La constante volatilidad del mercado causada por la pandemia de COVID-19 ha dado lugar a volúmenes de negociación sin precedentes en un contexto de reducción de la liquidez en todas las clases de activos. Según DWS, hasta ahora, los fondos cotizados (ETFs) han demostrado una vez más su “gran resistencia” y han funcionado como herramienta de acceso instantáneo al mercado, además de proporcionar descubrimiento de precios y liquidez a los inversores durante los escenarios de tensión del mercado.
ETFs de renta variable
En general, los ETFs de renta variable han estado operando en el mercado secundario dentro de la horquilla de precios a ambos lados del valor liquidativo (NAV), aunque ha sido más amplia de lo normal. En un análisis reciente, la gestora asegura que la transparencia de la estructura del mercado de valores ha ayudado a los especialistas de ETFs a contar con cierta confianza en los precios ofrecidos intradía o respecto al NAV. “Esto se ha visto respaldado por los índices de renta variable que utilizan precios de cierre oficiales, transparentes y generalmente alcanzables para los niveles de cierre del índice que referencian los NAV de los ETFs”, señala.
Si bien la volatilidad del mercado1 ha aumentado y los márgenes de los ETFs han sido más amplios, los de renta variable se han comportado de acuerdo a las expectativas2 y no han registrado grandes primas o descuentos. DWS apunta que la ampliación de los diferenciales puede explicarse por la ampliación de los de los instrumentos subyacentes que utilizan los intermediarios para cubrir los ETFs, como acciones o futuros.
“La actual volatilidad del mercado spot y de futuros ha hecho más difícil la actividad de cobertura”, afirma. Por ejemplo, los futuros del E-mini S&P 500 que normalmente se negocian en una horquilla inferior a 1 punto básico con una profundidad significativa en la oferta y la demanda se han ampliado recientemente a 4 pbs3 y a veces con poca o ninguna profundidad. Esto ha resultado en mayores diferenciales.
Incluso cuando la negociación de los futuros del E-mini S&P 500 se suspendió temporalmente, los intermediarios pudieron seguir estimando los precios de los ETFs correlacionados mediante instrumentos de cobertura alternativos, como los futuros del Euro Stoxx 50. “Los diferenciales de los ETFs se ampliaron aún más, reflejando la reducida correlación entre el instrumento de cobertura preferido y la mejor alternativa”, dice DWS.
ETFs de renta fija
En cuanto a la renta fija, destaca que el mercado de bonos se ha movido rápidamente durante la crisis del COVID-19 junto con los diferenciales de crédito hasta niveles no experimentados desde 2008. A su juicio, en un momento en el que la liquidez de los bonos se ha reducido significativamente, los ETFs de renta fija han tenido un buen desempeño.
La gestora afirma que, a pesar de la notable reducción de la liquidez de los bonos subyacentes, se han visto volúmenes de negociación sin precedentes para los ETFs de renta fija. “La estructura del ecosistema de ETFs permite operar en el mercado secundario sin necesidad de ejecutar los valores subyacentes ni de reembolsar las participaciones de los ETFs, lo que aumenta su liquidez general”, revela.
Durante el brote de COVID-19, se ha producido un aumento de la ratio entre el mercado secundario y el primario de los ETFs de renta fija. Por ejemplo, en marzo, algunos ETF de renta fija experimentaron un aumento de más del 270% en la actividad del mercado secundario frente al primario en comparación con la media de 20194. DWS recuerda que la ratio media de 2019 para los mismos ETFs de renta fija fue de 1,3, cifra que ha aumentado hasta 3,5 con la pandemia. Esto significa que, por cada 3,5 euros negociados en el mercado secundario, solo 1 se negocia a través del mecanismo del primario.
“Estos datos demuestran las ventajas amplias y únicas que ofrece el ecosistema de ETFs y en qué medida el reciclaje de participaciones ya emitidas representa un colchón de liquidez que evita la transmisión instantánea del riesgo del mercado secundario al mercado primario5”, asegura.
Además de la extraordinaria falta de liquidez que ha sufrido el mercado de bonos, la gestora recuerda que esta crisis ha puesto de manifiesto que el auténtico precio de negociación de los bonos puede mostrar divergencias con los niveles que marcan los índices. En ese sentido, hace hincapié en que, allí donde los inversores han encontrado dificultades para ejecutar bonos de efectivo individuales, los ETFs se han revelado como una herramienta de descubrimiento de precios eficiente, ya que se negocian a precios de ejecución en tiempo real y reflejan el verdadero valor razonable de los títulos subyacentes.
En la segunda parte del artículo, DWS analizará la dislocación de precios que se produjo entre los ETFs de renta fija y sus índices de referencia en las primeras semanas de la crisis.
1. Measured by Volatility Index (VIX)
2. ETF closing price in line with NAV when the exchange and index closing time coincide
3. Source: DWS Investment GmbH and Bloomberg Finance L.P. As of 17 March, 2020.
4. Source: DWS Investment GmbH and Bloomberg Finance L.P. As of 17 March 2020.
5. Forecasts are based on assumptions, estimates, views and hypothetical models or analyses, which might prove inaccurate or incorrect.
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