3. MATERIALES Y MÉTODOS
4.2 ALTURA DE PLANTA (cm)
S&P 500 Index: Timeline of Cash Flows Comparing Futures and SPDR ETF Portfolios
Date 18/09/2013 20/09/2013 18/12/2013 20/12/2013 19/03/2014 24/03/2014 18/06/2014 23/06/2014 17/09/2014
Relevance Initial
Exposure SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div Exit E-Mini S&P 500 Index Futures
Portfolio Actions
Buy1 Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry —
Sell — Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry
Portfolio Value
Futures2 $10,000,000 $10,541,056 $10,861,982 $11,475,796 $11,785,180
S&P 500 TR $10,000,000 $10,548,559 $10,898,617 $11,519,790 $11,841,490
Total Cost of Exposure3 -$7,503 -$36,634 -$43,994 -$56,310
SPDR S&P 500 UCITS ETF (SPY5)
Portfolio Actions: Buy $10m
of SPDR ETF Reinvest inSPDR ETF Reinvest inSPDR ETF Reinvest inSPDR ETF Reinvest in SPDR ETF Sell SPDR ETFPortfolio
Portfolio Value
SPDR ETF $10,000,000 $10,525,854 $10,861,540 $11,466,586 $11,768,467
S&P 500 TR $10,000,000 $10,548,559 $10,898,617 $11,519,790 $11,841,490
Total Cost of Exposure3,4 -$22,705 -$37,077 -$53,204 -$73,024
SPDR ETF versus Futures
SPDR S&P 500 ETF (SPY5) -$15,202 -$443 -$9,210 -$16,713
-0.15% -0.00% -0.09% -0.17%
1 Futures position is incremented with 100% notional invested in 3-month US Dollar Interest Rate Swap. Cost of the swap is assumed to be 5 bps. 2 Total returns from futures position and the cash yield from the swap.
3 Total cost of exposure is defined as the excess return from implementation vehicle, compared to its benchmark.
4 SPDR ETF costs are after deducting withholding taxes, whereas the benchmark returns are pre-tax. Actual after-tax returns depend on the investor’s tax situation and may differ
from those shown.
Date 18/09/2013 20/09/2013 18/12/2013 20/12/2013 19/03/2014 21/03/2014 18/06/2014 20/06/2014 17/09/2014
Relevance Initial
Exposure SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div FuturesRoll SPDR ETFEx-Div Exit E-Mini S&P MidCap 400 Index Futures
Portfolio Actions
Buy1 Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry —
Sell — Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry
Portfolio Value
Futures2 $10,000,000 $10,492,209 $10,989,867 $11,376,638 $11,424,470
S&P 400 TR $10,000,000 $10,495,165 $11,033,769 $11,422,152 $11,484,483
Total Cost of Exposure3 -$2,956 -$43,902 -$45,514 -$60,013
SPDR S&P 400 US MidCap UCITS ETF (SPY4)
Portfolio Actions: Buy $10m
of SPDR ETF Sell SPDR ETFPortfolio
Portfolio Value
SPDR ETF $10,000,000 $10,468,515 $10,989,637 $11,364,275 $11,398,646
S&P 400 TR $10,000,000 $10,495,165 $11,033,769 $11,422,152 $11,484,483
Total Cost of Exposure3,4 -$26,650 -$44,131 -$57,877 -$85,837
SPDR ETF versus Futures
SPDR S&P 400 US MidCap UCITS ETF (SPY4) -$23,694 -$230 -$12,363 -$25,824
-0.24% -0.00% -0.12% -0.26%
1 Futures position is incremented with 100% notional invested in 3-month US Dollar Interest Rate Swap. Cost of the swap is assumed to be 5 bps. 2 Total returns from futures position and the cash yield from the swap.
3 Total cost of exposure is defined as the excess return from implementation vehicle, compared to its benchmark.
4 SPDR ETF costs are after deducting withholding taxes, whereas the benchmark returns are pre-tax. Actual after-tax returns depend on the investor’s tax situation and may differ
from those shown.
