etf review 2011

P I P R E V I E W Sp r i vat e & i n s t i t u t i o n a l p o r t f o l i o

ETF REVIEW 2011

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Contents

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

Lipper

2. ETFs for Professionals

EasyETF, BNP Paribas

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

iShares BlackRock

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

Commerzbank

5. The Fundamental Difference: PowerShares FTSE RAFI ETFs

Invesco Powershares

6. Maximum Drawdown as Risk Measure for Assessment of Extreme Losses

AVANA Invest

7. Time to Invest in Commodities ETFs


8. Performance Calculations for iShares ETFs

iShares BlackRock

9. ETF ist nicht gleich ETF. Auswahlkriterien für Exchange Traded Funds

German Article UBS

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

In the last decade investors and fund managers faced two major

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

average. These losses in their portfolios led investors to question

whether and what their fund managers learned from these

periods. To answer this question Lipper and Avana Invest GmbH

ran a study on the maximum drawdown of actively managed

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

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

behavior of actively managed funds in terms of the maximum

drawdown of funds, the study covered two different periods.

The first period was during the bursting of the technology bubble

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

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

The study showed that the markets, measured by the movements

of the broad market indices, exhibited similar drawdowns in

the different regions during both periods. This result, generally

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

their correlations and therefore move in the same direction

during such periods. Opposite of the markets, the analyzed funds

showed a different behavior over the periods. Since the general

results in the different regions showed the same picture, one

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

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

mentioned results are based on the peer group Equity Europe.

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

number of actively managed funds in the Equity Europe category

showed much smaller losses than the markets did, but because

other funds showed much higher losses than the markets, the

average return of the analyzed funds was below the market

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

much lower variation compared to the market benchmark during

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

These findings lead to the assumption that the asset managers

tightened the risk budgets of the funds and gave the fund

managers stricter guidelines in terms of acceptable risks they

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

paradigms, fund managers started to hug their benchmarks even

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

funds is in general measured against their respective benchmark,

this kind of behavior covers the position of the fund manager by

protecting him from unexpected risks. Even though this behavior

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

today’s risk management approach does not always fit the

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

managers who can preserve their wealth in absolute instead of

relative terms.

From my perspective the asset management industry has to

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

cases, endless opportunities given by their investment guidelines

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

start to allocate even more money to pure-beta instruments

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

fund managers need to use all allowable opportunities of their

investment guidelines and seek superior returns by using multiple

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

Lipper

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)

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

ETFs for ProfessionalsEasyETF, BNP Paribas

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

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

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

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

May 2011 and had more than 1 000 new products in the pipeline

for the European market . Competitive pressure has led many

ETF providers into a constant flow of new product launches to

maintain a buzz on the market, and the need for differentiation

has engendered the development of many small niche markets.

Even so, assets remain concentrated 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 and quality.

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

Paribas Asset Management’s SIGMA teams and Harewood

Asset Management, BNP Paribas had the opportunity to adapt

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

the EasyETF range within the global product range it offers its

clients.

THEAM is an investment specialist offering investment solutions

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

products. With EasyETF, THEAM provides investors with liquid

investment instruments, allowing easy and reactive exposure to

broad market benchmarks.

Clarity of choice

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

all asset classes. The product range provides a comprehensive

product and strategy choice for our investors:

Country and geographic equities - THEAM offers a

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

and emerging markets. Our sector products (Stoxx Europe 600

sectors) allow targeted allocation within European sectors. The

EasyETF Euro Stoxx 50, one of THEAM’s blue-chip products,

regularly outperformed its reference index (+45bp on average

over the last three years and +47bp over the first semester 2011) .

Fixed income - The iBoxx index series focuses on highly

rated European sovereign bonds with different duration. The

EuroMTS Fed Funds provides access to the US money market.

Investors can take credit spread exposure through the iTraxx

series. The EasyETF iBoxx Liquid Sovereigns Global fully replicates

Markit’s index, comprising 30 investment grade eurozone

sovereign bonds for an annual 15bp fee.

Commodities - Our commodities range covers three S&P

GSCI Indices, with different weightings across five commodities

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

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

replicates an optimised index that dynamically adjusts the

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

35/20 was the first commodities ETF launched worldwide, back in

2005. Today, its assets amount to USD 971 million .

Thematic - THEAM offers ETFs linked to alternative asset

classes such as real estate, infrastructure and environmental

opportunities. The EasyETF FTSE EPRA Eurozone offers access

to listed real estate stocks across different sectors (residential,

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

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

investment.

