Banca surpreendida com negócio do Novo Banco

[LTCM]

Researchers in finance, whether practitioners or academics, need to realize that they will find seemingly successful trading strategies by chance. We can no longer use the traditional tools of statistical analysis that assume that no one has looked at the data before and there is only a single strategy tried. A multiple-testing framework offers help in reducing the number of false strategies adapted by firms. Two sigma is no longer an appropriate benchmark for evaluating trading strategies.


http://www.iijournals.com/doi/full/10.3 ... .40.5.108#

[LTCM]

For all investors there has always been a strong desire to “pick winners” or beat the market. In the presence of randomness this can be extremely challenging.

Investors are driven, whether they be high net worth individuals or institutional pension funds, to focus a great deal on the trades, positions or underlying investment thesis of a potential investment. Quite naturally, this results in analysis of the past performance of a manager or similar trades in the hope that this will dimly illuminate the uncertain future.

Given our focus on systematic and statistical analysis, we would be the last people to be dismissive of analysis of historical data. After all, it is our "thing”. However, the tools of historical analysis are frequently used by market participants without a clear understanding of the limitations of the data set. And sometimes it is those who think they are the most sophisticated and clever statisticians who are prone to these errors – perhaps more so than investors who take a strong dose of common sense with their porridge in the morning.
The limitations of data and analysis rear their heads in a variety of situations. Investors want to answer questions such as:

Will investment A perform better than investment B? The “Is the investment a winner?” question.
What effects will investing in A have on my portfolio? The “Have I already got this investment?” question.
Will investment A make money in the future? The “Am I going to look like a hero?” question.
Will investment A lose money? The “Am I going to look like an idiot?” question.

…and so on. An investor’s life is full of difficult questions and, given there is so much data around, it is natural to seek answers to these through statistical analysis.
All of the questions above (and many others that are asked by managers, investors and the media) boil down to one question: "What is going to happen in the future?". It is a clichéd old chestnut but Niels Bohr was right: “prediction is very difficult, especially about the future”.
Furthermore, few of the questions that investors seek to answer have simple binary answers. The answers that managers give need to be (and should be) hedged with phrases such as “on balance…”, “it is likely that…” or “over the long term…”.

Outside finance, this is not unusual in the real world. Smoking cigarettes has a relatively low probability of causing lung cancer (about 1 in 5) but a very high certainty that the life time risk increases if you smoke (from 1 in 100 to 1 in 5). The LHC spent two years collecting data to be 99.99997% certain that the Higgs Boson exists. But there is still a small chance it doesn’t exist. There are some things which truly are binary: “Can I beat Sir Bradley Wiggins in a bike race?”(1) but in reality many of the answers to difficult real world questions are really statements about relative probabilities.

It’s therefore surprising(2) that, despite randomness, uncertainty and error bars in finance being larger than in almost any other field of human endeavour, there are such high expectations of generating insight from superficial analysis. There is a widespread belief that a transparent window into the future is opened through statistically suspect analysis of the performance of existing investments.

I’m sure we will return to this theme in future pieces but at the moment we’re going to discuss one particular sub-issue: the desire investors have to deeply understand the constituents of their managers’ portfolios. Investors want to have position-level transparency to aid this understanding. Occasionally this can be a source of friction between managers and investors. In some very specific cases (distressed debt or other illiquid investments, or some forms of activist investing) telling your investors what your positions are could be an issue, but in most cases, investors will be given information about positions and trades and they want to know more about what happened to these positions. This is entirely justified – it is, after all, their money.

But how much can an investor (or indeed the manager themselves) glean from this information about positions, trades and what they have done in the past? Sadly, the answer is “not much”.

[LTCM]

if your investment horizon occurred over a largely trend-driven period (e.g. late 1970s through 2000), rebalancing hurt you. As equities ran, you would have wanted to overweight them: rebalancing kept them on a leash. From 1975-2000, rebalancing may have actually cost you 100bps a year. Note 1975-2000 was one of the best post-inflation return periods, with inflation-adjusted returns for a 50/50 portfolio eclipsing 7%. $10,000 invested in 12/1975 in a 50/50 and rebalanced every year would have come $60,868. Not bad – but not the $70,134 you could have ended up with if you hadn't rebalanced.

