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[LTCM]

With all the tools of modern technology and years of experience at our command, we haven’t gotten any better picking winning stocks – and, in fact, there’s some evidence that beating the market has gotten harder over time. Citing a classic 1975 essay, “The Loser’s Game,” by Charles Ellis – which reasoned that if all the participants in the market are getting savvier, then it naturally becomes harder to profit from others’ mistakes – Mauboussin concludes that the history of the 20th century in the investment industry played out such that “as the population of skilled investors increased, the variation in skill narrowed, and luck became more important.” According to Mauboussin, research has found steadily declining variance in the excess returns of money managers over time, just as the paradox of skill predicts.

So there you have it – skill exists in investing. Indeed, the most skilled managers today are likely the most skilled there have ever been. But there’s more to it.
“As investors have become more sophisticated and the dissemination of information has gotten cheaper and quicker over time, the variation in skill has narrowed, and luck has become more important.”
“Even if we acknowledge ahead of time that an event will combine skill and luck in some measure, once we know how things turned out, we have a tendency to forget about luck,”

No matter how many times “past performance is no guarantee of future results” gets repeated as a mantra, the constant instinctive temptation is there – it’s hard to remember that the mutual fund with the sterling track record stretching back a decade could have achieved those results by pure luck.
(Indeed, Mauboussin writes, with so many funds out there, simple chance predicts that someone will always get lucky like that. We have a strong need to explain success in terms of skill – and to believe the myths that we create for ourselves.
It’s hard to remember that just because things turned out one way doesn’t mean they couldn’t have turned out differently.

Since investing, at least in the short term, is subject to a great deal of chance, it’s pretty far toward the luck end of the spectrum, Mauboussin writes. Therefore, it’s best to assume that a fund that has exhibited outperformance in the past will come in around the average of its peers going forward.
“Not all skillful people have streaks,”“But all streaks are held by skillful people.”

Similar rules apply to the world of investing; it’s just that luck plays a much more dominant role, so the streaks have to last a long time before they can really be taken as evidence of skill – and even then, there’s no guarantee that bad luck won’t swamp superior skill anyway.

[VirtuaGod]

Olha que é capaz de mesmo assim compensar. Tb depende da % de distribuição do fundo/ETF!!

[ghorez]

Em investimentos de longo prazo ACC tem várias vantagens face INC. Escolhe INC

Pois mas a mha ideia e fazer investimento longo prazo..no entanto os etf q recorrem ao ACC tipicamente são mais caros.
Vanguard inc 0.25%
Ishares ACC 0.5%

[VirtuaGod]

Em investimentos de longo prazo ACC tem várias vantagens face a INC. Escolhe INC

[ghorez]

LTCM caso tenhas q optar por 1 etf domiciliado fora de Portugal, por exemplo na Irlanda, Luxemburgo, Alemanha, etc, e supondo que esse etf vá seguir um índice de ações global, que portanto tenha distribuição de dividendos, optarias por 1 etf que divida os dividendos, ou reinvista automaticamente?

Estou a fazer essa questão por questões de tributação que pode ter 2 vertentes:
i) dividendos "Inc"
Onde disseram-me (num intermediário português que eu tenho conta) que sou tributado duplamente - na fonte pelo banco, e depois eu mesmo terei que declarar o que sobrar no IRS onde serei novamente tributado.
Outra coisa curiosa que disseram-me foi q a primeira tributação será feita não onde o ETF está domiciliado, mas sim onde a plataforma de negociação está domiciliada (neste caso Dinamarca, Saxo Bank)

Se isto é verdade, teoricamente qualquer pessoa poderia optar por adquirir ETF domiciliados nos US (muito mais baratos em termos de custos de gestão), certo?


ii) mais valias aquando da venda das ações.
Alternativa seria optar por reinvestir automaticamente (iShares da Blackrock tem uma solução deste género "Acc") os dividendos e assim quando optasse por vender a minha posição no ETF apenas seria tributado em mais valias, e apenas em Portugal.

[LTCM]

In the past, some mutual funds used to engage in portfolio pumping until the Securities and Exchange Commission cracked down on the practice in 2001. But this research suggests that hedge funds haven’t been turned off to the practice.

“This is a legal gray area. I think if a hedge fund were to be seen doing this systematically, the SEC would be interested in investigating,” Ben-David said.

The dataset used in this study combined a list of hedge fund management companies, mandatory institutional quarterly portfolio holdings reports and information about hedge fund characteristics and performance from 2000 to 2010.

Ben-David said he and his colleagues found evidence of very large stock orders on the last trading days of a month and quarter – orders that were big enough to move the stock prices.

The orders came in not just on the last day, but in the last minutes of the day.

“About half of the average increase in the prices of stocks that are owned by hedge funds takes place in the last 20 minutes of trading,” he said.

But these aren’t meaningful gains for investors, because most of it reverts back to the original price within the first 10 minutes of trading on the next day.

Not all or even most hedge funds probably participate in this portfolio pumping, Ben-David said. The researchers found evidence that hedge funds that pumped their portfolio in one quarter were more likely to do it again the next quarter.

