Liga admite vender parte do capital da empresa que tem os direitos de transmissão

[Tridion]

Faz hoje cinco anos que me registei neste fórum.

Foi aqui que tudo começou, agradeço a todos aqueles que tiveram paciência para me ensinar.

O percurso tem sido no mínimo interessante e o resultado é este - theknownothinginvestor.com

Que venham mais cinco.

eu faz 1 e 1 mes e digo o seguinte, creio que no passado este espaço ja foi muito melhor povoado, hoje em dia é muito peixinho e posts de qualidade e com sumo pouco ou nada serve para falar dos mercados mas é pena nao haver mais participantes como o ltcm ou o virtua god

Continua a ser o maior fórum de bolsa do País e com excelentes conteúdos. Mas um conselho para os que aqui chegam pela primeira vez, por amor da Santa (foi no 13 de Maio que me registei ), não acreditem em tudo o que lêem, por mais posts que tenham, por mais cool que pareçam, por mais groupies que tenham, decidam sempre pela vossa cabeça.

Se não a tiverem, não peçam a outros que o façam por vocês porque alguém vai sair prejudicado e acho que não é preciso explicar quem vai ser.

[Artista Romeno]

Faz hoje cinco anos que me registei neste fórum.

Foi aqui que tudo começou, agradeço a todos aqueles que tiveram paciência para me ensinar.

O percurso tem sido no mínimo interessante e o resultado é este - theknownothinginvestor.com

Que venham mais cinco.

eu faz 1 e 1 mes e digo o seguinte, creio que no passado este espaço ja foi muito melhor povoado, hoje em dia é muito peixinho e posts de qualidade e com sumo pouco ou nada serve para falar dos mercados mas é pena nao haver mais participantes como o ltcm ou o virtua god

[Tridion]

Faz hoje cinco anos que me registei neste fórum.

Foi aqui que tudo começou, agradeço a todos aqueles que tiveram paciência para me ensinar.

O percurso tem sido no mínimo interessante e o resultado é este - theknownothinginvestor.com

Que venham mais cinco.

[Tridion]

Se tivesses tido a amabilidade de ler a página anterior poderias ver que esta minha estratégia está definida para pelo menos 30 anos. Os testes que efectuei com 50/50 dava-me um retorno menor, com menos DD é certo mas no caso da sharpe só no investimento a 20 anos é que é ligeiramente maior (0.68 vs 0.65).

~

Desculpa, não tinha visto para trás. Só li o post que "linkaste" :-(

Sim, qualquer teste com long term bonds só pode ser praticamente "validado" se incluir os anos '70 para incluir um bear market. Quais são os dados para o 50/50 desde 1972?

P.S. Acho que os activos que estás a usar como "long term Bonds" é diferente das performances do TLT mas a longo prazo não faz concerteza muita diferença. Mas o teu test no 50/50 apresenta uma perda de 7% em 2008 não é? 50% spy e 50% TLT tem uma perda de 1.x% (mas depois tb não tem um 2009 tão positivo).

Como eu gostava de ter tempo para te responder e aprender contigo, mas infelizmente neste período da minha vida é me muito difícil ter disponibilidade temporal, mental e até física, para estudar e aprofundar mais os conhecimentos que já tenho.

Será que se deve ter commodities (ainda estou para ler os papers disponibilizados pelo LTCM)? Acho que sim, porque nos protege da inflação...

O ouro vale para alguma coisa se não dá dividendos? Sim, porque em caso de instabilidade ou de USD fraco é um bem com valor intrínseco, para além de ser utilizado num sem número de coisas.

Tantas dúvidas e poucas certezas...e fórmulas que corroborem as opções tomadas muito menos, e nem sei se quero ir por aí, talvez quando for mais velho consiga ter mais tempo para adquirir conhecimento mais técnico.

Por agora, uma estratégia, muita simplicidade, senso comum e uma forte disciplina mental.

Há espaço para melhorar? Sempre...

PS - Os valores apresentados no quadro de cima não são a minha carteira, infelizmente a minha carteira tem pouco de mais de um ano...no início andei a ganhar calo emocional com a perda de dinheiro no trading/comissões. Gosto de pensar que parte desse dinheiro foi parar a pessoas com um portefólio diversificado e de "buy and hold"...

[VirtuaGod]

Se tivesses tido a amabilidade de ler a página anterior poderias ver que esta minha estratégia está definida para pelo menos 30 anos. Os testes que efectuei com 50/50 dava-me um retorno menor, com menos DD é certo mas no caso da sharpe só no investimento a 20 anos é que é ligeiramente maior (0.68 vs 0.65).

~

Desculpa, não tinha visto para trás. Só li o post que "linkaste" :-(

Sim, qualquer teste com long term bonds só pode ser praticamente "validado" se incluir os anos '70 para incluir um bear market. Quais são os dados para o 50/50 desde 1972?

P.S. Acho que os activos que estás a usar como "long term Bonds" é diferente das performances do TLT mas a longo prazo não faz concerteza muita diferença. Mas o teu test no 50/50 apresenta uma perda de 7% em 2008 não é? 50% spy e 50% TLT tem uma perda de 1.x% (mas depois tb não tem um 2009 tão positivo).

[Tridion]

Tridion não bate sequer 50% TLT/50% SPY

Podes testar essa estratégia no etfreplay de forma simples. Performances anualizadas a:

12 meses: 8.5%
24 meses: 11.1%
36 meses: 12.0%

O desvio padrão é semelhante à tua estratégia!!

Por esse prisma, o melhor para esse período de tempo é só ter SPY

Estamos a falar de rentabilidades ajustada ao risco, não só de rentabilidades. Eu escrevi O "desvio padrão é semelhante à tua estratégia!!" para teres noção que podemos só olhar para as rentabilidades devido ao desvio padrão ser semelhante.

O Sharpe desta estratégia vs SPY é

12 meses: 1.09 vs 1.44 ganha spy
24 meses: 1.60 vs 1.73 ganha SPY mas por menos distância
36 meses: 1.56 vs 0.89 ganha a estratégia 50/50

e como esperado quanto mais tempo mais a estratégia ganha a SPY. Como queres comparar? A 6 anos?

A tua estratégia

ST 10.66% com CAGR de 4.14%, sharpe de merceeiro a 4.14/10.66= 0.388 (max DD nos 22.23%)

SPY

ST de 24% com CAGR de 7.8%, sharpe de merceeiro nos 7.8/24= 0.325 (max DD nos 50%)

50% TLT/50% SPY (sem rebalanceamentos):

ST de 9.9% com CAGR de 7.5%, sharpe de merceeiro nos 0.7576 (max DD nos 17.4%)

2008 -1.4
2009 + 2.3

Se tivesses tido a amabilidade de ler a página anterior poderias ver que esta minha estratégia está definida para pelo menos 30 anos. Os testes que efectuei com 50/50 dava-me um retorno menor, com menos DD é certo mas no caso da sharpe só no investimento a 20 anos é que é ligeiramente maior (0.68 vs 0.65).

