giovedì 24 giugno 2010

Il successo degli hedge funds global macro. Il buonsenso e l'asset allocation

Non tutti gli hedge funds hanno avuto un 2008 disastroso. Dando un'occhiata alle performance delle diverse tipologie di fondi hedge nel triennio 2007-2009 le strategie macro sono spesso riuscite a produrre rendimenti decenti con drawdown tollerabili. Nell'approccio macro solitamente si utilizzano numerose strategie con allocazioni di capitale e scelte di investimento che dipendono dal movimento di variabili (macro)economiche e dall'impatto che si prevede queste variabili possano avere sui mercati azionari, obbligazionari, sulle materie prime e sui cambi. Steven Drobny è un esperto di questo tipo di strategie e l'autore di The Invisible Hands
(che ho appena comprato e devo ancora leggere):

La crisi del 2008 ha esposto anche i limiti della diversificazione e dell'approccio classico all'asset allocation, che è riuscito sì a moderare le perdite rispetto al 40-50% o più subito da azioni e materie prime ma che ha lasciato ugualmente gli investitori indietro con drawdowns del 20% o più. Limitandoci alle opzioni più semplici (e rinviando ai post futuri un analisi di alternative per investitori dotati di un minimo di sofisticazione e di disciplina) ho trovato molto ragionevoli le considerazioni che Harold Evensky svolge in questa intervista di Christine Benz di Morningstar. Ecco le sue aspettative per i rendimenti futuri delle principali asset classes:

So can you share what your current expectations are for various asset classes?
Very generally, we're operating with a real equity return of about 6%, and a nominal return of 9%, with the assumption of inflation around 3%. For bonds we're using the same inflation assumption, so the nominal return we're using is about 5.5% and a real return of about 2.5%.
Off the top of my head, we do assume a slightly higher rate for small-cap and value--1 percentage point or so higher. We believe returns from developed international markets, basically EAFE, will be comparable to domestic stock returns. We don't distinguish between domestic and international.
How about for emerging markets?
It would be a couple of percentage points over the domestic and international assumptions, with substantially greater volatility but less correlation. Although now the correlations are, like everything else, a lot higher than in the past.

What is the most effective way to add inflation protection to a portfolio? I know that you've long been a user of Treasury Inflation-Protected Securities.
Right. We think that inflation is likely to be the single biggest risk in the next decade to our clients' portfolios. So TIPS are the single easiest, biggest, most obvious inflation hedge. The problem is, they're not a big hedge, and they're also extraordinarily tax inefficient.

J.P. Morgan now has a municipal inflation-protected bond fund that we've been using, JPMorgan Tax Aware (TXRIX). So we now have a TIPS or a TIPS-type of allocation in all of our portfolios.
And that's a strategic allocation so it's not a function of "Gee, we think TIPS are a little pricey today and a little more attractive tomorrow." It is in effect a permanent allocation in our fixed-income category.
In terms of the equities, we believe that in reasonably high-inflation environments--single-digit--equities are a reasonable inflation hedge. If we get into hyperinflation, that's more problematic. That's not something we're anticipating or planning for, but if we get to that point then we would be looking more to commodities and something of that nature.
So what about commodities and the long-only commodities investments and some of the problems they've run into with contango and so forth? What's your thought on commodities as a slice of the inflation-fighting part of one's portfolio?We've vacillated over the years, but still consider commodities a credible and appropriate investment, a good inflation hedge for high or very high inflation. The contango has been a particular problem for some of the index commodities; they have been more hurt than some of the actively managed commodities. So we've learned to be very careful about understanding the strategy of the underlying investment.
Is it designed for long-term commodity exposure? Or is it designed for commodity-trading exposure? There's a big difference, and it's not a good or a bad. There are just different kinds of products out there.

