Marcelo Rebelo de Sousa lembra as muitas revoluções dentro da Revolução

[LTCM]

Like!

What is my advantage as an investor trying to beat the market?

I think it's simply time. I'm patient to the point of obsessive when it comes to delayed gratification. I bought stocks all the way down in 2008 and 2009, dreaming about what they'd be worth in 2038 and 2039. That's a big advantage over Wall Street, whose definition of "long term" is the time between Lightning Round segments on CNBC. If Wall Street is thinking about the next ten months, and you're thinking about the next ten years, case closed -- that's your advantage. Last year, I asked Rob Arnott, a pioneer of index investing, if anyone should pick stocks. To my surprise, he wasn't against the practice. "It's also not necessarily all that hard because Wall Street is now so obsessed with short-termism that long-term value doesn't matter to the decisions of vast throngs of institutional investors," he said.

Time can be the only advantage necessary for an investor focusing on index funds or wide diversification. If you're picking a smaller number of individual stocks, you need an advantage there, too.

Entire books can (and have) been written on how to gain an advantage picking individual stocks. It's not a topic for one article. But if there's a common denominator of successful strategies, it's thinking about investing in businesses, not stocks, and believing strongly in the concept of reversion to the mean.

My colleague Ron Gross says we should think of the market as a company market, not a stock market. Doing so can change your thinking 180 degrees. Most people understand that businesses will have a bad quarter or a rocky year once in a while. It's a normal part of being a business. But those same people tend to react to a bad quarter in the stock market as a harbinger of doom that should be avoided at all costs. That causes all kinds of bad behavior. Shifting your thinking ever so slightly to asking the question, "Is this a good business?" instead of "Is this a good stock?" alone can be an investing edge, since so few investors do it. It focuses your attention on having an ownership stake in a business's future profits, which you can do, from trying predict the madness of the stock market, which you can't.

A religious faith in the concept of reversion to the mean can also be an advantage. As investor Dean Williams put it, reversion to the mean is the simple idea "that something usually happens to keep both good news and bad news from going on forever." After booms come busts, and after busts come booms. Above-average valuations are followed by below-average results. This story repeats itself again and again throughout history. It's simple stuff, but it's one of the most powerful forces in finance because, by definition, only a small portion of investors can be contrarians. It's much easier to say "I'll be greedy when others are fearful" than to actually do it. But those who can truly can train themselves to be skeptical of outperformance and attracted to underperformance will likely do better than most. They have an advantage.

What matters is that you know what your investing advantage is. Can you articulate your advantage? Are you being honest with yourself when assessing it? If not, think twice about trying to the beat the market. Passive index funds can be a great alternative.

[Pata-Hari]

Like!

[LTCM]

Does history show that there are indisputable and unambiguous signs that consistently forewarn that the stock market is about to crash?

There’s no such thing.

Which market forecasters have reliably, repeatedly seen – and publicly warned about – the train coming down the track?

None.

Who discloses the complete track record of all market predictions, right and wrong, so we can evaluate the overall accuracy of prediction?

No one.

Furthermore, our own intuition about where the markets are headed is far from infallible.

Did you see a train coming at you in September 2002, when the U.S. was readying the invasion of Iraq and the S&P 500 lost 10.9% in September? Did that turn out to be a train – or the light at the end of the tunnel after the dot-com crash of 2000? Over the next year, U.S. stocks gained 24.4%; over the next three years, they earned an annual average of 16.7%.

Did you see a train coming at you in the summer of 2011, when Washington was in fiscal gridlock, Standard & Poor’s downgraded the credit rating of the U.S., and the stock market fell 12% in eight weeks? Was that a train, or was it sunlight flashing on the tracks? Early that August, the S&P 500 sank to 1119.46. Today it’s around 1700, nearly a 52% gain in two years – and that’s not counting dividends.

Did you see a train coming at you in 2007 or 2008, before the financial crisis hit? Good for you if you got off the tracks. That was a train. But did you get back on in March 2009 so you could capture the full 175%-plus gains since then?

My point, in any case, wasn’t that all investors should tie themselves to the mast. It was that if you can’t tie yourself to the mast, you probably shouldn’t buy stocks at all – because your willpower alone will not be enough to enable you to stay the course. And the ultimate benefits of owning stocks accrue only to those who can buy and hold. Investors who either can’t afford to take the risks of short-term losses or can’t stand the psychological trauma don’t belong in stocks – and should feel no shame about staying on the sidelines.

On the other hand, while Deano contends that a buy-and-hold strategy is “bunk,” the millions of investors who stayed the course throughout the financial crisis and beyond know that’s wrong. The simplest possible mechanical strategy of buying and holding 60% in stocks and 40% in bonds produced a 7.2% annual average return over the past 10 years. A buy-and-hold bundle of U.S. stocks alone averaged a 7.6% annual return over the past decade and 8.9% over the past 20 years. Along the way, investors lost roughly half their money twice, in 2000-02 and in 2008-09.

