Ao minuto: Montenegro anuncia que vai avançar com a redução do IRS já nas próximas semanas

[VirtuaGod]

Tenho desde Março o seguinte portfólio:

25% Vanguard Long Term Government Bond
25% Vanguard Small-Cap Value
25% Vanguard Emerging Markets
25% Vanguard REIT

Próximo a comprar quando tiver capital vai ser um ETF de matérias-primas.

Como é que isso está em termos de rentabilidades anualizadas?

[bC10]

Tenho desde Março o seguinte portfólio:

25% Vanguard Long Term Governmant Bond
25% Vanguard Small-Cap Value
25% Vanguard Emerging Markets
25% Vanguard REIT

Próximo a comprar quando tiver capital vai ser um ETF de matérias-primas.

[VirtuaGod]

Sou mais apologista do portfolio do David Swensen por exemplo. Acho que Real Estate tem de fazer sempre parte de um bom portfolio em termos de diversificação. Mesmo que tenhas o all stocks e o all bonds não incluem real estate...

[vset]

Boa noite a todos,

tenho lido muito que a simplicidade pode ser uma vantagem no longo prazo, e que rentabilidades passadas são mesmo só passadas...

Com isto há quem defenda portfolios simples como o seguinte:


33%

Vanguard Total Bond Market Index Fund

VBMFX

BND



34%

Vanguard Total Stock Market Index Fund

VTSMX

VTI



33%

Vanguard Total International Stock Index Fund

VGTSX

VEU



Que acham vocês ?


Cumprimentos cordiais.

[LTCM]

Asset Allocation Matters More than Stock Picking: The decisions you make as to your mix of assets has a far greater impact on your investing success than does your stock picking or market timing. This too has proven repeatedly in both academic studies and the real world.

I’ll save you the war story, but when I was on the Sell Side, I was a big Apple fan. When the first iPod came out, the company was trading at $15 (pre-split) with $13 in cash. I recommended Apple, the firm bought a ton at $15, and dumped most of it at $20 for a 33% winner.

Pretty smart, huh?

That was literally the worlds greatest stock — and it hardly mattered at all. The worlds’ greatest stock pickers all got crushed during the 2008 crisis. And a monkey could have thrown a dart at a stock list in 2009 and made a ton of money.

Consider this: If your allocation mix contained too little equities over the past few years, then you probably missed the 100% rally since stocks since March 2009. And a lack of bonds meant that during the 2008-09 crash, you had nothing protecting you as markets fell.

Stock picking is for fun. Asset allocation is for making money over the long haul.

[Metallising_]

You may have thought he dispelled all of his investing secrets, but there's more to reveal from Joel Greenblatt's recent visit here at Breakout. The author of The Big Secret for the Small Investor has some valuable insight on which benchmark indexes you should pay attention to, which could lose you money, and why ETFs tracking the right indexes are a "good passive strategy."
Greenblatt lays out a food chain of investing, with active fund managers at the bottom of the pyramid. He is very critical of active managers and prefers investors go it alone by tracking certain indexes and buying ETFs that do the same. Most investors follow the traditional indexes, like the S&P 500. Despite beating most active managers (putting them up higher in the food chain), he says "they're still very flawed." That's because they are market-cap weighted, meaning they put more weight into the largest companies whose size adjusts automatically as stock price fluctuates.
The problem with market-cap weighted indexes is "if a stock is overpriced, you own too much of it. If a stock is underpriced, you own too little of it." And this alone can cost an investor 2% a year, according to Greenblatt. So, we move up the investing food chain to avoid that loss and seek out profit.
Another Big Secret Revealed …

In order to beat market-cap weighted indexes (which beat active managers), consider equally weighted indexes like the Rydex S&P Equal Weight ETF (RSP). This type of fund holds the same percentage of each stock. Or, Greenblatt says to consider fundamentally weighted indexes, in which stocks are weighted based on their economic size and footprint, not their price. Greenblatt likes the PowerShares FTSE RAFI US 1000 (PRF).
Finally, according to Greenblatt, at the top of the investing chain are value-weighted indexes, which consist of stocks with cheap valuation and high quality. Greenblatt likes the Vanguard Value ETF (VTV) and of course the mutual fund that he was involved in creating, the Formula Investing US Value 1000 fund (FVVAX).
So to re"cap" (pun intended): Market-cap weighted indexes beat active managers. Equally weighted indexes and fundamentally weighted indexes beat market-cap weighted indexes. And the big winner according to Greenblatt: Value-weighted indexes can beat all of the above.