As Long Term US Bonds tiveram até ao ano passado um bull fenomenal (30 anos não foi?), logo todos os testes em que tenham uma maior alocação em bonds tendem a dar melhores resultados, mas como não faço a mínima ideia do que o futuro trará sinto-me mais confortável com este tipo de carteira.

É uma carteira típica de um portefólio diversificado, mesmo como pretendia e como me ensinaram. Será a melhor maneira de garantir os maiores retornos? Certamente que não, mas está ao alcance de um qualquer tipo comum como eu e, com certeza, que conseguirá a sua parte justa do crescimento económico.

E no fim, é como tu dizes: 50/50 serve perfeitamente a maioria das pessoas e não são precisos nomes esquisitos nem gurus...

[Sr_SNiper]

O Deus Virtual não perdou-a, é por isso que antes de um investimento de relevo do SHFTR tenho sempre em conta a sua opinião, e roubo-lhe sempre uns 5 minutos do seu tempo para falarmos pessoalmente sobre o assunto...

[VirtuaGod]

Tridion não bate sequer 50% TLT/50% SPY

Podes testar essa estratégia no etfreplay de forma simples. Performances anualizadas a:

12 meses: 8.5%
24 meses: 11.1%
36 meses: 12.0%

O desvio padrão é semelhante à tua estratégia!!

Por esse prisma, o melhor para esse período de tempo é só ter SPY

Estamos a falar de rentabilidades ajustada ao risco, não só de rentabilidades, certo? Eu escrevi O "desvio padrão é semelhante à tua estratégia!!" para teres noção que podemos só olhar para as rentabilidades devido ao desvio padrão ser semelhante.

O Sharpe desta estratégia vs SPY é

12 meses: 1.09 vs 1.44 ganha spy
24 meses: 1.60 vs 1.73 ganha SPY mas por menos distância
36 meses: 1.56 vs 0.89 ganha a estratégia 50/50

e como esperado quanto mais tempo mais a estratégia ganha a SPY. Como queres comparar? A 6 anos?

A tua estratégia

ST 10.66% com CAGR de 4.14%, sharpe de merceeiro a 4.14/10.66= 0.388 (max DD nos 22.23%)

SPY

ST de 24% com CAGR de 7.8%, sharpe de merceeiro nos 7.8/24= 0.325 (max DD nos 50%)

50% TLT/50% SPY (sem rebalanceamentos):

ST de 9.9% com CAGR de 7.5%, sharpe de merceeiro nos 0.7576 (max DD nos 17.4%)

2008 -1.4
2009 + 2.3

[Tridion]

Tridion não bate sequer 50% TLT/50% SPY

Podes testar essa estratégia no etfreplay de forma simples. Performances anualizadas a:

12 meses: 8.5%
24 meses: 11.1%
36 meses: 12.0%

O desvio padrão é semelhante à tua estratégia!!

Por esse prisma, o melhor para esse período de tempo é só ter SPY

[VirtuaGod]

Tridion não bate sequer 50% TLT/50% SPY

Podes testar essa estratégia no etfreplay de forma simples. Performances anualizadas a:

12 meses: 8.5%
24 meses: 11.1%
36 meses: 12.0%

O desvio padrão é semelhante à tua estratégia!!

[Tridion]

Backtest para a carteira referida, para o período 2006-2013, sem rebalanceamentos.

*Alguns dos ETF's não existiam em 2006, pelo que foram utilizados ETF's semelhantes para efectuar os cálculos.

[Tridion]

Maioria das vezes o que separa os bons dos maus resultados é o treino mental, e mudar efectivamente o nosso comportamento é dificílimo.

Pelos vistos nos States existem os performance coaches, que ajudam a anular as assumpções que vamos acumulando ao longo da nossa vivência e nos ajudam a melhorar o nosso jogo...

[Tridion]

A carteira

Com os backtests efetuados e os activos definidos, faltava escolher os ETF's que mais se enquadravam a essa estratégia e esses seriam os mais baratos de manter dentro dos que têm maior capitalização.

Para efectuar essa consulta utilizei o ETF Database.

A carteira ficou assim definida:



E obtive um expensive ratio de 0.19%, o que é muito bom a meu ver, pelo menos comparado com uma carteira semelhante em fundos de investimento.

Outra coisa que constatei é que os ETF's da Vanguard são mesmo os mais baratos que os restantes, o que quer dizer que o Sr. John C. Bogle põe em prática na sua empresa aquilo que defende, o que nos dias que correm no mundo da finança é uma lufada de ar fresco e uma mais-valia.

O ETF mais caro é o de commodities, DBC, o que é compreensível devido ao efeito cotango. Haviam alguns mais baratos, mas o seus valores de capitalização e liquidez não me agradaram.

A Vanguard também tinha um ETF mais barato do que o SPY, mas a diferença não era muito e assim sempre diversifiquei as gestoras e fiquei com o benchmark no portefólio.

Agora é ser paciente, manter o plano e esperar retornos médios na casa dos 12% anuais ao longo de 30 anos

[Tridion]

Definição dos activos


Na definição da carteira optei por utilizar as regras já muito debatidas, simples e comummente aceites nos diversos tópicos do Caldeirão, nomeadamente:

- Diversificação global e com todo o tipo de activos
- 60% para acções e 40% para os restante activos

Defini, também, que sou capaz de aguentar drawndowns na ordem dos 20% se isso equivalesse a uma valorização de cerca de 12% anuais num prazo de 30 anos

Comecei a fazer backtests, com séries de temporais entre os 20 e 40 anos e com todo o tipo de activos, e cheguei aos seguintes resultados:

Non-equities - 45%
12.5% - US long term bonds
7.5% - US intermediate term bonds
5% - US Inflation-protected bonds
10% - Gold
5% - Commodities
5% - Reit

Equities - 55%
12.5% - Emerging mkt
7.5% - US large cap
7.5% - US mid cap value
7.5% - US small cap value
10% - Pacific mkt
10% - European mkt

A regra dos 60/40 deu ligeiramente diferente, mas optei por manter menos risco. Maior risco assumirei quando tiver conhecimentos/tempo para me dedicar ao trading, disponibilizando 10 ou 15% do valor da carteira para esse fim.