In search of performance and quality

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

quality requirements of such sophisticated investors, who seek

only sound marketing arguments when judging products.

For example, we are currently witnessing a marketing war in terms

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

ETF management fees as almost all providers draw revenues from

other sources, such as swap margins or securities lending. All in

all, what matters is the ETF’s net performance, and EasyETF stands

out on this basis. In 2010, EasyETF Euro Stoxx 50 outperformed its

benchmark by 38bp and its peers by 17bp . EasyETF products in

general record a very low level of tracking error (9bp on average ).

This reflects the fund management’s continuous efforts to

optimise different sources of returns, e.g. fiscal dividend

optimisation and on its swap-based product range, the open-

architecture structure, which ensures real competitive bidding

and no conflict of interests.

Liquidity is also important for investors, but they can sometimes

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

ETF, THEAM ensures that the underlying index is sufficiently

diversified and that the index components have good liquidity.

As long as the underlying stocks are liquid, the liquidity of the ETF

will be ensured, thanks to the primary creation and redemption

mechanism. In short, the ETF’s liquidity hinges on the liquidity of

its underlying components, not on its trading volume.

In secondary market trading, market makers also play an

important role as to liquidity. THEAM works with 20 market

makers and authorised participants in the market on a multi-

market maker model, which ensures market liquidity and a tight

bid-offer spread on the ETFs.

Finally, there is the ongoing debate between providers who offer

swap-based replication and those providing physical replication.

THEAM believes that each of these techniques has its benefits

and constraints. Full replication is a simple and highly transparent

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

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

synthetic replication presents greater benefits: i) easy access

to exotic markets; ii) low tracking error; iii) cost efficiency.

Depending on the characteristics of the index, THEAM will select

the optimal technique for its ETF. At THEAM, 50% of the ETF assets

are replicated in full and 50% are replicated synthetically. Thanks

to our long experience and expertise in index and derivatives

instruments, we can adopt a more balanced approach.

Backed by BNP Paribas’ rigorous risk management

techniques

With increasing use of synthetic replication in the market,

regulators have recently raised concerns over ETFs that use

derivatives, mainly around the collateral arrangement and swaps

counterparty risk.

EasyETF is set up under the UCITS III framework to ensure

investors are offered a transparent and diversified investment

portfolio. When implementing synthetic replication, THEAM

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

ETFs for Professionals

equities or minimum AA-rated money market instruments. The

derivatives exposure and diversification rules are in line with the

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

not exceed 10% of the fund’s assets. To mitigate counterparty risk,

swaps contracts are concluded only with eligible counterparties

that satisfy BNP Paribas Investment Partners’ risk department

requirements, e.g. a minimum rating of A- (S&P/Fitch), A3

(Moody’s), quality of valuations provided, etc. 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 so as to further reduce counterparty risks.

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 collateralised between 105 and 110%.

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 selection of high quality 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.

ETFs for Professionals

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

Executive summary

Post the 2008 global credit crisis the success of the Emerging

Markets story has been the focus of much commentary. With

economic growth rates in these countries continuing to be above

that of the developed world, it is entirely understandable that

investors continue to look towards these markets in increasing

numbers. The noticeably higher yields offered by these bonds

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

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

exposes the investor to currency risk.

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

of return is eroded by the onset of inflation, but when investing

in local currency bonds should one be equally concerned about

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

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

performance?

We examine the historical relationship between the local

currency exchange rates as measured against the dollar and

the level of inflation prevalent in the countries issuing the

government debt. We find there is a significant relationship

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

loosely explained by the rate setting policies of the local central

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

cross-rate against the dollar, the impact is not one-directional,

and for a long-term investor offers the possibility that the impact

on returns could cancel out.

Introduction

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

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

particular with the recent launch of the iShares Barclays Capital

Emerging Markets Local Government Bond, one can gain access

to the eight largest and most liquid emerging market local

government bond markets. This ETF directly invests in the physical

bonds, and aims to track the Barclays Capital Emerging Markets

Local Currency Core Government Index. The index comprises

approximately 100 fixed-rate local currency government bonds

across eight countries and three regions. The amount outstanding

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

iShares is now offering the investor the opportunity to invest

in either an ETF comprising USD-denominated EM government

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

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

particular emerging market bond ETF compare to the exposures

that an investor bears when taking a position in the iShares

JPMorgan $ Emerging Markets Bond ETF? This research article

examines the key aspects of what an investor needs to consider

when accessing the emerging market local currency government

bond market.