LTCM, qual o teu input disto?

Sinceramente nunca tinha pensado nesta perspectiva mas ao ver os pontos que ele aponta vejo-me a concordar.

Uma vez que os weighted indexes acabam por ser um pouco como um portfolio sem rebalanceamento pensei em por aqui este artigo que vai de encontro ao tema.

Achas que um equal weighted tem uma oveerperformance sobre os market weighted?

Ainda não fiz testes, mas à primeira vista acho que vou encontrar melhores resultados com Equal Weighted como refere o Joel.

Se por acaso isto já te tiver passado pela cabeça entretanto e tiveres testes por ai...

É um bom contributo sem dúvida. Embora o Joel Greenblatt desde que se dedicou a publicar livros, e a criar sites e fundos de acordo com as fórmulas que descreve nos livros, deixou-me de sobreaviso.

Se por um lado as rentabilidades do Gotham Capital são/foram muito boas fico um bocado azedado com o facto de: testadas as “fórmulas mágicas” não se conseguirem replicar os movimentos do Joel .

Voltando ao assunto isto do equal weighted (EW) versus market weighted (MW) não é novo. Coisas similares como o Value Line Composite Index já existem desde os anos 60 e mais recentemente a Research Affiliates, e a Dimensional Fund Advisors (repleto de seguidores da efficient-market hypothesis (EMH):twisted: ) utilizam métodos similares desde pelo menos 2004.

(O Arnott até já publicou, em 2008 se não estou em erro, um livro aproximado ao tema «The Fundamental Index»)

O certo é que os estudos demonstram que o EW bate em média por 1,5%, em especial nos Bear Market (o que não deixa de ser surpreendente), embora não de forma consistente, o WE ao longo dos anos.
Apesar do EW apresentar um risco superior, porém a sua maior rentabilidade, sem grande margem para dúvidas, deve-se ao maior número de empresas classificadas como Pequena Capitalização Valor (PCV).

(Esta é uma das razões de, na Carteira Modelo, os EUA estarem representados pelo VBR e não pelo SPY como seria de esperar)

Os resultados podiam ser ainda melhores, não fossem estes aspectos negativos:
Para terem o mesmo peso no índice O EW tem de ser rebalanceado periodicamente o que implica maior turnover e maiores custos;
Depois existe o problema da representatividade dos sectores da economia no índice, sectores como o retalho, repleto de pequenas empresas, ficam excessivamente representados em relação, por exemplo, ao sector energético com poucas mas enormes empresas;
Para finalizar existe o problema da escala: pequenas companias não têm dimensão para o volume de compras dos institucionais.

Concluindo (IMHO): para o pequeno investidor, apesar dos maiores custos do EW e da sua falta de representatividade, vale a pena a exposição a um EW pois beneficia de uma maior rentabilidade que é conseguida através do maior peso das empresas de PCV e Média CV.

Para compreender o impacto do método de indexação utilizado pelo índice comparei dois ETF's que replicam o SP500, com a diferença que um é Market-Cap Weighted e o outro s Equal Weighted

Desde o início do período analisado, Maio 2003, 0 ETF SPDR SP500 (Market-Cap Weighted) teve um retorno médio anual de 7,4%. Por outro lado, o ETF Guggenheim S&P 500 (Equal Weight), obteve um retorno médio anual de 9,67%.

Distribuição por sectores de actividade económica:

Guggenheim S&P 500® Equal Weight ETF top 10 Industries

Oil Gas & Consumable 6.03%
Insurance 4.43%
Semiconductors & Semiconductor 3.43%
Specialty Retail 3.38%
Health Care Providers & Services 3.29%
Real Estate Investment Trusts (Reits) 3.27%
Media 3.23%
Chemicals 3.03%
Food Products 3.01%
Multi-Utilities 2.96%

SPDR S&P 500 10 Top Sectors

INFORMATION TECHNOLOGY 20.53
FINANCIALS 14.94
HEALTH CARE 11.43
ENERGY 11.23
CONSUMER DISCRETIONARY 10.95
CONSUMER STAPLES 10.76
INDUSTRIALS 10.55
MATERIALS 3.45
UTILITIES 3.36
TELECOMMUNICATION SERVICES 2.77

[LTCM]

Liquidity fever is in the air in Silicon Valley. I felt this viscerally last month when a friend from Facebook came to me to talk investing. A talented engineer who has been at the company for more than five years, my friend just reaped a pretty nice IPO payday.

