Analyse: iShares MSCI Eastern Europe 10/40 Inc

Russland dominiert diesen ETF mit einem Gewicht von über 70%. Hohe Volatilität machen diesen Indexfonds zu einer Beimischung für die Energie-Quote.

Lee Davidson 24.08.2012

Rolle im Portfolio

The iShares MSCI Eastern Europe 10/40 ETF provides exposure to Eastern European emerging market equity markets. The fund is most suitable for use as a tactical satellite tool due to its sector and geographic concentration, considerable volatility, and high correlations to broad equity markets. While the reference index identifies itself as benchmarking the broad Eastern European region, Russian equities make up 71% of the index, with equities from Poland (20%), the Czech Republic (5%), and Hungary (5%) accounting for the remainder. With its massive stake in the index, Russia's economic fundamentals will largely determine the ETF's performance. In recent years, Russia has proven to be a very volatile investment proposition due to its limited economic breadth across sectors, inconsistency of fund flows, and a significant dependence on oil and gas exports. At this time, oil and gas exports comprise nearly two-thirds of all Russia's exports, making Russian GDP and equities very sensitive to fluctuating energy prices. As of this writing the MSCI Eastern Europe 10/40 Index’s largest sector exposure was energy, at some 40% of the index’s total value. Concentrated exposure to the energy sector has translated to elevated volatility. The annualised standard deviation of returns for the reference index has equaled 39.9% over the past five years compared to 21.1% for the MSCI World Index.

In recent years, with the escalation in volatility globally, correlations between the MSCI World, STOXX Europe 600, and the reference index have actually been on the rise. From 1999-2009, the MSCI Eastern Europe 10/40 index exhibited a correlation of around 78% to both the MSCI World and STOXX Europe 600. However, over the past three years, the correlation has risen to 89%. Therefore, it would appear diversification benefits derived from investing in Eastern European equities is declining.

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Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.

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