Em termos de moeda, a carteira pende mais para o USD (cerca de 52.5% dos activos têm origem nos Estados Unidos), mas como o plano de investimento é longo, os sucessivos rebalanceamentos e a tendência das moedas (no longo prazo) em estabelecerem equilíbrios, faz que não esteja muito preocupado com a cobertura financeira.

Para um investimento inicial de 10 000 UP's:

[Tridion]

Enquanto não tenho tempo para ir actualizando o tópico, fica aqui um história interessante sobre quando IPO da Google tornou uma data de génios em milionários, e o vice-presidente Jonathan Rosenberg achou que eles precisavam de uma formação sobre investimentos...

Agora se os génios da Google precisam de formação na área, imaginem nós

The best investment advice you’ll never get
by Barry Ritholtz - February 21st, 2014, 9:00am


When I first saw this online, I grabbed a copy for my own use. Recently, I went back to reread part of it — and it was gone! Lucky I captured this before it disappeared. Enjoy.

~~~

The best investment advice you’ll never get
By Mark Dowie
San Francisco magazine, December 2006





For 35 years, Bay Area finance revolutionaries have been pushing a personal investing strategy that brokers despise and hope you ignore. The story of a rebellion that’s slowly but surely putting money into the pockets of millions of Americans, winning powerful converts, and making money managers from California Street to Wall Street squirm.





As Google’s historic August 2004 IPO approached, the company’s senior vice president, Jonathan Rosenberg, realized he was about to spawn hundreds of impetuous young multimillionaires. They would, he feared, become the prey of Wall Street brokers, financial advisers, and wealth managers, all offering their own get-even-richer investment schemes. Scores of them from firms like J.P. Morgan Chase, UBS, Morgan Stanley, and Presidio Financial Partners were already circling company headquarters in Mountain View with hopes of presenting their wares to some soon-to-be-very-wealthy new clients.

Rosenberg didn’t turn the suitors away; he simply placed them in a holding pattern. Then, to protect Google’s staff, he proposed a series of in-house investment teach-ins, to be held before the investment counselors were given a green light to land. Company founders Sergey Brin and Larry Page and CEO Eric Schmidt were excited by the idea and gave it the go-ahead.

One by one, some of the most revered names in investment theory were brought in to school a class of brilliant engineers, programmers, and cybergeeks on the fine art of personal investing, something few of them had thought much about. First to arrive was Stanford University’s William (Bill) Sharpe, 1990 Nobel Laureate economist and professor emeritus of finance at the Graduate School of Business. Sharpe drew a large and enthusiastic audience, which he could have wowed with a PowerPoint presentation on his “gradient method for asset allocation optimization” or his “returns-based style analysis for evaluating the performance of investment funds.” But he spared the young geniuses all that complexity and offered a simple formula instead. “Don’t try to beat the market,” he said. Put your savings into some indexed mutual funds, which will make you just as much money (if not more) at much less cost by following the market’s natural ebb and flow, and get on with building Google.

The following week it was Burton Malkiel, formerly dean of the Yale School of Management and now a professor of economics at Princeton and author of the classic A Random Walk Down Wall Street. The book, which you’d be unlikely to find on any broker’s bookshelf, suggests that a “blindfolded monkey” will, in the long run, have as much luck picking a winning investment portfolio as a professional money manager. Malkiel’s advice to the Google folks was in lockstep with Sharpe’s. Don’t try to beat the market, he said, and don’t believe anyone who tells you they can—not a stock broker, a friend with a hot stock tip, or a financial magazine article touting the latest mutual fund. Seasoned investment professionals have been hearing this anti-industry advice, and the praises of indexing, for years. But to a class of 20-something quants who’d grown up listening to stories of tech stocks going through the roof and were eager to test their own ability to outpace the averages, the discouraging message came as a surprise. Still, they listened and pondered as they waited for the following week’s lesson from John Bogle.

“Saint Jack” is the living scourge of Wall Street. Though a self-described archcapitalist and lifelong Republican, on the subject of brokers and financial advisers he sounds more like a seasoned Marxist. “The modern American financial system,” Bogle says in his book The Battle for the Soul of Capitalism, “is undermining our highest social ideals, damaging investors’ trust in the markets, and robbing them of trillions.” But most of his animus in Mountain View was reserved for mutual funds, his own field of business, which he described as an industry organized around “salesmanship rather than stewardship,” which “places the interests of managers ahead of the interests of shareholders,” and is “the consummate example of capitalism gone awry.”

Bogle’s closing advice was as simple and direct as that of his predecessors: those brokers and financial advisers hovering at the door are there for one reason and one reason only—to take your money through exorbitant fees and transaction costs, many of which will be hidden from your view. They are, as New York attorney general Eliot Spitzer described them, nothing more than “a giant fleecing machine.” Ignore them all and invest in an index fund. And it doesn’t have to be the Vanguard 500 Index, the indexed mutual fund that Bogle himself built into the largest in the world. Any passively managed index fund will do, because they’re all basically the same.

When the industry sharks were finally allowed to enter the inner sanctum of Google, they were barraged with questions about their commissions, fees, and hidden costs, and about indexing, the almost cost-free investment strategy the Google employees had been told delivers higher net returns than all other mutual fund strategies. The assembled Wall Streeters were surprised by their reception—and a bit discouraged. Brokers and financial planners don’t like indexed mutual funds for two basic reasons. For one thing, the funds are an affront to their ego because they discount their ability to assemble a winning portfolio, the very talent they’re trained and paid to offer. Also, index funds don’t make brokers and planners much money. If you have your money in an account that’s following the natural movements of the market—also called passive investing—you don’t need fancy managers to watch it for you and charge big bucks to do so.

Brin and Page were proud of the decision to prepare their staff for the Wall Street predation. And they were glad to have launched their company where and when they did. What took place in Mountain View that spring might have never happened had Google been born in Boston, Chicago, or New York, where much of the financial community remains at war with insurgency forces that first started gathering in San Francisco 35 years ago.

It all started in the early 1970s with a group of maverick investment professionals working at Wells Fargo bank. Using the vast new powers of quantitative analysis afforded by computer science, they gradually came to the conclusion that the traditional practices guiding institutional investing in America were, for the most part, not delivering on the promise of better-than-average returns. As a result, the fees that average Americans were paying brokers to engage in these practices were akin to highway robbery. Sure, some highly paid hotshot portfolio managers could occasionally put together a high-return fund. But generally speaking, trying to beat the market—also called active investing—was a fruitless venture.