That’s what stocks do.

[LTCM]

“I keep going back to what Charlie Munger said to me, which is none of this is easy, and anybody who thinks it is easy is stupid. It is just not easy. There are many layers to this, and you just have to think well.” If you are not willing to do the work or feel like you have the wrong emotional temperament, buy low fee index funds. Dumb money becomes smart once it accepts its limitations.

[Max_Filas]

Boas

Cansado de ler tanta coisa ao fim de alguns dias já tenho isto tudo baralhado e não sei por onde lhe pegar. Posto isto, agradecia a ajuda para escolher 4 ETFs tendo em conta 2 tipos de investimento (mas seguindo sempre a filosofia original deste post):

Cenário 1 - Investimento na TD Ameritrade. Investimento 10000€ em 4 ETFs (alocações de 25%, ou algo muito próximo)

Cenário 2 - Investimento numa corretora Europeia (não sei qual, nem se é possível) ou no Best Trading Pro. Investimento 10000€ em 4 ETFs (alocações de 25%, ou algo muito próximo). ETFs cediados na Europa e de preferência que capitalizem os dividendos.

Abraços

PS: Finalmente consigo participar no forum. Andava sempre a dar falha quando me tentava registar.

Sugestões baseadas na premissa que não precisas do capital e conseguirás aguentar, sem resgatar, durante muitos anos: (Ou seja é um perfil muito agressivo...)
TD Ameritrade
30% - Vanguard Total Stock Market ETF (VTI)
30% - Vanguard FTSE All-World ex-US ETF (VEU)
10% - Vanguard Small Cap ETF (VB)
30% - iShares Core Total U.S. Bond Market ETF (AGG)

EUROPA
40% - db x-trackers MSCI World TRN Index 1C (DBXW)
15% - iShares MSCI EMU Small Cap (CESL)
15% - iShares MSCI Emerging Markets (CSEM)
30% - db x-trackers II iBoxx GlbInfLnk Hdg 1C (DBXH)

Boas

Obrigado pelas sugestões.

Com estas distribuições que sugeriste o que aconteceu à distribuição dos ETF por diferentes classes? Parece que só temos no cenário 1 e no cenário 2:
Ações (70%)
Obrigações (30%)

Onde estão os ETFs de Commodities ou Imobiliário sugeridos na estratégia de investimento inicial?

Cumpts

[LTCM]

bem vindo de volta!! (e que fiques muito tempo)

A minha carteira passiva tb ainda n está completamente concluída. Nos últimos tempos tenho estado indeciso entre colocar 30% em 1 ou 2 ETF de obrigações, ou fazer 70%/30% em Acções/Depósitos a prazo ou fundos tesouraria. Até ao final de 2013 logo decidirei

O importante é ter uma base para começar, depois é ir ajustando de acordo com a aversão/propensão ao risco.

[LTCM]

Over the last month, the low hum of anti-hedge fund murmuring has exploded into a full-on festival of malice - thousands of investors, having spotted the 2-and-20 emperors sans clothing for the umpteenth time, are now reveling in their newfound courage to say it out loud:

"I don't get it."

The media - always in possession of a keen nose for blood in the water - has been all too happy to encircle the debate with articles, viewpoints, charts and statistics (oh so many statistics). For skeptical journalists, the sheer size and scale of this multi-trillion dollar industry has never made sense and the manager paychecks they've been forced to report on were always cartoonish. It's only natural that they should be luxuriating in this moment.

For non-hedge fund financial professionals (asset managers, wealth managers, traders, investment advisors, etc) the narrative is an equally delectable one - "Hey, wait a minute! That asshole in the Tod's driving mocs makes ten times as much as we do and returns less than half as much to his clients! LET'S GET HIM!

And the retail investor is also enjoying the public shaming. Because you cannot find a single one who doesn't feel - deep down - that the game has always been unfair to them and it's because the hedge fund managers have some sort of secret (read: unfair) advantages in the market.

And so the stocks are being erected in Greenwich's village square as we speak. Anti-hedgian rhetoric can be read and heard everywhere all at once this summer - but its tone is more mocking than angry, a mass confabulation that's more sardonic than it is vitriolic. Yes, the townspeople are holding their torches aloft, lit with the fires from a decade's worth of pent-up envy, but they are laughing, not shouting. Witness BusinessWeek's limp dick cover, one for the ages to be sure.

The emerald curtain's been pulled back and, with the exception of George Soros and a few others, the wizards are only men in suits, scrambling for their ephemeral "edges" just like the rest of us.

A lot of people have asked where I stand in all of this. I don't have anything overly insightful to add to all of the numbers you've seen - in the aggregate these numbers speak for themselves.

Here are the key takeaways, in my mind:

1. There is a small group of hedge fund managers who can consistently beat the market as a result of their hard work and innate brilliance. This small group of hedge funds does not want you as a client.