As you might expect, he’s been contacted by a seemingly endless list of investment advisors, slightly different in their approaches but all promising the same things – a steady hand at the till, privileged access to top flight investment funds, and a portfolio that’s lower risk and higher return than the market. Fed up with all the competing claims, he has started thinking about investing his money himself. After all, he must be bright enough to outsmart the fickle fools who seem to follow Jim Cramer’s every whim. Right? He wanted to know what I thought he should do.

My first response was to slap him on the back and congratulate him again. It’s a rare and special time when so many people are rewarded so spectacularly for their hard work and ingenuity. As an entrepreneur myself, I love to see people with the courage to take an uncharted path succeed.

But my second response was to tell him that, when it comes to investing, I thought he should play to his strengths. He built his soon-to-be fortune by helping grow one of history’s most powerful software platforms; he is walking proof of Marc Andreessen’s assertion that “software is eating the world.” So why manage his money the way it would have been managed 50 years ago? Hiring an expensive investment advisor or moonlighting as a stock picker were both bad choices in a world in which technology continues to make our lives simpler and cheaper. My assertion to him: these days, software is better at investing than 99% of active investors.

To clarify a bit, by “software”, I really meant passive, software-based investing services. As opposed to active investment advisors who charge higher fees and pick individual stocks or mutual funds, passive software-based investment services determine a suitable asset allocation given your risk preferences and invest your money in a diversified portfolio of low-cost index fund and ETFs. Wealthfront is one such service in the Valley that I personally use and manages the investing process for you; online tools such as Future Advisor allow you to create portfolios yourself. For my money, these services are by far the smartest way of investing for people who don’t manage their money full time.

My friend was a bit incredulous. Coming from someone who used to work at an investment firm known for its active investing (the Yale Endowment), my advice might have seemed odd. He wanted me to put aside the finance jargon and explain how software could be better at something that allegedly required so much wisdom and judgment.

I thought more carefully about it and sent him an email later with a list of reasons why I prefer to have software manage my money. Here is the list I sent him:
Software isn’t greedy or fearful

As anyone who has had money in a wild bull or bear market can attest, investing can be an emotional affair: the panic that comes when everything suddenly plummets; the sense of missed opportunity as the market soars. When one of our stocks suddenly takes a dive, we doubt our original hypothesis about its value. This is why stop-losses – the practice of putting a ceiling on losses by triggering an automatic trade out of a falling position – are so prevalent, even though they go against principles of value. Sooner or later, all but the coolest investors let their emotions get the best of them and try to time the market, selling stocks before the market drops and buying again right before it rises.

I admit that, in spite of years of training to do otherwise, I am always tempted to try timing the market. Sometimes stocks just “feel expensive” to me. But I know a lot of academic work has gone into disproving the idea that investors can systematically generate excess returns by using this method. Some of the well-known studies include those by Kon (1983) and Chang and Lewellen (1984) on mutual funds; Becker et al. (1998) on asset allocation funds; Coggin and Hunter (1993) on equity pension funds; and Chance and Hemler (2001) on professional market-timers. The case build by these researchers is pretty damning evidence against those who say they know when the market will go up and when it will go down.

Moreover, market timing is a dangerous game. Between 1990 and 2005, missing just the 10 best days of the US stock market (as measured by the S&P 500) would have reduced the annualized returns on your portfolio from 11.5% to 8.1%. If you started with $1 million in 1990, this is the difference between having $5.1 million and $3.2 million in 2005. Of course, this cuts the other way a well – it would be hugely beneficial to miss out on the 10 worst days. But given that it’s impossible to predict those days, market timing is a lot like sailing at night close to a rocky shore.