The insurrection these mavericks would create eventually caught on and has spread beyond the Bay Area. But San Francisco remains ground zero of the democratizing challenge to America’s vast and lucrative investment industry. Under threat are the billions of dollars that mutual funds and brokers skim every year from often-unwary investors. And every person who has money to invest is affected, whether she’s patching together her own portfolio with a broker, saving for retirement or college, or just making small contributions each year to her 401K. If the movement succeeds, not only will more and more people have a lot more money in their pockets, but the personal investment industry will never look the same.

I was once a portfolio manager myself, and like the industry folks Google was protecting its employees from, I was certain I could outperform market averages and confident that I was worth the salary paid to do so. However, I left the investment business before this revolt began to brew. In the intervening years, I never stewarded my own investments as judiciously as I’d managed those of my former employers—Bank of America, Industrial Indemnity, and the Bechtel family. I was unhappy with the Wall Street firms I had been using, which had churned my account to make lots of money on the sales, and, despite instructions to the contrary, placed my money in their own funds and underwritings to make even more at my expense. So a couple of years ago, when it finally came time to get my own house in order, I knew I wanted help from an independent adviser, someone who was doing things differently from the big brokerage firms.

Eventually I found a small financial management firm in Sausalito called Aperio Group that, after only seven years in business, already had a stellar reputation. “Aperio” in Latin means “to make clear, to reveal the truth.” Indeed, truth-telling is key to Aperio’s mission, even if that means badmouthing its own industry in the process. One of the company’s founders, Patrick Geddes, aged 48, is a renegade from the top echelons of his field. For several years he served, first as director of quantitative research, then as CFO, at Morningstar, the nation’s leading company for researching and appraising mutual funds. But when he left, not only was he disenchanted with his own company’s corporate environment, he was also becoming uneasy with the moral underpinning of the entire industry. “Let’s be straight,” says Geddes in his soft-spoken but zealous way. “Being unethical is a good precondition for success in the financial business.”

His partner, a bright, high-energy Norwegian American named Paul Solli, 49, is another finance guy who didn’t have the gene for corporate culture. After graduating from Dartmouth’s business school, he tried investment banking but didn’t like it. He went out on his own, starting an investment advisory business, but says he flailed about, searching for a business model that would support his desire to “live deliberately” in the Thoreauvian manner.

Solli and Geddes consider themselves heirs to the Wells Fargo insurgency and, as such, part of a movement that includes academics, some institutional investors, a couple of large index fund companies, and a handful of small firms like their own that are dedicated to bringing the indexing philosophy to badly advised investors like myself. And unlike most mutual fund investment firms, which have $5 million and $10 million minimums, Aperio was willing to take on a messy six-figure portfolio.

Solli took one look at my unkempt collection of mut­ual funds and said, “You’re being robbed here.” He pointed to funds I had purchased from or through Putnam, Merrill Lynch, Dreyfus, and—yes—Charles Schwab (which referred me to Aperio) and asked, “Do you know that you’re paying these guys to do essentially nothing?” He carefully explained the many ingenious ways fund managers, brokers, and advisers had found to chip away at investors’ returns. Turns out that I, like more than 90 million other suckers who have put close to $9 trillion into mutual funds, was paying annual fees, commissions, and transaction costs well in excess of 2 percent a year on most of my mutual funds (see “What Are the Fees?” page 75). “Do you know what that adds up to?” Solli asked. “At the end of every 36 years, you will only have made half of what you could have, through no fault of your own. And these are fees you needn’t pay, and won’t, if you switch to index funds.”

All indexing calls for, Solli explains, is the selection of a particular stock market index—the Dow Jones Industrial Average, Standard and Poor’s (S&P) 500, the Russell 1000, or the broader Wilshire 5000—and the purchase of all its stocks and bonds in the exact proportions in which they exist in that index. In an actively managed fund, managers pick stocks they think will outperform a particular index. But the premise of indexing is that stock prices are generally an accurate reflection of a company’s worth at any given time, so there’s no point in trying to beat that price. The worth of a client’s investment goes up or down with the ebb and flow of the market, but the idea is that the market naturally tends to increase over time. Moreover, even if an index fund performed only as well as the expensively managed Merrill Lynch Large Cap mutual fund that was in my portfolio, I would earn more because of the lower fees. Stewarding this kind of investment does not require a staff of securities analysts working under a fund manager who makes $20 million a year. In fact, a desktop computer can do it while they sleep.

There are always exceptions, of course, Solli says, “a few funds that at any given moment outperform the indexes.” But over the years, he explains, their performances invariably decline, and their highly paid cover-boy managers slide into early obscurity, to be replaced by a new hotshot managing a different fund. If a mutual-fund investor is able to stay abreast of such changes, move their money around from fund to fund, and stay ahead of the averages (factoring in higher commissions and management fees) it will be by sheer luck, says Solli, who then offers me pretty much the same advice John Bogle and his colleagues offered Google. Sell the hyped but fee-laden funds in my portfolio and replace them with boring, low-cost funds like those offered by Bogle’s Vanguard.

It took Solli a couple more painful meetings and a few dozen trades to clean the parasites out of my account and reinvest the proceeds in index funds, the lifeblood of his business. Without exception, he moved me into funds that have outperformed the ones I was in, like the Vanguard REIT Index Fund, some Pimco bond and stock funds, and Artisan International. And he did it for an annual fee of .5 percent of money under management, saving me over a full percent in overall costs and a lot of taxes in the future. Then he did something I doubt any other financial manager would have done. He fired himself.

“You really don’t need me anymore,” he said, and closed my Aperio account that day, ending his fees, but not our relationship. I was curious. Who was this guy who was so open about the less-than-dignified ways of his own business? “You have to have lunch with my partner,” he said.

If Solli is an industry gadfly, Geddes, a modest, unassuming son of a United Church of Christ minister, is its chainsaw massacrer. “We work in the most overcompensated industry in the country,” Geddes admitted before the water was served, “and indexing threatens the revenue flow from managed funds to brokerage houses. That’s why you’ve been kept in the dark about it. This truly is the great secret shame of our business.