Qui trovate la seconda parte dell'intervista di Evensky, nella quale sviluppa il suo punto di vista sulla pianificazione del portafogli per chi si avvicina alla pensione:

The one big difference between the day someone's working and the day they retire is that instead of adding to their nest egg, that individual will be taking money out of their nest egg.
When you're taking money out, volatility becomes an extraordinarily significant factor. It's kind of like the opposite of dollar-cost averaging, the worst of all worlds. You may be taking a lot out when you don't want to, or very little when you should be taking more.
So, it's what's called volatility drain. The reason people get in trouble is if they live at the wrong time. If the year they retire happens when the market crashes, they may dip into principal so much they can never recover.
And that's true even if during the next 20 years they get exactly the same return as their neighbor who retired a year later when the market went up. So, there's just a huge element of luck, in effect. So, the question that we face is how can we manage that risk? And the solution that I developed back in the early 1980s was a fairly simple idea. I wish I'd called it buckets at the time, but we called it the cash-flow reserve.
We believe that no one should invest money--stocks or bonds--unless they have a five-year window to decide when to sell. And five years isn't magic, but it's roughly an economic cycle. The point is that if you've got a five-year warning, you're never likely to take a very big loss. Whereas if the market just crashed and someone came to me and had a $1 million and said, "I need $200,000," I'm hoping they're telling me they need it five years from now, not next week. If they need it next week, they're going to take the loss and they'll never recover it. If we can wait five years, the likelihood of taking a big loss is, at least historically, very slim.
So, that was the beginning of the thought process. We called it a five-year plan, which simply means that if someone came to us and they've got a pot of money, we'll ask what are their expenses in the next five years?
"I've got to pay for the kids' college," they'd say, or for a wedding. We'll say fine. We're going to carve that out and put that in cash, in certificates of deposit, or short-term bonds. These are not your "investment dollars." The problem we had was someone who came in with $1 million and said, "I need 5%, I need $50,000 a year." And carving out five years' worth of cash flow was problematic because that's a pretty big opportunity gone if that's sitting in cash.
So, in playing with different possibilities, we looked at one year, two years, three years, four years, five years for the cash-flow reserve. Two years seemed to be the most effective reserve for cash flow for your grocery money.
So for someone with a $1 million portfolio who needs $50,000 a year, we carve out 10% for cash-flow reserves. That means 90% of someone's nest egg is invested in a total-return portfolio that we can manage for tax efficiency and expense efficiency, rebalance, and not have to worry about constantly dipping in and out of it. So that becomes a total-return portfolio. Everything gets reinvested. The cash-flow reserve this $100,000, this 10% gets invested somewhere between money markets, maybe CDs, or short-term bond funds, depending on what the expectations are.
Generally, we'll leave the amount a client may need in the first six months or so in money market funds. We might go into a high-quality short-term bond fund or six-month to one-year CDs on some of the balance. But basically these are very liquid, very high-quality investments.
We'll set that up literally to pay to our clients a check once a month to their local bank account so it meets with what [my wife and partner] Deena refers to as the "paycheck syndrome." People are used to getting a paycheck. So now, they get a paycheck. At least once a quarter we review the allocations, and at some point, we need to rebalance. We'll look over the cash flow and say, "Gee, it's low. While we are doing this, let's fill it back up again."
Along the way, as part of the management of the investment portfolio, we almost always have the opportunity to occasionally fill that cash-flow bucket back up. But imagine if we went through a two-year period that everything was down in the investment portfolio. Interest rates went through the roof, stocks were down, and the client used up the two years' cash reserves. What are we going to do for an encore?
Just in case of such a situation, we have what we call our second-tier emergency reserve in the investment portfolio. We have at least another three years' worth of living expenses that we could liquidate without having to take any or certainly much of a loss.
All of our portfolios have a fixed-income allocation; the maximum equity weighting today would be 80%. Most of the portfolios have 30% or 40% in fixed income. Because we ladder our fixed-income position, we have a reasonably big chunk down at the high-quality short end of the duration exposure. Tapping that fixed-income position might throw the portfolio out of balance, but our thought process is that the second-tier emergency reserve, combined with the cash-flow reserve, can take us through a four- or five-year economic cycle. Again, it's never happened.

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