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Mandelbrot Asset Management: geht's mit weniger Sophistication am Aktienmarkt besser?

eröffnet am 21.11.19 23:01:56 von
neuester Beitrag 07.01.21 22:37:22 von

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07.01.21 22:37:22
Beitrag Nr. 20 ()
Antwort auf Beitrag Nr.: 66.236.616 von faultcode am 30.12.20 12:05:375.1.
Quant Funds Have a Problem. So Why Do They Also Have So Many Assets?
https://www.institutionalinvestor.com/article/b1pzw0462xl865…

Quants have underperformed for the last five years, but investors have largely hung on.

<a/ gilt für auch für die Mandelbrot Asset Management GmbH, bzw. die von ihnen betreuten Fonds, aber nicht b/>

...
Even with the underperformance, PivotalPath’s equity quant index represents $150 billion in global investments. “This is after not making anything for five years,” Caplis said in a phone interview.

“Everyone thought these quants have figured it out,” he said. “They were making money every year for the previous five years. It was straight up until 2016 and money piled into that space.”
...

“It’s astounding that managers can be down over a five-year period and still have significant assets,” said Caplis. “But this could be a year of reckoning. Prior to this year, there were no huge headline losses that would have pushed a board or investment committee to say we have to get out now. The funds just haven’t lived up to expectations.”
...

“Quant strategies, which are designed to do better when markets are volatile, struggled when there was little vol between 2016 and 2019,” said Alitovski. “But they also were challenged in Q1 when vol was at unprecedented levels. Vol was too low for a number of years to eke out strong performance. But then it was too high for the models to cope.”

The Morningstar analyst speculated that investors are largely staying put because they understand that the market environment has been abnormal and largely driven by central bank monetary policy.

Caplis added, “It’s difficult for systematic managers because they always say ‘we don’t let the noise drive us, and our models work over the long term. That may be true, but at some point, investors may say they’ve had enough. Five years is a long time to pay 2 and 20, and take these substantial risks to get zero return. I’m not saying the strategies are dead, it’s definitely been a tough period. But at some point, people will vote with their feet.”



___
komisch. Dabei war es doch die Vola, mit der menschliche Anleger im Schnitt so schlecht zurechtkamen (und es weiterhin tun werden) und man ihnen zur Hilfe mit (rein) quantitativen Anlage-Strategien durch Maschinen zur Hilfe kommen wollte

=> nun also auch der Robo-Advisor (*) im Stress :eek:


(*)
...
Robo-Advisor nutzen einen systematischen, größtenteils automatisierten Prozess, um mehr Menschen Zugang zu einer professionellen Vermögensverwaltung zu geben und gleichzeitig Anleger vor emotional getriebenen und daher suboptimalen Anlageentscheidungen zu schützen.
...
https://de.scalable.capital/robo-advisor

=> und wer schützt den Robo-Advisor vor "suboptimalen Anlageentscheidungen"?
Mandelbrot World Equity Long | 85,77 €
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06.01.21 01:53:28
Beitrag Nr. 19 ()
Antwort auf Beitrag Nr.: 66.302.336 von faultcode am 06.01.21 01:33:05
Kündigung (4a)
doch zurück zu dieser interessanten Tabelle:



=> da gab es 2020 also mal wieder das Phänomen, daß Equal weight schlechter lief als der Index selber.

Zum 31.12.2019 waren es 30 verschiedene und in etwa gleichgewichtete Werte im Fond und zum 30.6.2020 29.


Zumindest in den USA ist das schon lange bekannt (in bestimmten Jahren). Ob das in einem anderen Anlage-Universum auch so gilt, weiß ich nicht, aber ich gehe einfach mal davon aus.


Siehe:

Why active fund managers often underperform the S&P 500: The impact of size and skewness (1998)
David L. Ikenberry, Richard L. Shockley, Kent L. Womack
...

V. Conclusion
...
The general tendency of managers to invest equal dollar amounts in their holdings (in comparison to actual capitalization weighting as used in the underlying index) in most years leads to a return comparison benefiting managers.

Yet the premium that small-cap stocks earn is not stable over time. In some years, large-cap stocks outperform small-cap stocks, such as occurred in the mid-1990s, and, as a result, money managers as a group did poorly.

Second, we also illustrate the impact of skewness on investment performance for portfolios that hold a limited number of stocks. Cross-sectional skewness in component stock returns tends to produce a drag on the returns of investors who hold a small number of stocks, even when simply drawing from stocks included in the underlying benchmark.

This drag represents another “cost” incurred by active investors attempting to outperform passive benchmarks and is particularly significant for portfolios that hold 35 stocks or less. For funds which hold more than 35 stocks, the negative impact of skewness decreases although the impact still measurable for portfolios with as many as 150 stocks.