“The industry knows they are peddling bad products,” Geddes continued, “and a lot of people making the most money and getting the most prestige are doing so by gouging their customers.” And Geddes is quick to differentiate between “illegal theft”—the sort of industry scandals Spitzer has uncovered, such as illicit sales practices, undisclosed fees, kickbacks, and after-market trading—and “legal theft,” the stuff built into the cost of doing business that no attorney general can touch, but which in dollar amounts far exceeds investor losses to illegal activity.

Geddes wasn’t always full of such tough talk about the industry. Not that he had any qualms about speaking his mind; in fact, he was let go from Morningstar in 1996 for being openly critical of the company’s internal culture. “I still think of Morningstar as a potentially positive force in the industry,” he says. “But let’s just say they were weak at conflict management, especially at the senior levels.” It wasn’t until he took a freelance consulting job for Charles Schwab that he really saw the light about indexing.

“My job was to compile all the academic research on mutual funds, and that’s when it really became clear that active management doesn’t add any value,” he says. When he finished the project, Geddes started teaching a finance class through the University of California extension, where he started preaching his anti-industry gospel. “I had to be careful, because there were a lot of brokers in the class. I started noticing that some of them would get sort of irritated with me.”

Around this time is when he met Solli. Solli had a client, a doctor who was looking to learn about portfolio management and asked Solli what he thought of Geddes’s UC course. When Solli looked into it, he was bowled over. “Here was this guy who’d been CFO at Morningstar and had this incredible background, and I thought, what the hell is he doing at Berkeley teaching this course to guys like my client? This is too good to be true—I have to meet this guy.”

Slowly, inadvertently even, Aperio was born. But the fit was perfect. Geddes brought what he calls “the quant piece” to the table; Solli had the strategic vision. After a few months of brainstorming, they set out to see if a couple of guys who held themselves to high ethical standards could make it in the cutthroat financial industry.

And just how do these guys make money if they keep kicking out clients like me once they switch us into index funds, while alienating others with their irreverent critique of the entire mutual fund game? Geddes does take referrals from investment firms like Charles Schwab, which thrive on the sale of managed mutual funds. So why the rant? Isn’t he, too, in business to make a buck?

“Absolutely,” he admits. “I’m not Mother Teresa; I’m a capitalist who wants to succeed and make money. I just think the best way to do that is by building trust in a clientele by revealing to them honestly how this business works.”

Geddes also offers a customized version of indexing (on taxable returns) for wealthier clients, a service that requires an ongoing relationship and supplies Aperio a steadier source of income than my low-six-figure portfolio did. Aperio now has about $800 million under management. It’s a paltry sum compared with those of the big brokerage firms, which deal in the billions or even trillions, but Geddes is fine with that. “If I were making what I could be making in this business, I just wouldn’t like the person I’d have to be.”

“San Francisco was the only place in the country where this could have happened,” says Bill Fouse, a jazz clarinetist in Marin County who was present when the first shots were fired in the investment rebellion. It was 1970, and revolution was in the air.

While hippies, dopesters, and antiwar radicals were filling the streets of America’s most tolerant city with rage, sweet smoke, and resistance, a quieter protest was brewing in the lofty, paneled offices of Wells Fargo. There, a young engineer named John Andrew “Mac” McQuown, Fouse (who like many musicians also happens to be a brilliant mathematician), and their self-described “skeptical, suspicious, careful, cautious, and slow-to-change” boss, James Vertin, were taking a hard look at the conventional wisdom that for a century had driven American portfolio management.

Bank trust departments across the country were staffed by portfolio managers who, as I did at the time, believed that they alone possessed the investment formula that would enrich and protect the security of their customers. “No one argued with that premise,” Fouse recalls.

But McQuown suspected they were pretty much all wrong. He had met Wells Fargo chairman Ransom Cook at an investment forum in San Jose, and at a later meeting at company headquarters, persuaded him that traditional portfolio management was merely an investment variation of the Great Man theory. “A great man picks stocks that go up. You keep him until his picks don’t work anymore and you search for another great man,” he told Cook. “The whole thing is a chance-driven process. It’s not systematic, and there’s lots we still don’t know about it and that needs study.” Cook offered McQuown a job at Wells and a generous budget to conduct research into the Great Man Theory and other schemes to beat the averages. McQuown accepted, and a few years later Fouse came on as well.

They couldn’t have been more different: Fouse, a diminutive, mild-mannered musician, and McQuown, a burly, boisterous Scot. The two were like oil and water—McQuown even tried to have Fouse fired at one point—but their boss, Vertin, was the one who really was in the hot seat.

“You have to understand, Vertin’s career was on the line,” Fouse recalls. “He was, after all, running a department full of portfolio managers and securities analysts whose mission was to outperform the market. Our thesis was that it couldn’t be done.” Proof of McQuown’s theory could lead to the end of an empire, in fact many empires. “The poor guy was under siege,” says Fouse. “It was a nerve-racking time.”

Vertin’s memory of those times is no less vivid. “Mac the knife was going to own this thing,” he once told a reporter. “I could just see the fin of the shark cutting through the water.” Eventually, the research McQuown and Fouse produced became so strong that Vertin could not ignore it. “In effect it said that almost everything that every trust department in America was doing was wrong,” says Fouse. “But Jim eventually accepted it, even knowing the consequences.”

In July 1971, the first index fund was created by McQuown and Fouse with a $6 million contribution from the Samsonite Luggage pension fund, which had been referred to Fouse by Bill Sharpe, who was already teaching at Stanford. It was Sharpe’s academic work in the 1960s that formed the theoretical underpinning of indexing and would later earn him the Nobel Prize. The small initial fund performed well, and institutional managers and their trustees took note.

By the end of the decade, Wells had completely renounced active management, had relieved most of its portfolio managers, and was offering only passive products to its trust department clients. And it had signed up the College Retirement Equities Fund (CREF), the largest pool of equity money in the world, and Harvard University, the largest educational endowment. By 1980 $10 billion had been invested nationwide in index funds; by 1990 that figure had risen to $270 billion, a third of which was held at Wells Fargo bank.

Eventually the department at Wells that handled index­ing merged with Nikko Securities and was later bought by Barclays Bank, which created the San Francisco subsidiary Barclays Global Investors. Its CEO, Patricia Dunn, the scandal-tinged former chairman of Hewlett-Packard who had worked for 20 years at Wells Fargo, had been heavily influenced by indexing. Running Barclays, she became the world’s largest manager of index funds.

