Rolle im Portfolio
The db x-trackers DBLCI OY Balanced ETF provides investors with broad-basket commodity exposure across the Energy, Precious Metals, Industrial Metals and Agriculture sectors. In an attempt to capture excess returns from movements of commodity futures curves, the fund’s reference index employs an “optimum yield” methodology that seeks to maximise the implied roll yield when moving from one futures contract to another. The optimum yield methodology, on a historical basis, has generated superior risk adjusted performance when compared against other broad-basket commodity indices while maintaining potential diversification and inflation hedging properties (Fuertes, Miffre, and Rallis (2010a).
Broad basket exposure to commodities has traditionally been considered an excellent source of portfolio diversification, exhibiting low correlations with bonds and stocks. In line with modern portfolio theory, adding this exposure to a stock and bond portfolio has historically produced lower volatility and increased risk adjusted returns. That said recent years have seen a notable increase in correlations with the major equity and bond markets, which peaked in the face of market turmoil in 2008. Though their portfolio diversification benefits are increasingly questionable, commodity futures may be utilised as a portfolio hedge against rises in unexpected inflation within Europe.
Fundamentale Analyse
Historically, broad basket commodity exposure has been utilised for its diversification and inflation-hedging benefits within a wider portfolio. Low or negative correlations with equity and bond markets have seen investors improve their risk adjusted returns by adding commodity exposure to a portfolio comprising traditional asset classes.
In an academic study published in 2005, Gorton & Rouwenhorst present findings that demonstrate how an index of commodities futures shows a robustly negative long-term correlation to bond and equity markets for the period from 1959 to 2004. While this supports the traditional view that commodities provide a powerful portfolio diversification tool, it does not tell the full story.
Beginning in 2005, commodities’ correlations with traditional assets began to rise, for example Brent North Sea crude oil’s correlation with the S&P 500 ballooned from 0.54 in 2006 to 0.88 in 2008. Some analysts believe that this has resulted from fundamental changes to the financial markets over recent years, pointing to the ‘financialisation’ of formerly inaccessible market sectors through products such as REITs and ETFs, which has dramatically expanded the investor base and increased trading activity. The funds invested in global commodity indexes through ETFs alone increased from $2.45 billion to $348 billion over the period from 2005 to 2012. Others, such as Buyuksahin, Haigh and Robe (2008), argue that recent levels of correlation between commodity and traditional assets are not historically unprecedented.
It remains to be seen whether correlations will drop back towards their long term averages, or whether we have entered a ‘new economic normal’ under which old relationships no longer hold. However, it is clear that the diversification benefits previously assigned to commodities evaporated in the market turmoil of 2008, when investors needed them the most.
Conventional investment wisdom dictates that commodities provide a protection against unexpected rises in inflation. This claimed benefit of commodity exposure has been substantiated academically in the United States, but investors must be wary when exporting these conclusions across international borders.
A study conducted by Keith Black et al (2012) finds that energy commodities maintained a strong positive correlation with unexpected inflation in Europe from 1983 to 2007, with all other individual commodity sectors exhibiting a negative correlation. The findings suggest that the larger an indexes exposure to energy, the higher its value as a hedge for unexpected inflation. It must also be noted that correlations in Europe are calculated in relation to average inflation across countries, so levels of country-specific protection may vary.
Indexkonstruktion
The db x-trackers DBLCI OY Balanced ETF tracks the Deutsche Bank Liquid Commodity Index Optimum Yield Balanced (DBLCI OY Balanced), which offers broad commodity futures exposure to 14 commodities in the energy, precious metal, industrial metal, and agriculture sectors. The index will rebalance annually in November to target sector weights: energy (35%), agriculture (30%), industrial metals (18%) and precious metals (17%). In contrast to other broad commodity index trackers, the db x-trackers DBLCI OY Balanced ETF tracks an index that attempts to address the dynamic nature of commodity futures curves by employing an “optimum yield” methodology that seeks to maximise the implied roll yield when moving from one futures contract to another. Given that it is a futures-based index, it has three unique sources of return: spot price return, roll yield, and collateral yield. Roll yield is generated when selling expiring futures contracts and purchasing the next contract. Depending on the price of the next futures contract, the index could either experience positive roll yield when the relevant futures curve is in backwardation or could experience negative roll yield in contango markets. Collateral yield is generated via interest payments from U.S. Treasury bills, which are held as collateral backing the commodity futures positions.
Fondskonstruktion
The db x-trackers DBLCI OY Balanced ETF employs synthetic replication to deliver the index’s return to investors. The fund engages in a funded swap with parent company, Deutsche Bank (A, A2, A+). The fund transfers cash from investors to Deutsche Bank which in turn posts collateral in a segregated account in Deutsche Bank’s name and pledged in favour of the fund. For commodity ETFs, db x-trackers accepts a mix of sovereign and investment grade bonds and highly liquid blue-chip stocks from OECD countries as collateral. Haircuts are applied to the securities posted as collateral and as such collateral levels are maintained between 107.5% and 120% of the fund’s NAV at the end of each business day. As of this writing, collateral levels hover around 110.7% of NAV. The collateral basket is held in a ring-fenced account at State Street Bank Luxembourg and reviewed daily by State Street Global Advisors. While the funded swap structure does not imply direct fund ownership of the collateral basket, db x-trackers’ ETFs are entitled by Luxembourg law to enforce the pledge and sell collateral assets without prior notice to Deutsche Bank.
Gebühren
This fund charges a total expense ratio (TER) of 0.55% for this ETF, which is comparatively high for broad-basket commodity ETPs. By comparison, iShares DJ-UBS Commodity Swap charges a TER of 0.46% and EasyETF S&P GSCI TER ranges from 0.53% to 0.68% depending on the desired currency exposure.
Alternativen
Investors have no shortage of choice when it comes to broad-basket commodity futures ETPs. The key differentiating factor amongst them will be index construction, meaning different broad-basket ETPs will not necessarily perform similarly. In considering differences of index construction, an investor will want to focus on these indices sector exposure and rolling methodology. Historically, those utilizing “intelligent” rolling practices have generated superior performance and lower volatility relative to more concentrated indices that use more standard rolling practices.
The ComStage Commerzbank Commodity ex-Agriculture EW Index TR UCITS ETF employs an equally-weighted approach and charges a TER of 0.30%. Due to its specific weighting methodology this fund provides a more diversified exposure to the commodity asset class than the db x-trackers DBLCI OY Balanced ETF. Additionally, the fund excludes agricultural commodities.
The Lyxor ETF Commodities CRB TR tracks the Thomson Reuters/Jeffries CRB index, which weights commodities by their perceived economic significance, trading frequency, and historical return contribution to the commodities space. Lyxor charges a total expense ratio (TER) of 0.35% for this ETF, which is lower than its peer group.
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