What makes this product attractive?

Compared to the yields in other fixed income areas, be it

developed market government or investment-grade corporate

iShares BlackRock

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.

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

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

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.



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

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

the JPMorgan emerging markets indices, both for local currency-

denominated bonds (JPMorgan GBI-EM Local Government Index)

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

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

have had a strong performance except for the global financial

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

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

local currency index has appreciated while the USD-denominated

index has produced negative returns.

When looking at the fundamentals of emerging market countries

compared to developed countries, there is potential for the

emerging currencies to appreciate against the dollar. This is

one of the benefits of the emerging market local currency bond

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

that could drive that currency appreciation.

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

balance sheet. Lower debt levels mean that a more flexible

monetary policy can be applied in response to the global financial

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

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

A second reason for emerging currencies to appreciate against

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

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

purchasing power at or below their exchange rate. For emerging

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

significantly exceed that of par. As emerging market countries

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

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

local currencies against the dollar.

A third reason for a potential currency appreciation lies in the

favourable demographics of emerging market countries.

Developed economies often have a rising proportion of people

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

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

and many young people are entering the workforce in the coming

years. With a growing workforce and a growing number of

consumers, emerging market countries should achieve additional

GDP growth.

One should, of course, not forget that currency appreciation or

depreciation can, to some extent, be controlled by central banks.

Some of the emerging market countries have already started in

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

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

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

trying to prevent an increase in capital inflow which can appreciate

the currency against the dollar. Indonesia is imposing capital

gains and withholding tax of 20% and Poland has introduced a

withholding tax of 10%.

Correlation to other asset classes

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

Markets Local Currency Core Government Index is more

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

highly correlated to our two other high yielding fixed income

ETFs, namely the USD-denominated emerging markets bonds and

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

new opportunity set with a different combination of risk factors.

One should bear in mind that the correlations are calculated

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

covers the global financial crisis, where the correlations between

nearly all assets were much higher.


Woe betide inflation

Historically inflation has been one of the major concerns for

investors in the emerging market bond sector. In the past, hyper-

inflation 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.

Investment into Commodities via ETFs: Commerzbank Commodity EW Index TR

Commodities are an important component of any well-structured

investment portfolio. They provide income opportunities that

are largely independent of the development of traditional asset

classes.

The diversity of the commodities market

Commodities accompany our everyday lives in many different

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),

insti¬tutional investors and also private investors can reflect

the global commodity market comfortably and particularly cost-

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

the basis for an ETF.

ComStage ETF is based on the Commerzbank Commodity EW

Index TR which is made up of 16 important commodities. It

reflects the performance of 16 futures contracts which are traded

on the stock exchange plus the interest component.

Commerzbank

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

TR, the ComStage ETF Commerzbank Commodity EW Index

TR attaches great importance to the balance of the included

commodity sectors. The four sectors (energy, agriculture,

industrial metals and precious metals) are initially represented

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

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

four commodity values which are initially represented with 6.25%

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

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

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

which incur due to the price development of the individual

commodity sectors during the term are adjusted.



Commodities to the Securities Account

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

spectrum for their portfolio by adding the commodity asset class.

Historically, commodities show a slightly negative correlation

or no correlation compared to bonds and shares (see table).

For reasons of diversification, commodities should therefore be

included in every securities account. From the capital market

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

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

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

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

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

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

watch your team in the Champions League Final on a television

from 1957 or on a new generation, high definition TV?

Except for vintage cars fans and maybe those nostalgic, the

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

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

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

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

technology then available and was the first market capitalisation

weighted index: since then the investor community has adopted

the market capitalisation weighting methodology which is the

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

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

that this methodology which seems to be obsolete and surpassed

by the actual technology and extraordinary progress achieved in

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

market speculation can cause significant share price distortion

(mispricing) that consists in overweighting overvalued shares and

underweighting those undervalued. A sensational example of

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

2000 when Internet operating companies influenced market

capitalisations with index weightings of many exceeding the

value of consolidated companies. The solution to these problems

is found in fundamentally weighted indexes. These constitute a

substantial evolution compared to the preceding benchmarks

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

company and not on its market capitalisation. Such indexes are

based on portfolio weightings obtained by company fundamentals

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

weightings determined by market valuation inefficiencies.