They also found that hedge funds were more likely to pump their portfolio when they could get more “bang for the buck,” he said.

For example, hedge funds were more likely to engage in the practice if they held more than an average number of illiquid stocks, or stocks that aren’t heavily traded. That means a hedge fund would not have to spend a lot of money – less than $500,000 – to make a measureable impact on the value of the stock.

Findings showed hedge funds were more likely to engage in stock price manipulation when they had more to gain – especially those funds that were doing particularly well or particularly poorly against competing funds in a specific time period.

“Investors always hear most about the top 10 funds, so fund managers all want to appear in that list. That gives a strong incentive to hedge funds to manipulate when they are near the top,” he said.

The researchers also found evidence that hedge funds used portfolio pumping when their returns were near zero for a month or quarter.

“If a hedge fund is just running slightly negative, they can pump up their stock prices to push themselves over into positive territory,” Ben-David said. “Positive is always better than negative when you’re presenting your results to investors.”

That’s one reason why there are many more hedge funds with returns slightly above zero than slightly below, he said.

Hedge funds in the middle of the pack are probably least likely to manipulate prices because they have little to gain. Any increase in their fund value is not likely to change perceptions about their performance.

While portfolio pumping hurts investors, e.g., by relying on misstated returns and risk, it can benefit the hedge fund managers whose compensation is tied to end-of-month performance. It can also help companies whose stock prices rise at the end of reporting periods, as some financial contracts may rely on end-of-month stock prices – even if they fall right back the next day.

[LTCM]

If you are confused about how to forecast the next year’s returns, don’t worry. It is probably not worth the effort anyway. Over such a short period, chance dominates, as the extreme variations of returns suggest. Only just over two-thirds of the time was the one-year real return on world shares between minus 12 and plus 23 per cent in the past 112 years (see chart). Statistically, investors should have little confidence in any base for one-year forecasts.

Worse, luck may be becoming even more important, as Michael Mauboussin, Legg Mason’s chief investment strategist, points out in his book The Success Equation. In everything from investing to corporate management to football, as the general level of skill of the participants increases, luck matters more.

[Figueiraa1]

É possível abrir uma conta numa correctora online para ir construindo um portfóleo de poupança para filhos menores de idade?

P.S. - LTCM, peço desculpa pelo OT.

[VirtuaGod]

uau, é chocante o gráfico dos average returns. Só que não sei se os 20 anos serão mesmo significativos... e 6.6% não parece uma loucura de valor para retorno nas obrigações...?

Pata, em anexo o retorno com prazos mais longos Atenção que são "Real returns"

[Pata-Hari]

uau, é chocante o gráfico dos average returns. Só que não sei se os 20 anos serão mesmo significativos... e 6.6% não parece uma loucura de valor para retorno nas obrigações...?

[LTCM]

As the chart shows, starting to save at age 25 rather than 35 results in $280,969 more at retirement at age 65.

[LTCM]

[ghorez]

A minha estratégia para ETF não será bem prever o mercado, mas apostar sempre que este estiver em queda. A ideia será poupar pequenas quantias - que os tempos estão difíceis - num fundo tesouraria/monetário, e sempre que detetar pequenas quedas, reforço os ETF.

Paralelamente, e numa base anual, tentaria reforçar/equilibrar...e fazer isto durante o máximo tempo possível.

[frugal]

The opposite of a buy-and-hold strategy — trying to predict short-term market movements and moving in and out of investments accordingly — is called market timing. Long-term investors believe staying invested is a better strategy than trying to predict the market. “Time in” the market, as opposed to “timing” the market.

For the sake of argument, however, let’s say you could predict the market with 100% accuracy and you invested $10,000 on the best day to invest — the market low — every year for the last 25 years. Your average annual return would have been 6.89% through December 31, 2011.

Compare that to someone with terrible timing who invested $1,000 at the market high every year for the last 25 years. The average annual return would have been 5.02%.

Para negociar as pequenas variações do mercado ou é preciso um talento especial que não se ensina, ou um sistema automático e uma mente de aço.
A verdade é que eles existem, a percentagem deve ser muito muito pequena, mas existe.
Correcto?

[NELASamonta]

LTCM, quando tens a possibilidade de comprar ETF ou UIT para o mesmo ADI qual é que preferes ? Estava a tentar perceber se há vantagem na utilização de um ou outro numa estratégia passiva, mas ando um bocado à nora.

tambem gostaria de saber a resposta a esta questao!
ob

[Automech]

For the sake of argument, however, let’s say you could predict the market with 100% accuracy and you invested $10,000 on the best day to invest — the market low — every year for the last 25 years. Your average annual return would have been 6.89% through December 31, 2011.

Bom, o autor está a enviesar um bocado o assunto para o ponto que quer demonstrar. É certo que diz que se investe no melhor dia do ano, mas está a esquecer que o market timing envolve swing trading, o qual pode (e muitas vezes é) realizado várias vezes por ano (e não apenas uma) e onde se incluem não só negócios longos, mas também shorts, bem como scaling in e out, trailing stops, etc.

