Cosa fa un ETF quando un titolo sale? Ovviamente lo compera ma... - Pagina 4
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  1. #31
    L'avatar di Antoniano2
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    Citazione Originariamente Scritto da obey Visualizza Messaggio
    Io non posso chiederlo alla primaria casa di investimento che non è stata citata.

    In generale mi è sembrata una semplice newsletter di marketing, di elementi oggettivi effettivamente interessanti non ne ho letti. E' come quando scrivono che bisogna scegliere aziende di qualità, quando anche il settore dell'investimento passivo offre ora esposizione al factor investing tra cui il quality con elementi quantitativi di selezione delle aziende.
    Cosa tio aspetti in Italia? parole, parole, parole. E se sei fortunato nessuna bugia e poche supercapxole.

  2. #32

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    Va beh lo posto qui per non iniziare un altro tread. Comunque c’entra anche con questo perché la ricerca di ETF altri dimostra come il mercato sia cosciente dell’effetto distorsivo dei prodotti indicizzati.
    (Attenzione alla traduzione: il big è riferito alle dimensioni degli etf non alla volatilità)

    2 Big Volatility ETFs Have Very Different Approaches

    By Stephen Gandel
    Aug. 30, 2019 5:24 pm ET

    Investors are piling into an exchange-traded fund that appears to promise protection at a time when stocks, and the economy in general, look to be their most vulnerable in years. The problem: The fund may actually be one of the riskiest investments in the market right now.

    The iShares Edge MSCI Min Vol U.S.A. ETF (ticker: USMV) has attracted nearly $9.5 billion this year, second only to the broader and much better known Vanguard S&P 500 (VOO). The iShares ETF has swelled 42% in the past eight months to $32 billion, and is now the largest of the low-volatility ETFs, more than twice the size of its next largest rival, the $12 billion Invesco S&P 500 Low Volatility (SPLV), which has also been attracting assets.

    Investor interest in understandable: As volatility increases, investors seek safety. And the iShares ETF’s returns have been remarkable—up 22% in 2019, versus 18% for the S&P 500. There has also been a number of studies suggesting that low volatility funds can offer better returns and lower risk than traditional index funds; the most famous is a 2014 study by a New York University economist and strategist from hedge fund AQR called “Betting Against Beta,” the Wall Street term for how much a stock moves in lockstep with the rest of the market.

    The argument for why low volatility stocks outperform is essentially a value one. When the stock market is rising, new investors tend to be drawn to the stocks that are going up. Index funds, which are mostly market-cap weighed, also own more of the best-performing stocks as they rise. Based on that, low volatility stocks are often relatively undervalued.


    That’s not the case now. The average stock in the iShares ETF trades for 24 times trailing 12-month earnings, versus 19 for the S&P 500; the ETF overall trades at a 17% premium to its MSCI benchmark. A recent study from Leuthold Group found that low volatility stocks, relative to their higher volatility peers, are 99% more expensive than they have been over time, going back to 1990.

    Another problem is interest rates. Low volatility stocks tend to be in sectors that do better when interest rates are falling. The surprise drop in interest rates this year, for instance, is probably why low-vol ETFs have done so well in 2019. Interest rates may not rise anytime soon, given the lack of strength in the economy, but they probably won’t drop much more, either. That could temper some enthusiasm for low volatility strategies for a while.


    Lastly, the ETF itself is diversified across sectors—rather than owning the stocks with the lowest volatility, as the Invesco ETF does, the iShares ETF owns the lowest-vol stocks in each sector. That leads to greater diversification—the Invesco ETF tends to be heavily weighted in utilities and real estate—but can lead to unexpected volatility. For instance, iShares’ USMV fell more than 10% in last year’s market turmoil from mid-August until the end of the year; the S&P was up nearly 10% in the same period. Even so, “we believe a diversified low vol approach over time will produce market-like returns with lower risk,” says Holly Framsted, head of U.S. factor ETFs for BlackRock.

    Research Affiliates, however, has found that the more adjustments made to a straight low-volatility portfolio, the less effective it will be at mitigating market downturns. Feifei Li, a partner and head of investment strategy at Research Affiliates, prefers the Invesco ETF for this reason. Its portfolio has a slightly lower average price/earning ratio, 23, than the iShares’ 24. The fund is unlikely to outperform the market—it faces the same interest-rate headwinds as the iShares ETF—but it’s likely to do a better job of protecting your money, and that’s the reason for buying a low vol ETF in the first place.

  3. #33

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    non sarebbero male fondi "Easy" con commissioni a metà strada tra ETF e Fondi. Gestione passiva degli indici nell'ordinario, con l'intervento attivo solo in casi straordinari come ad esempio nel momento di sostituire titoli causa capitalizzazioni dei titoli o crolli o salite repentine dei mercati

  4. #34

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    The Salem witch trials started in February 1692. For a little over a year, the general population thought that witchcraft was a real phenomenon, and communities were happy to sentence friends and family to death by trial. This seemed like reasonable behavior because everyone was doing it. In May 1693, almost like magic, the greater Salem area was no longer in an intellectual fog. They discovered that following the crowd could have some self-inflicted, unintended consequences.

    What is passive investing

    It all starts with a market index. A market index is, at its core, a set of rules that creates a list of stocks. One of the most famous indices is the S&P 500 Index. For a company to make the list, it needs to be one of the 500 largest publicly traded companies in the US. Another is the Russell 2000 Index, which consists of the stocks ranked from number 1,000 to 3,000 by size.


    Indices were originally used as a comparison for part of the market. If, for example, you invest in large companies, you would want to see how you measure up against the S&P 500. If you invest in small US companies, you’d measure performance compared to the Russell 2000.

