Che la forza (relativa) sia con te: il poderoso effetto momento

L'Economist dedica due articoli all'effetto momento: nel primo si discute la schiacciante evidenza statistica a favore delle strategie di investimento che concentrano il portafoglio in quei titoli e asset che hanno avuto i rendimenti maggiori in un orizzonte di investimento di medio-lungo periodo (tipicamente dai 3 ai 12 mesi), mentre nel secondo, più breve, si discutono brevemente i problemi che l'effetto momento pone ai chi pone una fede eccessiva nell'efficienza e nella razionalità dei mercati.

I lettori di Alfa o Beta? sanno bene quanto efficace possa essere il momento come criterio di selezione di asset, visto che la classifica che pubblico settimanalmente si fonda proprio sulla loro forza (relativa), con risultati per niente disprezzabili. E non solo per l'asset allocation:

in 2010 European investors would have prospered by following a different rule. Anyone who bought the best-performing stocks of the previous year would have enjoyed returns more than 12 percentage points higher than someone who bought 2009’s worst performers.
This was not unusual. Since the 1980s academic studies have repeatedly shown that, on average, shares that have performed well in the recent past continue to do so for some time. Longer-term studies have confirmed that this “momentum” effect has been observable for much of the past century. Nor is the phenomenon confined to the stockmarket. Commodity prices and currencies are remarkably persistent, rising or falling for long periods.
The momentum effect drives a juggernaut through one of the tenets of finance theory, the efficient-market hypothesis. In its strongest form this states that past price movements should give no useful information about the future. Investors should have no logical reason to have preferred the winners of 2009 to the losers; both should be fairly priced already.
(...) the momentum effect is huge. Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School (LBS) looked at the largest 100 stocks in the British market since 1900. They calculated the return from buying the 20 best performers over the past 12 months and then holding them, rebalancing the portfolio every month.
This produced an annual average of 10.3 percentage points more than a strategy of buying the previous 12 months’ worst performers. An investment of £1 in 1900 would have grown into £2.3m by the end of 2009; the same sum invested in the losers would have turned into just £49 (see chart 1). 
(...) A study by AQR Capital Management, a hedge fund, found that the American stocks with the best momentum outperformed those with the worst by more than ten percentage points a year between 1927 and 2010 (see chart 2).

L'effetto momento ha ormai più di un quarto di secolo di vita documentata, a partire dai primi studi accademici di Werner de Bondt e Richard Thaler  datati 1985.

Oltre i 12-18 mesi tuttavia il momento tende a perdere efficacia:

Just as trees do not grow to the sky, share prices do not rise for ever. The effect tends to work for the best performers over the past 12 months, but not for those that have shone for longer periods, say three or five years.
The value of value
That may be because of another anomaly, the value effect. Investors eventually get too pessimistic about struggling firms, and price their shares too cheaply. That turns them into bargains. Broadly, whereas momentum works over the short term, value is successful over longer periods. The result can be sharp reversals in markets—and nasty surprises for momentum traders. One such turning-point occurred in 2009. Investors who used a short-term momentum strategy, buying the winners of the previous six months, would have lost 46% in the British market and 53% in America, according to the LBS team. Similarly bad years were 1975, 2000 and 2003.
The momentum effect allows investors to get rich slowly. But many fund managers are impatient and thus use leverage (borrowed money) to enhance returns. Such an approach would lose so much money in bad years that clients might lose faith. “To exploit momentum, you need investors who understand the portfolio is going to be subject to a very high level of volatility,” says Mr Marsh of the LBS.


Lo studio di AQR al quale si fa riferimento nel testo lo trovate qui sotto.

Case for Momentum Investing by AQR (Summer 09)

In conclusione: che la forza (relativa) sia con voi...May the force be with you...