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Na obranu efektívnych trhov (In defence of efficient markets) - investujte s Indexfunds.sk

Na obranu efektívnych trhov (In defence of efficient markets)

defenceTeória efektívnych trhov (TET) je základom pre pasívne investovanie. Táto teória tvrdí v skratke, že trhová cena je najlepším odhadom skutočnej hodnoty cenného papiera, pretože trhová cena zohľadňuje všetky dostupné informácie (minulé aj aktuálne), ktoré majú účastníci trhu k dispozícii. Prekonať tak trhový výnos (bez nadmerného rizika) inak ako prostredníctvom šťastnej náhody nie je možné. 

Mnoho analytikov a ekonómov po vypuknutí súčasnej krízy však tvrdí, že teória efektívnych trhov je mŕtva, neplatí, a že aktívne investovanie je rozumné.

Portál Investors Chronicle zverejnil článok, ktorý odpovedá na tri najčastejšie kritiky teórie efektívnych trhov.

  1. TET nevyžaduje, aby investori boli racionálni. Existencia tzv. bublín nie je dôkazom proti TET, keďže tá netvrdí, že trhová cena musí byť vždy rovná skutočnej hodnote aktíva. Prekážky na trhu, ako napr. nemožnosť predávať na krátko, môžu mať za následok prestrelené ceny, ktoré rastú a rastú. Lord Keynes tvrdil, že trhy môžu zostať iracionálne dlhšie, ako my môžeme ostať solventní.
  2. TET tvrdí, že výnosy sú odmenou za podstúpenie rizika. Je ale dôležité povedať si, čo presne riziko je. Riziko nie je, ako si mnohí myslia, len volatilita. Ďalšími rizikovými faktormi sú riziko krachu protistrany, riziko nízkej likvidity, či tzv. fat tails (laicky povedané ide o riziko udalostí, ktoré sa nestávajú často, no ak sa raz stanú tak majú obrovské následky), ktoré je vyjadrené vyššími štatistickými momentmi – kurtózou, alebo skewness.
  3. Z TET vyplýva, že zarobiť aktívnym investovaním (napr. technickou, či fundamentálnou analýzou) inak ako vplyvom náhody nie je nemožné. Proste peniaze neležia voľne pohodené len tak na ulici, alebo na stole. Veľmi málo ľudí zbohatlo porážaním trhu (dosahovaním nadpriemerných výnosov bez podstupovania rizika). Väčšina ľudí kritizujúcich TET pracuje, aby sa uživila, alebo zbohatli na poplatkoch, ktoré pýtajú od invetorov za svoje finančné ‘poradenstvo’.

English summary: The Efficient Market Hypothesis (EMH) is the basis for the passive investing. This theory posits in a nutshell that the market price is the best unbiased estimator of the true value of an asset due to the fact that that the market price reflects all available information (past as well as current). As a result, it is not possible to beat the market (without taking higher risk) unless you are lucky. However, since the outbreak of the current crisis many analysts and economists have been telling the investors that the EMH is dead, is not valid anymore and that active investing is the way to make money.

The magazine Investors Chronicle published a good article that reacts to the three most common criticisms of EMH.

  1. EMH does not require that the investors are rational. The existence of the so called bubbles is not an argument against the EMH. EMH does not posit that the market price should always be equal to the true value of an asset. Obstalces in the markets, e.g. the impossibility to short sell, can be the cause for overpriced securities that keep rising. Lord Keynes used to say that markets can remain irational longer than we can remain solvent.
  2. EMH says that the returns are reward for risk taking. However, it is very important to define what exactly risk is. The risk is not just the volatility, or standard deviation. Further risk factors are the counterparty risk, liquidity risk, fat tails risk (these are events that occur very rarely but when they occur the consequences are massive – e.g. bankruptcy of USA, Lehman Brothers etc.) that can be represented by higher statistical moments like kurtosis or skewness.
  3. It follows from the EMH that it is impossible to beat the market by active investing (e.g. technical analysis or fundamental analysis) unless you are lucky. There is no free lunch or money left on the table. There are very few people that got rich by beating the market (by achieving above market returns without taking risks). Most of the people that criticize the EMH work for living or got rich by collecting fees for their financial ‘advisory’.

pošli na vybrali.sme.sk

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