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Alternative Konzepte für börsengehandelte Indexfonds Achim Stranz - CIO und Geschäftsführer This document is for education purposes only and exclusively for institutional investors. It must not be relied upon by Retail Clients and circulation must be restricted accordingly. Quantitative Kriterien der Aktienauswahl spielen auch bei börsengehandelten Indexfonds zunehmend eine größere Rolle. Smart-Beta-Konzepte folgen alternativen Indexregeln. Wie smart sind diese ETFs wirklich? 2 Der Unterschied zwischen operativem Unternehmer und Kapitalinvestor “ The only investors who shouldn’t diversify are those who are right 100% of the time… ” Sir John Templeton Aktienindices – Exchange Traded Funds Aktienindex Ein Aktienindex ist eine Kennzahl für die Entwicklung von ausgewählten Aktienkursen. Er soll die Entwicklung auf diesem Teilmarkt des weltweiten Finanzgeschehens repräsentativ dokumentieren. Den Ausgangspunkt für die Berechnung eines Aktienindex bildet stets ein bestimmter Zeitpunkt. Die nachfolgenden Änderungen der Kennzahl Aktienindex im Zeitablauf spiegeln fortan die Wertentwicklung (Performance) der im hypothetischen Portfolio enthaltenen Aktien wider. Quelle: Wikipedia 4 Aktienindices – Exchange Traded Funds Was bedeutet repräsentativ? Gewichtung der Bestandteile: Preisgewichteter Index Im preisgewichteten Index ist jede Aktie mit der gleichen Stückzahl vertreten. Aktien mit einem höheren Kurs haben dann auch einen größeren Einfluss auf den Index. Preisgewichtete Indizes sind zum Beispiel der Dow Jones Industrial Average und der Nikkei 225. Quelle: Wikipedia 5 Aktienindices – Exchange Traded Funds Was bedeutet repräsentativ? Gewichtung der Bestandteile: Kapitalisierungsgewichteter Index Ein kapitalisierungsgewichteter Index berücksichtigt vorrangig die Marktkapitalisierung (Beispiele: S&P 500, MSCI, DAX). Die Gewichtung im Index ist proportional zur berechneten Marktkapitalisierung (Freefloat) eines Unternehmens. Die Berechnung erfolgt durch Multiplikation der Anzahl der jeweiligen Aktie im Freefloat mit dem aktuellen Kurs. Quelle: Wikipedia 6 Aktienindices – Exchange Traded Funds Was bedeutet repräsentativ? Gewichtung der Bestandteile: Gleichgewichteter Index Ein gleichgewichteter Index beruht auf einer Rangliste anhand der Marktkapitalisierung oder eines anderen Kriteriums. Die Gewichtung im Index ist nicht proportional, sondern z.B. auf 10 % begrenzt. Beispiele sind der ÖkoDAX, Photovoltaik Global 30 Index und der DivDAX. Da sich durch Kursänderungen auch die prozentuale Zusammensetzung ändert, werden diese Indizes in regelmäßigen Abständen überprüft und anhand eines Regelwerks automatisch oder durch Einzelfallentscheidungen (z.B. bei Insolvenz eines Unternehmens) angepasst. Quelle: Wikipedia 7 Passives Investieren mit Index Replizierung und Index ETFs Die Nachbildung eines Marktkapitalisierungs-Index ist bequem aber möglicherweise nicht intelligent (smart)… Die relative Größe/Marktkapitalisierung eines Unternehmens basiert teilweise auf dem aktuellen Aktienkurs, der selbst wieder von Verhaltensmustern der Investoren beeinflusst ist (“fear and greed”) Marktkapitalisierungsindices exponieren Investoren zu “Risiken ohne Risikoprämienkompensation” – Hang zu Erfolgen der Vergangenheit (Risiko von Spekulationsblasen) – Geringe Risikodiversifizierung (Index dominiert von wenigen großkapitalisierten Unternehmen) 8 Source: AXA Rosenberg. Das Problem des Kapitalisierungsansatzes “What do behavioural bias lead to ?” “ A bubble is an asset class that is going up in price… that you don’t own ” Jeremy Siegel 1. Tulip Mania 2. South Sea /Mississippi Company Bubbles 3. Railway Mania 4. Florida Speculative Building Mania 5. Roaring 1920s/1929 6. Poseidon Bubble 7. Gold 8. Japanese Asset Bubble 9. Dot Com/Tech/Telecoms 10. Global Real Estate/Credit Bubble 11. China/Shanghai Index Stock Bubble 12. Commodity Bubble 13. Oil Bubble 14. Leverage/Derivative/Financial Bubble 9 Source: AXA Rosenberg. Neue Regeln der Indexkonstruktion (hypothetisches portfolio) Andere Regeln als klassische ETFs Smart Beta-ETFs – passive Produkte, – intelligentere Abbildung (?) der Märkte als bei klassischen Indexfonds – basieren dafür auf zusätzlichen oder abweichenden Regeln Gewichtung nach alternativen Kriterien – GDP Gewichtung – Gleichgewichtung – Gewichtung anhand fundamentaler Kriterien (z.B. überdurchschnittliche Dividendenrendite) – Gewichtung auf Basis ihres Risikos (Volatilität) – Gewichtung nach bestimmten Faktoren (z.B. Kursmomentum) 10 Source: AXA Rosenberg. SmartBeta: Was ist SB? Warum SB “Smart” ist, zumindest “Smart” sein kann? Der Begriff “SmartBeta” wird zur Beschreibung einer Vielzahl unterschiedlicher Investment- Ansätze genutzt… … die jedoch einige Gemeinsamkeiten aufweisen: – Marktkapitalisierung als Allokations-Algorithmus