Analyse: Amundi ETF MSCI USA-EUR

Fundamentale Analyse

The U.S. economy continues to muddle through on the path to recovery, and indeed is showing some encouraging signs, with GDP having risen by an annualised rate of 2.8% for the fourth quarter of 2011, after 1.8% growth in the third quarter. Nonfarm employment rose by an impressive 243,000 in January, and the unemployment rate, while still high at 8.3%, seems to be trending downwards.

Historically, spending by the U.S. consumer has been a key driver of growth domestically and around the globe, importing a host of finished goods from China and other growing markets. But after the implosion of the residential housing bubble, recession followed by a largely jobless recovery, and reluctance of banks to make loans, the average household doesn’t have the spending clout it once did. That situation, along with increased government austerity, could limit the country’s potential for growth, even as corporate balance sheets and profitability appear healthy.

Political deadlock has also heightened uncertainty over the U.S.’s prospects, prompting Standard & Poor’s to downgrade its federal debt in August 2011. Nonetheless, an even bleaker situation in Europe has helped the U.S. to maintain its safe haven status among investors, allowing the government to continue to borrow on the cheap. The Federal Reserve has maintained an accommodative monetary policy through a combination of quantitative easing and low short term interest rates signalled to persist for the foreseeable future.

The MSCI USA Index has produced an average total return of 8.25% per annum over the last 20 years, though the 10 year annual gain has been a more modest 3.62%. Like most equity exposure, the index took a drubbing during the financial crisis, posting a loss of more than 43% in the 12 months ending in February 2009. Much of that came from exposure to the embattled financials sector, which represented roughly 22% of the index at the start of 2007, but has since seen its total weighting decline by a third, to just 13.8% at the end of January 2012. Much of that reduced weight has been replaced by the information technology sector, which through the same period has gone from a 15.4% weight to 19.6%.

After bottoming out at 9.4 in February 2009, the price-to-earnings ratio of the MSCI USA Index has climbed back up to 14.2. That still puts it below its five year average of 15.1.

Many of the companies in the index now derive significant portions of their revenue from outside the United States, particularly as they sell goods to the newly emergent middle class in many developing markets, so the index’s fortunes are increasingly tied to global economic health.

Indexkonstruktion

The MSCI USA Index is weighted by free-float-adjusted market capitalisation. It contains 586 large- and mid-cap constituents, and covers roughly 84% of the U.S. equity market. Inclusion in the index requires passing screens for minimum total size and free float, trading volume, and length of trading history. The index is formally reviewed on a quarterly basis, although adjustments can be made at any time in the case of a significant corporate action. New size cut-offs are recalculated semi-annually. The ongoing reviews are meant to ensure that eligible new stocks are added to the index, and that existing stocks continue to meet criteria. To control portfolio turnover, buffers are used for existing constituents, so that they are not immediately removed upon falling out of line with any of the index’s entrance criteria. The index is broadly diversified by industry. As of the end of January, the most significant sector exposures were Information Technology at a 19.6% weight, Financials at 13.8%, Energy at 12.0%, Healthcare at 11.7%, Consumer Discretionary at 11.4%, Consumer Staples at 10.8%, and Industrials at 10.7%. There was limited portfolio concentration, with the top 10 positions accounting for just 19.2% of the total. Top holdings were Apple, Exxon Mobil, and IBM, at respective weights of 3.4%, 3.3%, and 1.9%. The median market capitalisation of constituents was $9.5 billion.

Fondskonstruktion

The fund uses synthetic replication to provide exposure to the underlying benchmark, entering an unfunded swap transaction with counterparty Credit Agricole. The fund uses investors’ cash to buy a basket of securities, which is then used as collateral in the swap. Currently, the collateral is made up entirely of publicly-listed equities. A very large portion of the basket is comprised of two stocks, Total SA and Enel SpA, which together make up 33% of the aggregate. The fund’s prospectus states that it cannot have counterparty exposure exceeding 10%, implying that the collateral must at a minimum be valued at 90% of the fund’s net assets. Amundi resets the swap exposure to 5% whenever it gets up to the maximum 10% level. Under the terms of the swap, the counterparty agrees to provide the fund with exposure to the total return of the underlying index, net of any costs or fees associated with providing the exposure. The fund does not engage in securities lending activity. At present the fund has assets of €431 million.

Gebühren

The fund’s expense ratio is 0.28%. Other costs potentially borne by the unitholder but not included in the total expense ratio include swap fees, bid-ask spreads on the ETF, transaction costs on the infrequent occasions when the underlying index holdings change, and brokerage fees when buy and sell orders are placed for ETF shares.

Alternativen

In addition to the MSCI USA, there are a number of index alternatives for the U.S. equity market, including the S&P 500, the Dow Jones Industrial Average, which is price weighted and more concentrated in its holdings, and the technology-heavy NASDAQ.

To get exposure to the MSCI USA there are plenty of ETF choices, such as ComStage ETF MSCI USA, CS ETF on MSCI USA, ETFlab MSCI USA, HSBC MSCI USA ETF, Lyxor ETF MSCI USA, Source MSCI USA ETF, UBS-ETF MSCI USA, iShares MSCI USA, and db x-trackers MSCI USA TRN. Of these, the db x-trackers product is the largest, with assets of $2 billion. The fund with the lowest expense ratio is the ComStage product, with a TER of 0.25%.