FTSE UK All Share Index : Timeline of Cash Flows Comparing Futures and SPDR ETF Portfolios
Date 18/09/2013 25/09/2013 18/12/2013 19/03/2014 18/06/2014 17/09/2014
Relevance Initiate
Exposure VUKE ETFEx-Div Roll + VUKE Futures ETF Ex-Div Futures Roll + VUKE ETF Ex-Div Futures Roll + VUKE ETF Ex-Div Exit
FTSE 100 Index Futures1
Portfolio Actions
Buy2 Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry —
Sell — Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry
Portfolio Value
Futures3 £10,000,000 £9,964,697 £10,180,497 £10,599,876 £10,699,442
FTSE UK AS TR £10,000,000 £10,010,060 £10,304,475 £10,595,453 £10,685,450
Total Cost of Exposure4 -£45,363 -£123,978 £4,423 £13,992
Vanguard FTSE 100 UCITS ETF (VUKE)
Portfolio Actions: Buy £10m
of VUKE ETF Reinvest inVUKE ETF VUKE ETFReinvest in VUKE ETFReinvest in Reinvest in VUKE ETF Sell VUKE ETFPortfolio
Portfolio Value
VUKE ETF £10,000,000 £9,955,315 £10,169,101 £10,590,719 £10,683,805
FTSE UK AS TR £10,000,000 £10,010,060 £10,304,475 £10,595,453 £10,685,450
Total Cost of Exposure3 -£54,745 -£135,374 -£4,735 -£1,645
SPDR FTSE UK All Share UCITS ETF (SPYF)
Portfolio Actions: Buy £10m
of SPDR ETF Sell SPDR ETFPortfolio
Portfolio Value
SPDR ETF £10,000,000 £9,991,630 £10,303,791 £10,571,452 £10,649,822
FTSE UK AS TR £10,000,000 £10,010,060 £10,304,475 £10,595,453 £10,685,450
Total Cost of Exposure4 -£18,430 -£684 -£24,002 -£35,628
ETFs versus Futures
Vanguard FTSE 100 UCITS ETF (VUKE) -£9,382 -£11,396 -£9,157 -£15,637
-0.09% -0.11% -0.09% -0.16%
SPDR FTSE UK All Share UCITS ETF (SPYF) £26,932 £123,294 -£28,424 -£49,619
0.27% 1.23% -0.28% -0.50%
1 FTSE UK 100 Index Futures are used to proxy FTSE UK All Share Index benchmark
2 Futures position is incremented with 100% notional invested in 3-month Sterling Interest Rate Swap. Cost of the swap is assumed to be 5 bps. 3 Total returns from futures position and the cash yield from the swap.
4 Total cost of exposure is defined as the excess return from implementation vehicle, compared to its benchmark.
Date 18/09/2013 18/12/2013 19/03/2014 18/06/2014 17/09/2014
Relevance Initiate Exposure Futures Roll1 Futures Roll1 Futures Roll1 Exit
MSCI Europe Net Total Return Index Futures
Portfolio Actions
Buy2 Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry —
Sell — Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry
Portfolio Value
Futures3 €10,000,000 €9,991,630 €10,413,891 €11,205,176 €11,157,942
MSCI Europe NTR€ €10,000,000 €10,047,640 €10,488,866 €11,288,874 €11,284,955
Total Cost of Exposure4,5 -€56,009 -€74,975 -€83,698 -€127,013
SPDR MSCI Europe UCITS ETF (ERO)
Portfolio Actions Buy €10m
of SPDR ETF Sell SPDR ETFPortfolio
Portfolio Value
SPDR ETF €10,000,000 €10,030,184 €10,457,478 €11,272,837 €11,260,755
MSCI Europe NTR€ €10,000,000 €10,047,640 €10,488,866 €11,288,874 €11,284,955
Total Cost of Exposure4,5 -€17,455 -€31,389 -€16,036 -€24,200
SPDR ETFs versus Futures
SPDR MSCI Europe UCITS ETF (ERO) €38,554 €43,587 €67,662 €102,813
0.39% 0.44% 0.68% 1.03%
1 Due to lower liquidity in these futures contracts, we have assumed rolling of the position equally over a period of 3 trading days prior to the expiry. 2 Futures position is incremented with 100% notional invested in 3-month Euro Interest Rate Swap. Cost of the swap is assumed to be 5 bps. 3 Total returns from futures position and the cash yield from the swap.