Fundamentally weighted indexes measure the real value of every

company using variable fundamentals that are not subject to

market price fluctuations. Furthermore the performances are

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

and help avoid overweighting overvalued securities, an operation

that constitutes a potential defect of market capitalisation

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

qualitative management strategy together with the key elements

of a passive investment: minor rotation costs, transparent

selection based on precise rules and maintenance of increased

investment capacity.

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

target price of securities that compose the indexes but rather the

exact value obtained based on main balance sheet values that

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

says Thibaud de Cherisey, European ETF Development Director

Invesco PowerShares. “This systematic approach avoids excessive

exposure to more overvalued securities guaranteeing similar

liquidity to that of capitalisation weighted indexes.” Based on

the analysis that RAFI has conducted, rigorously applying the

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

light that the extra yield obtainable from traditional indexes that

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

underlines Mr de Cherisey. Results that tend to increase relative

Invesco Powershares

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.

The Fundamental Difference. PowerShares FTSE RAFI ETFs

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

Judging the success of an investment is sensible only through

the combined analysis of returns and the assumed risk. While

the determination of returns is unproblematic, there is1 in

science and practice a lively dispute about the appropriate risk

measure.

Since the birth of modern portfolio theory, symmetrical figures,

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

theory and practice. Volatility and variance are the best known

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

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

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

between positive and negative deviations from the reference

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

poorer measure of risk. Investors however, assess the upside

differently than the downside, in that they fear large losses of

their assets or that they attempt to minimize the uncertainty of

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

should be asymmetric.4

This problem is addressed by the group of downside risk measures

that measure only the unfavorable deviations from a reference

value (zero line, mean or minimum return) as a risk. As long as

no assumptions are made about the shape of the distribution

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

not normally distributed. Particularly for extreme events, such as

sharp price declines, the returns do not follow normal distribution

and have a high concentration of strongly negative returns (fat

tails).5

One of the most common representatives of downside measure is

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

be exceeded within a specified period of time and with specified

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

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

normal distribution of returns that leads to the probability of large

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

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

the losses exceeding VaR, regardless of their actual magnitude,

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

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

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

realistically reflects the asymmetric risk perception of investors.

Maximum Drawdown, meets these criteria and has considerably

higher relevance for hedging against large risks than the VaR or

ES.6 Under a Drawdown we understand the cumulative loss from

a previous peak to subsequent low. It therefore describes the

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

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

The Maximum Drawdown is the greatest of all these drawdowns

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

considerable importance for all groups of investors who want to

avoid large losses. Such investors include a large proportion of

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

pension funds. These groups usually work with venture capital,

with defined maximum tolerated loss after which the investment

must be liquidated. The Maximum Drawdown gives them a

realistic picture of the potential loss.

The following figure shows the Drawdown concept on the example

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

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

250

300

350

400

450

500

550

600

650

700

Jan 06 Jul 06 Jan 07 Jul 07 Jan 08 Jul 08 Jan 09 Jul 09 Jan 10 Jul 10

A

B

Maximum Drawdown as Risk Measure for Assessment of Extreme Losses

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

determined and compared between investments than from a

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

drawdown for the MSCI Emerging Markets TR is higher and also

lasts longer.

The maximum drawdown is independent from assumptions of

return distribution and implicitly captures serial correlation in

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

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

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

of strategic asset allocation the Maximum Drawdown pinpoints

portfolios with the same expected return, considerably smaller

Drawdowns and only marginally higher volatilities than with

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

the volatility in the Sharpe ratio, the Maximum Drawdown can

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

performance. Performance measures based on drawdowns, such

as the Calmar Ratio provide qualitatively comparable results with

the Sharpe Ratio.10

Rather than uncritically using the common risk and performance

measures, investors should first examine how these measures

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

consideration of further measures provides important additional

information. The Maximum Drawdown represents value that

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

developed for private and institutional investors risk reducing

strategies, with the goal of significantly reducing the Maximum

Drawdown. Currently, they are available for European equities

and bonds, emerging market equities and commodities on basis

of ETFs and ETCs. These individual strategies can be combined

and optimized according to the investor’s risk requirements.