=> mit anderen Worten: der Mandelbrot World Equity Long-Fonds ist 2020 unter anderem wahrscheinlich auch noch in diese beiden Schwächen hineingelaufen:
• Equal weight (Size), und
Skewness (wenig verschiedene Komponenten)
Mandelbrot World Equity Long | 85,78 €
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06.01.21 01:33:05
Beitrag Nr. 18 ()
Antwort auf Beitrag Nr.: 66.302.204 von faultcode am 06.01.21 00:39:52
Kündigung (4)
Das kann auch - indirekt - mit der US-Dollar-Lastigkeit zusammenhängen, da z.B. zum 31.12.2019 USA noch als #1 mit 31% vertreten waren; zum 30.6.2020 waren es dann 0 (und CH mit 36% die neue #1)

Diese US-Dollar-Lastigkeit wäre aber gar nicht schlecht in 2020 gewesen, wenn man eben konsequent durchgehalten hätte. Aber so scheint man da in eine Falle hineingelaufen zu sein.

Da wurden u.a. vollständig verkauft ab 1.1.2020 und bis zum 30.6.2020 (ev. mit Trades zwischendurch):
• Advanced Micro Devices
• Apple
• NVIDIA
• ...

Large Cap growth war aber im USD-Raum der (globale) Gewinner schlechthin in 2020, noch vor Momentum:


https://twitter.com/NateGeraci/status/1346235773171982336


Und so hat der Mandelbrot World Equity Long-Fonds schon mal mindestens solche 3 Momentum-Knaller, auch in EURO, vorzeitig verkauft:




Und ganz offensichtlich konnten quasi die neuen Ersatz-Werte aus der Schweiz (noch nicht im Portfolio zum 31.12.19), wie z.B. (30.6.2020):
• Allreal Holding
• Galenica Sante
• Novartis
• ...


<währungsgemischt, aber das Bild im Vergleich zu oben ist klar>

..damit nicht annähernd mithalten.


Siehe dazu auch die Underperformance mancher US-Quants oben:
• 2020 war kein gutes Jahr für eine quantitative, muster- und (streng) regelbasierte Portfolio-Auswahl

=> nur welcher US-Quant kommt schon auf die Idee, sich eine Allreal Holding gleichgewichtet ins Portfolio zu nehmen? :rolleyes:

Der kauft sich schnell wieder, nachdem er im April erkannte, wie der Hase läuft, genau diese 3 sicheren Bänke:
• Advanced Micro Devices
• Apple
• NVIDIA

...und das Jahr ist halbwegs gerettet, während die Wavelets des Herrn Dr. Berghorn noch im Anlage-Universum umherirren und den Mandelbrot World Equity Long-Fonds zu einem Schweizer Value-Fonds umgebaut haben :D


nebenbei: die Korrelation von Allreal Holding und dem Fonds ist bemerkenswert:


<beides sollte in EUR sein>

=> man sieht auch wohl, wie der Fonds gegen Ende 2020 aufgelöst wird
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06.01.21 00:39:52
Beitrag Nr. 17 ()
Antwort auf Beitrag Nr.: 66.290.879 von faultcode am 05.01.21 12:42:55
Kündigung (3)
das sagt Morningstar zur Performance:


https://www.morningstar.de/de/funds/snapshot/snapshot.aspx?i…

Benchmark ist der Morningstar EU Mod Tgt Alloc NR EUR, was immer das ist (ISIN?).


Mit meinem schnöden Benchmark DAX-ETF sah das so aus:



=> der Fond erholte sich nach "Corona" nicht mehr so richtig, etwas, was selbst der DAX tat.
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05.01.21 12:57:14
Beitrag Nr. 16 ()
Antwort auf Beitrag Nr.: 66.290.879 von faultcode am 05.01.21 12:42:55<später geht's weiter - der sonstige Tag ruft...>
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05.01.21 12:42:55
Beitrag Nr. 15 ()
Antwort auf Beitrag Nr.: 66.290.669 von faultcode am 05.01.21 12:27:48
Kündigung (2)
zuletzt ging es mit dem Fondsvermögen rapide bergab, wie auch schon zuvor beim Mandelbrot Market Neutral Germany-Fonds: https://www.wallstreet-online.de/diskussion/1256297-171-180/…


aus: Jahres- und Halbjahresberichten


=> der "Corona-Crash" in 2020-03 - gerade hier im Fonds - tat offenbar sein Übriges (wobei ich das auf die Schnelle bislang nicht genauer untersuchte), nachdem die Anleger schon zuvor Kapital abzogen


Soweit ich das erkennen kann, war der Mandelbrot World Equity Long der letzte Publikums-Fonds der Mandelbrot Asset Management GmbH: https://mandelbrot.de/mandelbrot-world-equity-long


...
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05.01.21 12:27:48
Beitrag Nr. 14 ()
Kündigung (1)
nach dem..
Zitat von faultcode: ...Mandelbrot World Equity Market Neutral

– ISIN DE000A14N8Q7 –
...

