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Another contribution about return and risk? Yes. Why? I am interested in this phenomenon. The last article dealt with the conservative investment formula, which promises higher returns than speculative and thus riskier investment strategies in the long run. Interestingly, I stumbled across an article by Markus Petry and Timo Emrich called “Success and Sustainability of Smart Beta Approaches” in the magazine “Gesames Kreditwesen”, which I don’t want to withhold from you, because it starts exactly where the last article ends – conservative investments.

At the beginning everything was very relaxed. In essence, it’s about the efficiency of smart betas. Smart beta is a strategy that relies on factors. This is an attempt to take advantage of long-term relationships that lead to excess returns – such as low capitalization, low P/E and high dividend yields.

It is interesting to note that in a 10-year comparison, the value and dividend factor approach performed extremely poorly in Europe (yields: -0.76% and 0.20%). Value even performed worst in the US market.

But then there were a few blasts:

“Risky stocks delivered lower returns than defensive stocks, even though the indices have clearly performed positively since 1995.

“The assumption of additional risks within the stock market was therefore empirically considered – contrary to classical capital market theory – not remunerated, but even punished over the long term.

“Higher yields can therefore not be generally explained by higher risks…”

Well, that sounds a lot like Pim Van Vliet, doesn’t it?

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