Unlike us, software doesn’t get emotional. Software doesn’t see other people buying second homes in Florida on highly leveraged options trades or worry about losing its hard earned investment gains in a market crash. So it doesn’t try to time the market. Instead, software stays invested through market cycles, weathering the good and the bad without blinking. In the meantime, it systematically rebalances to buy more of cheap asset classes, a proven model for long-term success.
Software isn’t irrational

Even when we are able to set our emotions aside and try to act rationally, we still have a pretty hard time making unbiased choices. It turns out there are good reasons for this. Behavioral economists have uncovered a laundry list of faulty heuristics that underlie many of our decisions involving risk.

Some of the screwy cognitive tendencies include:

Overweighting Losses: In a seminal study on behavioral economics that outlined Prospect Theory, Daniel Kahneman and Amos Tversky demonstrated what many of us who have had a tough weekend in Vegas know to be true – losses tend to loom larger in our minds than gains.
Anchoring: Without realizing it, we often identify a reference point for an investment’s value, usually the first price we see. Once we are “anchored,” we have trouble shifting our views in response to new information.
Mental Accounting: We love to bucket and compartmentalize – “this pot of money is my ‘risky’ capital, and this pot of money is where I play it safe.” In reality, it’s all the same pot, and one investment strategy should be applied across all of our assets.
Confirmation Bias and Hindsight Bias: We are inclined to seek information that confirms our current beliefs, and we extrapolate too much from the past. One consequence: when we make money in the stock market, we tend to conflate luck and skill.
Herd Behavior: Because we are naturally social, sitting on the sidelines during a fast-moving market can be tough. For investment advisors, the pressure is worse – even when you’re fundamentally right in the long term, going against the herd in crazy times can mean your reputation or your job.

Unlike us, software doesn’t suffer from nutty cerebral ticks. It doesn’t anchor, engage in mental accounting, succumb to confirmation or hindsight bias, pay attention to what other software is doing (unless you tell it to), or obsess over losses. Instead, it just does what it is programed to do with cold efficiency. Software starts with a sensible plan and sticks to it, making adjustments solely based on actual market data, buying asset classes that are more likely to be relatively cheap (the ones that have gone down) and selling those that are more likely to relatively expensive (the ones that have gone up).
Software always loves investing

For most of us, investing our personal portfolio is not something we love to do. While it may be interesting at times, it usually doesn’t compete that well with reading a good book, riding a bike across the Golden Gate Bridge, or watching the latest Game of Thrones episode. In the face of even a bit of complexity, investing responsibly can feel like a chore. As a result, many of us fail to make the adjustments to our portfolio needed to maintain our ideal asset allocation. I know I have often fallen short in incorporating tax positions intelligently into investment decisions.

Unlike us, software doesn’t worry about the tradeoff between investing and spending time with friends and family. On the contrary, software is unfailingly intrigued by investing. It stays up to date on every market move and keeps track of the implications for our portfolio. As a result, we don’t have to worry about the latest news on the Chinese banking market, or whether we should sell some stock to harvest tax losses before the end of the year; we just need to make sure we put more money into our account than we take out. And while we’re sitting on the beach, software will continuously optimize and rebalance our portfolio (tax-efficiently, to boot).
Software doesn’t have a vacation home to pay for

Active investment managers of all varieties tend to make a living – a very healthy living, in many cases – in a few ways. First, they make money by selling their services; their primary income comes from collecting the largest pool of assets possible and charging a fee on those assets. Second, many also make money through marketing, by placing our assets in investment vehicles in which their firm has ownership or for which they have a fee-based marketing arrangement. In both cases, managers’ incentives are poorly aligned with the best interests of their clients. They make money by building brand and relationships, not by investing well. While some investment funds do have incentive-based fees – including the famous “2 and 20” for many hedge funds – the alignment is still weak because more assets always means more potential fees.

Despite all the noise around fees since the financial crisis in 2008, I can’t imagine much will change anytime soon. Investment management firms are used to having these fees. They have corporate offices in downtown San Francisco or New York. They attract talented, well-educated people with the promise of big paychecks that support ski vacations, houses in Tahoe and private school educations.

These fees can seem like small potatoes at first glance. What is the big deal about being charged, say, 1.5% vs. 1.0% on your money? As it turns out, when you account for the powerful effect of compounding returns, the difference can be pretty staggering over the life of your investments. For example, if you invested $1 million over 25 years, the additional 0.5% fee load on your portfolio would cost you an amount nearly equal to what you invested – a whopping $1 million in extra fees. Given that the vast majority of active managers fail to outperform the market, this is a pretty corrosive toll.