2. There are many, many other hedge fund managers who will have good years, great years and terrible years in no predictable semblance of order. Much of this will depend on the market environment and luck, very little of it will prove to be repeatable.

3. The worst thing that can happen to a manager is a multi-year run of market-beating success. This is because two things are inevitable as a result: First, he will raise a lot of money, which will render his market-beating methods impotent. Second, he will begin dating really skinny girls with huge boobs, traveling a lot and enjoying his fortune. And who could blame him? The problem is, getting handjobs on a Gulfstream at two o'clock in the afternoon rarely leads to alpha. As Clubber Lang Mickey menacingly shouted at the champ in Rocky III, "You ain't been hungry since you won that belt!"

4. There is a larger question as to whether or not hedge funds can reliably generate alpha - and that question is, does it matter? I suppose if you've got fifty million dollars to invest, who cares? And if you're a pension or endowment manager, adding hedge funds looks smart - especially investing in the larger funds - so why not?

5. There are some great emerging managers out there who can make their early limited partners (the investors) very wealthy. Unfortunately, this is a needle-in-the-haystack type of proposition. The nation's fund-of-funds complex has been shown by the research to be unable to identify these emerging managers. They have the data, analytics, personal connections, real-world experience and educational pedigrees in spades - and they cannot do it. Why you think that you can is beyond me.

6. There was a time when hedge funds could do quite well for themselves by virtue of the fact that there were so few of them that the inefficiencies were immensely profitable. That's been over for more than a decade now. It's not coming back. But this doesn't mean that these inefficiencies are gone - or that talented managers will not be able to suss them out profitably.

7. The hedge fund industry is racing to open '40 Act Funds (mutual funds) and convert their strategies to so-called "liquid alternative" products. In doing so, they are reducing the fees and the minimum initial buy-in - to just $1000 in some cases. This rush to take in retail money includes everyone from Goldman Sachs to KKR. But this should not surprised you; think of it like seeing luxury brands pop up in TJ Maxx or Marshalls. The products you are encountering in this setting are not high-end fashion duds that somehow found themselves in a discount store. No, they were made specifically for these off-the-rack retailers as part of a business strategy. By the same token, you will not encounter a product giving you entrée into the best hedge funds on the Charles Schwab platform.

8. Given the exodus from active strategies into passive products in the last few years, it is a virtual certainty that many hedge funds are going to see a renewed opportunity to generate alpha and outperform. The question is whether or not that will matter to their investors by the time one factors in fees. Some people will track that "cost of alpha" to within a penny. Most won't.

9. The argument that "hedge funds are not-correlated so they make sense for most portfolios" is nonsense. When stocks go down, cash is non-correlated too and it costs nothing. When stocks go up, who the fuck wants to be non-correlated? One quant I know - who cannot say this in public given his client base - has run a variance optimization test on the hedge fund universe and determined that, in the long-run, they are statistically no different from a half-stocks, half-treasurys portfolio with an enormous price tag attached. But so what? If you own a hedge fund that goes down 10% while the market drops 30%, you're still going to be pleased with yourself and you know it.

10. Not every fund investment needs to be about performance. Some people just like knowing the smartest, slickest guy in the game is running their money and the results are an afterthought. Some people like the quarterly letters or the ability to tell their golf buddies "I'm with Einhorn." You will see this when the advertising begins, by the way. It will be very much about aspirational branding and lifestyle. This will be image advertising - think Calvin Klein's Obsession, not "Four Suits for Four Dollars at Joseph A Banks!" And what's wrong with that?

The bottom line: Not everything in life needs to come down to stats. People have a variety of reasons for being in hedge funds, from the way it makes them feel to the way it differentiates their portfolios - all of them valid on either a financial level or an emotional level or both. That $2 trillion in hedge fund AUM is not going to shrink in the future, it is going to grow. This is because there will always be new superstars with new ways of investing and generating returns. And the best of these managers will frequently opt for the wrapper in which they're paid the most for their efforts. It's hard to beat the management-plus-incentive structure.

The best and brightest will always go where the pay is the highest - and investors will usually follow them there, for better or for worse. This will not change in our lifetimes so let's all settle down.

Bem-vindo de volta...artigo do autor em inglês?

Ninguém fala disto numa gestão de sucesso de um hedge-fund, vou fazer a ressalva "...Second, he will begin dating really skinny girls with huge boobs, traveling a lot and enjoying his fortune. And who could blame him? The problem is, getting handjobs on a Gulfstream at two o'clock in the afternoon rarely leads to alpha."

Espero que insights desta qualidade sejam para continuar...

Agora dúvidas a sério, quando poderá aumentar a valorização de um carteira de gestão passiva se se utilizar análise técnica para as entradas? Obviamente, que à medida que aumenta o valor da nossa carteira e os reforços são uma pequena percentagem, a importância de entradas utilizando a AT diminui.

