"Regression Is Mean"
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. É outra forma de aplicar a mesmissima ideia.
"Regression Is Mean"
Excerto de um texto da autoria de Jeremy Grantham, tirado daqui: http://www.gmo.com/siteservercontents/marketcommentary/jg_3q_04letter.1098476449.pdf
E que aparece no "Morning Briefing" do David Nichols... Achei interessantíssimo:
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"Regression Is Mean"
Everything important about markets is 'mean reverting' or, if you prefer, wanders around a trend. Prices are pushed away from fair price by a series of "inefficiencies" and eventually dragged back by the logic of value.
In markets where investors are acting for themselves, prices are pushed away from fair price by behavioral twitches. We are not hard wired to be 'economic man', quickly and efficiently processing all available data. In contrast, we are plagued by herding, overconfidence, wishful thinking, and difficulties when processing multiple factors, particularly when they involve probabilities. In markets where investors hand over their money to professionals, the major inefficiency becomes career risk. Everyone's ultimate job description becomes "keep your job." Career risk reduction takes precedence over maximizing the clients' return. Efficient career risk management means never being wrong on your own, so herding, perhaps for different reasons, also characterizes professional investing. Herding produces momentum in prices, pushing them further away from fair value as people buy because others are buying.
Prices are eventually pulled back to fair price by the need for the return of each asset class to relate sensibly to its risk. This is the force that exercises a persistent gravitational pull on inefficient prices and this force is generally described as 'value'. An investor in equities in the ultra cheap markets of 1982 or 1945 who is receivingwho is receiving 10% or 20% a year real return for owning equities will sooner or later get a lot of company to bid down the returns. Conversely, all investors in 2000 faced with a market p/e of 33x, and an imbedded return of under 3% a year while bearing full equity risk, will eventually lose heart and sell. A mix of behavioral inefficiencies and value based efficiencies means that bubbles will form and all of them will break.
We have in fact searched through absolutely all the data that we can find on currencies, commodities, and stock markets and have found 27 bubbles. Unlike Chairman Greenspan, we have no trouble in defining a bubble: we arbitrarily use a two standard deviation event, the kind that would occur randomly every 40 years. Predictably (at least for believers in regression to the mean), all 27 bubbles broke and went all the way back to the preexisting trend! To be equally predictable, the current bubble, which at its maximum inflation in March 2000 was the biggest bubble in American history, will have to pass through its trend of 720 on the S&P 500, currently at just over 1100. If it does not do this it will be the first failure to do so in modern times.
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E que aparece no "Morning Briefing" do David Nichols... Achei interessantíssimo:
«
"Regression Is Mean"
Everything important about markets is 'mean reverting' or, if you prefer, wanders around a trend. Prices are pushed away from fair price by a series of "inefficiencies" and eventually dragged back by the logic of value.
In markets where investors are acting for themselves, prices are pushed away from fair price by behavioral twitches. We are not hard wired to be 'economic man', quickly and efficiently processing all available data. In contrast, we are plagued by herding, overconfidence, wishful thinking, and difficulties when processing multiple factors, particularly when they involve probabilities. In markets where investors hand over their money to professionals, the major inefficiency becomes career risk. Everyone's ultimate job description becomes "keep your job." Career risk reduction takes precedence over maximizing the clients' return. Efficient career risk management means never being wrong on your own, so herding, perhaps for different reasons, also characterizes professional investing. Herding produces momentum in prices, pushing them further away from fair value as people buy because others are buying.
Prices are eventually pulled back to fair price by the need for the return of each asset class to relate sensibly to its risk. This is the force that exercises a persistent gravitational pull on inefficient prices and this force is generally described as 'value'. An investor in equities in the ultra cheap markets of 1982 or 1945 who is receivingwho is receiving 10% or 20% a year real return for owning equities will sooner or later get a lot of company to bid down the returns. Conversely, all investors in 2000 faced with a market p/e of 33x, and an imbedded return of under 3% a year while bearing full equity risk, will eventually lose heart and sell. A mix of behavioral inefficiencies and value based efficiencies means that bubbles will form and all of them will break.
We have in fact searched through absolutely all the data that we can find on currencies, commodities, and stock markets and have found 27 bubbles. Unlike Chairman Greenspan, we have no trouble in defining a bubble: we arbitrarily use a two standard deviation event, the kind that would occur randomly every 40 years. Predictably (at least for believers in regression to the mean), all 27 bubbles broke and went all the way back to the preexisting trend! To be equally predictable, the current bubble, which at its maximum inflation in March 2000 was the biggest bubble in American history, will have to pass through its trend of 720 on the S&P 500, currently at just over 1100. If it does not do this it will be the first failure to do so in modern times.
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