-70%

-60%

-50%

-40%

-30%

-20%

-10%

0%

Jan 06 Jul 06 Jan 07 Jul 07 Jan 08 Jul 08 Jan 09 Jul 09 Jan 10 Jul 10

Drawdown STOXX Europe 600 TR Drawdown MSCI Emerging Markets

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


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. Ref. Calculation of returns by e.g. Jacquier/Kane et al. (2003) or Dorfleitner (2002)2. 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.3. Ref. e.g. Garcia/Goud (1987), Pereira/Leal et al. (2005) and Ortobelli/ Rachev et al. (2005)4. Ref. e.g. Rachev/Ortobelli et al. (2008)5. Ref. Harlow (1991)6. Ref. e.g. Chen/Chen et al. (2009) and Johansen/Sornette (2001)7. Drawdown in A is determined by high (499.3) and low (451.7): (499.3- 451.7)/499.3 = 9.5%8. Ref. Acar/James (1997) and Hamelink/Hoesli (2004)9. Ref. Pereira/Leal et al. (2005)10. Ref Young (1991) and Schuhmacher/Eling (2010)


Time to invest in Commodities ETFs

Why commodities?

Commodities ETFs have enjoyed impressive popularity in recent

years, reaching USD 54.3 bn in May 2011, up 112% since 2009.

Commodities have the advantage of being lowly correlated to

traditional asset classes such as equities and bonds. Over the

long term, commodities offer a risk/return profile comparable to

equities, but adding them to a portfolio will actually improve its

risk/return ratio. Indeed, there is a strong relationship between

commodities and inflation, as raw materials prices contribute

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

inflation, commodities have been the best performing asset

class. Even with low inflation, commodities still produce bond-like

returns.

The main benefits for investors incorporating commodities into

their portfolio are diversification and as a hedge against inflation.

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 highly 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

market benchmarks. Within the index family are various sub-

indices with different weightings and strategy.

The EasyETF S&P GSCI Capped Commodities 35/20 is the only

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

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

requirements. This ETF gives investors access to an index

performance that is highly correlated to the energy market, yet

with reduced volatility compared to oil futures investments.

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

weighting among the five commodities sectors, and thus a higher

representation on the agriculture and metals sectors.

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 the best

market conditions for our swaps in terms of price, counterparty

risk and quality of service. In addition to the robust 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 over-

collateralised 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 will 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 commodities ETFs

offer investors convenient, cost-effective solutions in this area.

Time to Invest in Commodities ETFs

Performance Calculations for iShares ETFs

Risk and Return Calculation

The risk return profile of a fund supports investors to compare

different funds if some calculation restrictions are considered.

Total Return Net Asset Value (TRNAV)

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

fund share after costs and revenues on fund level (securities

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

specific costs like individual deposit fees or trading costs are not

considered.

The return calculation is based on the Total Return Net Asset

Value (TRNAV) to enable investors comparing distributing and

accumulating funds.

The assumption for the calculation of the TRNAV is to reinvest

the fund gross distribution immediately into new fund shares.

Additionally, the tax component of the German domiciled funds is

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

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.

iShares BlackRock

Return 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.).

Volatility



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 daily Active return (difference between ETF return and

benchmark return). The Tracking error considers only the

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

the constant deviation between ETF and benchmark is not

included. Usually the Tracking error is calculated for a data

period of more than one year and per annum.

ETF ist nicht gleich ETF. Auswahlkriterien für Exchange Traded Funds.

Im letzten Jahrzehnt ist der europäische Markt für

börsennotierte Fonds – Exchange Traded Funds, kurz ETF –

exponentiell gewachsen. Bereits jetzt können Anleger aus über

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

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

berücksichtigen, kann es leicht zu Verwirrung kommen. Der

vorliegende Artikel dient als grober Leitfaden bei der Auswahl

des für Sie passenden Angebots.

Der erste Schritt besteht normalerweise darin, einen Index

auszuwählen. Schon diese Indexauswahl ist von grosser

Bedeutung, da die Sektorzusammensetzung, der Stil, die

Marktkapitalisierung und Zahl der Komponenten zwischen

scheinbar ähnlichen Indizes stark variieren kann. Geht man

jedoch davon aus, dass die Entscheidung bezüglich eines Index

bereits gefallen ist und vor allem auch beschlossen wurde, die

Anlagemeinung anhand eines ETF zu realisieren, stellt sich die

Frage «Welcher ETF?.

Um die Sache zu vereinfachen: Anleger interessiert unter

dem Strich nur die Performance ihres Portfolios, der effektiv

generierte Mehrwert. Als professionelle Investoren wissen

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

die Performance beeinflussen, sondern auch die Risiken und

wie nah eine ETF-Performance an der zugrunde liegenden

Indexperformance verläuft. In diesem Artikel werden die acht

wichtigsten Kriterien für die Auswahl eines ETF vorgestellt.