Em vez de termos cerca de 20% da nossa carteira em activos de sectores, que poderão estar em up-trend durante um período de médio-prazo, não é preferível utilizar todas as nossas fichas na carteira de gestão passiva de longo prazo, e assim evitar comissões e sobretudo imposto de 28% sobre mais-valias. A grande vantagem de seleccionar sectores individuais ou mesmo acções, é que enquanto a carteira de gestão passiva é constituída para um retorno de 10/12% anual, o stock picking pode trazer valorizações onde céu é o limite...se formos mesmo bons e aí pagar impostos é fixe, mas também pode trazer dissabores e nem ser preciso pagar impostos

E para já são estas as minhas dúvidas...Obrigado.

PS - A minha carteira de gestão passiva já tá quase constituída e tem sido muito bom em termos psicológicos estar desta forma nos mercados, mas quando tiver mais informação concreta eu partilho!

A ideia da estratégia passiva é de facto não negociar.
Não negociar é o melhor para a generalidade dos investidores o texto que deixei mostra, excepto os HF na mão de génios, que até nos mundo dos HF, com milhentas estratégias disponíveis, a rentabilidade deixa muito a desejar.

Estes "papers" mostram algumas estratégias, simples de implementar e muito conhecidas, para quem não está satisfeito com um «Lazy Portfolio».
http://papers.ssrn.com/sol3/papers.cfm? ... _id=962461
http://papers.ssrn.com/sol3/papers.cfm? ... lg=1&pos=1

Diversificar em estratégias e portefólios é sempre benéfico portanto o limite é o céu. Claro que, como em todas as coisas, «muitos são chamados, mas poucos escolhidos».

Como curiosidade um estudo recente mostra que os famosos CTA, de 1977 até 2012, conseguiram em média 7,7% de rentabilidade com um MDD de 22% .

[LTCM]

Bem-vindo de volta...artigo do autor em inglês?

O artigo é do Joshua Morgan Brown

[ghorez]

bem vindo de volta!! (e que fiques muito tempo)

A minha carteira passiva tb ainda n está completamente concluída. Nos últimos tempos tenho estado indeciso entre colocar 30% em 1 ou 2 ETF de obrigações, ou fazer 70%/30% em Acções/Depósitos a prazo ou fundos tesouraria. Até ao final de 2013 logo decidirei

[Tridion]

Over the last month, the low hum of anti-hedge fund murmuring has exploded into a full-on festival of malice - thousands of investors, having spotted the 2-and-20 emperors sans clothing for the umpteenth time, are now reveling in their newfound courage to say it out loud:

"I don't get it."

The media - always in possession of a keen nose for blood in the water - has been all too happy to encircle the debate with articles, viewpoints, charts and statistics (oh so many statistics). For skeptical journalists, the sheer size and scale of this multi-trillion dollar industry has never made sense and the manager paychecks they've been forced to report on were always cartoonish. It's only natural that they should be luxuriating in this moment.

For non-hedge fund financial professionals (asset managers, wealth managers, traders, investment advisors, etc) the narrative is an equally delectable one - "Hey, wait a minute! That asshole in the Tod's driving mocs makes ten times as much as we do and returns less than half as much to his clients! LET'S GET HIM!

And the retail investor is also enjoying the public shaming. Because you cannot find a single one who doesn't feel - deep down - that the game has always been unfair to them and it's because the hedge fund managers have some sort of secret (read: unfair) advantages in the market.

And so the stocks are being erected in Greenwich's village square as we speak. Anti-hedgian rhetoric can be read and heard everywhere all at once this summer - but its tone is more mocking than angry, a mass confabulation that's more sardonic than it is vitriolic. Yes, the townspeople are holding their torches aloft, lit with the fires from a decade's worth of pent-up envy, but they are laughing, not shouting. Witness BusinessWeek's limp dick cover, one for the ages to be sure.

The emerald curtain's been pulled back and, with the exception of George Soros and a few others, the wizards are only men in suits, scrambling for their ephemeral "edges" just like the rest of us.

A lot of people have asked where I stand in all of this. I don't have anything overly insightful to add to all of the numbers you've seen - in the aggregate these numbers speak for themselves.

Here are the key takeaways, in my mind:

1. There is a small group of hedge fund managers who can consistently beat the market as a result of their hard work and innate brilliance. This small group of hedge funds does not want you as a client.

2. There are many, many other hedge fund managers who will have good years, great years and terrible years in no predictable semblance of order. Much of this will depend on the market environment and luck, very little of it will prove to be repeatable.

3. The worst thing that can happen to a manager is a multi-year run of market-beating success. This is because two things are inevitable as a result: First, he will raise a lot of money, which will render his market-beating methods impotent. Second, he will begin dating really skinny girls with huge boobs, traveling a lot and enjoying his fortune. And who could blame him? The problem is, getting handjobs on a Gulfstream at two o'clock in the afternoon rarely leads to alpha. As Clubber Lang Mickey menacingly shouted at the champ in Rocky III, "You ain't been hungry since you won that belt!"

