giovedì 18 marzo 2010

Le lezioni dimenticate troppo in fretta.

Eccellente articolo di James Montier: ve ne raccomando la lettura. Non è necessario essere sempre d'accordo con le sue tesi per riconoscere la qualità delle sue argomentazioni. Ecco la sua tesi sulla riconoscibilità delle bolle...

Contrary to the protestations of the likes of Greenspan,  Bernanke, and Brown, bubbles can be diagnosed before they burst; they are not black swans. The black swan defense is nothing more than an attempt to abdicate responsibility.

A good working knowledge of the history of bubbles can help preserve your capital. Ben Graham argued that an investor should “have an adequate idea of stock market history, in terms, particularly, of the major fluctuations.  With this background he may be in a position to form some worthwhile judgment of the attractiveness or dangers ... of the market.” Nowhere is an appreciation of history more important than in the understanding of  bubbles.

...e sull'eccesso di quantificazione che finisce con il nascondere i rischi reali:

Finance has turned the art of transforming the simple into the perplexing into an industry. Nowhere (at least outside of academia) is overly complex structure and elegant (but not robust) mathematics so beloved. The reason for this obsession with needless complexity is clear: it is far easier to charge higher fees for things that sound complex. (...)
Keynes was also mindful of the potential pitfalls involved in over-quantification. He argued “With a free hand to choose co-efficients and time lag, one can, with enough
industry, always cook a formula to fit moderately well a limited range of past facts ... I think it all hocus – but everyone else is greatly impressed, it seems, by such a
mess of unintelligible figures.” 

In general, critical thinking is an underappreciated 
asset in the world of investment. As George Santayana 
observed, “Scepticism is the chastity of the intellect, 
and it is shameful to surrender it too soon or to the 
first comer: there is nobility in preserving it coolly and 
proudly.” Scepticism is one of the key traits that many 
of the best investors seem to share. (...)

Ho evidenziato in grassetto quella che a mio modo di vedere le cose è forse la principale causa della crisi. 

Su cosa sia il rischio la tesi di Montier è chiarissima: 

One prime area for scepticism (subjected to repeated attack in this note) is risk. Hand in hand with the march toward over-quantification goes the obsession with a
very narrow definition of risk. In a depressing parody of the “build it and they will come” mentality, the risk management industry seems to believe “measure it, and it
must be useful.” In investing, all too often risk is equated with volatility. This is nonsense. Risk isn’t volatility, it is the permanent loss of capital. Volatility creates
opportunity. (...)           From an investment point of view, there are three main paths to the permanent loss of capital: valuation risk (buying an overvalued asset), business risk (fundamental problems), and financing risk (leverage). By understanding these three elements, we should get a much better understanding of the true nature of risk. 

Gli fa eco Seth Klarman con le 20 lezioni dimenticate del 2008: eccone alcune...

4. Risk is not inherent in an investment; it is always relative to the price paid. Uncertainty is not the same as risk. Indeed, when great uncertainty – such as in the fall of 2008 – drives securities prices to especially low levels, they often become less risky investments.
5. Do not trust financial market risk models. Reality is always too complex to be accurately modeled. Attention to risk must be a 24/7/365 obsession, with people – not computers – assessing and reassessing the risk environment in real time. Despite the predilection of some analysts to model the financial markets using sophisticated mathematics, the markets are governed by behavioral science, not physical science.
6. Do not accept principal risk while investing short-term cash: the greedy effort to earn a few extra basis points of yield inevitably leads to the incurrence of greater risk, which increases the likelihood of losses and severe illiquidity at precisely the moment when cash is needed to cover expenses, to meet commitments, or to make compelling long-term investments.
... ed ecco due "false lezioni" del 2008 (in un elenco di dieci), sempre secondo Klarman
9. The government can indefinitely control both short-term and long-term interest rates.
10. The government can always rescue the markets or interfere with contract law whenever it deems convenient with little or no apparent cost. (Investors believe this now and, worse still, the government believes it as well. We are probably doomed to a lasting legacy of government tampering with financial markets and the economy, which is likely to create the mother of all moral hazards. The government is blissfully unaware of the wisdom of Friedrich Hayek: “The curious task of economics is to demonstrate to men how little they really know about what they imagine they can design.”)
Mi sorprende il riferimento al moral hazard creato dalle regolamentazioni future: evidentemente ho un difetto di immaginazione, mi sembrava che ne avessimo già avuto in dosi massicce con Freddie Mac, Fannie Mae, AIG, l'improvvisa trasformazione di banche di investimento in banche commerciali, ecc. ecc.

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