On the other hand, if you weren't lucky enough to invest from 1975 - 2000, and your investment period contained a largely mean-reversionary period – like 2000-2010 in U.S. equities were – then rebalancing would add value as you sold at highs and bought at lows.

Ou seja: se torturarmos suficientemente os dados eles acabam por dar as respostas que queremos ouvir.

Mesmo com as entradas e saídas escolhidas a dedo, neste exemplo, o SD e o MDD são inferiores na opção rebalanceamento.

É preciso uma paciência...

[Artista Romeno]

No link abaixo está o yearbook do Credit Suisse publicação que vale a pena ler

+1

Ainda não li a deste ano, mas está na lista

+2

[LTCM]

[VirtuaGod]

No link abaixo está o yearbook do Credit Suisse publicação que vale a pena ler

+1

Ainda não li a deste ano, mas está na lista

[LTCM]

No link abaixo está o yearbook do Credit Suisse publicação que vale a pena ler; mesmo para quem não coloca o dinheiro numa estratégia vencedora (investimento passivo).


http://publications.credit-suisse.com/t ... 09CFE37CCB

(Até Portugal lá aparece - o passos é mesmo um génio)

[LTCM]

Remember…

The US Debt Downgrade?

Chibor?

Crimea?

The Sequestration?

The Taper?

Summer 2010?

Peak margins?

When Oil crashed?

That 1929 chart?

The Fiscal Cliff?

The CAPE ratio?

Something to GDP?

October 2014?

Albert Edwards?

The market has voted, none of these things mattered. This is one of the problems with investors constantly jumping in and out of the market. The coast will never be clear. There are always reasons to be in cash. Don’t allow things that happen some of the time distract you from what happens most of the time.

[LTCM]

[LTCM]

We have set up a simple three-factor model in which we regress the performance data for U.S. large cap managers against the contemporaneous rolling 12-month returns of each factor.

Using the results of this regression, we can estimate the percentage of managers that would be expected to outperform at each point in time given only the relative performance of our three factors. The predicted and actual data are overlayed in Exhibit 6. The conclusion to be drawn is that a very large proportion of the historical variability of large cap managers’ ability to add alpha is explained by our simple three-factor out-of-benchmark model



GMO’s point here is to say don’t throw out active management just because of one bad year, one where those three factors gave most stock pickers a significant handicap.

Some might draw a different conclusion. If non-stock picking factors are behind the collective performance of stock pickers, then the point of them is what, exactly? Note too the analysis of under and over performance in this instance is before fees are deducted.

So we would agree, don’t judge active management by one year. Judge the industry by its long term failure to justify the fees and, if you can, stop paying them.

[LTCM]

Oxford graduate Paul Wilmot is one of the leading experts in quantitative finance, a field which typically seeks to use applied mathematics to discover and profit from the financial markets, often through discovering pricing anomalies or other inefficiencies.


Quote from page 116 of Paul Wilmott Introduces Quantitative Finance:

“[The] vast majority of funds can’t even keep up with the market.

And statistically speaking, there are bound to be a few that beat the market, but only by chance.

Maybe one should invest in a fund that does the opposite of all other funds. Great idea except that the management fee and transaction costs probably mean that that would be a poor investment too.

This doesn’t prove that markets are random, but it’s sufficiently suggestive that most of my personal share exposure is via an index-tracker fund”.

[LTCM]

Don't get distracted by geopolitical issues. We're likely to see more geopolitical crises ahead, so it's important to recognize that they usually don't impact fundamentals, particularly over the longer term. Investors need to assess whether a crisis passes that litmus test and then act accordingly.