4. There is a larger question as to whether or not hedge funds can reliably generate alpha - and that question is, does it matter? I suppose if you've got fifty million dollars to invest, who cares? And if you're a pension or endowment manager, adding hedge funds looks smart - especially investing in the larger funds - so why not?

5. There are some great emerging managers out there who can make their early limited partners (the investors) very wealthy. Unfortunately, this is a needle-in-the-haystack type of proposition. The nation's fund-of-funds complex has been shown by the research to be unable to identify these emerging managers. They have the data, analytics, personal connections, real-world experience and educational pedigrees in spades - and they cannot do it. Why you think that you can is beyond me.

6. There was a time when hedge funds could do quite well for themselves by virtue of the fact that there were so few of them that the inefficiencies were immensely profitable. That's been over for more than a decade now. It's not coming back. But this doesn't mean that these inefficiencies are gone - or that talented managers will not be able to suss them out profitably.

7. The hedge fund industry is racing to open '40 Act Funds (mutual funds) and convert their strategies to so-called "liquid alternative" products. In doing so, they are reducing the fees and the minimum initial buy-in - to just $1000 in some cases. This rush to take in retail money includes everyone from Goldman Sachs to KKR. But this should not surprised you; think of it like seeing luxury brands pop up in TJ Maxx or Marshalls. The products you are encountering in this setting are not high-end fashion duds that somehow found themselves in a discount store. No, they were made specifically for these off-the-rack retailers as part of a business strategy. By the same token, you will not encounter a product giving you entrée into the best hedge funds on the Charles Schwab platform.

8. Given the exodus from active strategies into passive products in the last few years, it is a virtual certainty that many hedge funds are going to see a renewed opportunity to generate alpha and outperform. The question is whether or not that will matter to their investors by the time one factors in fees. Some people will track that "cost of alpha" to within a penny. Most won't.

9. The argument that "hedge funds are not-correlated so they make sense for most portfolios" is nonsense. When stocks go down, cash is non-correlated too and it costs nothing. When stocks go up, who the fuck wants to be non-correlated? One quant I know - who cannot say this in public given his client base - has run a variance optimization test on the hedge fund universe and determined that, in the long-run, they are statistically no different from a half-stocks, half-treasurys portfolio with an enormous price tag attached. But so what? If you own a hedge fund that goes down 10% while the market drops 30%, you're still going to be pleased with yourself and you know it.

10. Not every fund investment needs to be about performance. Some people just like knowing the smartest, slickest guy in the game is running their money and the results are an afterthought. Some people like the quarterly letters or the ability to tell their golf buddies "I'm with Einhorn." You will see this when the advertising begins, by the way. It will be very much about aspirational branding and lifestyle. This will be image advertising - think Calvin Klein's Obsession, not "Four Suits for Four Dollars at Joseph A Banks!" And what's wrong with that?

The bottom line: Not everything in life needs to come down to stats. People have a variety of reasons for being in hedge funds, from the way it makes them feel to the way it differentiates their portfolios - all of them valid on either a financial level or an emotional level or both. That $2 trillion in hedge fund AUM is not going to shrink in the future, it is going to grow. This is because there will always be new superstars with new ways of investing and generating returns. And the best of these managers will frequently opt for the wrapper in which they're paid the most for their efforts. It's hard to beat the management-plus-incentive structure.

The best and brightest will always go where the pay is the highest - and investors will usually follow them there, for better or for worse. This will not change in our lifetimes so let's all settle down.

Bem-vindo de volta...artigo do autor em inglês?

Ninguém fala disto numa gestão de sucesso de um hedge-fund, vou fazer a ressalva "...Second, he will begin dating really skinny girls with huge boobs, traveling a lot and enjoying his fortune. And who could blame him? The problem is, getting handjobs on a Gulfstream at two o'clock in the afternoon rarely leads to alpha."

Espero que insights desta qualidade sejam para continuar...

Agora dúvidas a sério, quando poderá aumentar a valorização de um carteira de gestão passiva se se utilizar análise técnica para as entradas? Obviamente, que à medida que aumenta o valor da nossa carteira e os reforços são uma pequena percentagem, a importância de entradas utilizando a AT diminui.

Em vez de termos cerca de 20% da nossa carteira em activos de sectores, que poderão estar em up-trend durante um período de médio-prazo, não é preferível utilizar todas as nossas fichas na carteira de gestão passiva de longo prazo, e assim evitar comissões e sobretudo imposto de 28% sobre mais-valias. A grande vantagem de seleccionar sectores individuais ou mesmo acções, é que enquanto a carteira de gestão passiva é constituída para um retorno de 10/12% anual, o stock picking pode trazer valorizações onde céu é o limite...se formos mesmo bons e aí pagar impostos é fixe, mas também pode trazer dissabores e nem ser preciso pagar impostos

E para já são estas as minhas dúvidas...Obrigado.