(vormals Mandelbrot Market Neutral Germany-Fonds)


..hat es nun auch den Mandelbrot World Equity Long erwischt - nur knapp 1 1/2 Jahre später:


Quelle: Bundesanzeiger


Die Kündiung erfolgte schon im August 2020; ist mir aber jetzt erst aufgefallen, nachdem ich nach der Performance 2020 schaute.
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30.12.20 12:05:37
Beitrag Nr. 13 ()
Antwort auf Beitrag Nr.: 66.217.257 von faultcode am 28.12.20 21:51:2230.12.
Human-Run Hedge Funds Trounce Quants in Covid Year
https://www.msn.com/en-us/money/markets/human-run-hedge-fund…









...
Turns out, the hedge fund industry’s swashbucklers haven’t been made obsolete by the machines just yet.

After years of being outgunned and outclassed by computer-driven quantitative strategies, human stock-pickers climbed back on top in 2020. The dizzying gyrations of the pandemic-stricken year humbled even the most sophisticated of quants -- notably behemoths Renaissance Technologies and Two Sigma -- whose trading models were thrown off by swings their computers had never seen before.

Overall, human-run funds put up some their best numbers in a decade, with several boldfaced names, including Tiger, Coatue and D1, posting returns in excess of 35%. Whether by luck or by skill, they showed that in this most unusual of years, stock-pickers could still stand up to the seemingly inexorable rise of the machines.

“Stock-pickers had several years of self-inflicted under-performance in the past decade, and the narrative was that computers had defeated humans,” said John Thaler, a longtime equity manager who returned client money in 2015 and this year started a new firm, Hampton Road Capital Management. “Then, the quants hit an air pocket of tough relative performance and this year, long-short equity managers outperformed by an enormous amount.”
...

Yet even before Covid-19 struck, quant funds were already starting to struggle under the weight of their own success. Several had amassed tens of billions of dollars in assets, meaning market inefficiencies detected by their high-speed computers tended to vanish before they could make much money from them.
...

“What’s gone under the radar is that most quant strategies haven’t made much money in several years,” said Jon Caplis, head of research firm PivotalPath. They make up 55% of funds that have posted losses since 2016, he said. “These strategies were supposed to revolutionize trading but they didn’t do that.”
...

Qiu noted that because Chinese quants are smaller and operate in a less efficient, retail-dominated market, they have “much greater room for alpha.”

...
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28.12.20 21:51:22
Beitrag Nr. 12 ()
Antwort auf Beitrag Nr.: 66.051.790 von faultcode am 13.12.20 21:06:18..und noch ein Quant hat's 2020 versaut.

Auch noch ein "sehr guter" (es sollte vielleicht besser intellektueller heißen) --> PDF Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants (*)


...
https://twitter.com/choffstein/status/1342985543483682816


10/ I learned a really important lesson about asset management here.

You see, if you've told everyone you run a systematic process, and you've explained that process clearly, then it's really hard to change that process even if you think the process might be broken.


--> in einem Kommentar weiter unten steht's: when regimes shifted


Finanz-Märkte sind "adaptiv" und damit weit von technischen Systemen entfernt/FC:

Adaptive Markets: Financial Evolution at the Speed of Thought, Andrew Lo: https://www.goodreads.com/book/show/32889382-adaptive-market…

--> daher einem adaptiven System, auch wenn es sehr groß ist, (rigoros) mit einem "systematic process" beikommen zu wollen, um nachhaltige und auskömmliche Renditen zu erzielen, kann ein einziger Irrtum sein


__
nebenbei: ich persönlich bin mit 2020 insgesamt sehr zufrieden (allerdings bin ich auch very old school "absolute" return-orientiert). Eines meiner besten Jahre überhaupt und das mit einem breit diversifizieren (Value-)Portfolio, welches überhaupt nichts mit dem oben beschriebenen "basket of retail favorite equities" zu tun hat. Null Überschneidung.

Aber natürlich: Corey Hoffstein geht stark reguliert (er beschreibt das oben) das Geld fremder Leute Gassi (+), während ich jederzeit praktisch jede Portfolio-Anpassung ganz alleine vornehmen kann. Und vor allem kann ich vollkommen unpopuläre Maßnehmen treffen (wie noch immer relativ große Portfolio-Teile (verteilt) in Cash und Quasi-Cash halten).

Ein großer Unterschied.


