Funktionsweise und Replikationstil europäischer Exchange Traded Fundsauf Aktienindices

Exchange Traded Funds (ETF) were established in Europe in 2000 and have grown to a sizeof over 200 bn US$. Some issuers use a full replication strategy while others prefer a swapbased approach. The ETF are dealt parallelly in the primary and in the secondary market, asnew ETFs can be created at any time. Therefore, the market is very liquid with small ask bidspreads. The fees are considerably lower compared to active managed fonds. For liquid shareindices both strategies can replicate the index convincingly. In the EUROSTOXX the ETFcan outperform the Index due to dividend and tax optimization. This was not possible for theDax. For illiquid large indices (MSCI Emerging Markets), there was a considerable differencebetween the monthly returns of the index compared to the ETFs. Both strategies have counterpartyrisk. The full replication uses security lending to enhance the performance. The syntheticstrategy can have losses up to 10% if the swap partner defaults.