Smart-Beta / Value / Low Vola / Momentum ETF

[ParkettPionier]

Hallo,

 

in Anlehnung an diesen Thread:

Entwicklung von MSCI Varianten World/Europe etc. etc.

 

habe ich mir dieses Video hier angesehen:

 

Has Low-Beta Become High-Risk?

 

Hier werden einige interessante Zweifel angemerkt wie ich finde.

 

Ich persönlich hatte mich sehr für die iShares Minimum Volatility ETFs interessiert. Leider sind diese aber steuerhässlich Das sollte sich ja wahrscheinlich mit der Reform 2018 ändern?

 

Wie ist eure Meinung zu den einzelnen Punkten?

[Mvp]

Definiere: "It's trading rich" und "it's expensive"

 

wenn du das PE z.B. nimmst bist du ja schon direkt im Value-modus.

[ParkettPionier]

wenn du das an PE z.B. bist

 

Was bin ich lesend?

[Mvp]

jetzt stimmt's einigermaßen

[Yoko]

Schau dir mal dieses Paper von Vanguard an:

A review of alternative approaches to equity indexing

 

Executive summary. Within the investment community, a small (but vocal) segment has criticized the use of indexes constructed according

to the traditional method of market-capitalization weighting, on the grounds that such indexes systematically overweight overvalued or “mispriced” stocks. Some critics have suggested that investors should abandon market-cap-weighted indexes in favor of alternative equity benchmarks that, for instance, weight individual stocks equally, or according to dividends, company fundamentals, or statistical properties.1 This paper’s analysis supports market-cap-weighted indexes over these alternative equity benchmarks, both for their theoretical basis and their practicality.

We first demonstrate the significance of the inherent bets for or against individual securities advocated by each alternative weighting methodology.

We then show that after accounting for size and style exposures, these strategies have not consistently produced positive excess returns, or “alpha.”

Finally, we demonstrate that such alternative weighting methodologies tend to produce a systematic “beta” exposure toward the smaller-cap and value stocks within the targeted benchmark. Ultimately, we conclude that should an investor desire such an exposure, market-cap-weighted portfolios focused on smaller-cap and value stocks represent a more cost-effective, more transparent, and statistically equivalent strategy.

 

Equal-Weighted finde ich noch halbwegs in Ordnung, von anderen Smart-Beta-Produkten halte ich aber nicht soviel und würde die Finger davon lassen.

[CHX]

Auch auf deutsch:

 

alternative-indexing-approaches-german.pdf