Fouse, now retired in San Rafael, explains why all this could have happened only in San Francisco. “When we started our research, almost all the trust clients out here were individuals with small accounts. Anywhere else, particularly on the East Coast, trust departments handled very large institutions—pension funds, university endowments, that sort of thing. If Mellon, Chase, or Citibank had done this research and come to the same conclusion, they would have in effect been saying to their large, sophisticated, and very lucrative clientele: ‘We’ve been doing things wrong for a century or more.’ And thousands of very comfortable investment managers would have been out of work.”

But even in San Francisco, as in the country’s other financial centers, Fouse and McQuown’s findings were not a welcome development for brokers, portfolio managers, or anyone else who thrived on the industry’s high salaries and fees. As a result, the counterattack against indexing began to unfold. Fund managers denied that they had been gouging investors or that there was any conflict of interest in their profession. Workout gear appeared with the slogan “Beat the S&P 500,” and a Minneapolis-based firm, the Leuthold Group, distributed a large poster nationwide depicting the classic Uncle Sam character saying, “Index Funds Are UnAmerican,” implying that anyone who was not trying to beat the averages was nothing more than an unpatriotic wimp. (That poster still hangs on the office walls of many financial planners and fund managers.)

Savvy investment consumers, however, were apparently catching on. As they began to suspect that the famous fund managers they were reading about in Business Week and Money magazine were taking them for a ride, index funds grew in size and number. And actively managed funds shrank proportionately. Even some highly placed industry insiders started beating the drums for indexing. From her perch at Barclays, CEO Dunn gave a speech at a 2000 annual industry meeting in Chicago. As reported in Business Week at the time, she started out with some tongue-in-cheek comments about fund managers’ “rare gifts and genius,” and then shocked the crowd by going on to denounce the industry’s high fees. According to the article, she even included this zinger: “[Investment managers sell] for the price of a Picasso [what] routinely turns out to be paint-by-numbers sofa art.”

It’s not as if Merrill Lynch, Putnam, Dreyfus, et al, were being put out of business by this new consciousness, but like any industry threatened with bad ink, the financial community continued to strike back at every opportunity. In May 2003, Matthew Fink, president of the Investment Company Institute, a mutual funds trade association, told convening members that his industry was squeaky clean and has “succeeded because the interests of those who manage funds are well-aligned with the interests of those who invest in mutual funds.” At the same convention, Fink’s remarks were echoed by ICI vice chairman Paul Haaga Jr., who, in his keynote address, pronounced that “our strong tradition of integrity continues to unite us.” Indeed, integrity had been the theme of every ICI membership meeting in recent memory.

Haaga then attacked his industry’s critics, including former SEC chairmen, members of Congress, academics, journalists, even “a saint with his own statue” (John Bogle). “[They] have all weighed in about our perceived failing,” lamented Haaga. “It makes me wonder what life would be like if we’d actually done something wrong.”

He didn’t have long to wonder. Four months later, the nation’s first big mutual fund scandal broke when Eliot Spitzer brought civil actions against four major fund managers for allowing preferred investors to buy and sell shares on news or events that occurred after markets had closed. Spitzer compared the practice to “allowing betting on a horse race after the horses have crossed the finish line.” Multimillion dollar fines were issued against the firms, which were also required to compensate customers damaged by what were called market-timing practices.

The market-timing scandals alone are estimated to have cost fund investors about $4 billion, and other industry violations were uncovered after that. But now more experts are convinced that the amount pales in comparison to the tens of billions lost every year just to the fees and transaction costs by which mutual funds live and die. After the mutual fund scandals broke, Senator Peter Fitzgerald (R-Ill.) called a hearing before the Subcommittee on Financial Management, the Budget, and International Security, and said this in his opening statement: “The mutual fund industry is now the world’s largest skimming oper­ation—a $7 trillion trough from which fund managers, brokers, and other insiders are steadily siphoning off an excessive slice of the nation’s household, college, and retirement savings.”

No one running a university endowment, independent foundation, or pension fund could match his numbers during his tenure: over the last 21 years, chief investment officer David Swensen has averaged a 16 percent annual return on Yale University’s investment portfolio, which he built with everything from venture capital funds to timber. He’s been called one of the most talented investors in the world. But lately he’s becoming perhaps even more famous for his advice to individual investors, which he first offered in his 2005 book Unconventional Success. “Invest in nonprofit index funds,” he says unequivocally. “Your odds of beating the market in an actively managed fund are less than 1 in 100.”

And there’s more. A recent entry on the Motley Fool, the popular investment advice website, made the following blanket statement: “Buy an index fund. This is the most actionable, most mathematically supported, short-form investment advice ever.” As long as 10 years ago, in his annual letter to his shareholders, Warren Buffett advised both institutional and individual investors “that the best way to own common stocks is through an index fund that charges minimal fees. Those following this path are sure to beat the net results (after fees and expenses) delivered by the great majority of investment professionals.”

One would think, with that kind of advice floating about, that the whole country would by now be in index funds. But in the three decades since Wells Fargo kicked things off, only about 40 percent of institutional money and 15 percent of individuals’ money has been invested in index funds. So why is indexing catching on so slowly?

A big reason, according to Geddes, is that putting investors into index funds is simply not in the interest of the industry that sells securities. “They just won’t accept indexing’s minuscule fees,” he says. By now, most major brokerage firms offer index funds in addition to traditional mutual funds, but money managers typically don’t mention them at all. You usually have to ask about them yourself.

And it makes a certain kind of sense. If a naive investor calls a broker with $100,000 to invest, would the broker be likely to recommend the Vanguard 500 Index with its .19 percent annual fee, of which he receives nothing and collects but a small portion of his firm’s approximately $100 transaction fee? Or might he suggest the client buy Putnam’s Small Cap Growth Fund B Shares, which carry a 2.3 percent annual fee, 1 percent ($1,000) of which goes to him? And will he tell his client about the hidden transaction charges that further reduce the return on investment? It’s simply not to his advantage to do so.

It’s hard to find active fund managers who are willing to talk about these issues. I spoke to several, but no one was comfortable discussing the high cost of their practice, and few were willing to talk on the record. Ron Peyton, president and CEO of Callan Associates, a San Francisco–based institutional investment consulting firm, offered a list of advantages of active management, which essentially boiled down to the fact that it’s more fun. “They can raise and lower cash positions [read: buy and sell whatever stocks excite them at any given moment] and go into fixed-income or foreign securities [read: look for investments wherever they want].” I know from experience that he’s right, but it’s kind of beside the point.

