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SPDR Smart Beta Compass: Jetzt für Volatilität positionieren
- Strategien mit niedriger Volatilität lieferten im September eine Überperformance, da die globalen Aktien einen Abschwung erlebten, nachdem sie ihre Allzeithochs vor der Krise wieder erreicht hatten.
- Anleger, die sich mit dem Potenzial der aktuellen Unsicherheiten aufgrund von Wahlergebnissen und COVID-19 befassen, können einen Ansatz mit niedriger Volatilität in Betracht ziehen.
- SPDR® ETFs bieten eine vollständige Palette von Engagements mit geringer Volatilität (weltweit, USA und Eurozone), um das Risiko des Portfolios bis zum Jahresende zu verringern. Lesen Sie unseren neuen SPDR Smart Beta Compass, um mehr zu erfahren.
Globalen Aktien erlebten Anfang 2020 einen erheblichen Rückgang, als der Beginn von COVID-19 und die damit verbundene wirtschaftliche Abschwächung die Märkte zum Einsturz brachte. Ende August 2020 hatten die globalen Aktien (MSCI World Index) jedoch zu ihren Allzeithochs vor der Krise zurückgefunden und stiegen bis heute um 5,34% im Jahresvergleich.1
Zu diesem Zeitpunkt (25. August 2020) stellten wir in unserem Strategie Espresso die Frage "Sind wir mit der Erholung zu weit und zu schnell gekommen?" und schlugen vor, dass Anleger, die lange bei diesen Bewertungen bleiben wollen, "eine Allokation mit global niedriger Volatilität in Betracht ziehen könnten, um sich gegen die negativen Auswirkungen der anhaltenden Unsicherheit zu positionieren". Dies erwies sich als zeitgemäßer Hinweis, da US-Aktien (S&P® 500 Index -3,84%) und Aktien der Eurozone (EURO STOXX® Index -1,81%) im September abverkauft wurden. Die Low-Volatility-ETFs erzielten eine Outperformance von 2,05% (SPDR® S&P® 500 Low Volatility UCITS ETF) und 1,71% (SPDR® EURO STOXX® Low Volatility UCITS ETF).2
Möglicherweise haben jedoch viele Anleger diese Gelegenheit verpasst, da die Strategien für niedrige Volatilität während des COVID-19-Ausverkaufs im ersten Quartal ihren historisch beobachteten Drawdown-Schutz nicht erfüllen konnten. Dies ist weitgehend auf die eigentümlichen Auswirkungen der Pandemie auf die Aktienmärkte zurückzuführen. Eine sorgfältige Untersuchung der historischen Renditen eines Niedrigvolatilitäts-Ansatzes, sowohl bei Aktien in den USA als auch in der Eurozone, erklärt, dass die Performance vom März 2020 ein Ausreißer war und die jüngere Performance (September 2020) eher dem historischen Trend entspricht.
Die Abbildungen 1 und 2 zeigen die Beziehung zwischen den relativen (Über-)Renditen eines Low-Volatility-Ansatzes und der Benchmark für die Marktkapitalisierung ("Marktrendite") für Aktien sowohl in den USA (Abbildung 1) als auch in der Eurozone (Abbildung 2) auf monatlicher Basis seit der Einführung der jeweiligen Low-Volatilitäts-Indizes. In beiden Fällen besteht eine starke negative Korrelation zwischen den Überrenditen einer Niedrigvolatilitätsstrategie und der Marktrendite. Dies würde darauf hindeuten, dass niedrige Volatilität in Zeiten eines Marktabschwungs historisch gesehen eine Outperformance lieferte (und umgekehrt). Ein Blick auf die Korrelationskoeffizienten für die einzelnen Fälle lässt auf eine starke Beziehung schließen (US 0,3452, Eurozone 0,3487).
Wie wir im August diskutiert haben, glauben wir, dass die Erholung Aktienanleger ermutigen sollte. Bis zum Jahresende stehen jedoch noch bemerkenswerte Ereignisse am Horizont (z.B. die US-Wahlergebnisse und die anhaltenden Auswirkungen von COVID-19), die den Anlegern bei den derzeitigen Niveaus weiterhin Sorgen über die Aktienkursempfindlichkeit bereiten könnten. Vorsichtige Anleger könnten beginnen, einen Ansatz mit niedriger Volatilität zu bevorzugen, insbesondere da Strategien wie "Low Volatility in den USA und in der Eurozone" in Bezug auf die relative Performance zu ihrem historischen Trend zurückgekehrt sind. Anleger, die einen diversifizierten Ansatz suchen, um bei diesen Bewertungen lange zu bleiben, können eine Allokation mit niedriger Volatilität in Erwägung ziehen, um sich gegen die negativen Auswirkungen der anhaltenden Unsicherheit zu positionieren.
Wie man dieses Thema spielt
SPDR bietet eine Reihe von Strategien mit geringer Volatilität an, die einer einfachen und dennoch wirksamen Methodik folgen. In einem einfachen Trade können Anleger mit dem SPDR® S&P® 500 Low Volatility UCITS ETF oder SPDR® EURO STOXX® Low Volatility UCITS ETF eine defensive Haltung bei ihren globalen Aktienallokationen einnehmen. Um mehr über diese ETFs zu erfahren und die vollständige Performance-Historie einzusehen, klicken Sie bitte auf den Namen eines der beiden Fonds, um zu dessen Fondsseite zu gelangen.
Jetzt verfügbar: SPDR Smart Beta Compass - Q4 2020
Unser neu eingeführter SPDR Smart Beta Compass kombiniert die Analyse der Aktienfaktor-Performance, Smart Beta ETF-Mittelflüsse und die Positionierung institutioneller Anleger, um faktorbewussten Anlegern einen Marktüberblick und Ausblick zu bieten.
Klicken Sie hier, um den SPDR Smart Beta Compass zu lesen.
Abbildung 1: Monatliche US Low Volatility Active Returns vs. Market Return (seit Mai 2011)
Abbildung 2: Monatliche Euro Low Volatility Active Returns vs. Market Return (seit Oktober 2012)
Flows
European-Domiciled ETP Segment Flows (Top/Bottom 5, $mn)
European-Domiciled ETP Asset Category Flows ($mn)
Sources: Bloomberg Finance L.P., for the period 15-22 October 2020. Flows are as of date indicated and should not be relied upon as current thereafter.
1Quelle: Bloomberg Finance LP, Stand: 30. September 2020.
2Quelle: Bloomberg Finance LP, Stand 30. September 2020: State Street Global Advisors, Morningstar, Stand: 30. September 2020.
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2015149.147.2.EMEA.INST
Exp. Date: 31/01/2021