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Why Gold Shares Underperform Gold Bullion
Mining companies are exposed to a plethora of downside technical and non-technical risks. […] Gold miners underperform on average, with a clear underperformance over long horizons (…). Gold miners specifically underperform in crisis periods or safe-haven events and in gold bear markets but only marginally in gold bull markets. […] We demonstrate that this underperformance is due to finite mine lives and the constant need to replace the mined gold with new reserves.
Fazit: Gold ist besser als ein ETF auf Goldminenaktien.
Winners Glide, Losers Stumble: A Behavioral Reversal Tilt to Momentum
The short leg is (…) where momentum is weakest and where it crashes. This paper has studied a parameter-free response to that asymmetry: (…) shorting rebounded losers harder and not-yet-rebounded losers less. […] Across a century of U.S. data and twelve markets, [this] outperforms classic momentum, and the entire gain is on the short leg. […] The effect lives mostly in small caps.
Fazit: Die Short-Seite des Momentum-Faktors lässt sich optimieren.
(Why) Have Financial Markets Become More Volatile? The Role of Market Index Trading
We document a persistent doubling of U.S. stock market volatility since the mid-20th century, which cannot be attributed to macroeconomic fundamentals or idiosyncratic firm shocks. Instead, we show that the increased volume and dominance of index trading – via futures, ETFs, and extended trading hours – has structurally raised aggregate stock market volatility. […] Index-level trading amplifies market variance through trading volume.
Fazit: Der zunehmende Handel von Indexprodukten hat zur höheren Marktvolatilität beigetragen.
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
The cross-sectional variable distinguishing degraded from surviving trends is the volatility-normalised tick size: post-2008 trend PnL has collapsed on small-tick contracts across all signal horizons, while remaining essentially intact on large-tick ones. […] We interpret this result through a self-fulfilling feedback loop (…): trend signals trigger directional trades, whose market impact reinforces the very price moves that generated the signal. […] The post-crisis transition to HFT-dominated market making (…) has broken this loop on small-tick contracts. On large-tick contracts (…) the loop continues to operate.
Fazit: Trendfolge funktioniert bei Futures mit hoher relativer Tickgröße nach wie vor.
Passive Flows, Active Woes: Passive Investing and the Decline of Active Mutual Fund Alpha
Average active fund alphas fell significantly after 2010, with the steepest declines concentrated among high Active Share funds. A flow-driven framework can explain these patterns. When capital shifts toward passive vehicles, the resulting flow-induced demand reduces funds‘ relative returns in proportion to their active tilt. […] The decline in active fund performance primarily reflects structural demand headwinds from the reallocation toward passive investing rather than a deterioration in manager skill.
Fazit: Passive Flows könnten zu den schwächeren Renditen aktiver Fonds beigetragen haben.
Speculative Supply Chains: How Rational Incentives Manufacture the Madness of Crowds
Speculative episodes arise not because market participants suddenly become irrational, but rather because rational decisions made by individuals and firms aggregate into collectively irrational outcomes. As speculative supply chains mature, incentives favoring capital deployment strengthen and become increasingly aligned across participant groups. Simultaneously, risk awareness becomes more segmented and corrective feedback is increasingly suppressed. […] Paradoxically, the framework suggests that speculative episodes become especially difficult to detect precisely when underlying conditions are becoming most dangerous.
Fazit: Gute Erklärung für „rationale“ Übertreibungen
Showcasing Winners: The Speed of Mutual Fund Portfolio Disclosure
This paper studies the strategic timing of voluntary mutual fund portfolio disclosure. […] Funds are more likely to initiate an irregular new report when the most recent fiscal mandatory quarterly holdings report contain more recent winners, especially among top holdings. Conditional on disclosure, funds release reports faster when the current portfolio signal is stronger. […] These results suggest that managers use voluntary holdings disclosure to communicate favorable, verifiable portfolio information to investors who monitor holdings.
Fazit: Wenn das Portfolio gut läuft sind häufigere Updates wahrscheinlicher.
Systematic Signals of Short Squeezes: Insights from Rare Events
We show that short interest and investor attention are the primary drivers of short squeeze likelihood. […] Once short interest exceeds 17%, its effect on the likelihood of a short squeeze becomes economically and statistically significant. […] Institutional ownership consistently reduces the likelihood of a squeeze, reflecting its stabilizing role in financial markets. […] Short squeezes are more pronounced during bullish market conditions and weaken during market downturns.
Fazit: Interessanter Überblick, wann Short Squeezes vermehrt auftreten.