1. Replikationsstrategie

Um das Engagement in einem gewünschten Marktsegment zu

erreichen, können ETFs grundsätzlich zwei Strategien verwenden:

physische und synthetische Replikation. Betrachten wir zuerst die

einfache Version der physischen Replikation (auch als cashbasierte

Replikation bezeichnet), die einer vollständigen physischen

Replikation entspricht. Der Fonds hält hierbei alle Komponenten

des Index entsprechend ihrer Indexgewichtung. Aus diesem Grund

verursachen Indexanpassungen und Kapitalveränderungen der

Unternehmen regelmässige Transaktionen und ein aufmerksames

Management der Cashflows aus Zinsen und Dividenden. Die

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

Indizes mit einer begrenzten Zahl von Indexkomponenten, wie

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

Replikation bezeichnet man als «Stratified Sampling» (zu Deutsch

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

Teilmenge der Indexkomponenten, durch Optimierungsstrategien

und verschiedene Instrumente werden die Transaktionskosten

reduziert, die Liquidität erhöht und der Tracking Error minimiert.

In der Regel besteht der Vorteil einer vollständigen physischen

Replikation in einem niedrigeren Tracking Error, der Nachteil in

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

Sampling-Methode vorgehen, gewöhnlich einen höheren Tracking

Error, aber niedrigere Kosten.

Die zweite Strategie, die synthetische Replikation (auch

als swapbasierte Replikation bezeichnet) kennzeichnet ein

wachsendes Segment des ETF-Marktes. Der ETF hält hierbei

nicht tatsächlich die zugrunde liegenden Wertpapiere des Index,

UBS

sondern setzt stattdessen Swaps ein, um die Indexperformance

zu replizieren. Normalerweise geschieht dies in Form von Total

Return Swaps. Dabei hält der Fonds einen Korb von Wertpapieren

(deren Art gegenüber dem Referenzindex variieren kann) und

schliesst eine Swap-Vereinbarung ab, mit der die Performance

dieses Korbs gegen die Performance des Referenzindex getauscht

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

die Anleger sollten jedoch daher im eigenen Interesse das

Gegenparteirisiko aus Swapgeschäften überprüfen. ETF- Anbieter

wählen Replikationsstrategien auf Grund des Index, ihrer

Kapazitäten für den Handel und das Portfoliomanagement oder

nach anderen Faktoren. UBS bietet sowohl vollständige physische

Replikation (Stratified Sampling) als auch synthetisch replizierte

ETFs an.

2. Risiken

Ein weiteres Kriterium bei der Auswahl des ETF ist die

Betrachtung der Risiken. ETFs halten die zugrunde liegenden

Wertpapiere in einem abgeschlossenen, separaten Portfolio.

Somit besteht bei ETFs zwar kein Emittentenrisiko (im Gegensatz

zu börsengehandelten Schuldtiteln und Rohstoffen), sie können

jedoch in unterschiedlichem Ausmass Gegenparteirisiken aus

Swap-Transaktionen, Wertpapierleihgeschäften und anderen

Geschäften unterliegen.

Einige ETF-Anbieter führen bei physisch replizierten ETFs

Wertpapierleihgeschäfte durch. Mit dem Wertpapier-

leihgeschäft lassen sich zusätzliche Erträge für den Fonds

erzielen, die der Performance und somit dem Investor zugute

kommen. Die Kehrseite dieses Verfahrens besteht darin, dass

dieses Leihgeschäft zwar voll besichert (und in vielen Fällen

sogar überbesichert) ist, ein Restrisiko jedoch bestehen bleibt.

Auf Wertpapierleihverfahren wird unter Umständen bei der

Beratung nicht ausdrücklich hingewiesen. Daher ist es wichtig,

beim Kauf danach zu fragen (im Verkaufsprospekt müssen

Wertpapierleihgeschäfte offengelegt werden).

Swapbasierte ETFs generieren die Performance des Index

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

Swap-Gegenparteirisiko besteht. Auch hier sollte man vor dem

Kauf eines ETFs nach der Besicherung dieses Risikos fragen. Die

Analyse der Gegenparteirisiken - wie besprochen sind diese stark

von der zugrunde liegenden Replikationsstrategie abhängig -

sollte eine wichtige Überlegung bei der Auswahl von ETFs sein.