Don't let emotions alter allocations. For investors with long time horizons, the kind of exodus from equity mutual funds that we've seen multiple times in the past few years can hurt their chances of meeting their goals. Morningstar data reveals what I call the “investor psychology gap” or the disparity between mutual fund returns and investor returns. The typical investor gained 4.8% annualized over the 10 years ended Dec. 31, 2013 versus 7.3% for the typical fund. That's partially due to investors jumping in and out of the stock market. Despite the turbulence, investors need to be mindful of the perils of market timing and develop a long-term plan—and then stick with it.

Specifically, Allianz Global Investors looked at the performance of the Datastream US Total Market Total Return Index from 1973 through the end of 2013, comparing four different investment approaches:

1. Investing $100 at the start of the first year and adding an additional $100 at the start of each subsequent year.
2. Investing $100 on the day of the lowest index level of the year and adding an additional $100 each year on the day of the lowest index level of that year—the best day of the year to invest.
3. Investing $100 on the day of the highest index level of the year and adding an additional $100 each year on the day of the highest index level of that year—the worst day of the year to invest.
4. Investing $100 each year at the start of the year as in the first approach, but assuming one misses the returns of the best three trading days in each year.



The result? The returns are actually quite similar for the first three approaches. The first approach yields an annualized return (adjusting for all the $100 injections) of 11.6% while the second approach yields an annualized return of 11.9%. The third approach produces an annualized return of 11%. While these approaches are all within striking distance of each other, the hypothetical fourth approach produces dramatically lower performance: an annualized return of just 1%.

[ruicarlov]

O risco é o mesmo.

A cotação do ouro é normalmente denominada em dollares. Se tens um ETF em USD e se num mês a cotação em dollares do ouro não varia, o ETF também não deverá variar. Agora supõe que o Euro desvalorizou 10%. Neste caso, tinhas tido uma valorização de 10% desse ETF quando o convertesses para euros.

Alternativamente, tinhas um ETF em euros que segue o preço do ouro mas em euros. Nesse mesmo mês, esse teria uma valorização de 10%, pelo que o teu ETF teria igualmente uma valorização nessa percentagem.

No final do dia, a diferença entre ambos os cenários seria zero.

Para ilustrar ainda melhor este ponto, veja o gráfico neste link: https://www.justetf.com/ch-en/find-etf.html?index=Gold&tab=comparison&assetClass=class-preciousMetals&quoteCurrency=EUR

São vários ETFs de ouro, cotados em diferentes moedas (USD, EUR, CHF, GBP). São todos linhas coincidentes quando expressas numa mesma moeda. Ou seja, é indiferente qual a moeda da cotação.

[LTCM]

The Case for Actively Managed Funds
There Are Still Some Scenarios Where the Hands-On Way Might Make More Sense

WSJ

[LTCM]

“New funds entering the industry tend to be more skilled than the incumbent funds, perhaps due to better education or greater command of new technology. As a result of their superior skill, the new funds tend to outperform their benchmarks as well as older funds. As these funds grow older, though, their performance suffers as a result of the continued growth in industry size, which is associated with the steady arrival of skilled competition. Learning on the job might alleviate the negative impact of growing industry size on performance, but it does not eliminate it.”

Further research will be needed to pin down the reasons industry size affects fund performance, the researchers note, adding that it also is not yet clear what has caused fund managers to become more skilled over time. Also awaiting further study is the question of whether there are niches, such as foreign-stock funds, that are still small enough that active management can pay off significantly, perhaps because less competition makes it easier for managers to find bargains.

[Mouro_Emprestado]

certo acerca do GEUR

em relação a ETFs cotados em USD, é feita uma conversão da nossa moeda para USD. como o EUR tá baixo, vou comprar menos quantidade do que quando o euro estava estável a valer entre 1,27-1,37 USD.
é o risco cambial que se tanto se fala por aqui. correto?
Daí estar a considerar comprar um ETF cotado em EURO. De ouro.

O risco é o mesmo.

A cotação do ouro é normalmente denominada em dollares. Se tens um ETF em USD e se num mês a cotação em dollares do ouro não varia, o ETF também não deverá variar. Agora supõe que o Euro desvalorizou 10%. Neste caso, tinhas tido uma valorização de 10% desse ETF quando o convertesses para euros.