The most forthright comments came from Baie Netzer, a research analyst in the Orinda office of Litman/Gregory Companies, a San Francisco–based investment management firm specializing in mutual funds. Netzer told me outright, “Eighty percent of active managers underperform the market. But we do believe that some managers add value, and those are the ones we look for.” Still, if you factor in fees and transaction costs, you have to wonder how much that remaining 20 percent would slip.

But even if the number of active managers who consistently beat the market is small, Stanford’s Bill Sharpe still sees a real need for their services. While he is a strong partisan of index funds, he is neither as surprised nor as concerned as Geddes that they don’t represent a higher proportion of overall investment. “If you’d told me 35 years ago that indexing would one day represent 40 and 15 percent of investments, I would have asked you what you were smoking,” says the personable Sharpe with his characteristic chuckle. If everyone invested in index funds, he points out, the market itself would die a natural death. “We need active managers,” he says. “It’s buyers and sellers who keep prices moving, which is what drives the market. Index funds simply reflect what the market is doing.” He believes we’d even start to see a decline in market efficiency if index funds rose to 50 percent of total investments.

Does this mean that, when we look at mutual funds, half our options would still be burdened with unconscionable fees and hidden costs? Hopefully not. With the call getting louder from financial experts and industry watchers to reform and regulate mutual funds, it’s hard to believe that the fee system can last much longer, particularly with strong Republican voices like Peter Fitzgerald’s in Congress.

But while Wall Street has considerable soul-searching to do, full blame for the gouging of naive investors does not lie with the investment management industry alone. There is an innate cultural imperative in this country to beat the odds, to do better than the Joneses. In some ways the Leuthold Group was right when it said that index funds are un-American. It’s simply difficult for most of us to accept average returns on our money, or on anything for that matter. The ultimate example of the nation’s attraction to the big score is, of course, right now under our noses. If on August 18, 2004, you had invested $100,000 in Google, that stock would now be worth $550,000. So while evidence mounts that it’s almost impossible to hit the jackpot with cost-burdened mutual funds—and that for every Google, there’s an Enron—we simply refuse to stop trying.

Perhaps Solli and Geddes had it right when they selected the name for their company. The real purpose of this whole revolution is “to make things clear, to reveal the truth.” As Solli puts it, “As long as people know what they’re dealing with, they can invest their money with full awareness. Whether it’s playing it safe with indexing or taking a flier on a hedge fund—at least they’re the ones in control.”

What about hedge funds?
So, the bulk of your savings is safely tucked away in a sensible index fund or two. Why not set aside 5 or 10 percent and take a chance on the post-dot-com insider’s investment craze?

It’s certainly tempting. The most high-profile manager, Edward “Eddie” Lampert, has reportedly earned investors in his ESL Investments hedge fund an average return of 29 percent a year since 1988. After successfully buying Kmart with his investors’ money, Lampert turned the merged retailer around and in 2004 personally took home $1 billion.

Another of the world’s most successful funds is San Francisco’s Farallon Capital Management, which has amassed assets of $12.5 billion over two decades by delivering post-fee returns of 17 percent a year on its flagship fund, according to a 2005 article in Institutional Investor magazine. Forty-eight-year-old Tom Steyer’s investors include universities, pension funds, and individuals; at any one time, the magazine said, the managers there might be nursing 300 to 500 investments in everything from real estate—Farallon recently bought into the Mission Bay development—to international finance.

But the road from Wall Street is scattered with the bones of bitter hedge fund investors. Since 1995, more than 1,800 known hedge funds have folded completely. In the last few months alone, two large funds—MotherRock and Amaranth Advisors—have gone south.

The high failure rate should come as no surprise, given how hedge funds operate. There’s no working model, so they vary widely, but the basic idea is that they rely on risky, untraditional investment strategies—ranging from arbitrage to taking over floundering companies, as Lampert did—to make big money fast. The industry is largely unregulated, and most funds involve private partnerships that operate in strict confidence.

They’re also extremely expensive, which limits their user profile. Though fees average just 2 percent of the investment, the same as in a typical Silicon Valley venture fund, managers also withhold a sizable chunk (averaging 20 percent, but sometimes going as high as 50 percent) of whatever profit the funds produce. The typical minimum required to get into a fund is between $1 million and $5 million.

The SEC periodically considers applying minimal rules to hedge funds, such as prohibiting pension funds from investing in them. Last October, the call for reform came from Congress when Senator Charles Grassley, chairman of the Senate Finance Committee, asked administration officials and Congress members for their views on how to improve hedge fund transparency. But so far, the hedge fund lobby has managed to keep all regulators at bay. —Mark Dowie

What are the fees?
Every fee that a mutual fund charges should be outlined somewhere in its prospectus. But many people don’t even think to look for it, and you can’t necessarily trust your broker to bring it up. “The first step is simply getting people to pay attention to fees,” says Patrick Geddes, chief investment officer of Aperio Group, in Sausalito. Hang tough in asking your broker for the full breakdown of what those fees will cost you each year. If you need help, the National Association of Securities Dealers has a useful tool for computing fees, called the Mutual Fund Expense Analyzer, on its website. You put in the name of the fund, the amount invested, the rate of return, and the length of time you’ve had the fund, and it tells you exactly how much you’ve been charged.

You can also compare past fees for different funds before you invest. For example, if you had put $100,000 into Putnam’s Small Cap Growth Fund Class B Shares and held it for the past five years, you would find that Putnam would have charged you $13,809 in fees during that time. Vanguard’s Total Stock Market Index Fund, on the other hand, would have charged only $1,165 for the exact same investment. —Byron Perry

Which index fund?
In some ways indexing is a no-brainer: invest your money and let it do its thing. Still, there are varieties. Aperio Group’s Patrick Geddes pushes two rules in choosing a fund: “The broader the better, and the cheaper the better.” When you invest in a broad domestic fund, you’re investing in the entire U.S. economy, or “owning capitalism,” as it were, Geddes says. The Vanguard Total Stock Market Index Fund, which represents about 99.5 percent of U.S. common stocks, is a great one to start with. If you choose a narrower fund, like a tech or energy index, you’re basically just speculating (though you’ll most likely still fare better than if you tried to pick the next Google). Narrow index funds also typically command higher fees. With indexing gaining in popularity, everyone’s trying to get into the game and sneak in unnecessarily high fees. Geddes says there’s no good reason to pay more than .19 percent. —Byron Perry

