand. First signs of a Chinese rebound could drive commodity prices higher

Consumer goods companies, representing the second largest sector in the DAX, are more dependent on the strength of German domestic demand. Low unemployment and low inflation should serve to support consumer confidence

Looking forward and taking into consideration the export-oriented nature of its economy, Germany could benefit from any improvement in the outlook of the US and Asian economies.

Go to top


The DAX index comprises the 30 largest companies trading on the Frankfurt Stock Exchange and represents approximately 80 % of the free-float adjusted market capitalisation of the Prime Standard Segment. The value of the DAX is based on free-float market capitalization and trading volumes. The weighting of an individual constituent is limited to 10% of the index’s value. The index weightings are reviewed quarterly and the index’s composition is reviewed once a year in September. The DAX is one of the few major country indices that is calculated on a total return basis, i.e. dividends are constantly reinvested into the index. Basic materials is the primary sector represented, with 23% of the index's value, followed by consumer goods (22%), financials (18%), and industrials (15%). Bayer is the largest component of the DAX with a 10% weighting. Rounding out the top three constituents are Siemens and BASF.

Go to top


ComStage ETF DAX TR uses synthetic replication to track the performance of the DAX total return index. The fund holds a basket of securities, whose performance is given away to the swap counterparty Commerzbank in exchange for the performance of the DAX. The basket of securities consists of European equities (usually Euro Stoxx 50 or DAX companies) and is reviewed and marked to market daily. Swaps are reset three to four times per year and when¬ever there is a creation/redemption. Instead of resetting the swap when it has a positive marked-to-market value, ComStage requests the swap counterparty to post collateral in between resets. This serves to mitigate counterparty exposure. Collateral is adjusted on a daily basis to ensure that 105% collateralisa¬tion of the swap exposure is maintained at all time.. The swap collateral consists of German, UK and/or French government bonds. Currently only German government bonds are used. Up to 100% of the securities held by the fund can be lent to Commerzbank for a fee which will be fully passed back to the fund. While this securities lending activity can help improve the fund’s return, it can also introduce additional counter¬party risk at the fund level, To protect the fund in the instance of Commerzbank defaulting, borrowed positions are fully collateralised with German bonds. The fund’s substitute basket is held in a segregated account at the custodian BNP Paribas Securities Services and moni¬tored daily by ComStage’s management company, Commerz Funds Solutions SA (a Commerzbank’s subsid¬iary), as well as the custodian. Collateral is held by Commerzbank in a segregated pledged account at Clearstream Banking, Luxembourg.

Go to top


ComStage ETF DAX TR was launched in July 2010 with a very competitive TER of 0.12%, the lowest expense ratio amongst ETFs tracking the DAX. Other potential costs associated with holding this fund which are not included in the TER include swap costs, bid-ask spreads and brokerage fees.

Go to top


The DAX is one of the most successful benchmarks tracked by ETFs in Europe, so there is no scarcity of alternatives for investors. Providers including Lyxor, db x-trackers, iShares, Source and Deka offer DAX ETFs, although at higher total expense ratios (ranging from 0.15% to 0.17%). Among all these funds, first mover iShares DAX (DE) remains the most popular with EUR 16.4 billion of assets under management as of this writing and a TER of 0.16%. It is also the most heavily-traded on the Frankfurt Stock Exchange as measured by the 3-month average daily trading volume, a key (but by no means comprehensive) measure of liquidity.

Alternatively, income-seeking investors could take a look at Deka DAX Inc, which distribute dividends to fund holders. The funds’ expense ratio is 0.15%.

Go to top

Die in diesem Artikel enthaltenen Informationen dienen ausschließlich zu Bildungs- und Informationszwecken. Sie sind weder als Aufforderung noch als Anreiz zum Kauf oder Verkauf eines Wertpapiers oder Finanzinstruments zu verstehen. Die in diesem Artikel enthaltenen Informationen sollten nicht als alleinige Quelle für Anlageentscheidungen verwendet werden.

Facebook Twitter LinkedIn

Über den Autor

Gordon Rose, CIIA, CAIA,

Gordon Rose, CIIA, CAIA,  war von 2011 bis 2014 Fondsanalyst bei Morningstar.