Analyse: iShares Euro Stoxx Select Dividend 30 ETF

Der hohen Korrelation dieses Strategie-ETF zum Euro Stoxx 50 steht eine sehr beachtliche Dividendenrendite gegenüber.

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Rolle im Portfolio

The iShares EURO STOXX Select Dividend 30 ETF provides equity exposure to 30 of the eurozone’s highest dividend yielding stocks. The index correlated 95% with the EURO STOXX 50 Index and 86% with the MSCI World USD Index over the last three years; hence diversification benefits appear limited.

Given the underlying index’s well-diversified exposure across countries and sectors, the ETF may be best deployed as a core holding within a well diversified portfolio.

Moreover, the ETF is also a suitable option for those investors seeking an income generating investment. As of this writing the fund’s dividend yield was 6.2%. As the dividend yield is a function of the fund’s price, this figure can vary quite extensively over time.

Because this fund weights constituents by dividend yield, not by market capitalisation, investors won’t necessarily find the largest and most stable companies among its top holdings. The largest component stock of the EURO STOXX Select Dividend 30 Index is France Telecom, representing 5.8% of the index’s value. Belgacom (5.5%) and Banco Santander (5.1%) complete the top three holdings. By way of comparison, at 3.7% of its total value, Banco Santander is the fifth largest constituent of the EURO STOXX 50 Index, whereas France Telekom is only a minor holding in the EURO STOXX 50 Index and Belgacom is not included at all.

Fundamentale Analyse

Dividends play an important role in an equity portfolio as they account for a large portion of long-term stock returns. Over the last decade, the EURO STOXX 50 Gross Return Index outperformed the EURO STOXX Price Return Index by 3.4% per annum. The difference in return can be fully explained by dividends.

The eurozone sovereign debt crisis continues to dominate headlines. After surging yields forced the ECB to buy government bonds from Italy--which is the world’s third largest government issuer--and Spain, markets turned their focus to France. Spreads of French government bonds over German Bunds have more then doubled from year-ago levels, perhaps pricing in a possible downgrade. In fact, Moody’s reiterated its warning of a possible change in its outlook for France if government yields remain at the current high levels for much longer.

The recovery in the eurozone remains mixed, although the general consensus is for a slowdown into 2012. In fact, the ECB cut interest rates from 1.50% to 1.25% at its November policy meeting precisely on reduced inflation fears on the noted slowdown of the economy. Inflation for October was recorded at 3.0%, well above the ECB’s 2.0% target. Moreover, preliminary data indicates a meagre 0.2% GDP growth in the monetary union during the third quarter, marking the weakest expansion since the region exited from recession over 2 years ago. Germany remains the economic motor growing by 0.5%. In addition growth for the second quarter was revised upwards from 0.2% to 0.3%. Moreover, after France’s economy came to a standstill during the second quarter, GDP grew by 0.4% during the most recent one.

However, recently released data from the eurozone indicates a gloomy outlook. The composite PMI increased from 46.5 in October up to 47.2 in November; remaining below the expansion threshold of 50. Unemployment increased from 10.1% in August to 10.2% in September making its way back to levels last seen during the first half of 2010.

Given the ongoing eurozone sovereign debt crisis, the large exposure of eurozone banks to the debt of members of the zone’s periphery, generally gloomy growth prospects and the uncertain future, many companies are expected to either maintain or reduce dividends to shore up their cash reserves. In particular, many banks have reduced their full year forecasts for 2011. There are few alternatives for yield starved investors in the current low interest rate environment. European equities are, according to ING, the only asset class that offers a current dividend yield that is above its trailing 10-year average. This can be partly attributed to the latest market downdraft. In addition, European dividend yields are now close to corporate bond yields making dividend paying stocks appear even more attractive.

Indexkonstruktion

The EURO STOXX Select Dividend 30 Index provides equity exposure to 30 of the companies with the highest dividend yields in the eurozone. To be included in the index, component stocks have to be components of the EURO STOXX Index, have a non-negative historical five-year dividend-per-share growth rate and a maximum dividend to earnings-per-share ratio of 60%. The index is weighted according to annual net dividend yield. The number of constituents is limited to 30 and the weight of any individual holding is capped at 15%. The index is reviewed quarterly. As of writing, the index is well diversified across 12 sectors and 9 countries. The biggest single country exposure is Germany (24% of the index’s value), followed by France (22.6%) and the Netherlands (12.7%). On the sector level, the index’s biggest exposure is Telecommunications (20.9%), followed by utilities (19.1%) and banks (12.9%).

Fondskonstruktion

The iShares EURO STOXX Select Dividend 30 ETF uses physical replication to track its reference index. The fund intends to invest in all of the constituents of the EURO STOXX Select Dividend 30 Index and thereby provide exposure to the 30 highest dividend yielding companies within the euro zone. The ETF is rebalanced quarterly. iShares may engage in securities lending to generate additional revenues. The lending revenue generated can partially offset the TER as it is split 60/40 between the fund and BlackRock, whereby BlackRock covers the costs involved. To protect the fund from the counterparty risk that results from this practice, iShares takes collateral greater than the loan value. Collateral levels vary from 102.5% to 112% of the value of securities on loan, depending on the assets provided by the borrower as collateral. Cash received as dividends from the underlying stocks is held in the fund’s income account until it is distributed to fund holders. Distributions are made on a quarterly basis. This dividend treatment can potentially create a drag on returns in upward trending markets as dividends are not reinvested into the fund. In practice this cuts both ways. It could also result in outperformance if the benchmark falls in the interim period. The fund may hold up to 20% of its NAV in securities from a single issuer in order to achieve its objectives. Under exceptional market conditions, the fund manager may invest up to 35% of the fund’s net assets in securities from a single issuer. Moreover, the fund may invest in convertibles, gilts, liquidity instruments, other transferable securities and open-ended collective investments to track the reference index. When direct investment into a component stock is not possible, the fund may, in very limited circumstances, invest in depository receipts to gain exposure to the reference index. In addition, the fund may also invest in foreign direct investments (FDIs) for direct investment purpose to achieve its objectives.

Gebühren

The fund levies a total expense ratio of 0.40%. This lies at the upper end of the range of ETFs tracking high dividend yielding equities in the eurozone.

Alternativen

As of writing, there are several ETFs tracking the EURO STOXX Select Dividend 30 Index. The largest in terms of total assets under management is the ComStage ETF EURO STOXX Select Dividend 30 ETF. ComStage uses synthetic replication to track the reference index and levies a total expense ratio of 0.25%. Investors preferring a pan-European ETF can make use of the Lyxor ETF STOXX Europe Select Dividend 30. Lyxor uses synthetic replication, levies a TER of 0.30% and offers a more diversified exposure. This alternative is especially suitable for investors with a strong view on the UK economy as the country represents 46.4% of the benchmark index’s value.

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Über den Autor

Gordon Rose, CIIA, CAIA,

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