Lyxor ETF STOXX Europe 600 Personal & Household Goods (EUR) | LYYV |
par
Lee Davidson25/02/2013
Stratégie d’investissement
The Lyxor ETF STOXX Europe 600 Personal and Household Goods provides equity exposure to the European consumer staples market segment. Consumer staples equities are typically identified as defensive stocks due to their tendency to weather economic downturns better than most other equity sectors. The defensive characteristic applies to consumer staples firms because consumers typically buy household necessities like toothpaste, toilet paper, cigarettes, and detergent regardless of the economic climate. The index is filled with high-quality, wide-moat firms boasting defensible competitive advantages and dominant market shares. Furthermore, many of these companies operate a diverse product line dominated by trusted brand names and distributed to consumers through difficult-to-replicate supply chains.
Over the past ten years, the reference index has exhibited high correlations to the MSCI World (0.91) and STOXX Europe 600 (0.93) indices. Correlation levels of this magnitude indicate that holding this ETF offers minimal diversification benefits to the equity portion of an investor's portfolio. However, as mentioned before, investors tend to value the less pronounced cyclicality and consequently lower volatility of this equity sector. Over the past five years, the standard deviation of returns for this index has been lower than that of the STOXX Europe 600 index (21% compared to 26%). Moreover, this ETF tends to offer substantial downside protection relative to the MSCI World index as measured by its downside capture ratio of 82.3 compared to 148.9 for the STOXX Europe 600 over the past three years. These downside capture measurements indicate that for a 10% loss in the MSCI World index, the reference index will only lose 8.23% of its value, compared to the STOXX Europe 600 which would lose 14.9%. These data points help to corroborate the basic investor thesis that lower risk and downside protection can be achieved by investing in firms in the consumer staples sector. However, given that this ETF represents firms in a single sector, this ETF is most suitable for use as a tactical tool.
Analyse fondamentale
The consumer staples sector has been a bright spot in the European equity space recently. Over the past three years, the reference index has climbed 14.5% annualised compared to returns for the STOXX Europe 600 of 3.65%. Given the recessionary environment of the past three years, these return figures serve to further illustrate the defensive nature of the consumer staples sector.
That said, eurozone households are currently under substantial pressure with the advent of wage cuts, government spending freezes, and record unemployment levels. In the currency bloc, household income per capita fell by 0.3% in the third quarter of 2012 and 0.5% in the second quarter (in real terms). Not surprisingly, this bodes ill for an economy greased by consumption expenditure. Indeed, household real consumption per capita decreased 0.4% in the third quarter 2012. Other data corroborate the staying power of this phenomenon – retail trade volume was down 0.8% in December 2012 compared with November and fell 1.7% for the calendar year 2012. Meanwhile, tax revenues are on the rise. In 2011, total tax revenues increased to 40.8% of GDP, according to Eurostat. Furthermore, the share of tax revenues from income or wealth rose in 2011 to 12.6% of GDP. Finally, Europe’s consumers are continuing to save. In the third quarter 2012, the gross savings rate of Eurozone households was 13% indicating a slight increase from 12.9% observed in the prior quarter. Fitting the pieces together, the Eurozone consumer, on average, is making less money, spending less, getting taxed more, and saving more. Though this is not an encouraging sign, these trends are reversible. On average, Eurozone consumers are saving 13% of income indicating that they have room to begin to consume if sentiment turns the corner. Indeed, given the historic volatility of consumer saving habits (savings rapidly spiked mid-crisis in 2008 peaking at 16%), it seems evident that consumers are adept at deciding when and how much to save depending on the outlook for the economy.
British American Tobacco and Imperial Tobacco alone account for 31% of the index's overall value and figure to be key drivers of the index's performance. British American (23%) produces an addictive product and distributes it globally, maintaining an especially strong presence in Latin America with a near 50% market share. Global sales volume is equally split amongst the various quality tiers of premium, midprice, and value products. As such, British American maintains an enviable arrangement to capture any shift in consumer preferences given a corresponding shift in income.
Luxury goods are perhaps a peculiar addition to this index, but nonetheless represent over 27% of its overall value. Burberry trench coats and Louis Vutton bags don't often get lumped into the same category as toilet paper and toothpaste, but ironically, these luxury producers have a propensity to exhibit the same defensive qualities as other consumer staples producers. Regardless of economic environment, higher net-worth individuals do not usually soften their demand for luxury items.
Construction de l’indice
The STOXX Europe 600 Personal & Household Goods Index is a total return index and a subset of the broader STOXX Europe 600 index, which covers about 90% of the aggregate market capitalisation of the eligible countries. The components are selected from publicly-traded companies headquartered in the 18 eligible countries within Europe. The index is free-float adjusted and market capitalisation weighted. Because closely held firms will have a smaller piece of their aggregate market capitalisation floated on public exchanges, the free-float adjustment serves to ensure the underlying liquidity of the holdings is superior relative to a pure market capitalisation weighting. As of this writing the index has 31 components. The index is biased towards the UK (46% of the index’s value), followed by France (22%) and Switzerland (13%). Moreover, the index is very top-heavy with the top 5 constituents accounting for almost 60% of its total value. British American Tobacco alone represents 23% of the index’s value, followed by LVMH (10%) and Reckitt Benckiser (10%).
Construction du fonds
The Lyxor ETF STOXX Europe 600 Personal & Household Goods Index uses synthetic replication to track the STOXX Europe 600 Personal & Household Goods Index. To achieve this performance, the fund buys a basket of securities and enters an un-funded swap with parent company Societe Generale. Under this agreement, the bank gives away the performance of the index in exchange for the performance of the fund’s holdings. In line with UCITS requirements, counterparty risk exposure mustn’t exceed 10% of the fund’s net asset value (NAV). This means that the ETF's holdings must represent at least 90% of the fund’s net asset value at the end of any given day. As of writing, the majority of the ETF's holdings are comprised of European blue chip equities. In addition, the ETF holds a fund (representing about 7% of its NAV) that invests in a repo fully collateralised with UK equities. The repo agreement helps to partially offset the value of the swap, thus reducing counterparty exposure. Lyxor’s risk department monitors the fund’s holdings and swap exposure on a daily basis. No securities lending is implemented within this fund, which limits counterparty risk at the fund level. Net dividends are reinvested until they are distributed to fund holders in one or more distributions.
Frais
The fund levies a total expense ratio (TER) of 0.30%. This lies in the middle of the range for ETFs tracking the European consumer staples sector.
Alternatives
As of writing, there are a few alternative ETFs offering equity exposure to the European consumer staples sector. The largest alternative in terms of total AUM is the Source STOXX Europe 600 Optimised Personal and Household Goods ETF. Given the lower cap applied on the maximum weight per index constituent, this optimised index version is less biased towards the UK (40% of the index’s value) and British American Tobacco (15%). The fund uses synthetic replication to achieve its investment objective and levies a TER of 0.30%.
Investors can also make use of the SPDR MSCI Europe Consumer Staples ETF. The SPDR ETF makes use of full physical replication and levies a total expense ratio of 0.30%. The ETF’s MSCI benchmark is less biased towards British American Tobacco (11%) and favours Nestle (21%) relative to the STOXX sector index.