Alternativamente, tinhas um ETF em euros que segue o preço do ouro mas em euros. Nesse mesmo mês, esse teria uma valorização de 10%, pelo que o teu ETF teria igualmente uma valorização nessa percentagem.

No final do dia, a diferença entre ambos os cenários seria zero.

[mushis]

certo acerca do GEUR

em relação a ETFs cotados em USD, é feita uma conversão da nossa moeda para USD. como o EUR tá baixo, vou comprar menos quantidade do que quando o euro estava estável a valer entre 1,27-1,37 USD.
é o risco cambial que se tanto se fala por aqui. correto?
Daí estar a considerar comprar um ETF cotado em EURO. De ouro.

[ruicarlov]

Com o Euro tão fraco face ao USD, questiono uma lista de ETF interessantes cotados em euro.
procuro ouro, e já vi o GEUR...
obg

Não é por um ETF estar cotado em EUR ou USD que vai fazer grande diferença. O que pode fazer diferença é a região geográfica onde se investe e se há ou não proteção cambial. Por exemplo, um ETF cotado em USD sobre ações europeias sem hedging cambial vai dar quase ao mesmo do que um ETF em EUR. Só estivesse em USD e com hedging cambial é que teria uma performance bastante diferente.
Em relação ao ouro, todos os ETFs que encontro estão cotados em USD. Esse que mencionou, o GEUR, não é um simples ETF sobre o ouro. Tem lá mais uma série de artimanhas com futuros de moedas, estando short em EUR, ou seja, aposta na queda do EUR.

[mushis]

Com o Euro tão fraco face ao USD, questiono uma lista de ETF interessantes cotados em euro.
procuro ouro, e já vi o GEUR...
obg

[Mouro_Emprestado]

O próprio Buffett que recomenda um lazy-portfolio aos seus herdeiros, apostando 90% num fundo índice que segue o SP500 e 10% em obrigações US de curto prazo.

Warren Buffett to heirs: Put my estate in index funds

[LTCM]

The S&P 500 hit record highs in 2014, but Wall Street’s best and brightest mutual fund managers fell short and failed to keep pace, costing investors billions in missing gains—and fees. Passive funds that mirror popular indexes outpaced more expensive actively managed funds for the year.

Last year was nothing new. Actively managed funds are in the midst of a long losing streak that began in 2008. Not surprisingly, investment dollars are flowing strongly into passive funds.

Daqui se retira que:
O investidor não preguiçoso e com conhecimentos acima da média sobre o funcionamento dos mercados, tem piores resultados do que aqueles que simplificam e se deixam de adivinhações.

As ideias de pessoas preguiçosas e que tenham uma certa incompetência teórica são na prática, rentabilidade da carteira, superiores às dos sabições que acertam no totobola à segunda-feira (e mesmo assim nem sempre).

Na verdade isto faz lembrar aquela história do investidor sempre atento às correções mais acentuadas e a sair delas o mais cedo possível e depois também a reentrar o mais cedo possível depois de passar a tempestade sem capacidade de perceber que é um néscio que só se engana a ele próprio.

[zeef]

Boas Pessoal,

Ninguem tem este tópico completo em pdf, antes de alguns posts serem apagados?

Queria tantooo ...

Desculpem o repost.

Abraço

[Mouro_Emprestado]

Fui espreitar as performances sugeridas no “Permanent Portfolio” do Harry Browne.

Os retornos nos últimos 8 anos variaram entre os +14% aos -2%, com uma média ligeiramente abaixo dos +8% e com um desvio-padrão desses mesmos valores a rondar os 6%.

Não consegui encontrar nada em relação aos “drawdowns”, não sei se foi nabice minha na pesquisa ou se só estão acessíveis a clientes com acesso a dados mais restritos.

