sabato 29 maggio 2010

Quando l'indice è fondamentale

Dopo un decennio di borsa come quello che ci siamo appena lasciati alle spalle non è sorprendente che il dibattito sulle strategie di investimento passive diventi sempre più vivace: in questo articolo viene esposta la tesi di Robert Arnott a favore della sostituzione degli indici ponderati sulla capitalizzazione con indici ponderati sui fondamentali (profitti, fatturato, dividendi, ecc) :

Arnott's Big Idea is a concept he calls "fundamental indexing." It's a system that allocates money to stocks based on the economic footprint of the underlying companies rather than by the more common method of market capitalization. As we'll see, it's a near-revolutionary challenge to the accepted wisdom about passive investing. And it has already won over a range of large institutional clients, from the national pension fund of France to CalPERS, the $200 billion retirement fund for California's public employees. (...) Over the past five years Arnott's flagship index, the FTSE RAFI US 1000, offered as a mutual fund (SFLNX) by retail giant Charles Schwab and an ETF (PRF) by Invesco PowerShares, has delivered returns of 4.3% a year through tumultuous markets, beating the S&P 500 (SPX) by 2.4 percentage points annually. And his $21 billion All Asset funds, which invest in a wide variety of securities from around the globe and which Arnott personally manages for Pimco, have garnered 8.6% average annual returns since 2002, vs. 7.5% for the MSCI world equity index -- and have done it with much less volatility.
Those extra percentage points of return look especially enticing right now, for a basic reason: The odds are that the investments of U.S. retirement savers won't live up to their expectations. Most academics agree that with current low bond and dividend yields -- a mere 3.2% and 1.8%, respectively -- traditional portfolios will produce lackluster longterm returns. Arnott argues convincingly that investors employing the standard mix of around 60% stocks and 40% bonds will be stuck with returns in the 5% range for years to come. For the majority of people that figure won't come close to satisfying their income requirements when they reach retirement age in 2030 or 2040. But Arnott swears that the power of fundamental indexing can lift the annual return to around 6.5% for a blend of stocks and bonds.
(...) Arnott quickly concluded that companies weighted by size, using almost any criteria, consistently outperformed capweighted indexes. For his index he settled on a formula that takes the average of four yardsticks: sales, cash flow, book value, and dividends. When companies pay no dividends, RAFI simply averages the other three. Over a 42-year span he found that a hypothetical index weighted by those four measures returned 2.1% more per year than cap-weighted funds. The advantage has been borne out since Arnott launched his indexes in late 2004. And a host of empirical studies by other researchers have proven that fundamental funds consistently beat cap-weighted competitors -- typically by about 2% annually.
Why do fundamental indexes fare far better? The principal reason is that they are regularly rebalancing their holdings by selling expensive stocks and buying cheap ones, relentlessly exploiting what's known as the "value effect." It's well established, both in academic studies and through decades of fund performance, that "value stocks," companies with low price/earnings multiples and low price/book ratios, perform better over time than expensive growth stocks that boast high P/Es. "The market does a good job choosing which companies will grow and which will shrink," says Arnott. "The problem is that investors pay too much for hot, glamorous growth stocks and set the bar too high." In the fundamental index, the rebalancing goes strictly by formula: When a company's market cap jumps faster than its sales or profits, the fund sells just enough of it so that its investment once again reflects not its price but its scale in the economy.
Arnott's critics claim that he's simply repackaging the value effect and calling it something revolutionary. "This is just old wine in new bottles," charges Cliff Asness, chief of hedge fund AQR Capital. "But I like the product." Arnott agrees that the value factor accounts for a lot of his outperformance but maintains his formula for systematically rebalancing into cheap stocks makes his fund far different, and far more original, than a cap-weighted value fund. "We're constantly trading against the market's most extreme bets," says Arnott.
L'articolo prosegue con un'analisi della performance degli indici fondamentali negli ultimi 3 anni, con notevoli alti e bassi. Per una discussione dettagliata di questi indici potete leggere questo articolo della rivista AIAF scritto da un autore di cui mi fido... 
Infine qui sotto potete ascoltare dalla viva voce di Arnott come funzionano gli indici fondamentali per i portafogli di obbligazioni

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