Le stime sugli utili 2010 e il difficile mestiere dell'analista

Secondo le sitme degli analisti finanziari  i profitti delle compagnie che compongono l'indice S&P 500 dovrebbero avere una crescita superiore al 13% confrontando le stime bottom-up per l'anno 2012 con quelle per l'anno 2011. Nel 2009 gli utili per azione complessivi dell'indice S&P 500  sono stati di $57.12 con una crescita spettacolare a $83.32 nel 2010, corrispondenti alla ripresa dopo la recessione. Gli utili attesi per il 2011 son pari a $97.46 e le stime per il 2012 alla data del 30 giugno scorso si attestano a $110.70 (secondo Standard and Poors, alla data del 6 luglio, sfiorano i $113).
Il rapporto price/earnings  dell'indice per il 2010 era circa pari a 15.9x  ma è atteso in calo a 13.6x per il  2011 e in ulteriore discesa per il 2012 (con il prezzo calcolato al valore di chiusura di ieri dell'indice, cioè 1353) attestandosi a circa 12x for 2012. Se confrontato con i rendimenti delle obbligazioni del Tesoro U.S.A. decennali, intorno al 3.15%, questi multipli sono molto attraenti, con un earnings yield che cresce dal 7.3% del 2011 all'8.3% atteso per il 2012.

Ma la realtà potrebbe essere ancora migliore: gli analisti sistematicamente a sottostimare gli utili e le sorprese positive (annunci trimestrali degli utili migliori delle stime degli analisti) sono state più numerose delle sorprese negative (annunci trimestrali degli utili peggiori delle stime degli analisti) in un rapporto di circa 3:1.

Questo dato incoraggiante deve essere però confrontato con un dato meno entusiasmante: secondo Thomson Reuters il rapporto tra le comunicazioni (da parte delle società stesse) di profitti attesi in ribasso e quelle di profitti attesi in rialzo è aumentato a circa  2.6 da un valore di 1.8 per il primo trimestre del 2011 e di circa 1.2 per il secondo trimestre del  2010: una proporzione crescente di società ha dunque preannunciato che i profitti non saranno all'altezza delle attese.


Una seconda ragione per essere prudenti viene dalle considerazioni che Jason Zweig ha fatto qualche giorno fa sul Wall Street Journal: anticipando l'incipiente earnings season con il tradizionale bombardamento mediatico Zweig osserva come  a dispetto del fatto che la percentuale di società che hanno superato le attese venga utilizzata come un barometro della condizione generale dell'economia e delle tendenze future degli indici azionari these positive surprises are becoming so common they are nearly universal. They are predetermined in a cynical tango-clinch between companies and the analysts who cover them. And there is no reliable evidence that the stock market as a whole will earn higher returns after periods with more positive surprises.
In the first quarter of 2011, according to Bianco Research, 68% of the companies in the S&P 500 earned more than the consensus, or median, forecast by analysts.
What's more, that quarter was the ninth in a row when at least two-thirds of the companies in the S&P generated positive surprises—and the 50th consecutive quarter in which at least half of the companies surpassed the consensus forecast of their earnings.
Even in the depths of the financial crisis, from the third quarter of 2008 through the first quarter of 2009, between 59% and 66% of companies beat expectations, according to Wharton Research Data Services, or WRDS.
In short, there isn't anything surprising about earnings surprises. They aren't the exception; they are the rule. "All the numbers are gamed at this point," says James A. Bianco, president of Bianco Research.
With trading volumes down on Wall Street and commission rates near record-low levels, brokerage firms are starved for the revenue that stock trading used to provide. Since changes in earnings forecasts encourage many investors to buy or sell, analysts have an incentive to revise their predictions more often. But that hasn't made the forecasts more accurate. On average, according to Denys Glushkov, research director at WRDS, stock analysts are revising their earnings forecasts nearly twice as frequently as they did a decade ago. And while the typical forecast missed the mark by 1% in the 1990s, that margin of error has lately been running at triple that rate.
What's going on here? In what used to be called "lowballing" but now goes by the euphemism of "guidance," an analyst will guesstimate what a company will earn over the next year or calendar quarter. Then the company "walks down" the analyst's forecast by providing a series of progressively lower targets until the analyst's prediction falls slightly below where the actual number is likely to come out.
Voila: The company gets to announce earnings that are better than expected, while the analyst gets to tell his investing clients that his estimate was pretty accurate and conservative to boot. (...)