PS - A minha carteira de gestão passiva já tá quase constituída e tem sido muito bom em termos psicológicos estar desta forma nos mercados, mas quando tiver mais informação concreta eu partilho!

[LTCM]

Over the last month, the low hum of anti-hedge fund murmuring has exploded into a full-on festival of malice - thousands of investors, having spotted the 2-and-20 emperors sans clothing for the umpteenth time, are now reveling in their newfound courage to say it out loud:

"I don't get it."

The media - always in possession of a keen nose for blood in the water - has been all too happy to encircle the debate with articles, viewpoints, charts and statistics (oh so many statistics). For skeptical journalists, the sheer size and scale of this multi-trillion dollar industry has never made sense and the manager paychecks they've been forced to report on were always cartoonish. It's only natural that they should be luxuriating in this moment.

For non-hedge fund financial professionals (asset managers, wealth managers, traders, investment advisors, etc) the narrative is an equally delectable one - "Hey, wait a minute! That asshole in the Tod's driving mocs makes ten times as much as we do and returns less than half as much to his clients! LET'S GET HIM!

And the retail investor is also enjoying the public shaming. Because you cannot find a single one who doesn't feel - deep down - that the game has always been unfair to them and it's because the hedge fund managers have some sort of secret (read: unfair) advantages in the market.

And so the stocks are being erected in Greenwich's village square as we speak. Anti-hedgian rhetoric can be read and heard everywhere all at once this summer - but its tone is more mocking than angry, a mass confabulation that's more sardonic than it is vitriolic. Yes, the townspeople are holding their torches aloft, lit with the fires from a decade's worth of pent-up envy, but they are laughing, not shouting. Witness BusinessWeek's limp dick cover, one for the ages to be sure.

The emerald curtain's been pulled back and, with the exception of George Soros and a few others, the wizards are only men in suits, scrambling for their ephemeral "edges" just like the rest of us.

A lot of people have asked where I stand in all of this. I don't have anything overly insightful to add to all of the numbers you've seen - in the aggregate these numbers speak for themselves.

Here are the key takeaways, in my mind:

1. There is a small group of hedge fund managers who can consistently beat the market as a result of their hard work and innate brilliance. This small group of hedge funds does not want you as a client.

2. There are many, many other hedge fund managers who will have good years, great years and terrible years in no predictable semblance of order. Much of this will depend on the market environment and luck, very little of it will prove to be repeatable.

3. The worst thing that can happen to a manager is a multi-year run of market-beating success. This is because two things are inevitable as a result: First, he will raise a lot of money, which will render his market-beating methods impotent. Second, he will begin dating really skinny girls with huge boobs, traveling a lot and enjoying his fortune. And who could blame him? The problem is, getting handjobs on a Gulfstream at two o'clock in the afternoon rarely leads to alpha. As Clubber Lang Mickey menacingly shouted at the champ in Rocky III, "You ain't been hungry since you won that belt!"

4. There is a larger question as to whether or not hedge funds can reliably generate alpha - and that question is, does it matter? I suppose if you've got fifty million dollars to invest, who cares? And if you're a pension or endowment manager, adding hedge funds looks smart - especially investing in the larger funds - so why not?

5. There are some great emerging managers out there who can make their early limited partners (the investors) very wealthy. Unfortunately, this is a needle-in-the-haystack type of proposition. The nation's fund-of-funds complex has been shown by the research to be unable to identify these emerging managers. They have the data, analytics, personal connections, real-world experience and educational pedigrees in spades - and they cannot do it. Why you think that you can is beyond me.

6. There was a time when hedge funds could do quite well for themselves by virtue of the fact that there were so few of them that the inefficiencies were immensely profitable. That's been over for more than a decade now. It's not coming back. But this doesn't mean that these inefficiencies are gone - or that talented managers will not be able to suss them out profitably.

7. The hedge fund industry is racing to open '40 Act Funds (mutual funds) and convert their strategies to so-called "liquid alternative" products. In doing so, they are reducing the fees and the minimum initial buy-in - to just $1000 in some cases. This rush to take in retail money includes everyone from Goldman Sachs to KKR. But this should not surprised you; think of it like seeing luxury brands pop up in TJ Maxx or Marshalls. The products you are encountering in this setting are not high-end fashion duds that somehow found themselves in a discount store. No, they were made specifically for these off-the-rack retailers as part of a business strategy. By the same token, you will not encounter a product giving you entrée into the best hedge funds on the Charles Schwab platform.

8. Given the exodus from active strategies into passive products in the last few years, it is a virtual certainty that many hedge funds are going to see a renewed opportunity to generate alpha and outperform. The question is whether or not that will matter to their investors by the time one factors in fees. Some people will track that "cost of alpha" to within a penny. Most won't.