3. Performance

Eines der wichtigsten Kriterien, wenn nicht gar das wichtigste,

ist die Performance. Die Performance von ETFs hängt von vielen

Faktoren ab – einige wirken sich positiv aus, andere negativ.

Wertpapierleihgeschäfte, die wir kurz im Abschnitt über die

Risiken angesprochen haben, kommen bei physisch replizierten

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

der die Performance positiv beeinflusst. Anleger nehmen damit

zwangsläufig aber auch Gegenparteirisiken in Kauf. Bei Fonds mit

sehr stark nachgefragten Anlagen (unter dem Gesichtspunkt

der Wertpapierleihe), wie etwa europäischen Aktien, kann der

zusätzliche Ertrag die Kosten mehr als aufwiegen, sodass der ETF

nach Abzug der Kosten den Index übertrifft.

Es gibt fünf Faktoren, die sich nachteilig auf die Performance

eines ETF auswirken können: Verwaltungsgebühren,

Besicherungskosten, Handelskosten, Rebalancingkosten sowie

Belastung durch nicht investiertes Geld (Cashposition). Je

nach Marktentwicklung kann sich Letzteres allerdings auch

positiv auswirken. Ohne allzu sehr auf die Details der einzelnen

Faktoren einzugehen, sind dies die grundsätzlichen Kosten für

das Management des Fonds. Die Verwaltungsgebühren sind

vermutlich der sichtbarste Kostenfaktor, sollten jedoch nicht die

ETF ist nicht gleich ETF - Auswahlkriterien für Exchange Traded Funds.

Auswahlkriterien für Exchange Traded Funds.

einzige Überlegung darstellen. Handelskosten, Rebalancingkosten,

die Belastung durch die Cashposition sowie das Management von

Indexereignissen sind Faktoren, welche die Kompetenzen eines

ETF-Anbieters verdeutlichen.

Kompetente ETF-Anbieter zeichnen sich zum Beispiel durch ein

erfahrenes Portfoliomanagementteam, spezialisierte Index-

Research-Analysten sowie globale Handelskompetenzen aus, um

nur einige Aspekte zu nennen.

Die Replikationsstrategie und das Fondsdomizil können sich

je nach dem gewählten ETF und je nach Situation des Anlegers

positiv oder negativ auf den Fonds auswirken. So auch das

Management von Indexereignissen. Denn wie stark dieser Faktor

zu Buche schlägt, hängt vom Geschick des Portfoliomanagers ab.

Ereignismanagement umfasst Aktivitäten wie die Optimierung

des Anlagezeitpunkts, also wenn Titel einem Index hinzugefügt

oder entfernt werden.

Die erwähnten Faktoren haben Einfluss auf die ETF-Performance.

Die Gesamtperformance für den Anleger ist das Nettoergebnis

aus der Kombination von ETF-Performance und Handelskosten

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

Spanne). Mit den expliziten und impliziten Kosten befassen wir

uns noch eingehender im Abschnitt Kosten weiter unten.

4. Tracking Error

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

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

Unterschied zwischen der Benchmark und dem ETF halten.

Tatsächlich aber ist die Sache etwas komplizierter: der Tracking

Error bezieht sich auf die Volatilität der Differenz zwischen der

Benchmark und dem ETF (die Standardabweichung). Ein hoher

Tracking Error ist nicht immer schlecht, wenn er durch eine

insgesamt gute Performance ausgeglichen wird. Mit anderen

Worten: Möglicherweise sind Sie bereit, stärkere Schwankungen

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

eine insgesamt gute Performance belohnt wird. Damit stellt

sich die Frage: Wie sollte der Tracking Error bei der ETF-Auswahl

berücksichtigt werden? Wie bei den meisten anderen Faktoren

hängt dies tatsächlich von den Bedürfnissen des Anlegers ab.

Ignoriert werden sollte er nicht.