With analysts playing the guidance game more than ever, their forecasts tell us less than ever about where the stock market is going. So over the next few weeks, don't be fooled into thinking that there is anything surprising about the flood of positive earnings surprises. And don't believe anyone who tries to tell you that these fake surprises mean nothing but good times are ahead for the economy and the stock market.

Un indice per gli investitori value?

Joel Greenblatt è l'autore della Formula Magica (!) e uno dei value investors più noti. Il sucesso di pubblico della Fomula magica è stato tale che da circa sei mesi è possibile investire in un fondo che replica la composizione del portafoglio della Formula Magica, utilizzando però 400-100 titoli anzichè realizzando un portafoglio concentrato in 20-30 società come proposto originariamente. L'idea è di costruire un fondo indicizzato rispetto a un benchmark che anzichè calcolare i pesi dei singoli titoli in modo proporzionale alla capitalizzazione di borsa come succede per gli indici tradizionali costruisce i pesi tenendo conto della valutazione del titolo. Si tratta dunque di un value-weighted index fund. Secondo Greenblatt
We just took the logic that, if we can buy a stock at a bargain price that we want to own more of that one. So, instead of weighting by market cap or equally weighting or by economic size, we weight by how cheap we can buy a company. So, the bigger bargain that we find, the more we own of it. So, we actually took the largest 1,400 companies listed in the United States, and we put together an index of 800 to 1,000 of those companies. And we didn’t equally weight them, we weighted them according to value. So, we have heavier weights in those stocks that we believe are the cheapest, and we have very simple metrics that we use to decide which are the cheapest stocks and we buy more of those and every day we go out and rebalance the portfolio, so that it’s constantly and continually rebalanced towards the cheapest stocks that we can find based on those simple metrics. And over time, over the last 20 years when we tested them doing this kind of thing beat a market cap-weighted index by about 6% a year and it had the same volatility and the same beta as market cap-weighted index, but you’ve got six extra points which was very exciting to us and it makes total sense to us. Why wouldn’t you want to concentrate in the cheapest stocks that you can find?
Leggio: You are basically using the same formula that you outlined, The Little Book That Beats the Market which is earnings yield and returns on invested capital, but instead of investing in just 30 to 50 stocks, you are investing in 800 to a 1,000 stocks?
Greenblatt: Right, we used very similar metrics and the principles are really based on Benjamin Graham and Warren Buffett. Benjamin Graham said, let’s buy stocks that are cheap, figure out what it’s worth and pay a lot less, very straight forward. Warren Buffet added one twist that probably led him to be one of the richest people in the world. He said, well it’s nice to buy cheap, but if I can also buy a good company cheap that’s even better.
So, we have a metric in here that we look at is how good is the business and the way we measure that is based on its return on tangible capital. In other words, how well does that business turn its investments in working capital and fixed assets into earnings? The better it does the better business we think it is. So, we basically weight how cheap the company is and how good it is, and we combine that into our value-weighted index.









Greenblatt di fatto propone un portafoglio che replica un'indice value weigthed

Market cap-weighted indexes subtract 2% from the returns you’re supposed to have. Equally weighted and fundamentally weighted indexes give you back that 2% that the inefficiencies of the market cap-weighted index took away from you. So they don’t really, in my mind, add value, they just make the errors random, and they give you back the 2% inefficiencies of market-cap weighting. So, what we’re trying to do here is add value. We are trying, by weighting toward the cheapest stocks that we can find continually, we are trying to actually make extra money.


So some of our extra money comes for free, our extra money over the traditional indexes, because they are 2% inefficient. So the first 2% of what we make additionally is just making back the errors that are being done in a traditional S&P 500 or Russell 1000 Index. And the rest of the money we are adding 4% or 5%, in addition to what a fundamentally weighted index would make or a equally weighted index would make, is really the result of taking advantage systematically of the mistakes that people make by over discounting certain stocks that are out of favor. 

