Space-X gør indekspapirer mere risikable på grund af koncentrationsrisiko

Uddrag fra FTs authers bearbejdet til dansk:

Analysen advarer om, at aktieindeks i stigende grad domineres af få enorme selskaber, hvilket skaber problemer for både passive og aktive investorer. Når selskaber som Nvidia, de store halvlederaktier i emerging markets og nu SpaceX fylder meget i indeksene, bliver “passiv” investering i praksis et stort væddemål på ganske få aktier.

For aktive forvaltere betyder benchmark-tænkningen, at de ofte tvinges til at eje aktier, de egentlig ikke bryder sig om, blot for ikke at afvige for meget fra indekset. Det øger flokadfærd og kan svække markedets effektivitet.

Problemet er ikke kun amerikansk. MSCI Emerging Markets er stærkt koncentreret omkring især Taiwan og Sydkorea på grund af halvlederaktier som TSMC, Samsung og SK Hynix. Samtidig halter EAFE-indekset efter, fordi det har langt mindre eksponering mod AI- og chipboomet.

Konklusionen er, at den voksende indekskoncentration gør risikospredning mere illusorisk og udsætter passiv investering for en alvorlig test.

Original tekst fra Authers:

Emerging Concentration

At the time of writing, Elon Musk’s SpaceX is America’s fifth-biggest  company, its market cap of $2.75 trillion narrowly edging Amazon.com Inc. ($2.65 trillion) into sixth place. It’s been trading for only three days, but will soon arrive in Nasdaq’s indexes. Even if we assume it’s sensibly valued (a heroic assumption), it poses critical problems for investors, and passive funds in particular.

One problem is asset allocation. Indexes should be a great way to manage risk, and balance between different geographies. Now that a few ultra-cap companies dominate them, that’s no longer the case. A second problem is stock selection. Musk’s rockets dramatize an issue that’s been fermenting for a while, and reveals the conceptual problem with passive indexing — that it erodes the concept of ownership.

Thirty years ago, a fund manager would say they “owned” a stock. Now, they tend to say they’re “overweight.” Once, if you didn’t like a stock, you simply wouldn’t buy it. With the rise of indexing and benchmarking — judging active funds by comparing them to an index — that no longer follows. Put 5% of your fund into Nvidia Corp., and that’s a big bet on the world’s largest chipmaker. You’d be desperate for the company to succeed. But with Nvidia now 7.9% of the S&P 500, a 5% holding becomes a big “underweight,” and the manager bizarrely would prefer a company they own to do badly. This was labeled the “curse of the benchmarks” by Paul Woolley of the London School of Economics. Andrew Lapthorne, quantitative strategist at Societe Generale SA, says:

The problem is that benchmark risk forces many institutional investors to take positions in stocks they do not even like. The top 20 stocks are on average 60x bigger than the average of the other 2500 names in MSCI AC World; being on the wrong side when they move up is painful, so you hold them, simply to keep up with the benchmark. And if more funds look like the index? Why not just buy the index, which is essentially what investors have been doing.

Thus investors move ever more in crowds, out of a basic instinct for self-preservation. Just like wildebeest on the savannah,there is more safety in the middle of the herd than as an outlier at the front or back, where they will be far more vulnerable to predators. That tendency toward herding gnaws away further at market efficiency. Essentially, it’s bad gnus. A potential solution is the concept of “portable alpha” that was briefly in vogue before the Global Financial Crisis — after leveraging to hold the index, managers can then make separate long and short bets on companies they have strong opinions on. It can seem like taking a sledgehammer to crack a walnut, but at present it could be a lifeline for active managers.

This isn’t solely or even mainly a US problem. The MSCI Emerging Markets index’s big five stocks — Taiwan Semiconductor, Samsung Electronics, SK Hynix, Tencent and Alibaba — on their own account for a third of the entire 1,205-stock index. That is more concentrated than the S&P 500. “Passive” investment in this index requires very active bets on a handful of stocks:

The good news for MSCI’s EAFE (Europe, Australasia and the Far East) index of developed markets outside the US is that it’s far less concentrated. The bad news is that this is because it has only one AI play of any size (ASML Holdings, its biggest constituent, with a 2.85% weighting). The rest of the top five are HSBC Holdings plus the pharma groups Roche, AstraZeneca and Novartis. Earnings forecasts for chips in the US and EM are growing at staggering speed, and EAFE investors miss out on them:

These profits come out of other companies’ capital expenditures, so there’s a serious risk that they eventually bring overall profits down. There’s also a far from trivial risk that they prove to be over-optimistic. But for now, they’re driving EM’s biggest run of outperformance compared to EAFE since the aftermath of the GFC:

In 2009, EM outperformance was driven by macro-strategy and geopolitics. China was growing, boosting demand for other EMs’ commodities. That has changed. DataTrek Research’s Nicholas Colas says:

While MSCI EAFE is a reasonable proxy for economic growth in non-US developed economies around the world, MSCI Emerging Markets is something entirely different. [It] has been largely “captured” by two countries – Taiwan and South Korea – and not because they are large EM economies. Their combined GDPs are roughly $3.0 trillion, 14% of China’s $21 trillion. And yet, their weightings in MSCI EM are collectively 49% to China’s 21%.

To gauge how much a few companies now bestride the world, this is Lapthorne’s chart of the market cap of the 20 biggest stocks in the MSCI All-World index as a multiple of all the rest. This is a phenomenon that has taken shape largely since the pandemic, and then the advent of ChatGPT:

Investors are not blind to the issues this creates. Bank of America Corp.’s latest global survey of fund managers found not only that semiconductors were regarded as the world’s most crowded trade, but as the most crowded most-crowded trade since the survey started. A record 80% of respondents named it:

Forced buying by investors tracking the main indexes make it hard to disperse the crowd, which will soon have to find the money to buy shares in SpaceX, and others. Musk’s moonshot is truly subjecting passive investing to an epic test.