wird abgelehnt – Auf mechanistische Regel basierender Investmentansatz – Im Vergleich zu traditionellen, aktiven Investmentansätzen in der Regel eine höhere Transparenz bei niedrigeren Kosten – Effiziente Ausnutzung langfristiger Einflussfaktoren von Aktienertrag und -risiko Warum verspricht SmartBeta Erfolg? – SmartBeta vermeidet im Prinzip Preis-Irrationalitäten in Folge von Anlegerverhalten – SmartBeta vermeidet typischerweise Quellen von Risiken ohne Risikoprämienkompensation 11 Source: AXA Rosenberg. Anbieter von Indices, die von ETFs abgebildet werden Börsen Nicht Börsen Commerzbank American Stock Exchange Credit Suisse Tremont Bolsa de Valores Mexicana Dow Jones Company Bolsa de Valores Sao Paulo FAZ Bolsa Italiana FTSE Group Bolsa de Madrid FTSE Xinhua Index Budapest Stock Exchange Hedge Fonds Research Börse Stuttgart HSI Service Limited Chicago Board of Options Exchange (CBOE) International Index Company (ICC) Deutsche Börse AG Jefferies Financial Products Euronext Markit Indices India Stock Exchange and Services Morgan Stanley Capital Investement (MSCI) & Barra Istanbul Stock Exchange Nihon Keizai Shimbun (Nikkei)Prague Stock ExchangeRussell Investment Group Johannesburg Stock Exchange Standard & Poor's Korea Exchange STOXX limited Nasdaq Stock Exchange Nasdaq OMX Shanghai Stock Exchange (SSE) Shenzhen Stock Exchange (SZSE) Keine „fiduciary duty“, in der Regel geringe Singapore Exchange (SGX) Six-Swiss Exchange regulatorische Kontrolle. Thailand Stock Exchange Derzeit bei institutionellen US-Investoren heiß Tokyo Stock Exchange Wiener Börse AG diskutiert! 12 Aktives SmartBeta Management: AXA IM Philosophie Fokus auf Investment Ergebnisse Wie werden diese Ergebnisse erzielt? Reduktion des Risikos zyklischer Underperformance Exposure zu mehr als einer Risikoprämie Fokus auf gute Performance Exposure zu Fundamentaldaten mit nachgewiesenem Erfolg Geschicktes Ausnutzen von Risikoprämien Ausfiltern von riskanten Marktsegmenten Einzelrisiken vermeiden, Liquidität erhalten Diversifikation, dort wo sie am meisten nützt Transparenz Jede Einzelposition kann nachvollzogen werden “…designed with performance delivery and transparency in mind” 13 AXA IM Philosophie: Kernansätze SmartBeta Equity Volatility in Global Developed Market - Backtest : Earnings Sustainability in Global Developed Market - Backtest : Average Annual Return Jan 90 to Dec 14 25% 0.8 25% Average Annual Return Jan 90 to Dec 14 0.7 0.7 0.6 20% 20% 0.6 0.5 0.5 15% 15% 0.4 0.4 0.3 10% 10% 0.3 SharpeRatio 0.2 SharpeRatio 0.2 5% 5% 0.1 Annualised Return andRisk Annualised 0.1 Return andRisk Annualised 0% 0.0 0% 0.0 Low Sustainable Mid Sustainable High Sustainable Low Volatility Mid Volatility High Volatility Earnings Earnings Earnings Return Volatility Sharpe (right hand scale) Return Volatility Sharpe (right hand scale) Vermeiden Bevorzugen Investoren werden nicht adäquat kompensiert für hohe Volatilität oder geringe Gewinnstabilität Source: AXA Rosenberg (Exhibit created Feb 2015)*. Volatility is based on a proprietary AXA Rosenberg measure that combines beta and stock specific risk. Earnings Sustainability is based on a proprietary AXA Rosenberg measure of earnings sustainability: Low = bottom 30%, Middle = next 40%, High = top 30% of MSCI World names within each region globally each month. Volatility and Earnings Sustainability data was not captured in real time during the relevant timeframe and was recreated in February 2015. Buckets formed with square-root of market cap weights – not controlled for small cap bias nor investability. Average annualised compound returns and volatility calculated between from January 1990 to December 2014. Returns do not include transactions costs and are gross of fees. The information set forth above is based on hypothetical backtesting and is not an actual portfolio reflecting actual past performance and does not represent actual, current recommendations. Potential investors are strongly urged to review the disclaimers presented in the Appendix. Information presented is only for the use of Institutional Investors. Please note that the information provided herein relates to a timeframe when the strategy was not available for investment 14 G201412 - 893 SmartBeta: Generation I Backtest January 1990 – December 2014* Positiv: Vermeidet “Preis” als Allokations-Determinante 10% Fokus auf Risikoprämien die vom Investorenverhalten Fundamental Weighting profitieren 9% Return Negativ: Equal Weight 8% Stärker prozessorientiert als ergebnisorientiert Min Vol MSCI Value 7% MSCI Cap Nicht ausgeschlossen: unerwünschte Nebeneffekte Weighted – Geringe Volatilität MSCI Growth – Hohe Umschlagrate 6% – Konzentration 5% 11% 12% 13% 14% 15% 16% 17% 18% Möglicherweise mangelnde Transparenz Risk (Volatility) – Willkürliche Restriktionen
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