L'S&P500 in euro e il volo degli uccelli e degli hedge funds

La volatilità del cambio euro/dollaro sta mettendo a dura prova la pazienza di molti investitori...non è un caso allora che venga quotato per la prima volta un ETF che replica l’indice S&P 500 con copertura rischio cambio:
db x-trackers S&P 500 (EUR) ETF
Classe di attività: ETF azionario
Codice ISIN: LU0490619193
Commissione di gestione annua totale: 0.30%
Politica distribuzione dividendi: non distribuiti
Indice Benchmark: S&P 500 Total Return Net-Index
Copertura rischio cambio: sì

Ci sono eminenti colleghi che studiano come si creano gli storni di uccelli e come fanno a muoversi tutti insieme: il punto fondamentale sembra essere che le correlazioni tra il comportamento degli uccelli sono scale-free: The change in the behavioral state of one animal affects and is affected by that of all other animals in the group, no matter how large the group is. Scale-free correlations provide each animal with an effective perception range much larger than the direct interindividual interaction range, thus enhancing global response to perturbations. Our results suggest that flocks behave as critical systems, poised to respond maximally to environmental perturbations.

Chi conosce bene l'industria del risparmio, o per chi ha semplicemente letto One Up on Wall Street di Peter Lynch troverà l'idea familiare: per comprendere la dinamica degli storni forse sarebbe più semplice studiare le scelte dei gestori di fondi di investimento. Sembra un destino ineluttabile...ora anche i gestori degli hedge funds fanno fatica a differenziarsi ...  la potenza delle correlazioni scale-free?

An analysis of hedge-fund returns by Andrew W. Lo, a Massachusetts Institute of Technology researcher and fund manager, shows that funds have become more likely to lose and gain money together over the past five years. There is a roughly 79% chance any randomly selected pair of hedge funds will move up and down in tandem in a given month from 2006 to 2010, compared with a roughly 67% likelihood from 2001 to 2005, according to his analysis.
One explanation is that they are focusing increasingly on the same stocks. Last year, for example, stock in Apple Inc. was held by 55 of the nearly 200 large hedge funds tracked by AlphaClone LLC. In 2008, by comparison, the favorite hedge-fund stock, Microsoft Corp., was held by 34 funds.
"The whole hedge-fund industry is a series of crowded trades," says Mr. Lo. (...)

Many hedge-fund managers freely share investment ideas with one another—a practice that might seem at odds with their aspirations to post higher returns than competitors. Fund managers, traders and hedge-fund chiefs exchange ideas through instant messages, emails and private chats.
Sharing ideas can reap financial benefits. When multiple hedge funds jump into the same stock, that tends to push the share price higher—an obvious benefit to the fund manager who got in first.
Such activity isn't legally problematic unless there is an agreement among funds that share ideas to artificially influence a security's price. That kind of behavior can be considered market manipulation, particularly if participants are deliberately passing false information to influence a security's price.
Sometimes, trades stem from "idea dinners," where hedge-fund managers discuss stocks, markets and economic trends.



L'origine del comportamento è anche l'oggetto di questo articolo di Thomas Brennan e  Andrew Lo che giunge a conclusioni che rendono il mio apparente volo pindarico dagli storni di uccelli agli storni di gestori di hedge funds un po' meno implausibile (ho aggiunto io la sottolineatura nell'ultimo paragrafo dell'abstract):

We propose a single evolutionary explanation for the origin of several behaviors that have been observed in organisms ranging from ants to human subjects, including risk-sensitive foraging, risk aversion, loss aversion, probability matching, randomization, and diversification. Given an initial population of individuals, each assigned a purely arbitrary behavior with respect to a binary choice problem, and assuming that offspring behave identically to their parents, only those behaviors linked to reproductive success will survive, and less reproductively successful behaviors will disappear at exponential rates. When the uncertainty of reproductive success is systematic, natural selection yields behaviors that may be individually sub-optimal but are optimal from the population perspective; when reproductive uncertainty is idiosyncratic, the individual and population perspectives coincide. This framework generates a surprisingly rich set of behaviors, and the simplicity and generality of our model suggest that these derived behaviors are primitive and nearly universal within and across species.

Il libro di Lynch è davvero divertente...l'articolo sul Wall Street Journal me lo ha fatto riprendere in mano dopo 4 anni...ecco qui qualche citazione scelta qua e là...



 To the list of famous oxymorons - military intelligence, learned professor, deafening silence and jumbo shrimp - I'd add professional investing (p. 55)

Reverting to "group think", and reminding himself that it's safer to pick companies in a crowd, he ignores the words of wisdom that came either from Aeschylus the playwright, Goethe the author, or Alf, the TV star from outer space: 


Two's a company, three is a crowd
Four is two companies
Five is a company and a crowd
Six is two crowds
Seven is one crowd and two companies
Eight is either four companies or two crowds and a company
Nine is three companies
Ten is either five companies or two companies and two crowds
(p. 62-63)


A stock does not know that you own it (p.286)

Gli avvoltoi dei mercati hanno i giorni contati? L'opinione di Engle e Lo sul flash crash

L'Economist dedica un breve articolo al rapporto della commissione della SEC-CFTC sul flash crash del 6 maggio scorso. L'impressione condivisa è che il rapporto sia davvero deludente sul fronte delle proposte per la prevenzione dell'instabilità dei mercati, bene esposta nell'analisi degli avvenimenti:

Those hoping that the report would outline steps to avert a similar crash were disappointed. The report is like “the black-box recording devices you recover from aviation disasters,” says Michael Kearns of the University of Pennsylvania. “It’s entirely descriptive. It doesn’t say how to fix anything.” The SEC has already put in place some new policies, such as “circuit-breakers” which temporarily suspend trading if a price moves by more than 10% in five minutes. But critics say still more needs to be done. 

Tra le opinioni più autorevoli sull'argomento l'Economist riporta quelle del premio Nobel Robert Engle e del grandissimo Andrew Lo: forse gli ordini stub, ordini avvoltoio a prezzi irrealistici che aspettano le crisi di liquidità dei mercati per essere soddisfatti, hanno finalmente i giorni contati

An advisory committee on regulatory issues has been asked by the SEC and CFTC to submit recommendations later this month on how to modernise market structure and trading rules. Robert Engle of New York University’s Stern School of Business, a member of the committee, wants to use “peak-load pricing”, which would reward trading firms for staying in the market during periods of high volatility. Others worried about the hyperactivity of high-frequency traders have suggested charging them for each trade they break, although that would not necessarily improve liquidity and is an idea that is unlikely to be pursued.
Stub quotes are likely to be eliminated. This could help address “90% of the issues we saw on May 6th”, says Andrew Lo of the Massachusetts Institute of Technology. The SEC is also considering rules that would prevent trades from occurring unless they fell within a certain range based on the security’s current price. These “limit-up/limit-down” trading parameters would help avert dramatic swings in prices, just as circuit-breakers do, but without causing trading to seize up. And regulators would be wise to do more research into the market for exchange-traded funds, which showed itself to be particularly vulnerable to price swings on May 6th.
The flash-crash report provides some vindication for high-frequency trading firms, which had been widely blamed for the mayhem that day. It is true that many of them fled the market when prices plummeted but as the report points out, so did other traders. That may not save them from stricter rules. American supervisors could still act to curb their speed; Britain’s Treasury recently commissioned a study on the effect of high-frequency traders on markets. Fast as they are, they may not be able to outpace regulators.