Rolle im Portfolio
the iShares S&P SmallCap 600 provides diversified exposure to U.S. small-cap stocks. The S&P SmallCap 600 Index is well diversified by sector and security with the highest exposure to financials, industrials and information technology. Although the index covers 600 stocks, they only represent 3% of the U.S. equity market. Consequently, small-caps should constitute a small portion of a passive investor’s portfolio. U.S. small caps have historically provided some diversification benefits. The S&P SmallCap 600 Index had a correlation of about 0.89 with the S&P 500 Index during the last 5 years. Historically, small-caps have been more risky and sensitive to macroeconomic trends. The SmallCap 600, the S&P 500 and the S&P 400, together make up the S&P Composite 1500. As a result, adding funds that track these indices will not overlap portfolio holdings. Combining this fund with the MSCI USA would also provide a well-balanced market cap exposure to the U.S. equity market. It would also work well in conjunction with a Europe, Australia and Far East (EAFE) fund.
The ETF distributes dividends semi-annually and may suit an investor seeking moderate levels of income.
Fundamentale Analyse
Investing in small-cap companies is a widely used strategy. Small-caps are public companies that are less established, less liquid and consequently, more risky than their large-cap counterparts. As financial theory echoes, higher risks reap higher rewards. Since 1926, small-cap stocks have earned a return premium of about 2% over large-caps, but this difference has been widely varied, leading and lagging, depending on the decade analysed. In the 1960s, small-cap stocks outpaced their large-cap brothers. This has also been the case since the early 2000s. From the 1980s until the 1990s, the situation reversed and large-caps led the way. Small-cap companies are also more sensitive to the economic cycle, outperforming large-caps during expansionary periods, but underperforming during contractionary ones when liquidity dries up and investors become more risk averse. Since the lows of 2009, the S&P SmallCap 600 beat the S&P 500 by over 50%. Companies gained easier access to debt financing at the same time as encouraged investors started to buy riskier assets. The sectors driving this success were consumer staples, consumer discretionary and health care with the largest drag coming from energy.
Although investing in a small-cap stock on its own may be risky, an entire portfolio of them disperses this risk among constituents. It also increases the probability of picking up the next Google or Facebook at a bargain. Notably, the 10 year annualised risk for the SmallCap 600 Index is approximately 19.03%, slightly higher than 14.90% for the S&P 500.
Indexkonstruktion
The S&P SmallCap 600 Index is a free float capitalisation-weighted portfolio of 600 small-cap, United States domiciled stocks. For a constituent to be included in the index it must meet the following eligibility criteria; an unadjusted market cap of USD 400 million to USD 1.8 billion, a trading volume of at least 50% of its shares outstanding, a positive sum of the most recent as-reported earnings for four consecutive quarters, as well as for the most recent quarter. The U.S. Index Committee maintains the S&P SmallCap 600 and meets on a monthly basis. It aims to minimize index membership turnover. If a constituent no longer meets the entrance requirements, the committee will not remove the member immediately if they deem the change temporary. The most significant sector exposures are financials (22-25%), industrials (16-18%) and information technology (15-17%). Portfolio concentration is extremely limited, with the top ten holdings in the index making up less than 6% of its total.
Fondskonstruktion
The fund uses optimisation techniques to capture the returns of the S&P SmallCap 600 Net Return Index. From a liquidity standpoint, full physical replication can be expensive if the underlying securities are not easily accessible. Optimisation creates a multi-factor risk model based on specific parameters e.g. size and volume, and then generates a proxy basket of securities. The fund uses futures for cash equitisation purposes, which helps limit tracking error. iShares engages in securities lending to enhance the fund’s performance, lending up to 100% of the securities in its fund. Parent company and lending agent BlackRock covers the operational cost involved in securities lending for a 37.5% stake in the revenue generated from this activity, while the fund keeps 62.5%. Securities lending exposes the fund to counterparty risk, the possibility that the borrower will not return the securities it borrowed. To manage this risk, BlackRock takes collateral greater than the total loan value. Collateral levels vary between 102.5 and 112%. Acceptable collateral includes equities (up to 40%), government bonds and in some cases cash. Over the past 12 months –as of June 30th, 2015- the fund lent out 9.96% of its AUM (on average) with a maximum on-loan of 18.15% and generated a securities lending return of 0.04%. BlackRock also provides indemnification for its iShares ETFs. If a borrower defaults and fails to return borrowed securities, BlackRock will replace them. The indemnification agreement is subject to changes without notice.
Gebühren
This ETF charges a total expense ratio of 0.40%, which is comparable to other funds offering similar exposure. The tight tracking difference (fund return – index return) over the last 3 years suggests that the TER is partly offset by optimisation. Other costs potentially carried by the unitholder but not included in the total expense ratio include transaction costs on the infrequent occasions when the underlying holdings change and bid-ask spreads and brokerage fees when buy and sell orders are placed for ETF shares. Income generated from securities lending helps recoup some of the total costs.
Alternativen
iShares is currently the only provider that offers an ETF tracking the S&P 600 SmallCap Index. Investors seeking exposure to the U.S. small-cap equity market could look to products tracking the MSCI USA Small Cap Index or the Russell 2000 Index. Comstage (TER 0.35%) and iShares (TER 0.43%) offer products that track the MSCI USA Small Cap Index, an index that represents approximately 14% of the U.S. equity market and contains approximately 1800 members. Amundi (TER 0.35%), Lyxor (TER 0.40%), db x-trackers (TER 0.45%) and Source (TER 0.45%) offer ETFs tracking the Russell 2000 Index. With 2000 constituents, the Russell 2000 covers around 10% of the Russell 3000 Index.
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