(+) wobei $35M in assets under management sind auch nicht mehr viel: https://stockzoa.com/fund/newfound-research/

Newfound Research has $35M in assets under management (AUM), dropping by -56.45%. :eek:

wobei das mMn nicht alles (indirekt) sein kann zwecks dem Beratungs-Charakter von Newfound Research.


nebenbei 2:
• oben (+) in der Portfolio-Liste sehe ich diskretionär eine Blubber-Blasen-Aktie nach der anderen (aber auch "Value"), wenn auch mit geringen Gewichten:
...
...
Docusign (DOCU) -- neu!
Twilio Cl A (TWLO) -- neu!
NVIDIA Corporation (NVDA) -- neu!
...
Zoom Video Communications In Cl A (ZM)
...
salesforce (CRM)
...
Amazon (AMZN)
...
...
Servicenow (NOW)
...
(meine willkürliche Auswahl)

Und in der größten Komponente mit 8.3% Anteil, Spdr S&p 500 Etf Tr Tr Unit (SPY), ist nun Tesla an Position #6 drin :rolleyes:

=> so gesehen muss man fast schon um das Seelenheit von Corey Hoffstein in 2021ff (mMn) fürchten

Denn Asset Manager können wie (Spitzen-)Sportler (vermeintlich) leicht in ihrer Performance miteinander verglichen werden.


(*) https://blog.thinknewfound.com/2020/09/liquidity-cascades-th…
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13.12.20 21:06:18
Beitrag Nr. 11 ()
18.11.
Renaissance, Two Sigma Drop as Quants Navigate Chaos
https://finance.yahoo.com/news/renaissance-two-sigma-see-los…
...
Two of the hedge fund industry’s quantitative powerhouses are getting tripped up this year as wild markets throw off their investing models.

Renaissance Technologies, which manages the world’s biggest quant hedge fund, and Two Sigma Advisers have seen losses across several of their funds in 2020, a sign of how unprecedented market volatility caused by the Covid-19 pandemic hurt even the most sophisticated traders.
...

Quants rely on data from time periods that have no reflection of today’s environment,” said Adam Taback, chief investment officer of Wells Fargo Private Wealth Management. “When you have volatility in markets, it makes it extremely difficult for them to catch anything because they get whipsawed back and forth.”

Renaissance saw a decline of about 20% through October in its long-biased fund, according to a person familiar with the matter. The $75 billion firm’s market-neutral fund dropped about 27% and its global-equities fund lost about 25%.

The firm, founded by former codebreaker Jim Simons, told investors that its losses are due to being under-hedged during March’s collapse and then over-hedged in the rebound from April through June. That happened because models that had “overcompensated” for the original trouble.

“It is not surprising that our funds, which depend on models that are trained on historical data, should perform abnormally (either for the better or for the worse) in a year that is anything but normal by historical standards,” Renaissance told clients in a September letter seen by Bloomberg.

The firm said it has redirected additional personnel to work on the funds, and that its leadership “made it clear to the research staff that understanding and addressing the situation with these funds is our company’s highest priority.”


Two Sigma saw its risk-premia strategy lose 11.5% this year through last month, according to documents seen by Bloomberg. The $58 billion firm’s absolute-return fund declined 2.7%, while its absolute-return macro fund slumped 23%.

Spokesmen for the firms declined to comment.
...


Quant Shock That ‘Never Could Happen’ Hits Wall Street Models

Even for a firm such as AQR Capital Management, which was tilted toward value stocks in some of its portfolios, the pullback from momentum exposure was too big to overcome. The shift added to losses for the AQR Equity Market Neutral Fund, which was down 19% this year through Monday.


Quantitative hedge funds lost about 8.4% this year through last month, according to Aurum Funds, which tracks 480 computer-driven hedge funds. Those losses were led by equity market neutral funds which plunged 16.3% during the period, the data show. The hedge fund industry, broadly, has returned about 1.2% this year, according to Aurum.


Some quant shops performed better this year. D.E. Shaw’s main hedge fund, The Composite Fund, made about 0.4% in October, bringing gains for the first 10 months to about 15%, according to people briefed on the matter. Its macro-oriented Oculus Fund jumped 2% in October, extending 2020 gains to 23%.

Leda Braga, the quant manager who spun out of BlueCrest Capital Management, saw her flagship fund at Systematica Investments turn positive this month, according to investor documents seen by Bloomberg.

Her BlueTrend strategy, which uses computer-driven models to bet across asset classes, had been down 1.8% this year through October, before gaining 4.2% in the first week of November -- wiping away losses and bringing performance for 2020 to 2.3%, the documents show.

Spectrum, an $8 billion fund run by Two Sigma, has gained 5% this year, according to people familiar with the matter.

...
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Mandelbrot Asset Management: geht's mit weniger Sophistication am Aktienmarkt besser?