~~~

Mark Dowie, who managed the municipal bond portfolio at Bank of America and all nonequity investments for Industrial Indemnity, and advised the Bechtel family on economic and investment strategy, now watches his modest portfolio of index funds grow from his home near Point Reyes Station.

[Tridion]

A dúvida...

(Devido à falta de tempo ainda não consegui fazer o balanço de 2013. Mas cá vai...)

Depois de ter passado 2012 a tentar ser uma espécie de trend-follower, e ter chegado a novembro desse ano com uma perda 10% do capital inicial, comecei a questionar-me se tinha o que era necessário para me posicionar no mercado dessa forma.

Gentilmente, o LTCM (muchas gracias by the way) mostrou nos comentários que foi por aqui colocando, que à partida a estatística estava contra mim, mesmo que conseguisse retirar do mercados lucros consistentes, provavelmente o trend-following não seria a melhor maneira de o fazer, especialmente no pôs-crise de 2008.

Perante estas dúvidas, comecei pelo básico e achei que estava na altura de por a estatística a trabalhar a meu favor. Mas de que forma? Está documentado que um portefólio abrangente com rebalanceamentos, à lá LTCM, bate no longo prazo 80% dos traders. Pareceu-me lógico...

O grande problema é que em vez de ficar rico em 2 ou 3 anos vou levar 30...mas pelo menos não fico pobre no processo!

Outro factor preponderante nesta escolha, foi o consumo de tempo em analisar acções individuais vs. portefólio diversificado, já que cada vez me dedicava mais tempo ao stock-picking, abdicando de precioso tempo e sem garantir retorno financeiro compensador.

O terceiro factor que me fez ficar convencido quanto a esta forma de investimento foi o market-timing, uma vez que estava sempre a errar pontos de entrada e saída. Num portefólio diversificado de gestão passiva, o tempo anula/atenua esses erros.

Contudo, o ano de 2012 tinha-me ensinado algumas coisas que não deveriam ser esquecidas:

1) As comissões foram boa parte das minhas perdas.
2) Assumir o risco de um trade, ser bem sucedido e ter que pagar 28% de mais-valias, não obrigado não estou para isso. Não sei ganhar para mim quanto mais para o Estado!

Por isso, decidi que tinha que mudar para um broker, que me garantisse comissões mínima, e vender só em caso extremo de necessidade de rebalanceamento.

Acabei por optar por um broker estrangeiro, porque são mais muito mais competitivos em termos de comissões. Por outro lado, sempre tenho o dinheiro fora de Portugal, que nos dias que correm também é uma mais valia. A verdade é que reduzi os meus custos em cerca de 90%, fazendo cerca de 2/3 dos trades relativos a 2012.

Em relação aos rebalanceamentos, tentarei fazê-los apenas com dinheiro fresco. Inicialmente será fácil, mas à medida que as posições aumentem o seu valor será mais complicado...mas logo se verá, esse problema não me assiste por agora.

Contudo, vou declarar todos os dividendos à AT, primeiro porque é o meu dever e segundo porque a vida é longa e dá muitas voltas, como não sei o dia de amanhã não quero que o pessoal dos off-topics ponha aí um a dizer que o Tridion não declarou milhares de participações em empresas pelo mundo fora, ouro, imobiliário e petróleo!

Nesta altura sabia que queria um portefólio diversificado, com os menores custos possíveis e que pagasse o mínimo de impostos sem cometer ilegalidades. Também tinha que ser um carteira que fosse fácil de organizar e à prova de egos, que a sua gestão fosse fácil de passar rapidamente para minha mulher, por exemplo, em caso de necessidade.

Em caso de dúvida numa decisão, o desempate seria "O que é mais barato?". Infelizmente, e apesar da liquidez que se tem posto nos mercados, pouco tem vindo parar a mim, pelo que o dinheiro continua a ser um bem escasso que tem ser altamente preservado.

Com todas estas decisões tomadas, faltava o escolher o veículo financeiro para por a estratégia de alocação diversificada em prática, e aí reduzi rapidamente a duas opções: os ETF's ou fundos de investimento.

Na lógica de reduzir ao máximo o custos do investimento, os ETF's surgiram-me como sendo mais baratos apesar de não almejarem o ALFA. Obviamente que retornos acima do benchmarket são sempre aliciantes, e o caldeirão tem excelentes tópicos sobre fundos e o seeking alfa (palmas para os seus mentores VirtuaGod e Rick Lusitano ). Mas como custos são custos e os ETF's são mais baratos, optei pelos ETF's.

Por outro lado, também poderia satisfazer o meu gosto pela a análise técnica e pelo trading. Com os ETF's podia continuar a brincar ao trading sem a preocupação de falhar porque o muito longo prazo anula as minhas burradas no curto/médio prazo. Quero utilizar os primeiros anos desta carteira para treinar a AT, analisar gráficos, perceber tempos de entrada e saída, alocação, etc e etc. Continuo a acreditar nas minhas capacidades para ser bem sucedido no trading, mas enquanto não tenho condições pessoais/mentais/profissionais para o fazer vou ganhando experiência a olhar para gráficos, a aprender a ver o que eles me dizem e não aquilo que o eu quero que eles me digam.

Contudo, num futuro como trader mesmo que consiga retirar do mercado ganhos consistentes, não deverei alocar mais de 10%/20% da minha carteira total neste tipo de negociação.

Tinham se passado quase 6 meses desde que tinha feito o meu último trade em CFD's. Estava na altura de definir uma carteira de ETF's...

[LTCM]

E como é que tem corrido o período entre 2008-2012?

O que posso dizer é que o valor da equity curve do final de Dezembro de 2008 (ano ligeiramente negativo), é um bocadinho maior que o de Dezembro de 2012 (claramente negativo).

[LTCM]

Gráfico muito errático.

Sabes qual é a definição de trending day utilizada ?

É um indicador proprietário construído através da média da variação da expansão da volatilidade em vários mercados.

[Automech]

Gráfico muito errático.

Sabes qual é a definição de trending day utilizada ?

[LTCM]

[Automech]

Trading a trend following system on a single market or only a few different markets is suicidal. There may be long periods, even years, where there simply are no trends in any given market or asset class. The key idea is to trade many markets covering all asset classes at the same time. If you fail to do so, this strategy will simply not work.

The investment universe you chose will have a much greater impact than tweaking buy and sell rules, so choose wisely.

No geral é verdade, embora o haver ou não trend dependa da time frame. O mesmo activo pode estar em range no mensal e em trend no diário.

Os indicadores adaptivos tentam mitigar este pormenor (embora não façam milagres, como é óbvio).

[LTCM]

Trading a trend following system on a single market or only a few different markets is suicidal. There may be long periods, even years, where there simply are no trends in any given market or asset class. The key idea is to trade many markets covering all asset classes at the same time. If you fail to do so, this strategy will simply not work.

The investment universe you chose will have a much greater impact than tweaking buy and sell rules, so choose wisely.

[LTCM]

FX, CTAs and equities funds all had a rougher year. Despite FX funds’ strong December on the back of a parabolic JPY/USD move, the group ended the year with some of the lowest returns out of all hedge fund strategies at 2.22%. Managed Futures rallied near the end of the year but not enough to end the year in positive territory. The strategy closed 2012 down -0.71%

[LTCM]

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[Tridion]

Não sei quem é o senhor sequer, mas o texto pareceu-me sensato com base naquilo que me tens ensinado e no que eu tenho aprendido por experiência própria... Até porque se actualmente tenho capacidade para as assimilar é porque me puseste a pensar.