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The declining index effect is driven by primarily two factors: an increase in migrations over time from the S&P MidCap Index, and an overall increase in the market’s ability to provide liquidity to index changes. We cannot rule out that a third factor, increased predictability of index changes, played some role.
Fazit: Zu- und Abgänge aus Indizes verursachen keine profitablen Renditeanomalien mehr.
Overlapping Momentum Portfolios
The subset of momentum stocks that are in the intersection of the winners-minus-losers portfolios formed on past 6-month and 12-month returns generate a sizable portion of the returns of the momentum strategy that employs a single formation period. […] Focusing on overlapping stocks improves the profitability of several momentum-based strategies.
Fazit: Ein schlüssiger Ansatz zur Optimierung von Momentum-Strategien.
Mutual Fund Performance at Long Horizons
The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. […] We tabulate an aggregate wealth loss of $1.02 trillion to mutual fund investors over our 30-year sample, when opportunity costs are based on beta-adjusted SPY returns.
Fazit: Langfristig war der S&P 500 bekanntlich kaum zu schlagen.
Fee the People: Retail Investor Behavior and Trading Commission Fees
We study the implications of removing commission fees for trading activity among retail investors. […] Investors responded by trading approximately 30% more frequently, in smaller order sizes, and increasing portfolio turnover. Removing fees also spurred retail investors to reallocate their portfolios and diversify. […] Retail investors earned significantly higher returns on a net basis.
Fazit: Gebührenfreier Handel führt zu höherer Aktivität, Diversifikation und Nettorendite.
The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck
We replicate a popular strategy – the self-financing, three-month put-spread collar – with three implementations that vary only in their rebalance schedule. We find that the annualized tracking error between any two implementations is in excess of 400 basis points.
Fazit: Das Timing von Rebalancings kann die Renditen von Anlagestrategien beeinflussen.
The disclosure of personal investments by fund managers leads to significant net inflows to the retail share class of the funds. […] Institutional fund flows are unaltered by managers‘ disclosure of private co-investment.
Fazit: Privatanleger reagieren positiv auf Fondsmanager, die selbst investiert sind.
Revisiting Our „Horribly Wrong“ Paper: That Was Then, This Is Now
Of the 19 factors worldwide, 14 are trading cheap, with 11 in their historically cheapest quintile ever. Of the five factors that are trading rich relative to history, only one – quality in the developed markets – is in the top quintile of historical relative valuation.
Fazit: Multifaktor-Strategien könnten wieder gute Jahre vor sich haben.
Causal Factor Investing: Can Factor Investing Become Scientific?
In its current formulation, factor investing has failed to achieve its objectives. Academically, it is a data-mining exercise that has yielded countless type-A and type-B spurious findings. Commercially, it is falsely promoted as a scientific product, and it has failed to deliver statistically significant returns, against the profit expectations generated by its promoters.
Fazit: Faktorinvesting ist eine Black Box.
How Can Machine Learning Advance Quantitative Asset Management?
The ability to automate tasks of traditional analysts, such as reading, seeing or hearing ultimately promises large gains in productivity. […] We caution that ML is not a panacea, as users need to make important methodological choices, the models can overfit the data, and they are based on the premise that past relations will continue to hold in the future. […] Human domain knowledge is likely to remain important, because the signal-to-noise ratio in financial data is low, and the risk of overfitting is high.
Fazit: Bislang war Machine Learning im Asset Management eher Evolution als Revolution.
Option Market Liquidity and Stock Price Crash Risk
We find that equity option liquidity increases stock price crash risk. […] Our results support the transient investor theory which posits that managers hoard bad corporate news to avoid short-term negative market reactions, leading to accumulation of bad news and severe price crashes when they are revealed at once.
Fazit: Schlechte Nachrichten kommen oft geballt (und schlagen entsprechend durch).
Can Investors Save the Planet?
The more likely a strategy is to deliver real-world change in carbon emissions in line with the 1.5°C goal, the more likely it is to give rise to fiduciary concerns. […] As a result, the strategies most likely to be adopted are also the least likely to contribute meaningfully to addressing climate change. […] Key is aligning commitments to a more realistic climate scenario than 1.5°C with limited or no overshoot.
Fazit: Das 1,5-Grad-Ziel lässt sich Anlegern nicht mehr glaubwürdig vermitteln.
We document significant discrepancies between companies‘ disclosed commitments and their hiring practices. […] Diversity-washing firms obtain superior scores from ESG rating organizations and attract investment from institutional investors with an ESG focus.
Fazit: Erzählen und Umsetzen ist nicht das gleiche.
We find evidence of selective exposure to confirmatory information among 400,000 users on the investor social network StockTwits. Self-described bulls are 5 times more likely to follow a user with a bullish view of the same stock than self-described bears.
Fazit: Anleger neigen dazu, das zu lesen, was ihre Einschätzungen bestätigt.