4 Total cost of exposure is defined as the excess return from implementation vehicle, compared to its benchmark
5 Costs for both futures and SPDR ETFs are after deducting withholding taxes, and so does the benchmark returns as well. Actual after-tax returns depend on the investor’s tax
situation and may differ from those shown. Source: Bloomberg, State Street Global Advisors
MSCI Emerging Markets Index: Timeline of Cash Flows Comparing Futures and SPDR ETF Portfolios
Date 20/09/2013 20/12/2013 21/03/2014 20/06/2014 19/09/2014
Relevance Initiate Exposure Futures Roll1 Futures Roll2 Futures Roll3 Exit
Mini MSCI Emerging Markets Index Futures
Portfolio Actions
Buy2 Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry —
Sell — Dec-13 Expiry Mar-14 Expiry Jun-14 Expiry Sep-14 Expiry
Portfolio Value
Futures3 $10,000,000 $9,604,468 $9,137,507 $10,265,685 $10,400,082
MSCI EM TR $10,000,000 $9,784,995 $9,392,971 $10,478,896 $10,691,633
Total Cost of Exposure3 -$180,526 -$255,464 -$213,211 -$291,551
SPDR MSCI Emerging Markets UCITS ETF (SPYM)
Portfolio Actions: Buy $10m
of SPDR ETF Sell SPDR ETFPortfolio
Portfolio Value
SPDR ETF $10,000,000 $9,768,671 $9,373,445 $10,437,032 $10,590,887
MSCI EM TR $10,000,000 $9,784,995 $9,392,971 $10,478,896 $10,691,633
Total Cost of Exposure3,4 -$16,324 -$19,527 -$41,865 -$100,746
SPDR ETF versus Futures SPDR MSCI Emerging Markets
UCITS ETF (SPYM) $164,2021.64 $235,9382.36% $171,3471.71% $190,8051.91%
1 Due to lower liquidity in these futures contracts, we have assumed rolling of the position equally over a period of 3 trading days prior to the expiry. 2 Futures position is incremented with 100% notional invested in 3-month US Dollar Interest Rate Swap. Cost of the swap is assumed to be 5 bps. 3 Total returns from futures position and the cash yield from the swap.
4 Total cost of exposure is defined as the excess return from implementation vehicle, compared to its benchmark
5 SPDR ETF costs are after deducting withholding taxes, whereas the benchmark returns are pre-tax. Actual after-tax returns depend on the investor’s tax situation and may differ
from those shown.
* Assets under management were approx. $2.42 trillion as of December 31, 2014. Please note that AUM totals are unaudited.
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Frequent trading of ETF’s could significantly increase commissions and other costs such that they may offset any savings from low fees or costs.
Investments in small/mid-sized companies may involve greater risks than in those of larger, better known companies.
Companies with large market capitalizations go in and out of favor based on market and economic conditions. Larger companies tend to be less volatile than companies with smaller market capitalizations. In exchange for this potentially lower risk, the value of the security may not rise as much as companies with smaller market capitalizations.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. All results are historical and assume the reinvestment of dividends and capital gains.Visit spdrseurope.com for most recent month-end performance.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Risk associated with equity investing include stock values which may fluctuate in response to the activities of individual companies and general market and economic conditions.
Investing in futures is highly risky. Futures positions are considered highly leveraged because the initial margins are significantly smaller than the cash value of the contracts. The smaller the value of the margin in comparison to the cash value of the futures contract, the higher the leverage. There are a number of risks associated with futures investing including but not limited to counterparty credit risk, currency risk, derivatives risk, foreign issuer exposure risk, sector concentration risk, leveraging and liquidity risks.
Derivative investments may involve risks such as potential illiquidity of the markets and additional risk of loss of principal.
or from economic or political instability in other nations.
Investments in emerging or developing markets may be more volatile and less liquid than investing in developed markets and may involve exposure to economic structures that are generally less diverse and mature and to political systems which have less stability than those of more developed countries.
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All the index performance results referred to are provided exclusively for comparison purposes only. It should not be assumed that they represent the performance of any particular investment. Investing involves risk including the risk of loss of principal.
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The views expressed in this material are the views of Matthew Arnold and Antoine Lesne through the period ended 28 February 2015 and are subject to change based on market and other conditions. This document contains certain statements that may be deemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developments may differ materially from those projected.
These investments may have difficulty in liquidating an investment position without taking a significant discount from current market value, which can be a significant problem with certain lightly traded securities.
The use of leverage, as part of the investment process, can multiply market movements into greater changes in an investment’s value, thus resulting in increased volatility of returns. Securities lending programs and the subsequent reinvestment of the posted collateral are subject to a number of risks, including the risk that the value of the investments held in the collateral may decline in value and may at any point be worth less than the original cost of that investment.
Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise, bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Currency Risk is a form of risk that arises from the change in price of one currency against another. Whenever investors or companies have assets or business operations across national borders, they face currency risk if their positions are not hedged.
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