UBS launches world and eurozone multi-factor equity ETFs

Jul 9th, 2018 | By | Category: Equities

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UBS Asset Management has launched two new multi-factor equity ETFs targeting eurozone and developed global markets stocks.

UBS unveils global and European multi-factor ETFs

UBS has launched two multi-factor ETFs providing exposure to global and developed eurozone equities.

The funds, the UBS MSCI EMU Select Factor Mix UCITS ETF and UBS MSCI World Select Factor Mix UCITS ETF, seek to capture the returns attributed to six risk premia – momentum, value, quality, shareholder yield, volatility and size.

They have been listed across various exchanges, including Xetra, London Stock Exchange, Six Swiss Exchange and Borsa Italiana.

EMU

The EMU ETF invests in small, mid and large-cap stocks from ten developed market eurozone countries by tracking the MSCI EMU Select Factor Mix Index.

The index is constructed by combining the weights of constituents in six single factor indices based on the MSCI EMU Index. Each index is assigned an equal contribution at every quarterly rebalance.

The fund reinvests income generated within its portfolio and charges a total expense ratio (TER) of 0.34%.

World

The UBS MSCI World Select Factor Mix UCITS ETF tracks the MSCI World Select Factor Mix Index, which follows a similar methodology to the EMU index by combining six factor versions of the MSCI World Index. The MSCI World tracks stocks from 26 developed markets globally.

The fund’s TER is 0.46%. Income is distributed to investors.

Similar funds

While eurozone multi-factor equity ETFs are relatively scarce, there are several options available that target global or European exposures.

BlackRock offers two, based on MSCI indices: the iShares Edge MSCI World Multifactor UCITS ETF (IFSW LN) and the iShares Edge MSCI Europe Multifactor UCITS ETF (IFSE LN). These funds track multi-factor indices derived from the MSCI World and MSCI Europe Index which select and weight constituents to maximise exposure to four factors – value, momentum, quality, and low size.

The World fund has $480 million in assets under management and charges a TER of 0.50%, while the European fund has €350m in AUM and charges a TER of 0.45%.

Amundi also has some sizeable funds operating in this space. The Amundi Equity Global Multi Smart Allocation Scientific Beta UCITS ETF (SMRT FP) and the Amundi Europe Equity Multi Smart Allocation Scientific Beta UCITS ETF (SMRE FP) have AUM of €590m and €370m, respectively. Each fund charges a TER of 0.40%.

Built in partnership with index provider ERI Scientific Beta, the ETFs track multi-factor indices (combining exposure to value, size, low volatility, momentum, low investment, and high profitability) with alternative weighting schemes in a bid to provide superior performance compared to conventional market cap-weighted offerings.

Lyxor also offers a couple of funds, built around JP Morgan multi-factor indices. The Lyxor JP Morgan Multi-Factor World Index UCITS ETF (LYXW LN) and Lyxor JP Morgan Multi-Factor Europe Index UCITS ETF (LYX5 LN) charge TERs of 0.40% each and have AUM of £20m and £75m.

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