Der breit gestreute ETF bietet Zugang zu Schwellenländer-Aktien. Diversifikationseffekte haben sich verringert.

Alastair Kellett 20.04.2012
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Rolle im Portfolio

The UBS-ETFs plc MSCI EM TRN (USD) SF-A (USD) provides exposure to a wide array of mid- and large-cap companies within the world’s emerging regions. This broad category of countries has seen its importance on the global stage rise dramatically in recent years. Whereas this type of exposure would once have been considered only as a speculative tactical tool, it is increasingly becoming a core component of a globally balanced portfolio. That said, this can be a volatile area of the market. The MSCI Emerging Markets Index has had annual standard deviation of more than 21% for the past 20 years. Its correlation to other equity exposures does suggest some benefit as a diversifier. Over the same 20 year period it has shown correlation to the local-currency returns of the S&P 500, the MSCI Europe, and the broader MSCI World Index of 68%, 71%, and 76%, respectively. Some of that benefit, however, has shrunk in recent years. The trailing five-year correlations are 81%, 84%, and 87%, respectively. The fund does not make any dividend distributions, therefore it would not suit an investor looking for regular investment income.

Fundamentale Analyse

As economic growth in the developed world has slowed down as a result of consumer and government deleveraging, much of the developing world has continued to exhibit strong growth. As the group’s largest economy, and the biggest weighting in the index, China will have a considerable impact on the fortunes of the MSCI Emerging Markets Index. Having gone through a period of remarkable growth, China now faces the prospect of slowing down, and much will depend on whether its economy can achieve a “soft landing.” GDP growth, while still robust, fell to an annualised rate of 8.9% in the fourth quarter of 2011, and the Chinese government recently targeted a 7.5% figure for 2012. Inflation, as measured by the consumer price index, was 4.5% in January, higher than the previous two months but down from October’s 5.5% reading. The real estate market, long a major driver of growth, is beginning to show signs of stress. Against this backdrop, the People’s Bank of China is walking a monetary policy tightrope, trying to find a balance between growth and inflation. After a couple of years of policy tightening, including rules designed to curb home-buying, China has recently swung in the other direction, reducing banks’ reserve requirements in an attempt to get things moving again. One of the major factors contributing to China’s slowdown is that its economy is largely built on exports, and with many parts of the developed world spiralling back into recession, the demand for those exports has begun to dry up. As the beleaguered developed-world consumer continues to pare back, China will have to rely more and more on domestic demand from its own burgeoning middle class. A key driver of growth for the Brazilian economy is energy. The country’s wealth of natural resources has made it a substantial beneficiary of the past decade’s trend towards higher commodity prices. A big part of that trend has been the rapid growth of China, with its seemingly insatiable appetite for raw materials, as well as Malthusian concerns about the world running out of non-renewable resources. The concern right now is that with China slowing down, the demand for raw materials could fall considerably. Brazil’s growth has also slowed considerably in recent periods. For the fourth quarter of 2011 its growth rate was a paltry 1.4%, less than that of the United States. The economy of South Korea has grown dramatically in the past few decades. According to The Economist, it now boasts a GDP per head that is higher than the European Union average. Much of the private sector growth has been driven by a system of very large conglomerates. Many of these chaebol have been tremendously successful – witness the rise of such familiar names as Samsung, LG, and Hyundai – but corporate governance concerns have dogged them as a result of their family-run structure. South Korea and Taiwan are both largely dependent on China, which is the largest market for their exports. GDP growth in Taiwan was 1.9% in the fourth quarter, and 4.0% for all of 2011. Since 1992, the MSCI Emerging Markets Index has posted an annualised return of 16.85%, vastly outpacing the gains from developed markets.


The MSCI Emerging Markets Index is a free float market capitalisation-weighted index covering 21 emerging market countries from all over the world. It has 820 large- and mid-cap constituents and covers approximately 84% of the 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 $2.2 billion. The top geographic exposures are China, Brazil, and South Korea, with weights of 17.9%, 15.3% and 14.7%, respectively, followed by Taiwan at 10.9% and South Africa at 7.7%. On a sector basis the index is broadly diversified. The top weight is Financials, making up 24.3% of the total, followed by Energy at 14.5%, Materials at 13.5%, Information Technology at 13.3%, and Telecommunications and Consumer Discretionary at 7.8% each. The index is not very concentrated, with just 16.3% in the top 10 names.


The fund uses synthetic replication to provide exposure to the underlying benchmark, employing a combination of unfunded with funded swap structures in a ratio that can change over time. As of April 4th, 2012, 23.4% of the fund’s assets were in a funded swap, and the remaining 76.6% were in an unfunded swap. UBS provides full transparency on the swap collateral and substitute basket. In the funded swap portion, collateral consists of 70% U.S. and U.K. government bonds and 30% supranational bonds. The legal title of the collateral is transferred to the fund. In the unfunded swap portion, the substitute basket consists entirely of European equities from a diverse set of industries. As of this writing, the fund’s level of collateralisation against the swaps is 99.36%. Under the terms of the swaps, counterparty UBS AG agrees to provide the fund with exposure to the total return of the underlying index, net of any costs of fees associated with providing the exposure. The return from the swap assumes that all dividends paid by the underlying stocks are reinvested in the index. The fund does not pay out any dividend distributions. The fund is Irish-domiciled and has the U.S. dollar as its base currency. It has net assets of $1.1 billion. The fund does not engage in securities lending.


The fund has a total expense ratio (TER) of 0.62%, 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 swap fees, bid-ask spreads on the ETF, transaction costs on the infrequent occasions when the underlying index holdings change, and brokerage fees when buy and sell orders are placed for ETF shares.


For broad exposure to emerging markets there are many choices out there. These include Lyxor ETF MSCI Emerging Markets, Amundi ETF MSCI Emerging Markets, SPDR MSCI Emerging Markets, ComStage ETF MSCI Emerging Markets TRN, iShares MSCI Emerging Markets, CS ETF (Lux) on MSCI Emerging Markets, db x-trackers MSCI Emerging Markets TRN, ETFlab MSCI Emerging Markets, and HSBC MSCI Emerging Markets. For alternatives to market capitalisation-weighted exposures, there are Ossiam ETF Emerging Markets Minimum Variance and PowerShares FTSE RAFI Emerging Markets ETF. Of all of these, the largest are the iShares and the db x-trackers funds, with assets of $6.2 billion and $4.1 billion respectively. The fund with the lowest TER is the Amundi product, with a TER of 0.45%.

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Über den Autor

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