The SPDR S&P International Dividend ETF tracks an index of 100 ex-US dividend stocks.Its top countries are Japan and Canada, and its top sector is utilities.It has some exposure to geopolitical risks related to China.It has suffered a significant decay in capital and distribution since inception.Quantitative Risk & Value members get exclusive access to our real-world portfolio.
DWX: Global ETF With A 4% Yield And Caveats
This article series aims at evaluating ETFs regarding the relative past performance of their strategies and quality of their current portfolios. As holdings and their weights change over time, reviews may be updated when necessary.
DWX strategy and portfolio
SPDR S&P International Dividend ETF (NYSEARCA:DWX) has been tracking the S&P International Dividend Opportunities Index since 02/12/2008. It has 99 holdings, a 12-month distribution yield of 4.39% and a total expense ratio of 0.45%. Distributions are paid quarterly.
As described by S&P Dow Jones Indices, eligible companies must be in the S&P Global ex-U.S. BMI, excluding China A-Shares, and have:
- at least US$ 500 million in float-adjusted market capitalization,
- at least US$ 5 million in 3-month median daily volume,
- at least 10% of known shares actually available to foreign investors,
- positive earnings-per-share (trailing 12-months) as of rebalancing,
- stable or increasing three-year dividend growth (a small decline is allowed for current constituents),
- a Funds from Operations Per Share to Dividend-Per-Share ratio greater than 100%,
- a dividend yield above the median yield of stocks that passed all other criteria
Then, remaining stocks are ranked based on risk-adjusted yield, defined as dividend yield divided by volatility of monthly dividend yields over the prior 36 months. The top 80 stocks are automatically added in the underlying index, then specific rules are applied to limit turnover of current constituents and reach a total of 100 stocks. Constituents are weighted based on trailing 12-month dividend yield, with a maximum of 3% by constituent, 25% by country, 25% by GICS sector and 10% for all trusts (including REITs). The underlying index is reconstituted annually, rebalanced semi-annually, and reviewed monthly for possible stock exclusion based on dividend criteria and corporate actions.
The fund is quite balanced between large cap companies (54% of asset value) and mid-caps (46%). The next chart lists the top 15 countries, representing 95.5% of assets. Japan and Canada are the heaviest ones with 17.7% and 16.7%, respectively. Other countries are below 9%. China, Hong Kong and Taiwan weigh 15.6% together: it is a significant exposure to geopolitical and regulatory risks.
The fund is overweight in utilities (24.2%). Then, come real estate (15.1%), financials (14.9%) and communication (12%). Other sectors are below 9% individually and 34% in aggregate.
The top 10 holdings, listed below, represent 19% of asset value. The heaviest one weighs about 3% as of writing, so risks related to individual stocks are low.
| Name | Ticker | Weight% | Sector | Currency |
| Algonquin Power & Utilities Corp. | AQN-CA | 3.09 | Utilities | CAD |
| Enel SpA | ENEL-IT | 1.97 | Utilities | EUR |
| China Construction Bank Corp. | 939-HK | 1.90 | Financials | HKD |
| Bouygues SA | EN-FR | 1.87 | Industrials | EUR |
| Enagas SA | ENG-ES | 1.76 | Utilities | EUR |
| Telenor ASA | TEL-NO | 1.74 | Communication Services | NOK |
| E.ON SE | EOAN-DE | 1.70 | Utilities | EUR |
| BCE Inc. | BCE-CA | 1.68 | Communication Services | CAD |
| TC Energy Corporation | TRP-CA | 1.67 | Energy | CAD |
| Red Electrica Corp. SA | RED-ES | 1.58 | Utilities | EUR |
Past performance and competitors
The next table compares DWX performance since 3/1/2008 with four non-hedged international dividend ETFs:
- The WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL). reviewed here.
- The iShares International Select Dividend ETF (IDV), reviewed here.
- The First Trust Dow Jones Global Select Dividend ETF (FGD), reviewed here.
- The Invesco International Dividend Achievers ETF (PID), reviewed here.
| since 3/1/2008 | Total Return | Annual Return | Drawdown | Sharpe | Volatility |
| DWX | 4.20% | 0.27% | -66.86% | 0.08 | 21.23% |
| DNL | 111.69% | 5.08% | -37.47% | 0.33 | 17.89% |
| IDV | 51.97% | 2.80% | -65.14% | 0.2 | 21.56% |
| FGD | 73.25% | 3.70% | -64.56% | 0.24 | 21.27% |
| PID | 67.22% | 3.45% | -63.23% | 0.23 | 19.58% |
Data calculated with Portfolio123
International funds have underperformed the U.S. market: the S&P 500 (SPY) has returned 316% in the same time (9.9% annualized). DWX has lagged these four competitors in total return by a wide margin. Its total return and Sharpe ratio (risk-adjusted performance) are close to zero. DNL, with the lowest yield of this group, is the best performer by far. It also shows a lower risk measured in drawdown and standard deviation of monthly returns (volatility).
DWX has been the worst performer not only since inception, but also in the last 3 years:
The fund has suffered a capital decay over 50% since inception, as shown on the next chart. Distributions have just offset the loss in share price.
To make it worse, the cumulative inflation has been about 41% in the same time (based on CPI).
Moreover, the annual sum of distributions went down by 20% between 2009 and 2022, from $1.89 to $1.51 per share (source: SSGA).
Takeaway
SPDR S&P International Dividend ETF tracks an index of 100 ex-US international dividend stocks. Japan and Canada are its top countries, and its three major sectors are utilities, real estate and financials. More than 15% of assets are directly exposed to geopolitical and regulatory risks related to China. The yield is quite attractive for income-seeking investors, but the fund has suffered from a significant decay in capital and distribution since inception: it has lost 53% in share price and 20% in annualized distribution. It has lagged several competitors by far. Among them, WisdomTree Global ex-U.S. Quality Dividend Growth (DNL) is the best performer.