No caso de uma possível versão europeia do Portfolio Permanente do Harry Browne (que é bastante mais recente que a versão Americana, pelo simples facto que os ETFs com fees de gestão baixos são relativamente recentes), obtive os seguintes retornos desde 1 de Julho de 2007:

Ganhos/Perdas (%)
2007 (Jul-Dec) 2,92
2008 -3,31
2009 12,58
2010 15,30
2011 3,87
2012 9,21
2013 -2,94
2014 16,30

Podes analisar melhor no seguinte post: viewtopic.php?f=3&t=76243&start=1575#p1165471

[LTCM]

1. Value investing works. Buy bargains.

2. Quality matters, in businesses and in people. Better-quality businesses are more likely to grow and compound cash flow; low-quality businesses often erode and even superior managers, who are difficult to identify, attract, and retain, may not be enough to save them. Always partner with highly capable managers whose interests are aligned with yours.

3. There is no need to overly diversify. Invest like you have a single, lifetime “punch card” with only 20 punches, so make each one count. Look broadly for opportunity, which can be found globally and in unexpected industries and structures.

4. Consistency and patience are crucial. Most investors are their own worst enemies. Endurance enables compounding.

5. Risk is not the same as volatility; risk results from overpaying or overestimating a company’s prospects. Prices fluctuate more than value; price volatility can drive opportunity. Sacrifice some upside as necessary to protect on the downside.

6. Unprecedented events occur with some regularity, so be prepared.

7. You can make some investment mistakes and still thrive.

8. Holding cash in the absence of opportunity makes sense.

[LTCM]

Wall: So, we've had some news this week. Neptune has come out and said they are going to prioritise active share, to which I think a lot of people said, what is active share?

Kemp: And I don't blame them. It's a quite new measure and a very trendy one. A lot of people are now focusing on active share whereas previously they focused on older tracking measures like tracking error or benchmark risk, but active share is where all the action is at the moment.

Wall: An active share is not to be confused with the share classes. This is to do with actively-managed funds.

Kemp: There is an element, that's right. It's not about a type of share class. It's all about how different your fund is from the benchmark. So, if your holdings, both the weight and the selection of holdings, are very different from the benchmark, that's deemed to have a high active share and if you look much more like the benchmark that would be a low active share.

Wall: So, for example, if your benchmark has 4% in HSBC and you only have 0.6% in HSBC, that difference there is the active share?

Kemp: Exactly right, yeah.

Wall: That leads to the question, is active share good or is active share bad?

Kemp: Well, there's been a lot of studies. Well, the early studies said that active share is very good and it does show a degree of confidence in the investment process and a manager that's really trying, that's got to be a good thing. But more recent studies have shown that it's not just active share that makes the difference. Other factors like holding periods also have a huge impact on returns.

Wall: I think also with investors you think U.K. equity, great, that means I'm going to be buying a fund that has U.K. equities in it and in your mind, you will think, for example, the FTSE 100. So, if you differentiate too far from that I think what investors' expectations and reality can become divided?

Kemp: That's right. Active share is a very good way of cheating essentially of making your portfolio look very different from the benchmark against which it's measured. But at the end of the day, it's all about making money for clients and if you have a high active share then you've got a better chance of doing that.

Wall: That's because it means that you're not going to be a closet benchmark tracker, doesn't it? You're not an active fund manager or a wolf in sheep's clothing?

Kemp: Exactly right. If you are going to invest in a fund that looks like the benchmark, you might as well buy the benchmark in terms of the tracker, you're likely to get a much better deal.

Wall: Looking then at benchmark, the industry uses benchmark as a way of showing investors how they have done in comparison to an index. If we're going to be concentrating on active share, does this mean that the benchmark is null and void?

Kemp: Well, that's why I think of it as a good form of cheating because it does nullify some of the benefits of having a benchmark and it does make the outcome more variable. But generally, if a manager is trying to invest in the right areas, they are trying to be U.K. equity fund manager, it's just different from the benchmark, we think that's fine.

Wall: Also, do you think there is an element that the firm such as Neptune and Threadneedle who have come out and said they are going to be releasing its active share are to be applauded because at the end of the day it's transparency and transparency is good for investors.

Kemp: Well, it's already a data point that we look at at Morningstar and make available. So, we love funds that disclose what their active share is; if not, we'll just look it out for ourselves.