Hate ETFs? Quants Say They Found Anomaly to Profit on Their Flows
- Shares prices seen distorted by passive flows before reversing
- Deutsche Bank study shows ETF signals enhance factor returns
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Stock managers sick of being steamrolled by the onslaught of passive funds may have a new weapon to wield, one that was born of the very success their enemies had in overrunning the market.
According to quant strategists at Deutsche Bank, investors can beat equity benchmarks by building portfolios out of stocks that get whipped around the most when exchange-traded funds rebalance.