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How Can „Smart Beta“ Go Horribly Right?

The smart beta performance landscape looks pretty bleak. […] But there is a silver lining. The same declining valuations that led to pervasive smart beta underperformance have resulted in near-all-time lows in relative valuations for just about every style of systematic equity strategy. […] If markets receive a wake-up call and valuations revert, a multitude of systematic factor-based equity strategies could all have a field day.

Fazit: Nach vielen schlechten Jahren könnte Smart Beta nun wieder liefern.

 

Passive Aggressive: The Increasing Risks of Passive Dominance

The trillions flowing into market cap-weighted products has increased comovement of stocks in the same index, diminished diversification, and eroded price discovery. […] Unless markets are perfectly efficient, passive flows perpetuate momentum driven mis-valuation because they are systemically coordinated and indifferent to fundamental information. […] When prices are pushed away from fundamentals by non-economic flows, they tend to mean-revert, often abruptly.

Fazit: Strategien mit fundamentalem Anker könnten davon profitieren.

 

Clinging to Beliefs in Financial Markets: Solving the Post-Earnings Announcement Drift Puzzle

The post-earnings announcement drift (PEAD) is conditional: when positive (negative) surprises hit Sell (Buy) stocks – recommendation-inconsistent surprises – 90-day PEAD abnormal returns average 5.8-7.4%, roughly 2.5-4.5 times larger than consistent cases. […] Pre-existing beliefs shape how investors process information, offering new evidence on investor underreaction and overreaction.

Fazit: Echte Überraschungen führen zu stärkeren Drifts.

 

Longevity and Optimal Pension Fund Equity Exposure: Empirical Evidence on Life-Expectancy

Our main findings show a positive and significant relationship between life expectancy and the share of pension funds‘ assets invested in equities, suggesting that changes in population longevity matter in influencing these institutional investors‘ asset allocation. […] One of the main challenges of worldwide pension systems is to keep pensions financially sustainable in the long term against the increase of pensioners relative to the working-age population.

Fazit: Demografisch betrachtet braucht es höhere Aktienquoten.