5. Liquidität

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

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

genauer betrachten, um festzustellen, was mit Liquidität wirklich

gemeint ist. Tatsächlich gibt es im Zusammenhang mit ETFs zwei

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

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

wie die Commerzbank im Falle der UBS ETFs, haben vertragliche

Vereinbarungen mit Emittenten und Börsen und sind daher

verpflichtet, während der Handelsstunden kontinuierlich Geld-

Briefkurse und Geld-Briefvolumen anzubieten. Dabei werden

niedrige Geld-Brief-Spannen sowie eine hohe Handelsliquidität

sichergestellt. Daher wird die Liquidität von ETFs nicht am

tatsächlich gehandelten Volumen gemessen, sondern an der Zahl

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

betrifft die Liquidität der zugrunde liegenden Anlagen selbst. Die

Liquidität der Basiswerte des Fonds beeinflusst die Liquidität

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

liquide ein ETF wirklich ist? Der einfachste Massstab für die

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

Sie auf niedrige Spannen und ein ausreichendes Geld/Brief-

Volumen achten.

6. Verwaltungsgebühr / Kosten

Die wichtigste Erkenntnis aus diesem Abschnitt lautet: Es kommt


auf die Gesamtkosten an! Die Verwaltungs- gebühren sind nur

eine Komponente der Gesamtkosten in einem ETF. Anleger

sollten nicht nur die offensichtlichen (expliziten) Kosten wie

Verwaltungsgebühren und Kommissionen oder Handelsgebühren

berücksichtigen, sondern auch implizite Kosten wie die Geld-

Brief-Spanne und den Markteffekt. Bei Entscheidungen über ETFs

ist es daher wichtig, die Gesamtkosten sowie den Anlagehorizont

zu berücksichtigen.

Eine weitere wichtige Komponente ist das Konzept mehrerer

Anteilsklassen. UBS bietet für die meisten seiner ETFs

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

institutionelle Anleger und vermögende Privatkunden richtet.

Die Anteilsklassen «A» sind auf die Bedürfnisse der Privatkunden

ausgerichtet und mit konkurrenzfähigen Verwaltungsgebühren

ausgestattet. Die Anteilsklassen «I» haben deutlich niedrigere

Verwaltungsgebühren als die Anteilsklassen «A», anderseits

aber einen wesentlich höheren Nettoinventarwert. Beide

Anteilsklassen gehören zum selben Subfund und somit Pool

von Anlagen. Diese gepoolten Vermögen ermöglichen ein

effizienteres Portfoliomanagement, was wiederum dem Anleger

zu Gute kommt.

7. Währung

Bei der Beurteilung von ETFs müssen zwei wichtige

Währungskomponenten beachtet werden: Basiswährung

und Notierungswährung. Die Basiswährung bestimmt das

Währungsrisiko des Anlegers, welches er durch ein Investment in

ein Produkt eingeht. Die Notierungswährung definiert in welcher

Währung der Anleger in das Produkt investieren kann, ändert

jedoch nicht das Währungsrisiko (kein Währungshedge). Im

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

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

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

Börsenplatz unterschiedlich: An der Deutschen Börse ist dieser

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

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

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

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

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

Erwerb in SEK ermöglicht.

8. Domizil

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

berücksichtigt werden. Da die Steuerabkommen

von Land zu Land erheblich variieren, kann dies grossen Einfluss

auf die Steuersituation des Fonds haben. Dies wirkt

sich wiederum auf die Performance des ETFs und somit auf die

Investition des Anlegers aus. Fonds können auf der

Basis von Doppelbesteuerungsabkommen zwischen dem

Domizilland des Fonds und dem Ursprungsland der

zugrunde liegenden Indexanlagen in gewissem Umfang

Quellensteuern zurückfordern. Fondsanbieter wägen bei

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

Anleger sollten dies bei der Auswahl von ETFs

ebenfalls berücksichtigen.

Fazit: Den passenden ETF finden

Nach Berücksichtigung der erwähnten Auswahlkriterien kommen

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

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

Wahrscheinlich gibt es keinen perfekten ETF für alle Investoren,

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

sollten Sie sich mit den Auswahlkriterien wie Replikationsstrategie,

Risiken und Performance auseinandersetzen. Sollten Sie sich

nicht mit allen Auswahlkriterien beschäftigen wollen, empfehlen

wir Ihnen, zumindest die Performanceunterschiede der einzelnen

ETFs (bezogen auf die gleiche Benchmark) zu berücksichtigen.


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.

p r i vat e & i n s t i t u t i o n a l p o r t f o l i oP I P R E V I E W S

address: 153 Fenchurch Street London EC3M 6BB

tel: +44 (0) 207 220 0440fax: +44 (0) 207 220 0445email: [email protected]: www.ibpcmedia.com

etf review 2011

Documents

p i p r e v

maximum drawdown of

managed funds

different periods

p o r t f o

analyzed funds

recent crisis

broad market indices