    Over the years, the financial industry has created products like exchange-traded funds, or ETFs, and index funds that simply buy the stocks in the index. While at first indices were a point of comparison, now they could be the investment itself.

    In 2009, about 25% of investments were managed passively. Since then, there has been a significant move toward passive investing. This trend brought the market to a point where almost 50% of the market (over $3 trillion) is passive.

    This type of investing is great for the individual investor. For starters, fees are generally minimal. If virtually no work is going into choosing the investments, you shouldn’t be paying for it. The second benefit is you know what you’re getting. When you buy VTI (Vanguard Total Stock Market ETF) for example, you know that you are getting exposure to the entire US stock market.

    But not all is bright in passive land.

    How does the market work?

    The financial markets are just that, markets. They are a place where buyers and sellers meet to exchange (fractional shares of) companies for money. Most market participants have trouble eliminating emotion from their decisions, so they buy and sell on rumor, skipping in-depth analysis. It’s hard to believe that any company gains or loses 2% or 3% of real value in a single day, yet prices bounce around in those magnitudes all the time. Price is what you pay for an investment, and it includes the seller’s erratic emotions. Value is the company you’re buying. Over the short term there can be vast differences between price and value but over time value sets the tone.

    Blue-whale investing

    Passive investors don’t look at companies’ value. In fact, they don’t look at companies at all. Like a blue whale swims around eating whatever is in its path, passive investors buy whatever crosses their paths if it matches the index criteria.

    Over time, passive investors are stretching the link between price and value like a rubber band. As more people jump on the bandwagon, prices stretch the tether to an extreme. The farther the rubber band is stretched, the harder it snaps back.

    Hotel California

    The other main risk is liquidity. Think of a live concert or sporting event. The ETFs and index funds are analogous to watching the event on TV at home. The problem starts when the concert is over and you discover that in order to leave, you need to stand in heavy traffic for hours on the way to bed. Passive investors may discover that when the party is over, just like Hotel California, “You can check out any time you like, but you can never leave!”

    Why will passive investing cause problems when you want to leave and take your money elsewhere? Take Axcella Health Inc. (AXLA), the smallest stock in the Russell 2000, for example. It trades about 28,000 shares per day, yet passive products own 3.5 million shares. This means that it would take passive investors more than a full day of trading to reduce this position by less than 1%, and even that is optimistic, assuming that buyers continue to show up and that passive funds are the only sellers in the market at the time. Now remember that there is no judgment involved when passive funds sell. They must sell at any price once the individual investor sells. “Sell at any price” is not a great strategy to make investment profits, and what’s true for Axcella is also true for bigger stocks, just with bigger numbers and bigger losses.

    Living in a fog

    Just like in 2007-2008 and in the 17th century, faulty ideas can be stretched until they break. You can wrap and re-wrap a financial asset, but economic reality cannot be ignored. Next time you’re offered an ETF, don’t forget to think of an exit strategy.

    The writer is the CEO of ZUZ Capital Fund, a long-term, value-driven investment fund.

  5. #35
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    Examining Passive Crowding As A Risk Factor | Seeking Alpha

    Trades by passive mutual funds and ETFs are motivated solely by flows into and out of these funds.

    We classified the top decile sorted by change in passive ownership as "passive crowded," the bottom decile as "passive uncrowded," and the middle 80% as "neutral." This allowed us to analyze passive crowded, neutral and passive uncrowded within each size group.

    We tested the performance of portfolios constructed using changes in passive ownership.

    A long-short passive crowding factor constructed using six-month change in passive ownership generated, on average, 2.98% over the next month in the all-cap universe, 1.92% in the large-cap universe, 4.25% in the mid-cap universe, and 10.52 % in the small-cap universe.

    In other words, a strategy of buying uncrowded stocks and simultaneously selling short (betting against) crowded stocks generated positive returns across all market caps.


  6. #36
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    Examining Passive Crowding As A Risk Factor | Seeking Alpha

    Trades by passive mutual funds and ETFs are motivated solely by flows into and out of these funds.

    We classified the top decile sorted by change in passive ownership as "passive crowded," the bottom decile as "passive uncrowded," and the middle 80% as "neutral." This allowed us to analyze passive crowded, neutral and passive uncrowded within each size group.

    We tested the performance of portfolios constructed using changes in passive ownership.

    A long-short passive crowding factor constructed using six-month change in passive ownership generated, on average, 2.98% over the next month in the all-cap universe, 1.92% in the large-cap universe, 4.25% in the mid-cap universe, and 10.52 % in the small-cap universe.

    In other words, a strategy of buying uncrowded stocks and simultaneously selling short (betting against) crowded stocks generated positive returns across all market caps.

    Il mercato si auto regola chiudendo i gap che si creano. Non c'è nessun rischio di ingorgo. Al limite qualche extra rendimento per i più accorti dei traders

  7. #37
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    Citazione Originariamente Scritto da Antoniano2 Visualizza Messaggio
    Non c'è nessun rischio di ingorgo. Al limite qualche extra rendimento per i più accorti dei traders.
    Che in fondo è quello che ha detto anche Michael Burry sulla "bolla" degli ETF: le migliori occasioni potrebbero esserci con gli "uncrowded passive", se ci saranno gestori in grado di sfruttarle.

    Almeno finché faranno un ETF smart beta "uncrowded passive"...

  8. #38
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    Che in fondo è quello che ha detto anche Michael Burry sulla "bolla" degli ETF: le migliori occasioni potrebbero esserci con gli "uncrowded passive", se ci saranno gestori in grado di sfruttarle.

    Almeno finché faranno un ETF smart beta "uncrowded passive"...
    Il mercato si autoregola se lasciato lavorare

  9. #39
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    Gli etf comprano titoli ? E da quando?

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