Unlike us (or our investment advisors), software doesn’t need to be compensated for spending time investing. It brings the marginal cost of investing much closer to zero, so it doesn’t care whether you have $10,000 to invest, or $10 million. And software doesn’t have conflicts of interest or look for ways to create and hide fees. It doesn’t rent fancy office space or use soft dollars to buy bloated research services. Today’s software-based services enable you to invest far more cheaply than was possible even ten years ago.

I don’t mean this as a blanket criticism of financial advisors, some of whom provide invaluable services for complex personal situations such as tax and legal matters. But all investment management arrangements are subject to the fundamental principal-agent problem. It’s incredibly difficult to align the interests of people with capital and the agents they hire to manage that capital; this is relevant not only with respect to fee arrangements, but also in less obvious ways that matter a great deal, like investment time horizon. In my work with the Yale Endowment, we spent countless hours negotiating and structuring investment agreements to try to resolve some of these challenges. And this is exactly the kind of full-time work that most individual investors aren’t in a position to do. The magic of software-based investing is that the software is more principal than agent. It can be personalized to your needs and always acts solely in your interest.
Why only 99% of the time

Make no mistake about it: software is not a panacea in investing. The best investors are still, and in my opinion will long be, better at investing than any computer. Unlike in chess, in which computers have steadily developed mastery over the past few decades, I do not imagine that software-based approaches might “solve” the markets anytime in the foreseeable future. A short line of distinguished investors has shown that with a healthy amount of work, great judgment, an understanding of human nature, and the right time horizon, they can outperform the market. But consider these simple truths:

The market is generally efficient in pricing investments. This becomes truer as information becomes more ubiquitous.
Identifying mistaken pricings is very hard and costly; most professionals fail at it.
Identifying or accessing the short line of investors who might be able to beat the market is out of the reach for all but a very few.
Most of us do not enjoy spending our free time investing or interviewing other people who invest.

Given these realities, there are very few individual investors who can outperform software implementing a low-cost, passive approach. The educated personal investor recognizes her own limitations of time, passion and expertise.

That’s why my advice to my friend from Facebook was to remember how he made all that money. Unless you want to spend all of your time becoming an investor in the public markets, keep it simple and cheap. Determine an asset allocation that fits your risk profile, stick with low cost index funds and ETFs, and let the software do the work. Also, don’t make too many crazy angel investments (unless you want to make one in my new company, in which case give me a call).

http://techcrunch.com/2012/06/17/thankf ... ing-world/

[LTCM]

[Metallising_]

Abri um novo tópico sobre o investimento que pretendo fazer, que em tudo está relacionado com este tópico.

Comentários serão bem vindos.

http://caldeiraodebolsa.jornaldenegocio ... hp?t=80070

[Metallising_]

Um caso hipotético:

Caso tivessem 7000€ para alocar em emerging markets e assumindo que cada transacção custava 1$, o que fariam?

Optariam por escolher activos divididos geograficamente, de forma a controlar o risco mas a aumentar os custos, ou, optariam por escolher um único activo de forma a reduzir (significativamente) os custos?

SPDR S&P Emerging Latin America ETF (GML) - 0,59% TER
SPDR S&P Emerging Europe ETF (GUR) - 0,59% TER
db x-trackers MSCI EM Asia TRN - 0,65% TER
SPDR S&P Emerging Middle East & Africa ETF (GAF) - 0,59% TER

Ou

Vanguard MSCI Emerging Markets ETF - 0,20% TER[/b]

[vset]

Viva,

usas Index Funds ou ETF's ?

As comissões justificam a utilização de um ou de outro e assim abertura de conta passiva numa US broker.

Abraço.

[QuantMath]

Os HF influenciados por este tipo de filosofia, Nassim Taleb style, não têm apresentado rentabilidades por aí além, e perdem dinheiro 95% do tempo.

A estratégia tipo enriquecer devagar é adequada para investidores não sofisticados que teriam muita dificuldade em colocar em prática uma estratégia, complexa, de cobertura com “Puts”, para todas as classes de activos. Dificuldade acrescida pelo facto de alguns estudos demonstrarem que essa estratégia apresenta melhores resultados em contratos de curta duração.