9. The argument that "hedge funds are not-correlated so they make sense for most portfolios" is nonsense. When stocks go down, cash is non-correlated too and it costs nothing. When stocks go up, who the fuck wants to be non-correlated? One quant I know - who cannot say this in public given his client base - has run a variance optimization test on the hedge fund universe and determined that, in the long-run, they are statistically no different from a half-stocks, half-treasurys portfolio with an enormous price tag attached. But so what? If you own a hedge fund that goes down 10% while the market drops 30%, you're still going to be pleased with yourself and you know it.

10. Not every fund investment needs to be about performance. Some people just like knowing the smartest, slickest guy in the game is running their money and the results are an afterthought. Some people like the quarterly letters or the ability to tell their golf buddies "I'm with Einhorn." You will see this when the advertising begins, by the way. It will be very much about aspirational branding and lifestyle. This will be image advertising - think Calvin Klein's Obsession, not "Four Suits for Four Dollars at Joseph A Banks!" And what's wrong with that?

The bottom line: Not everything in life needs to come down to stats. People have a variety of reasons for being in hedge funds, from the way it makes them feel to the way it differentiates their portfolios - all of them valid on either a financial level or an emotional level or both. That $2 trillion in hedge fund AUM is not going to shrink in the future, it is going to grow. This is because there will always be new superstars with new ways of investing and generating returns. And the best of these managers will frequently opt for the wrapper in which they're paid the most for their efforts. It's hard to beat the management-plus-incentive structure.

The best and brightest will always go where the pay is the highest - and investors will usually follow them there, for better or for worse. This will not change in our lifetimes so let's all settle down.

[frugal]

Os spreads de 3+3pts para o DAX em CFD's continuam a ser altos, não tem comissão mas paga-se no spread. ETF's de Dax são iliquidos.

São iliquidos como assim? Se te referes a "dinheiro sob gestão pelo ETF", o mais líquido da Europa é precisamente o da DAX:

http://www.globaletfawards.com/

http://de.ishares.com/en/rc/products/EXS1

14 mil milhões de euros. E ainda com o bónus de ser do tipo reinvestimento de dividendos.

sim para daytrading continua caro o DAX.I ( CFD)

[Midas]

Um artigo que explora as possibilidades de criação de um lazy portfolio de 3 ETFs a partir das 56 melhores combinações.

(...)

Choosing the asset classes

We chose eight asset classes and applied a data set with 40 years of history through 2012. Since the ETFs listed below are not 40 years old, we've used an appropriate mutual fund or proxy to complete each data series.

Gold (GLD)
Real estate (VNQ or ICF or VGSIX)
Long Term Treasury bonds (VGLT or TLT or VUSTX)
Short Term Treasuries (VGSH or SHY or VFISX)
U.S. aggregate bonds (BND or AGG or VBMFX)
U.S. equity: (VTI or IVV or VTSMX)
Commodities: (DJP or DBC or PCRIX)
International equity (VXUS or VEU or VGTSX)


Are there asset classes we've missed? Sure, but these eight should give us some idea of where to look first. If you can't imagine yourself owning some of the above asset classes, then we hope there will still be some portfolio combinations worth considering.

Creating the Portfolios

Using a bit of combinatorial math, there are 56 possible combinations if we pick three asset classes at a time from a set of eight. To see the full list of 56 portfolios, visit Portfolios Using Just 3 ETFs: List of 56 Portfolios based on Global Asset Classes.

(...)

Top Performing Portfolios Using Just 3 ETFs (Jul 21 2013, 06:10)
http://seekingalpha.com/article/1559972 ... ust-3-etfs

[ghorez]

Os spreads de 3+3pts para o DAX em CFD's continuam a ser altos, não tem comissão mas paga-se no spread. ETF's de Dax são iliquidos.

São iliquidos como assim? Se te referes a "dinheiro sob gestão pelo ETF", o mais líquido da Europa é precisamente o da DAX:

http://www.globaletfawards.com/

http://de.ishares.com/en/rc/products/EXS1

14 mil milhões de euros. E ainda com o bónus de ser do tipo reinvestimento de dividendos.

[frugal]

Os spreads de 3+3pts para o DAX em CFD's continuam a ser altos, não tem comissão mas paga-se no spread. ETF's de Dax são iliquidos.

[ghorez]

a BTP tem o dobro das comissões da Gobulling?
o mercado não está a funcionar

Está assim mais ou menos. Um intermediário financeiro (Gobulling ou BTP) estabelece um preço de transacção de activos para cada bolsa.


Exemplo de bolsas de valores - (Frankfurt - XETRA, Paris - Euronext Paris e Amsterdam - Euronext Amsterdam)

A BTP ganha na XETRA pois pede 10,40€ por transacção. Gobulling pede 14€.
Gobulling ganha em todos os mercados Euronext (Paris, Amsterdam, Bruxelas) pois pede 5€. BTP pede 10,40€.

Ou seja o mercado até funciona...mas os preços são muito diferentes. Na XETRA há 40% de diferença. Na Euronext mais de 100% de diferença.
Só queria que um dia a XETRA ficasse muito mais barata...seria uma maravilha para investir.