Qui potete seguire l'andamento del fondo Formula Investing US Value 1000 A FVVAX: secondo il prospetto informativo The Fund will normally invest at least 80% of its net assets in the securities of U.S. companies. The Adviser’s security selection process begins by analyzing a proprietary database of a universe of the largest 1,400 U.S. listed securities measured by market capitalization and ranking the securities using a proprietary quantitative methodology. From this universe, the Adviser uses a proprietary strategy to construct a portfolio of approximately 800-1000 of the highest ranked common stocks that is weighted based on the Adviser’s assessment of a security’s fundamental value, based on factors such as earnings yield and return on capital. 
C'è anche un fondo analogo che investe in azioni non U.S.A.: FNVAX Formula Investing Intl Value 400: 
in questo caso l'universo di investimento comprende securities of non-U.S.-based companies with market capitalization of approximately at least $1 billion and ranking the securities using a proprietary quantitative methodology. The Fund primarily purchases common stocks and depository receipts. From this universe, the Adviser uses a proprietary strategy to construct a portfolio of approximately 300-500 of the highest ranked securities weighted based on the Adviser’s assessment of a security’s fundamental value, based on factors such as earnings yield and return on capital.

I fondamentali del fondo, a confronto con quelli dell'indice S&P500 e con quelli della media dei fondi classificati da Morningstar come Large Value mettono in evidenza un notevole accento sul cash flow, come era lecito aspettarsi!

Value & Growth Measures

	Stock Portfolio	Benchmark	Category Avg
As of 12/31/2010 *Forward-looking based on historical data Style and Market Cap Breakdown and Value and Growth Measures are calculated only using the long position holdings of the portfolio.
Price/Prospective Earnings*	13.19	14.07	12.80
Price/Book*	1.97	2.10	1.85
Price/Sales*	1.03	1.33	1.12
Price/Cash Flow*	5.92	7.26	7.28
Dividend Yield %	2.00	2.09	2.75
Long-Term Earnings %	11.09	9.86	8.69
Historical Earnings %	4.80	6.87	-2.94
Sales Growth %	1.96	1.40	-13.38
Cash-Flow Growth %	11.07	3.04	-2.76
Book-Value Growth %	4.99	3.77	-24.5

Il lancio di GTAA e i dubbi di Jason Zweig

Mebane Faber annuncia la prossima quotazione di un ETF dal ticker GTAA le cui scelte di portafoglio si fondano sul trend following e sull'impiego del momento e della mean reversion. E' un concorrente potenzialmente molto agguerrito dopo il terribile biennio 2007-2008, durante il quale le tradizionali strategie di asset allocation hanno sofferto molto per il simultaneo collasso sia delle azioni che del mercato immobiliare e delle materie prime. Così non mi stupisce che i pesi massimi dell'informazione finanziaria stiano già alzando un bel fuoco di sbarramento.

Qui sotto potete ascoltare l'opinione di Jason Zweig che solleva numerosi dubbi sul valore aggiunto dell'asset allocation tattica rispetto ai più tradizionali portafogli diversificati strategici.



Qui sotto invece potete ascoltare un'opinione di Robert Arnott di Research Affiliates sull'impiego di strumenti tattici per le decisioni di asset allocation. L'intervista è vecchia di qualche mese.  Arnott è un acceso sostenitore di una asset allocation tattica che impiega strumenti di valutazione fondamentali per le decisioni di portafoglio. E' infatti il creatore degli ETF fondamentali, scambiati anche sul mercato italiano, in cui in cui i pesi dei titoli azioniari in portafoglio anzichè essere proporzionali alla capitalizzazione, sono stabiliti utilizzando diverse metriche di tipo value (dividendi, ricavi, utili, ecc.).



Se siete curiosi di approfondire alcune idee alla base della strategia di Faber potete dare un'occhiata anche qui,  se invece volete approfondire il meccanismo di costruzione degli indici fondamentali sui quali si basa l'asset allocation  raccomandata da Arnott potete farlo qui.