Portafogli e Strategie (investimento) Portafoglio, asset allocation, retirement

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Con questo articolo ritorno sull'argomento della costruzione del portafoglio e del perchè sia utile oltre alla parte core azioni/obbligazioni anche possedere delle asset class alternative con elevata volatilità e bassa correlazione.

Shannon's Demon, Parrondo's Paradox

Portfolio Creation : Part I

rsharat.substack.com

 

[paradossista]

Intervista di Morningstar a Hendrik Bessembinder.

https://www.morningstar.com/podcasts/the-long-view/4d0b7321-0f52-421a-adb0-024dbc95a562

Il succo del discorso è questo:

What’s going on here from a statistical viewpoint is there’s positive skewness in compound returns. And a little bit of a techy term, but the essence of a positively skewed distribution is that most of the individual outcomes are lower than the average outcome. If you prefer, the median outcome is less than the average outcome.
But the only way that can be true, that most outcomes are less than the average is that you’ve got a few, relative few, outcomes that are much bigger than the average.

Da un'altra fonte un grafico che chiarisce il paragrafo precedente; si osserva lo stesso fenomeno sia analizzando vent'anni di dati che novant'anni di dati del mercato azionario statunitense.

Analizzando i dati dal 1926 al 2016, la sopravvivenza dei titoli azionari è un caso raro.

Out of the almost 26,000 stocks in the original study, only a little over 4,000 were still in the database, still listed as of the end of 2016. So, the substantial majority of the stocks did disappear, did get delisted. There’s a variety of reasons that stocks can delist, but over 9,000 of these stocks were delisted by the exchanges for negative performance reasons, for income-related reasons, for violating minimum share price requirements.

Going a little bit from memory here, but I think the average time that a stock was listed in the database was only in the vicinity of eight to nine years or so.

Come avevo già fatto notare nel post #123 , il mercato azionario si evolve ed il numero di titoli statunitensi quotati è in calo dagli anni '90.

Altri passaggi interessanti.

Skewness is induced by compounding, and the longer we compound, the more skewness we get. And the higher the volatility of the short-run returns, say the monthly returns, the more skewness we get in the long-run returns. So, that insight, the skewness comes from compounding, and the more volatile the returns are, the more skewness you get underlies and provides perspective on your question about market cap. Large market-cap stocks tend to be less volatile than small market-cap stocks.

In any case, if the world has changed so that the companies that do get newly listed are less volatile, have less-volatile returns, perhaps are larger at the times of their listing, then I would expect that that would translate into moderated, less skewness in long-term returns going forward.

But I did find that on average, the stocks that turned in the best returns did have both higher dividend yields and higher dividend growth than other stocks. You’re going to find plenty of exceptions to that, though. You’re going to find plenty of cases of stocks that are not paying dividends that are nevertheless among the top performers.

One way of summarizing it is that for those people who were already inclined to think that the best strategy is diversify, buy and hold, my study gives them some new ammunition in support of that. On the other hand, for those people who think that they should be active investors, my study gives them some new ammunition. I’m not sure it has changed anybody’s mind. I’m not sure it’s moved anybody from one camp to the other, but it’s given people in each camp some additional reason to think that they’ve got the right position.

Where the skewness really shows up is when you compound returns over longer periods, like say a decade, a decade or longer. The skewness becomes really strong. A normal distribution doesn’t have any skewness.
So, the evidence is really strong that if we look at longer horizons, stock returns are not normal.

 

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Io seguo sempre il settore obbligazionario high yield. Qui trovate qualche dato di confronto tra il mercato europeo e quello statunitense.

https://www.kkr.com/content/dam/kkr/insights/pdf/benefits-of-multi-asset-credit.pdf

 

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E’ il motivo per cui detengo una posizione, ma limitata, sul bitcoin: è una scommessa asimmetrica come ho spiegato al post #100 ed inoltre è un asset con una elevata volatilità ma poco correlato con altre componenti del portafoglio, e potrebbe generare un valore aggiunto con il ribilanciamento del portafoglio.

High-vol uncorrelated assets are capital efficient and must be rebalanced within a diversified portfolio with great discipline to make it all work. If so, and if they are good to begin with, and if you can stick with it, I think they can really help and help more so than low-vol versions.​

In Praise of High-Volatility Alternatives

 

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Un buon riassunto dell’ultimo libro di Morgan Housel, con una lunga lista di spunti utili.

 

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Credo sia improbabile se non impossibile invertire la tendenza, visto che la "nuova" Commissione Europea proseguirà con le stesse politiche della precedente.

 

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Vorrei aggiungere due commenti a questo articolo:
- la popolazione anziana oltre gli 80 anni vede incrementare i problemi di declino cognitivo, come ad esempio la crescente difficoltà a seguire correttamente le proprie finanze e con un aumento delle frodi finanziarie
- i pensionati del futuro probabilmente si vedranno rivalutare anno per anno il montante pensionistico con dei coefficienti non soddisfacenti, vedi i post #61 e #62

L’inverno demografico è alle porte. Siete preparati?

Ci sono dei numeri strettamente collegati all’attualità che tendiamo a snobbare o ignorare. Numeri che non fanno così notizia come il cambiamento climatico

investireconbuonsenso.com

 

[paradossista]

Un paio di slide interessanti.

Guide to Alternatives

Get insights on macro topics such as manager dispersion, while also diving into real estate, private credit, private equity and hedge funds and more.

am.jpmorgan.com

 

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Altre slide da un altro report di JP Morgan.

Guide to the Markets

The J.P. Morgan Guide to the Markets illustrates a comprehensive array of market and economic histories, trends and statistics through clear charts and graphs.

am.jpmorgan.com

 

[paradossista]

Il valore atteso e game theory applicati ai campi più disparati: un articolo divertente da leggere, dedicato al libro di Nate Silver “On the Edge”.

The Power of Thinking Like a Poker Player