Earnings Persistence Cliff and Post-Earnings-Announcement Drift
Earnings-surprise persistence is stable across quarter-to-quarter transitions within a fiscal year but declines markedly from FQ4 to the subsequent FQ1. […] Because the weak relation between FQ4 and FQ1 surprises leads investors to underestimate the persistence of FQ1 news, prices underreact to its implications for future earnings, generating stronger post-earnings-announcement drift. […] The PEAD following FQ1 announcements is approximately 83% larger than following announcements in other fiscal quarters.
Fazit: Der Post Earnings Announcement Drift ist weitgehend verschwunden – außer nach Zahlen zum 1. Quartal eines Geschäftsjahres.
An Empirically Derived Allocation to Emerging-Market Equities
The market weight of about 12 per cent should be the neutral anchor from which deviations must be justified; investors without a view on rates and the dollar stay there. […] A range from zero to about 25 per cent is appropriate, positioned according to the US interest-rate cycle and the dollar. […] Investors should justify the allocation not with the growth advantage of emerging economies, which does not show up in returns, but with the diversification gain, the valuation and the interest-rate view; and they should know that with today’s index they buy above all the semiconductor value chain of East Asia and a dollar risk.
Fazit: Ein Portfolioanteil von bis zu 25 Prozent in Emerging Markets kann sinnvoll sein.
Calendar Anomalies: Real Patterns or Data-Mining Artifacts?
After accounting for data mining, the day-of-the-week, week-of-the-month, and month-of-the-year anomalies remain statistically significant in the full sample. […] These anomalies largely disappear in later subsamples beginning in the early 1990s. […] The Sell-in-May effect proves more resilient: (…) the international evidence remains robust to data-mining concerns.
Fazit: Viele saisonale Effekte haben sich im Lauf der Zeit abgeschwächt oder sind ganz verschwunden.
A Century of Meme Stocks and the Price of Coordination
The meme stock was never the artifact of any single era’s technology; it is what a crowd does to a price whenever it can, and all that has changed is how quickly, and how visibly, it now does so. […] The policy-relevant margin, then, is coordination technology, platform design, order-flow gamification, the frictionless assembly of a crowd. […] If coordination costs keep falling, displacement episodes should keep growing larger, more frequent, and more correlated.
Fazit: Meme Stocks gibt es in abgeschwächter Form schon seit 100 Jahren.
Does Momentum Time Risk Rather Than Returns?
Negative-Momentum states are associated with higher subsequent volatility, while positive-Momentum states are associated with lower subsequent volatility. […] A long-only strategy (…) can improve risk-adjusted performance simply by avoiding periods of elevated volatility. […] The 12-month Momentum signal provides little evidence of return predictability, but it is strongly related to future volatility. […] Long-only Momentum improves the Sharpe ratio mainly by reducing volatility.
Fazit: Time Series Momentum ist eher Volatilitäts- als Rendite-Timing.
A Brief History of Financial Risk
The understanding of equity risk in the early 20th century was very different to that in the mid 20th century, which was different again from that later in the 20th century. […] Our results serve as a cautionary note for authors trying to solve a problem of lack of data in modern periods by collecting additional data from further in the past.
Fazit: Sehr alte Finanzmarktdaten sind heute nicht mehr besonders relevant.
Crowding is positively related to future abnormal returns across all of the anomalies. […] A strategy that buys crowded long-anomaly portfolio stocks and shorts the uncrowded short-anomaly portfolio stocks generates a large and statistically significant alpha. […] Crowding is related to crash risk and to limits to arbitrage for the short positions.
Fazit: Crowding kann das Alpha von Anomaliestrategien erklären.
Millennial accumulation flows have reinforced Gen X peak accumulation and Boomer preservation behavior. This is the structural tailwind that has supported the longest bull market in U.S. history. The equilibrium is approaching a transition. As the Boomer cohort completes its movement into Stage IV and Gen X begins its movement into Stage III, the payoff structure of the multi-cohort game changes. […] The equilibrium does not collapse; it destabilizes gradually over the late 2020s and early 2030s.
Fazit: Die realen US-Aktienrenditen könnten von 2028 bis 2025 niedrig ausfallen; allerdings lagen demografische Marktprognosen schon oft daneben).
Going public turns illiquid private equity into acquisition currency. […] IPO completion raises annual acquisition probability by 12 to 13 percentage points; nearly three-quarters of the induced deals are paid at least partly in stock. The new currency disproportionately buys private, direct-competitor firms. Acquisitions paid in stock underperform cash acquisitions by 21 to 28 percentage points over three to five years. […] Insiders sell into the most richly valued listings; institutions end up holding them.
Fazit: Das dürfte zum Effekt der IPO-Underperformance beitragen.