sabato 6 marzo 2010

Ha funzionato l'asset allocation nel 2008 e nel 2009? Aggiornamento al 5 marzo 2010

Ha funzionato l'asset allocation nel 2008 e nel 2009? Oltre a dare un'occhiata al mio post del 31 gennaio scorso potete seguire in tempo reale l'andamento di 8 portafogli "pigri" creati da Paul Farrell su Marketwatch e ascoltare l'opinione di Roger Ibbotson, autore della Bibbia di tutti i funds managers:



Stocks, Bonds, Bills and Inflation: Historical Returns










Lo stesso Ibbotson discute la relazione (inversa) tra liquidità e rendimenti in un altro video che trovate
qui. Ecco in sintesi la sua tesi...



It starts out with, everybody's studied, for the last 60 years, that there's a risk/return relationship. What they've ignored, for the most part, something almost as important, is there's a liquidity/return relationship. Essentially, what that means is, the more liquid an asset is, the more you have to pay for it. If you buy a less-liquid asset, you get to buy it at a discount. And that means you get higher returns.
And this applies to all kinds of assets. That applies to, say, very illiquid things, like real estate or private equity. But it also applies to public markets. There's gradations of liquidity. And the most-liquid stocks you have to pay the full price for. The less-liquid stocks you get to buy at discounts.




...certamente! Basta ricordarsi che l'illiquidità porta con sé un ulteriore rischio e che proprio la liquidità è stata un attore importante del panico dell'ottobre 2008.


L'indice Baltic Dry rialza la testa dopo qualche mese di ribassi






Chissà se sarà di buon auspicio...perchè me lo chiedo? Perchè sto leggendo questo articolo:







Predictive Signals and Asset Allocation







Hui Ou-Yang 
Nomura International, Hong Kong
Zhen Wei 
Nomura International, Hong Kong
Haochuan Zhang 
China Life Asset Management Company

August 15, 2009

Abstract:      
We find predictive signals for returns on the S&P500 index (SPX) futures and the 2-year US Treasury bond futures. Using these signals, we construct portfolios composed of SPX futures and 2-year UST futures. The signal-guided portfolios yield a Sharpe ratio of 1.34 for the out-of-sample period from July 1993 to July 2009. After controlling for six equity and bond risk factors, the portfolios generate a significant alpha of 14.8% per year. In the last five years and three years, the portfolios generate Sharpe ratios of 1.76 and 2.12 as well as significant alphas of 23.8% and 31.1%, respectively.


Gli autori sostengono che:




 without trading signals to provide guidance on market timing and asset allocation, trading in the equities market can not only be very volatile but also lead to significant losses. Although an investment in bonds provides principal protection, it may not generate high enough returns to satisfy investors’ target rates.2 Therefore, it is crucial to develop signals that can forecast asset returns so as to guide our asset allocation decisions.
In this paper, we develop three trading signals for forecasting the returns in the equity and bond markets. The signals are the credit standard from the Senior Loan Officer Opinion Survey on Bank Lending Practices3, the percentage change in the Baltic Dry Index (BDI), and the change in the 2yr constant maturity swap (CMS) rates.




Staremo a vedere...


Ecco l'aggiornamento al 5 marzo 2010.

1 commento:

giovanni.gambino ha detto...

Settimana da incorniciare...per la ricchezza di contenuti esposti in questo magnifico blog...