martedì 7 febbraio 2012

L'investitore quantitativo sopravvive, lo scommettitore forse no.

Il commento settimanale di Bill Dirlam, il creatore di  Decision Moose, è una delle mie abituali letture del finesettimana che a volte ripropongo ai lettori di Alfa o Beta? In questo post di un paio di anni fa, discutendo di  derivati e della loro regolamentazione si affonta il tema della trasparenza nel mondo della finanza, mentre qui ho discusso il Fed Check, un indicatore tecnico creato da Dirlam basato sul confronto dell'andamento dei prezzi delle obbligazioni del Tesoro USA con l'andamento dei prezzi delle materie prime che cerca di prevedere in qualche modo le prossime mosse della politica monetaria USA. Questa settimana Dirlam prende spunto dal Super Bowl per parlare di scommesse e di investimenti, e di come gli scommettitori che seguono un "sistema" spesso finiscano a gambe all'aria, mentre gli investitori, a volte, no. Lo riproduco qui sotto, con il permesso dell'autore. Le considerazioni finali sono state evidenziate da me: il tempo è dalla parte dell'investitore, ma non dello scommettitore. O almeno così si spera...

America's Games
Every year, I have a Super Bowl party, and every year I invite my friend, JT. I know he won't come because he hasn't for about five years now. As he regularly reminds me, it is the biggest sports gambling day of the year. Not only can he bet on the outcome of the game in a variety of forms, he can bet on Madonna's hair color at halftime, the over-under on how long it takes Kelly Clarkson to sing the National Anthem, and the color of the Gatorade that will be dumped on the winning coach.
JT would prefer to be alone while all these weighty decisions are playing themselves out. I understand his point. He either gets drunk, hoots, and dances obnoxiously, blocking the TV when his bets are going well, or he gets drunk, blasphemes, and throws large objects at the TV when they aren't. Either way, his attendance at public functions is always somewhat problematic.
As Thomas Jefferson once remarked,"Gaming corrupts our disposition and teaches us a habit of hostility against all mankind." (Jefferson also kept a careful tabulation of his backgammon and cards winnings-- a good gloat now and then evidently being a perfectly acceptable form of hostility.)
But my friend JT gets it, as do I. He doesn't want to risk further harm to his public reputation any more than I want to risk harm to my new TV.
Ambrose Bierce, a 19th century American humorist, once observed that, "The gambling known as business looks with austere disfavor upon the business known as gambling." His point was that most things we try in life are a gamble-- whether it's starting a business, joining the marines, writing a novel, getting a degree, getting married, investing in the stock market-- or any number of things that require expenditure of one's time and resources in return for an uncertain outcome. In that sense, most of us are gamblers in some form, but as a society we nevertheless look down on the gambling industry, and we decry what wagering does to addicted gamblers like my friend.
American humorist, Mark Twain, was a gambler himself, having grown up on the Mississippi River and later piloting river boat gamblers up and down the waterway. In later years, his weakness drifted toward business speculation rather than games of chance, but they were, in his mind, the same.
"A dollar picked up in the road", he once said, "is more satisfaction to us than the 99 which we had to work for, and the money won at Faro or in the stock market snuggles into our hearts in the same way."
It is the prospect of getting something for nothing that is so appealing to the gambler. Unfortunately, the more likely outcome-- getting nothing for something-- is most often ignored.
His speculations eventually cost Twain everything he'd earned from his writings and lectures, putting him into bankruptcy in his old age. He embarked on a world lecture tour to repay his creditors, during which he offered the following advice on speculation: "There are two times in a man's life when he should not speculate: when he can't afford it and when he can." (He paid everyone back in full, while proving that you haven't lost everything while you still have a sense of humor.)
Twain was a venture capitalist before the term was coined. He was used to unbridled success in his literary endeavors, and thus unprepared for the 70% failure rate that even the best venture capitalists experience today. As a result, he did not diversify his portfolio and minimize his exposures. He eventually wound up betting the house on one project and lost big. Like gambling, investing is often more about managing your money properly than it is about guessing right every time.
I'm not a gambler in the casino-poker-slots-sports-betting sense of the word. I've never even bought a lottery ticket. I do speculate in the investment markets, however, but I like to imagine that what I do takes both skill and a knowledge of probabilities, and is not merely a matter of chance. My conceit in this respect, I must note, is not uncommon to many gamblers, especially poker players. Indeed, the notion that poker is a game of skill-- and not really gambling-- is the primary rationale behind the recent push to legalize it on the internet. (I do not profess to know whether poker is all about skill or not, but if it is, I do know I don't have any.)
Traditionally, the available information one has prior to taking a position impacts the risk (chance) associated with it. Assessing that information and arriving at the right conclusion is where the skill comes in. The more relevant information, the more skill required. The less advance information-- imagine a coin toss-- the more it becomes a game of chance.
"A gambler with a system must be, to a greater or lesser extent, insane." --George Augustus Sala (1828-95)
Back in 2004, Mark Cuban, venture capitalist and owner of the Dallas Mavericks, noting the burgeoning availability of injury reports and team-related news in professional sports, suggested in his blog that, with all the sports information and talk shows on radio and TV, there should be a hedge fund to "invest" in sports bets. He never acted on it personally (since he owns a team and gambling is frowned upon in such circles), but one was started in London in 2010, Centaur Galileo, and it closed down this week.
The idea that bit-heads can throw all kinds of computing power at the data around sporting contests and beat the bookies proved to be a bust. That is because bookies already use the same information to
handicap the outcomes, creating a 50-50 bet. Not only do they do it best, they let "the smart money" adjust their odds. That makes beating them a coin toss, a game of chance, not skill.
Most of you have endured my incessant whining about our recent lack of political and economic
transparency, and how that has turned the markets into a casino. 2011 was particularly volatile and largely trend-less. Not good for us trend followers, although we did manage to outperform the S&P in 2011. Stocks finished the year where they started. Bonds were the big winner, with gold coming in second, but big corrections periodically interrupted those trends.
I've gotten several emails lately expressing surprise that the model hasn't abandoned its latest switch to bonds, despite a nice run in stocks and gold in 2012, and despite a relatively flat return on bonds since the switch. First off, while the gain or loss in the chosen asset is important-- it isn't the only consideration. In this case, switching from gold into bonds avoided a steep loss (and a lot of heartburn) in gold at the end of 2011.
I know this, because, as I wrote at the time, I didn't switch to bonds. Yes, I rode gold into the abyss and back again. To my credit, I never got drunk and threw large objects at Maria Bartiromo on the Closing Bell, even as my bullion bet screamed south over the holidays, but there were times when I thought about it. Now, when I find myself dancing obnoxiously in front of the TV, celebrating gold's success, I make it a point to tell myself to shut up, sit down, and take some profits. This too shall pass.
All of which points up the big difference between gambling and investing. The difference is hardly in the emotional response, which can be just as gut wrenching or euphoric. The difference, quite simply, is time.
Bets have a fixed beginning and end-- when the game, the hand, or the race starts and finishes. An investor, conversely, determines when his wager begins and ends-- when he takes or abandons his position out of fear or greed. That is a power that the gambler doesn't have-- that he cedes to the bookie. Timing is the great advantage that allows bookies-- and investors who can curb both fear and greed-- to make money, while gamblers invariably languish.
And it is why, unlike a gambler, an investor with a system is not necessarily, to a greater or lesser extent, insane.

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