In-Depth Analysis of the FEZ ETF and Its Constituents



The ETF on October 21

On October 21, 2015, 15 stocks gave positive returns from 52 constituents of FEZ (SPDR Euro Stoxx 50 ETF). This lead the FEZ ETF to close at ~$36.1, a fall of -0.36% from the previous trading session.

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In-Depth analysis

In the software space, SAP (SAP) gave a positive return. In the banking space, all banks gave negative return except for Unicredito (UNCFF). Banco Santander (SAN) gave the highest negative return in the banking space at around -2.4%, followed by BNP Paribas with a return of around -1.4%. ING Groep (ING) and Deutsche Bank (DB) also gave negative returns ahead of the ECB’s (European Central Bank) meeting. The meeting is critical to the decision of whether there will be a hike of benchmark interest rate or not.

In the Pharmaceuticals Space, Sanofi (SNY) gave a negative return of around -2.0%, while Bayer (BAYRY) gave a negative return of around -0.63%. Most of the pharmaceutical companies are waiting for the FDA’s (U.S. Food and Drug Administration) approval for some new patents.

The graph above shows the negative performance of these industries in the FEZ ETF.

C3Q15 quarterly mean return of intraday outperformer

Unicredito (UNCFF) was the outperformer with an intraday return of ~2.8%. The average return of the stock was around -0.13%, and the volatility was ~16%, respectively, in C3Q15. The average return shows the mean of daily return in C3Q15. Volatility shows the fluctuation over the average return.

The intraday return of the Deutsche Telekom (DTEGY) was ~2.4%. The mean return for the stock was ~0.05%, and the volatility was ~13.5%, respectively, in C3Q15.

E.ON gave an intraday return of ~1.5%, the mean return for the stock was around -0.6%, and the volatility was ~17.9%, respectively, in C3Q15.

Among the three intraday outperformers, the mean return to volatility ratio is highest for Deutsche Telekom (DTEGY). The ratio explains the return earned per unit of total risk on a daily basis for C3Q15.

We can expect the sectoral performance of the FEZ ETF to be affected by the announcement of ECB’s (European Central Bank) statement on October 22. Among all the sectors, financial sectors stand to be affected most by the ECB statement. As the financial sectors hold 26% of the FEZ ETF’s portfolio, we should see the sectors impact the ETFs performance to a large extent.

Read the Market Realist series on How FEZ Provided Positive Returns in the Past Month to learn more about the Eurozone.


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