De 1996 a 2011 uma estratégia de compra de “puts” sobre o SP500, excluindo comissões, ganhava ao índice por 4,3 %, anualizados, para contratos de 1 mês; 2,5% a 3 meses; 1% a 6 meses e -0,5% a 12 meses.

Outros estudos indicam que o retorno expectável deste tipo de estratégias é no longo prazo negativo a não ser que seja aplicado por um período de tempo tão grande que compreenda um evento calamitoso como a grande depressão.

Podes dizer-me sff onde viste esses estudos? é que já vi muita coisa sobre caudas gordas mas nunca vi estudos praticos da aplicação numa estratégia tipo taleb (que segundo ele compra calls e puts e divida dos states)

obrigado desde já

Não é um assunto ao qual dedique especial atenção. Contudo ficam alguns links:


http://online.wsj.com/article/SB1000142 ... 53200.html

http://www.bloomberg.com/news/print/201 ... -fear.html

http://allaboutalpha.com/blog/wp-conten ... ay2010.pdf

http://www.top1000funds.com/wp-content/ ... Risk-2.pdf

http://pt.scribd.com/doc/73200528/ReThi ... esting-GMO

http://www.dealersgroup.com.au/kb/niels-pedersen.pdf

http://trendfollowing.com/whitepaper/JM ... sk_611.pdf

http://pt.scribd.com/doc/64403141/Can-T ... Profitable

Obrigado

[LTCM]

[LTCM]

Os HF influenciados por este tipo de filosofia, Nassim Taleb style, não têm apresentado rentabilidades por aí além, e perdem dinheiro 95% do tempo.

A estratégia tipo enriquecer devagar é adequada para investidores não sofisticados que teriam muita dificuldade em colocar em prática uma estratégia, complexa, de cobertura com “Puts”, para todas as classes de activos. Dificuldade acrescida pelo facto de alguns estudos demonstrarem que essa estratégia apresenta melhores resultados em contratos de curta duração.

De 1996 a 2011 uma estratégia de compra de “puts” sobre o SP500, excluindo comissões, ganhava ao índice por 4,3 %, anualizados, para contratos de 1 mês; 2,5% a 3 meses; 1% a 6 meses e -0,5% a 12 meses.

Outros estudos indicam que o retorno expectável deste tipo de estratégias é no longo prazo negativo a não ser que seja aplicado por um período de tempo tão grande que compreenda um evento calamitoso como a grande depressão.

Podes dizer-me sff onde viste esses estudos? é que já vi muita coisa sobre caudas gordas mas nunca vi estudos praticos da aplicação numa estratégia tipo taleb (que segundo ele compra calls e puts e divida dos states)

obrigado desde já

Não é um assunto ao qual dedique especial atenção. Contudo ficam alguns links:


http://online.wsj.com/article/SB1000142 ... 53200.html

http://www.bloomberg.com/news/print/201 ... -fear.html

http://allaboutalpha.com/blog/wp-conten ... ay2010.pdf

http://www.top1000funds.com/wp-content/ ... Risk-2.pdf

http://pt.scribd.com/doc/73200528/ReThi ... esting-GMO

http://www.dealersgroup.com.au/kb/niels-pedersen.pdf

http://trendfollowing.com/whitepaper/JM ... sk_611.pdf

http://pt.scribd.com/doc/64403141/Can-T ... Profitable

[Automech]

Passive Asset Allocation Strategies Are Still Tough To Beat
May 18, 2012

Brett Arends of SmartMoney skewers the simple stock/bond balanced fund strategy, and rightly so. There's no reason to rely on a basic equity/fixed income mix in a world where a wider array of asset classes are available through low-cost ETFs.

Recognizing that the average investor has a rich menu of betas at his disposal brings us to the critical issues for portfolio management: a) choosing asset classes; and b) managing the mix through time. There's plenty to say on these topics (see my book Dynamic Asset Allocation, for instance), although it's useful to start by considering a good benchmark, which is the inspiration on these pages for the Global Market Index. This index is a passive allocation to all the major asset classes and it comes in three primary flavors:

1) unmanaged, market-value-weighted (GMI)
2) a year-end rebalanced version of the market-valued weighted index (GMI-R)
3) an equally weighted allocation to the major asset classes that's rebalanced back to equal weights at the end of every year (GMI-E)

One reason why passively owning everything is a strong benchmark is that it makes no assumptions about what's hot or what's not. As such, it's a fully transparent strategy that requires no skills or talent. The straight GMI, in fact, requires no decisions at all once it's initially launched. Market-value weighting takes care of itself. But if you're skeptical of the underlying theory for such a system—a.k.a. the capital asset pricing model—you might consider a model-free allocation to the major asset classes: GMI-E. In order to keep the weights equal, periodic rebalancing is necessary; in this case, I arbitrarily chose the end of each calendar year. As for the rebalanced version of the market-value weighted index (GMI-R), it's something of a hybrid of the other two.

