“Passive Investing Increases Systemic Risk, Will Make Crashes Worse”

In meiner Serie zum Thema “Was tun mit dem Geld” und auch in der “Eiszeit” habe ich mich kritisch zu Indexfonds geäußert. Zwar bin ich ein ganz großer Befürworter von Kostensenkung und sehe die Leistung der “aktiven” Manager sehr kritisch, die eigentlich nicht aktiv sind und deshalb nach Kosten definitionsgemäß nur underperformen können, dennoch glaube ich, dass das passive Investment gerade in den kommenden Jahren nicht die beste Strategie ist. Es stehen uns volatile Zeiten bevor.

Aus diesem Grunde mehren sich die Warnungen, wobei ich natürlich auch weiß, dass viele, die da warnen, es aus einem Eigeninteresse heraus tun. So auch JP Morgan, wie Zero Hedge berichtet:

  • Zunächst die Feststellung, dass die Anleger aus den aktiven Produkten flüchten:

Quelle: Zero Hedge

  • Und die Entwicklung über Zeit:

Quelle: Zero Hedge


JPM sieht darin folgende Risiken:

  • End investors such as retail investors are becoming more important in driving markets.(…). In this way, the bearishness of retail investors is transmitted less abruptly to markets relative to the case where retail investors withdraw their money from passive funds that hold no cash balances. In other words, active managers inject a degree of convexity to markets which would naturally diminish if passive investing becomes even more dominant in the future.”
  • Markets could see more protracted momentum periods coupled with deeper corrections. Markets would see more protracted uptrends to the extent that there is more herding in retail investors’ behaviour. In addition, the shift towards passive funds tends to intensify following periods of strong market performance as active managers underperform in such periods of strong market performance. In turn, this shift exacerbates the market uptrend creating more protracted periods of low volatility and momentum. When markets eventually reverse, the correction becomes deeper and volatility rises as money flows away from passive funds back towards active managers who tend to outperform in periods of weak market performance.” bto: was auch etwas Hoffnung ist. Eher flüchten die Anleger ganz.
  • The shift towards passive funds has the potential to concentrate investments to a few large products. In turn, asset concentration potentially increases systemic risk making markets more susceptible to the flows of a few large passive products.” bto: Das habe ich in den oben angesprochenen Beiträgen diskutiert, aber auch in einem Kommentar für die WiWo. Wir haben dann einfach niemanden mehr, der aufpasst.
  • Passive or index investing favours large caps as most equity indices are market cap weighted. This could exacerbate the flow into large companies beyond to what is justified by fundamentals, creating potential misallocation of capital away from smaller companies. To the extent that these passive funds become even more dominant in the future, the risk of bubbles being formed in large companies, at the same time crowding out investments from smaller firms, would significantly increase.” bto: Index heißt per Definition, dass man sich an den großen, nicht an den guten Werten orientiert.
  • The proliferation of index funds increases the size of stock inclusion flows. In turn, market moves around index constituent changes become more pronounced overpenalizing companies leaving the index and causing excessive gains to companies entering the index.” bto: Je mehr das vorkommt, je besser sollten die Aktiven performen.
  • Passive investing potentially reduces corporate activism. (…) Gormley , Keim and Appel showed in their academic work show that mutual fund firms which focus on passive investing do indeed cast their shareholder votes to press for change, and do it effectively. In addition, they show how passive investing also leads to more aggressive shareholder activism than there would be otherwise, as passive fund firms add their clout to campaigns waged by activist investors.”  bto: Der Punkt stimmt also nicht, auch interessant.
  • Passive investing potentially reduces market efficiency. This is again the conventional wisdom but we believe that this argument is not entirely correct and could be valid only after the shift away from active towards passive funds becomes more advanced. Initially the opposite could be argued. It could be argued that the shift away from low skilled active managers to passive investing could increase market efficiency as the noise from low skilled managers is reduced. bto: Das stimmt sicherlich.
  • But if passive investing becomes too big, potentially crowding out skilled active managers also, market efficiency would start declining. In turn, this would present opportunities for active managers to extract arbitrage profits. (…) How high this natural limit is not yet clear. At the moment, there is little evidence of active managers generating enough alpha even as the share of passive funds has grown steadily nearly 30% in the US. In addition, the HF industry has been failing to generate alpha in recent years with little evidence of succeeding to do this so far this year as shown in Figure 5:


Zero Hedge: “(…) it may all change overnight should central banks lose control and make hedging great again.  Then again, it may be too late: if there is another market crash, it is possible that what little faith and confidence in the market remained, is gone for ever. That said, with some of the smartest people around forced to engage in socially productive activities for a change instead of just creating ever more debt, there could be worse outcomes.”

bto: Haha, da bin ich natürlich ganz bei Zero Hedge. Es ist eine Schande, dass die besten Mathematiker bei Banken arbeiten und schadet dem Wirtschaftswachstum. Auch bekannt.

→ Zero Hedge: “JPM Warns Shift To Passive Investing Increases Systemic Risk, Will Make Crashes Worse”, 29. Oktober 2016