Phillip K. Dick se preguntaba si soñaban los androides con ovejas eléctricas. Charles Sizemore nos alerta que los algos sueñan con Hollywood.
Archive for May, 2011
31
May
11
En defensa del value investing
31
May
11
Paper: Lunes de Burbujas
Is There a Bubble in LinkedIn’s Stock Price?
Abstract
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the nancial press concerning the existence of a price bubble in the aftermath of the recent IPO of LinkedIn. We analyze stock price tick data from the short lifetime of this stock through May 24, 2011, and we nd that LinkedIn has a price bubble.
Link al Paper
(Fuente: New York Mag, via Abnormal Returns)
En este capítulo -que introduce la tematica de acciones-, Hector le cuenta a Gaston como fue el año 2010 para el MERVAL, cuales fueron las estrellas de ese año. Y lo mas importante, como empezar a ver si una accion esta barata.
Is the Value Premium really a compensation for Distress Risk
Abstract:
This study provides a comprehensive investigation of the relation between the value anomaly and distress risk. Using risk measures based on accounting models, structural models, credit spreads and credit ratings, we find no relation between the value premium and distress risk. Our findings are inconsistent with the notion that the value effect is a compensation for distress risk.
Link al Paper
19
May
11
Invertir en Volatilidad
Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:
Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.
But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.
Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.
Via el sitio Falkenblog, llegan dos sitio muy utiles para la busqueda de datos y papers.
Junar (te permite extraer datos de la web, ordenarlos y seguirlos por vos)
Zanran (Actua como un Google Scholar, pero mas potente ya que las busquedas son de material que podes bajar)
La verdad que FT Alphaville tiene un excelente post con un analisis -para debatir claro esta- sobre una -eminente o evidente- reestructuración de deuda griega.
Este articulo lo tiene todo! papers, un caso judicial sobre la definición de voluntario, y recuerdos de Argentina 99-01 y Uruguay 03.
(Fuente: BofAML Global Research, via FT Alphaville)
17
May
11
Paper: ¿La teoria “lastima”?
Is Portfolio Theory Harming Your Portfolio
Abstract:
Modern Portfolio Theory (MPT) teaches us that active equity managers who use judgment to make investment decisions won’t be able to match the returns (after fees and expenses) of blindly-invested, passively-managed index funds. Data on returns supports the theory, so it’s no surprise that investors are leaving actively managed funds in droves for the better average returns of super-diversified index strategies. Yet the reality is much murkier than we’ve been led to believe.
Modern Portfolio Theory (MPT) teaches us that active equity managers who use judgment to make investment decisions won’t be able to match the returns (after fees and expenses) of blindly-invested, passively-managed index funds. Data on returns supports the theory, so it’s no surprise that investors are leaving actively managed funds in droves for the better average returns of super-diversified index strategies. Yet the reality is much murkier than we’ve been led to believe.
It turns out that the portfolio theories which inspired the creation and popularity of index funds and top-down, quantitatively-driven index-like strategies, are both flawed and impractical. There’s compelling evidence, moreover, that a subset of active managers do persistently outperform indexes. However, this important fact has been lost because we allow MPT to define the debate in its own misleading terms, tilting the field in its favor and hiding the reality about active manager performance in a complex game of circular arguments.
MPT relies on a number of unrealistic assumptions including an inaccurate definition of risk. Yet this characterization of risk sets the rules for comparing active vs. passive strategies, often causing active strategies to appear more risky and less efficient than their index counterparts. The same flawed logic is used to risk-adjust returns, biasing them downward for more active, concentrated managers, and rendering this highly important measure highly suspect. Furthermore, reliance on MPT’s measure of risk pressures active managers to super-diversify. The average active fund is thus disfigured to the point where the typical “active” manager is not very active at all, casting the fund in an unfavorable light in a beauty contest versus super-efficient index funds.
Stripping away the influence of portfolio theory involves isolating and evaluating the relatively small group of equity managers who rely heavily on judgment to build concentrated equity portfolios. Empirical data from multiple studies show that these concentrated managers, in fact, persistently outperform indexes. The implications of this statement are enormous. Concentrated manager returns present the best test of whether human judgment can add value in allocating capital, and they win, convincingly. Yet while judgment has prevailed over passive investing, few have taken notice. Most investors continue to look at average active manager returns, not recognizing that these returns are minimally influenced by judgment.
Regardless of MPT’s shortcomings on both a theoretical and empirical level, its dominating influence will not easily be dislodged. MPT is deeply woven into the fabric of our financial system, its mathematical grounding and precise answers inspire confidence. Further, its application is crucial in bringing increased scale and profitability to the financial services industry. Few want to see change. As such, common sense and judgment will continue to diminish in importance as top-down, quantitative strategies and blind diversification gain investment dollars.
An informed investor should welcome this shift. As highly-diversified strategies gain assets, inefficiencies become more prevalent because share prices are increasingly driven by factors other than fundamentals. Individual investors, seeking to exploit these inefficiencies and outperform indexes, should invest in several concentrated funds with strong track records. Managers of these funds have proven themselves adept at turning inefficiencies into strong returns for their investors, and persistence data demonstrates that past performance can indicate which managers are likely to continue to outperform. Concentrated fund returns may exhibit more volatility than indexes, but we now have proof that over the long-term, good judgment will be rewarded.
Link al Paper
Quantitative Finance Club 