How have these indices performed? Rather well, at least in comparison with a broad sampling of actively managed asset allocation mutual funds. In my previous update in January, GMI was a strong competitor. In fact, GMI has continued to outperform nearly 90% of roughly 1,200 funds for the 10 years through April 30, 2012 (based on funds with at least 10 years of history through the end of last month via Morningstar Principia software). The rebalanced version of GMI fared even better, and the equal-weighted strategy did better still, as you can see in the chart below.



Here's the 10-year annualized total return figures for the chart above:



Does GMI's strong relative performance mean that everyone should abandon their asset allocation strategy and go passive? No, probably not, although you should think twice before straying too far from the GMI allocations. In any case, there are other factors to consider for building portfolios, such as your investment horizon and how your finances and career differ from the average investor's profile.

Meantime, the simple GMI strategies tell us once again that mindless diversification across asset classes and basic rebalancing captures quite a lot of what's otherwise billed as enlightened investing techniques. You can pay a lot more for investment advice, or spend a lot more time analyzing expected return and risk. Assuming you'll do a lot better, however, is probably asking too much for most of us.

http://www.capitalspectator.com/archive ... set_a.html

[QuantMath]

Os HF influenciados por este tipo de filosofia, Nassim Taleb style, não têm apresentado rentabilidades por aí além, e perdem dinheiro 95% do tempo.

A estratégia tipo enriquecer devagar é adequada para investidores não sofisticados que teriam muita dificuldade em colocar em prática uma estratégia, complexa, de cobertura com “Puts”, para todas as classes de activos. Dificuldade acrescida pelo facto de alguns estudos demonstrarem que essa estratégia apresenta melhores resultados em contratos de curta duração.

De 1996 a 2011 uma estratégia de compra de “puts” sobre o SP500, excluindo comissões, ganhava ao índice por 4,3 %, anualizados, para contratos de 1 mês; 2,5% a 3 meses; 1% a 6 meses e -0,5% a 12 meses.

Outros estudos indicam que o retorno expectável deste tipo de estratégias é no longo prazo negativo a não ser que seja aplicado por um período de tempo tão grande que compreenda um evento calamitoso como a grande depressão.

Podes dizer-me sff onde viste esses estudos? é que já vi muita coisa sobre caudas gordas mas nunca vi estudos praticos da aplicação numa estratégia tipo taleb (que segundo ele compra calls e puts e divida dos states)

obrigado desde já

[Metallising_]

Surgiu-me mais uma questão quanto à questão da abertura de uma posição Forex para cobertura de eventuais oscilações cambiais.

Devo-me preocupar com o rollover numa posição FX? Se o interest rate não estiver a meu favor vou ter custos adicionais, possivelmente bastante pesados, para manter a posição aberta. O que fazer?

Recomendo a leitura de http://www.amazon.co.uk/Multinational-Financial-Management-International-Student/dp/0470450355/ref=sr_1_sc_2?s=books&ie=UTF8&qid=1336583041&sr=1-2-spell

Pessoalmente uso opções. É como o Super diz, é um custo, mas ao menos com opções podes fazer umas coisas engraçadas e apanhar uns cobres em oscilações grandes!!

Sim pensei em cobertua de opções. Mas também ai tens o custo dos prémios, que nao sei se serão menores que um custo real em spot.

Não esquecer, que ao fazer cobertura cambial nao podemos olhar meramente para a moeda do activo que detemos mas sim quais os verdadeiros activos.

Por exemplo, na carteira do LTCM temos todos os ETF's em dólares.

Para fazer cobertura cambial em Euro Dólar, não o podemos fazer em 100% da carteira, dado que apenas 50 ou 60% está verdadeiramente alocada em activos cotados em dólares.

