lunedì 27 settembre 2010

Il lamento degli stock pickers in un mercato ossessionato dai temi macroeconomici

Il Wall Street Journal ha dedicato un bell'articolo alle difficoltà che i fondi hedge azionari stanno incontrando in un mercato che sembra prestare attenzione soltanto ai temi macroeconomici (debito sovrano, inflazione o deflazione, ecc.). La principale difficoltà che incontrano è l'eccesso di correlazione dei singoli titoli con l'andamento dell'indice, un'indicazione che gli investitori sembrano preferire il market-timing e un approccio top-down all'analisi fondamentale,  allo stock-picking e, più in generale, a un approccio bottom-up nella costruzione di un portafoglio azionario:

More and more investors aren't bothering to pore through corporate reports searching for gems and duds, but are trading big buckets of stocks, bonds and commodities based mainly on macro concerns. As a result, all kinds of stocks—good as well as bad—are moving more in lock step.
"It's unbelievably frustrating," says Mr. Pedowitz, who helps manage $4.5 billion for wealthy clients and has 25 years of investing experience. "It's enough to make you crazy."
That kind of talk has become widespread on Wall Street as stock pickers discover that long-held investment strategies are no longer working very well.
Some data suggest that stock pickers are having a harder time outperforming the market. Each year between 1995 and 2007, for example, on average, 50% of mutual funds focusing on large, fast-growth companies beat the Russell 1000 Growth Index, a benchmark for that category, according to Morningstar Inc. Over the past year, only about 24% of those funds beat that index. (...)
Stock pickers say macro forces began moving stocks in a big way during the 2008 financial crisis, and that has continued this year following the European debt crisis. Traders also are focusing on the potential for a double-dip recession to hit corporate profits; on government deficits; and especially on what central banks will do about stimulus programs that pumped cash into the economy.
A host of other factors is contributing to the macro trend. The rise of exchange-traded funds, which typically track broad market indexes or benchmarks, has made it easier for investors to make broad bets on commodities, bonds and currencies. Such funds now account for 30% of daily stock-trading volume. Individual investors and pension funds have been pulling money out of stocks, leaving shares more vulnerable to trading by hedge funds with short time horizons.
Whether such forces will alter the stock-investing landscape permanently is anyone's guess.
"Stock picking is a dead art form," contends James Bianco of Bianco Research. "Macro themes dominate the market now more than ever."
Some stock pickers say the current macro focus is only temporary, and will generate great investment opportunities simply because companies with different outlooks shouldn't be moving in lock step long-term. Eventually, they say, stocks will move in line with their fundamental values. (...)

"All stocks are moving in the same direction," says Ms. Sweeting. "I've spent three decades in this market, and it's the most macro-obsessed I've seen in a long time."
Among stock funds focusing on large, undervalued stocks, about 18 percentage points separated the best and worst performers between 1995 and 2007, according to Morningstar. (To eliminate outliers, the data excludes the top and bottom 5%.) Over the past year, the gap between the top and bottom performers has narrowed to 10.5 percentage points.
Stock pickers say the market's macro focus has meant that company earnings no longer drive stock prices as they once did. Over the past year, stocks that topped quarterly earnings expectations outperformed the market by just 0.3 percentage point during the week after the earnings were reported, according to Birinyi Associates, a research and money-management firm. By contrast, from May 2002 through August 2009, stocks beat the market by 1.5 percentage points following earnings reports that beat expectations.

Questo clima di un mercato "ossessionato dai dati macroeconomici" alimenta lo sviluppo di una sindrome bipolare, ben oltre il tradizionale carattere un po' maniaco-depressivo di Mr. Market nella descrizione che ne dava già sessanta anni fa Benjamin Graham , il padre del value investing e il maestro di tutti gli stock-pickers, in The Intelligent Investor (da Wikipedia:  Graham's favorite allegory is that of Mr. Market, a fellow who turns up every day at the stock holder's door offering to buy or sell his shares at a different price. Often, the price quoted by Mr. Market seems plausible, but often it is ridiculous. The investor is free to either agree with his quoted price and trade with him, or to ignore him completely. Mr. Market doesn't mind this, and will be back the following day to quote another price. The point is that the investor should not regard the whims of Mr. Market as determining the value of the shares that the investor owns. He should profit from market folly rather than participate in it. The investor is best off concentrating on the real life performance of his companies and receiving dividends, rather than being too concerned with Mr. Market's often irrational behavior). Scrive infatti il WSJ: 

Another frustration for stock pickers is the tendency of investors to pile in and out of stocks based on macro considerations of overall market risk.
On a "risk on" day, the mood of investors is confident and they flood into stocks and other investments perceived as risky, such as junk bonds, emerging markets and commodities. But when it's "risk off," money comes sloshing out of those investments and into so-called safe-haven investments such as U.S. Treasurys, the U.S. dollar or Japanese yen. Shortly before the May 6 "flash crash," for example, a macro concern—the yen's sudden rise against the euro—triggered a wave of stock selling.
Some stock pickers are trying to adjust by folding more macro analysis into their thinking.
"For years I had believed that I didn't need to take a view on the market or the economy because I considered myself a 'bottom-up investor,'" said hedge-fund manager David Einhorn of Greenlight Capital last year. "The lesson that I have learned is that it isn't reasonable to be agnostic about the big picture."
Mr. Einhorn, known for his high-profile bet against Lehman Brothers right before it collapsed, has placed a big macro bet that gold prices will rise because of concerns about the U.S. budget deficit and its damaging effect on the U.S. dollar.


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