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Flow to the broad mutual fund industry is known to impact price formation due to inelastic demand. […] Investors respond to both the skill- and non-skill components of returns and in all categories of funds, including broad-based passive funds. […] There is no continuum of sensitivity from zero skill chasing by purely passive funds to active funds.
Fazit: ETF-Flows verursachen Preisdruck mit anschließenden Reversals auf Einzelaktien- und Gesamtmarktebene.
Many active funds hold concentrated portfolios. Flow-driven trading causes price pressure, which pushes up the funds‘ existing positions resulting in realized returns. We decompose fund returns into a price pressure (self-inflated) and a fundamental component and show that when allocating capital across funds, investors are unable to identify whether realized returns are self-inflated or fundamental.
Fazit: Flow-basierter Preisdruck führt dazu, dass weitere Anleger den Kursen nachjagen.
I introduce a new measure (Edge) and benchmark (Short VIX) of hedge fund performance that I argue more accurately reflects the skill of a hedge fund manager. A hedge fund manager that is able to generate alpha without positive exposure to market downside risks is determined to possess Edge. […] Hedge funds can be separated, ex-ante, into two groups, with respect to Edge. Only 3% of hedge funds possess Edge. OOS, hedge funds with Edge have both higher sharpe ratios and positive skewness while those hedge funds without Edge have lower sharpe ratios and negative skewness.
Fazit: Egal, wie man es misst, die meisten Hedge-Fonds schneiden schlecht ab.
There is No Excess Volatility Puzzle
The cash flow news in our model is not a stand-in for changes in expected returns: with our model parameters, returns are not predictable and price dividend spreads and ratios predict dividend growth at model-implied magnitudes. […] The answer to the question of whether stock prices are excessively volatile depends on how valuation models are parameterized.
Fazit: Unterschiedliche Modelle, unterschiedliche Ergebnisse.
An Examination of Morningstar’s „Mind the Gap“ Study
Morningstar argues that […] from 2013 to 2022, poor timing cost investors 1.7% per year. We show how three methodological choices cause that calculation to misestimate investors‘ timing ability. After implementing our recommendations, we find little evidence of poor timing during the same period, with mutual funds investors‘ timing costing them only 0.03% per year.
Fazit: Interessant, dass die Ergebnisse der bekannten Studie so stark verzerrt sind.
A Skew is a Skill: Portfolio Skewness of Mutual Fund Holdings
Actively managed mutual funds with high portfolio skewness outperform funds with low portfolio skewness by 2.88% on an annualized basis. […] Shares added or tilted to by high skewness funds relative to low skewness funds significantly outperform their counterparts, pointing to stock selection skill.
Fazit: Die Outperformance dürfte auf einer langfristig besseren Aktienauswahl beruhen, nicht auf kurzfristigem Trading.
The Risk and Reward of Investing
Our newly collected monthly return data allows us to examine the time variation of the Sharpe ratios of the five asset categories and the global market portfolio. […] The geometric (arithmetic) average excess return of the global market portfolio has been 0.30 (0.34) percent per month over the period 1970-2022, while the standard deviation of returns has been 2.90 percent. […] Confidence in a positive Sharpe ratio for the global market portfolio over a decade is highest.
Fazit: Wieder mal die einfache Erkenntnis, dass Diversifikation das Risiko verringert.
The price impact of an asset sale depends critically on the type of institution selling. Sales by dealers and hedge funds generate significantly larger impacts than sales of the same size by other investor types. […] Regardless of whether they are actually trading on the basis of superior information, counterparties cannot infer their motivations and thus demand a larger price discount when dealing with a more informed trader.
Fazit: Preisveränderungen hängen nicht nur von der Größe des Trades ab.