O ETF da Europa por exemplo, apesar do ETF estar cotado em dólares, os activos que o ETF detém estão em euros, dai essa parcela não ser necessário fazer cobertura.

Não esquecer estes pequenos pormenores importantes.

E se pegarmos por exemplo no ETF Emerging Markets? O benchmark é em USD, mas suponho que seja o resultado da conversão das moedas locais (China, Brazil, Coreia do Sul etc) para USD. Assim sendo, a não ser que faça hedge de todas as moedas de países presentes no activo, não faz sentido sentido fazer hedge. Estou certo?

AutoMech, agradecido pelo link. Tenho a demo instalada para ver se percebo como isso funciona, mas diga-se de passagem que não é nada intuitivo....

[VirtuaGod]

Tenho de experimentar isso mas por enquanto só quando esta cobertura acabar lá pró final do ano (mas provavelmente tb não vou ficar na IB por isso...)

[Automech]

Aqui falou-se de uma possível solução para quem usar a Interactive Brokers (não sei se as outras internacionais funcionam da mesma forma). É uma possibilidade para quem quer uma forma simples de cobertura cambial, sem grandes chatices.

[Supermann]

Surgiu-me mais uma questão quanto à questão da abertura de uma posição Forex para cobertura de eventuais oscilações cambiais.

Devo-me preocupar com o rollover numa posição FX? Se o interest rate não estiver a meu favor vou ter custos adicionais, possivelmente bastante pesados, para manter a posição aberta. O que fazer?

Recomendo a leitura de http://www.amazon.co.uk/Multinational-Financial-Management-International-Student/dp/0470450355/ref=sr_1_sc_2?s=books&ie=UTF8&qid=1336583041&sr=1-2-spell

Pessoalmente uso opções. É como o Super diz, é um custo, mas ao menos com opções podes fazer umas coisas engraçadas e apanhar uns cobres em oscilações grandes!!

Sim pensei em cobertua de opções. Mas também ai tens o custo dos prémios, que nao sei se serão menores que um custo real em spot.

Não esquecer, que ao fazer cobertura cambial nao podemos olhar meramente para a moeda do activo que detemos mas sim quais os verdadeiros activos.

Por exemplo, na carteira do LTCM temos todos os ETF's em dólares.

Para fazer cobertura cambial em Euro Dólar, não o podemos fazer em 100% da carteira, dado que apenas 50 ou 60% está verdadeiramente alocada em activos cotados em dólares.

O ETF da Europa por exemplo, apesar do ETF estar cotado em dólares, os activos que o ETF detém estão em euros, dai essa parcela não ser necessário fazer cobertura.

Não esquecer estes pequenos pormenores importantes.

[VirtuaGod]

Surgiu-me mais uma questão quanto à questão da abertura de uma posição Forex para cobertura de eventuais oscilações cambiais.

Devo-me preocupar com o rollover numa posição FX? Se o interest rate não estiver a meu favor vou ter custos adicionais, possivelmente bastante pesados, para manter a posição aberta. O que fazer?

Recomendo a leitura de http://www.amazon.co.uk/Multinational-Financial-Management-International-Student/dp/0470450355/ref=sr_1_sc_2?s=books&ie=UTF8&qid=1336583041&sr=1-2-spell

Pessoalmente uso opções. É como o Super diz, é um custo, mas ao menos com opções podes fazer umas coisas engraçadas e apanhar uns cobres em oscilações grandes!!

[Supermann]

É um custo. Nada a fazer.

Mas também podes ter um diferencial favorável e ai ganhas também.

Não há almoços grátis.

[Metallising_]

Surgiu-me mais uma questão quanto à questão da abertura de uma posição Forex para cobertura de eventuais oscilações cambiais.

Devo-me preocupar com o rollover numa posição FX? Se o interest rate não estiver a meu favor vou ter custos adicionais, possivelmente bastante pesados, para manter a posição aberta. O que fazer?

[Metallising_]

Será possível avançar detalhes sobre os activos que constituem as duas carteiras representadas no gráfico?

[LTCM]

Duas carteiras cada uma com a sua sorte na rentabilidade obtida em 2011.

in 2011, 79% of large cap funds underperformed the S&P 500; the average equity fund lost 3% and the average hedge fund lost 5% v. S&P 500 being up 2%.