[frugal]

a BTP tem o dobro das comissões da Gobulling?
o mercado não está a funcionar

[ghorez]

Pelo que percebo tens uma carteira de gestão activa e outra de gestão passiva. Ou acabas por misturar? Pessoalmente misturo pk em obrigações encontro excelentes fundos mas em acções quase sempre prefiro passivo (mesmo que seja sectores).

Neste momento está misturado.
Acções -> ETF;
Obrigações -> FIGA
Tesouraria/Monetário -> FIGA

A ideia será no fim ter Acções e Obrigações em ETF e Tesouraria/Monetário em FIGA.

qual a % das comissões sobre o investimento que utilizas para despoletar a passagem para ETFs?

Isto é a parte mais difícil de gerir nos ETF - pq há custos de transacção algo elevados - daí eu utilizar DP/tesouraria/monetário para acumular antes de reforçar.
Na GoBulling PRO a ideia será ter um mínimo de 3500€ antes de reforçar - mas o ideal é pelo menos 5000€
5€ + 5€ = 10€
10€ / 5000€ = 0,2% <- custos de transacção

Na BEST Trading PRO o ideal é pelo menos 10000€
10,40€ + 10,40€ = 20,80€
20,80€ / 10000€ = 0,2%

Mas isto depende do que as pessoas consideram razoável e da periodicidade com que vão reforçar. Se reforçarem de 2 em 2 anos, então estes custos descem para metade para os mesmos valores de investimento por exemplo.
Eu tento apontar para um máximo de 0,2% de custos de transacção, e tentarei espaçar ao máximo a periodicidade com que reforço, tentando apenas reforçar quando houver quedas nos mercados. Vamos ver como corre...

[frugal]

Compreendo, é de facto um risco!!

Atenção que continuo a utilizar alguns fundos de gestão activa, por exemplo o PIMCO Total Return. E mesmo após ter a carteira só de ETF, provavelmente irei continuar a utilizar fundos de gestão activa sem custos de subscrição/transacção. Por exemplo fundos de tesouraria/monetário e mesmo de obrigações de prazos intermédios/países bem classificados como o PIMCO Total Return...para assim poupar até fazer reforços para os ETF.

qual a % das comissões sobre o investimento que utilizas para despoletar a passagem para ETFs?

[VirtuaGod]

Compreendo, é de facto um risco!!

Atenção que continuo a utilizar alguns fundos de gestão activa, por exemplo o PIMCO Total Return. E mesmo após ter a carteira só de ETF, provavelmente irei continuar a utilizar fundos de gestão activa sem custos de subscrição/transacção. Por exemplo fundos de tesouraria/monetário e mesmo de obrigações de prazos intermédios/países bem classificados como o PIMCO Total Return...para assim poupar até fazer reforços para os ETF.

Pelo que percebo tens uma carteira de gestão activa e outra de gestão passiva. Ou acabas por misturar? Pessoalmente misturo pk em obrigações encontro excelentes fundos mas em acções quase sempre prefiro passivo (mesmo que seja sectores).

[ghorez]

Compreendo, é de facto um risco!!

Atenção que continuo a utilizar alguns fundos de gestão activa, por exemplo o PIMCO Total Return. E mesmo após ter a carteira só de ETF, provavelmente irei continuar a utilizar fundos de gestão activa sem custos de subscrição/transacção. Por exemplo fundos de tesouraria/monetário e mesmo de obrigações de prazos intermédios/países bem classificados como o PIMCO Total Return...para assim poupar até fazer reforços para os ETF.

[VirtuaGod]

Compreendo, é de facto um risco!!

[ghorez]

a la Bogle

Eu percebi isso, só gostaria de "entender" pk ele acha que "à lá boogle" é melhor. Detesto seguir algo só "pk sim" e assumo que as outras pessoas não o fazem e gosto de perceber como elas pensam.

- Se fazes uma carteira com gestão passiva, que sentido faz colocar um etf de um fundo de gestão activa?
A lógica é a mesma para tudo o resto: se a gestão acertar eu "deito dinheiro ao lixo". E se falhar?

[VirtuaGod]

a la Bogle

Eu percebi isso, só gostaria de "entender" pk ele acha que "à lá boogle" é melhor. Detesto seguir algo só "pk sim" e assumo que as outras pessoas não o fazem e gosto de perceber como elas pensam.

[frugal]

Pk preferes AGG a BOND sendo que o ETF da PIMCO dá uma porrada descomunal ao benchmark?

3. Não quero algo que adivinhe/bata o Barclays Capital U.S. Aggregate Index (ou outro índice equivalente) - opção minha. Quero algo que o siga ao menor custo possível e com o menor erro possível;

Claro que é opção tua, era isso que eu queria compreender. A razão pk tomas essa opção. Assumo que ng deita dinheiro ao lixo pk isso acho que tens uma razão que eu gostaria de compreender

a la Bogle