[LTCM]

The opposite of a buy-and-hold strategy — trying to predict short-term market movements and moving in and out of investments accordingly — is called market timing. Long-term investors believe staying invested is a better strategy than trying to predict the market. “Time in” the market, as opposed to “timing” the market.

For the sake of argument, however, let’s say you could predict the market with 100% accuracy and you invested $10,000 on the best day to invest — the market low — every year for the last 25 years. Your average annual return would have been 6.89% through December 31, 2011.

Compare that to someone with terrible timing who invested $1,000 at the market high every year for the last 25 years. The average annual return would have been 5.02%.

[LTCM]

LTCM, quando tens a possibilidade de comprar ETF ou UIT para o mesmo ADI qual é que preferes ? Estava a tentar perceber se há vantagem na utilização de um ou outro numa estratégia passiva, mas ando um bocado à nora.

enviei mp.

[Automech]

LTCM, quando tens a possibilidade de comprar ETF ou UIT para o mesmo ADI qual é que preferes ? Estava a tentar perceber se há vantagem na utilização de um ou outro numa estratégia passiva, mas ando um bocado à nora.

[LTCM]

ETFs make it easy to set up core portfolios using broad-based basic asset allocation strategies. For instance, BlackRock (NYSE: BLK ) recently came out with a set of 10 core iShares ETFs, including seven stock funds and three bond funds. Through various combinations of those ETFs, you can tailor your portfolio to the risk level and return potential you want.

ETFs are far from perfect, but they've had a real impact on the way that Wall Street profits from managing your money. By embracing low-cost ETFs, you can keep more of your money for yourself. In a low-return environment, that's more important than ever.

[LTCM]

[frugal]

Comenta por favor o seguinte texto:


There are several reasons not to have a foreign portfolio and 'hedge' the risk. The main one is that you cannot 'open a currency position', unless you borrow some or all of the currency and use it to finance the currency hedge position. This requires the use of leverage and a margin account at a futures or forex broker, which is a risky proposition.

For example, let's say you have some 100k euros to invest. You convert some of it into US dollars, leaving you with 20k Euros and 100k US dollars (I use these as approximate figures, to avoiding detailed calculation). You put your 100k into a US indexed lazy portfolio. Then, you put your 20k euros into a forex broker and use it as margin to sell 100k USD and buy 80k Euros. Now, what happens if USD rises 20%? Your margin account will be wiped out, and you will have to sell some of your USD assets, this incurring a taxable gain and transactions costs, in order to maintain the hedge. And this can happen each year if the currency is volatile (EURUSD has moved from 1.20 to 0.82 to 1.59 to 1.19 in the last decade or so i.e. moves of -30%, +90% etc, big swings). Furthermore, you have to sit with u euros on deposit in a margin account, earning no return. This is 20k euros you could have invested into stocks/bonds etc. So, your investment return is reduced considerably. You could use less money for margin, but then you have more risk of a margin call forcing the hedge to be liquidated. Compare this to a Euro portfolio where you just sit for 10, 20, 30 years incurring no taxes, no transactions costs, no tying up capital for margin, no margin call emergencies, and so on.

You should also bear in mind that forex brokers, as highly leveraged thinly-capitalised financial institutions, can and do go bust, in which case you will probably lose your entire funds at the brokerage. Refco, Man financial, and many other smaller firms have blown up in a matter of days, leaving forex customers out of pocket.

Additional problems are that it often costs money to borrow currency. For example, if US interest rates are 5%, and Euro rates are 2%, then maintaining a currency hedge by borrowing US dollars will cost you 3% per year - in fact, it will probably cost you 4-5% per year, because retail brokers charge a spread on borrowing and investing in forex (i.e. the broker will charge 0.5-1% more to borrow dollars, and pay you 0.5-1% less on your Euro cash balances). Needless to say, 3-5% annual interest costs will ruin your investment return.

Furthermore, your US portfolio will fluctuate in value, requiring you to frequently adjust the size of your forex hedge to stay fully hedged. Let's say your portfolio gains 20% one year, you sell another 20% worth of USD to hedge into Euros, then the portfolio falls back in the 2nd year, you have to buy back that 20% worth of USD to maintain the correct hedge ratio. What if the USD rose significantly between year 1 and 2? You would have a forex loss on your attempted hedge.

Given that there is no reason to expect US assets to outperform European ones, when adjusted for risk (in fact European stocks may well do better in future, given that EU assets are cheaper right now), it seems strange to incur significant extra amounts of time, money, risk, paperwork, and complexity just to concentrate all your risk in one country that you don't live in.

[LTCM]

The efficient markets hypothesis is surely false. What is striking is that it is very close to being true. For the Warren Buffetts of the world, “almost true” is not true at all. For the rest of us, beating the market remains an elusive dream.

[LTCM]

[frugal]

tambem deixar os meus agradecimentos pelos ensinamentos.
E ja agora que tal Messi e Ronaldo na mesma equipa!!!
timao.
Queria dizer LTCM e VirtuaGood juntos num topico abranjente para o pessoal ir aprendendo e evoluindo.
cumprimentos

conseguiram trazer estes tópicos que pouco ou nada estavam explorados em portugal

obrigado aos dois