Via Greg Mankiw’s Blog.

Súvisiace články :

1. Zlato na 10 000 USD?
2. Does Gold Belong in My Portfolio? (Patrí zlato do portfólia?)
3. Zlatá horúčka (The Gold Frenzy)

Bhatia skúmal 57 indických aktívne spravovaných fondov (len toľko ich malo aspoň 6-ročnú históriu) investujúcich do indických blue chipov v rozmedzí rokov 2003 až 2009. Ich výkonnosť porovnával s pasívne spravovaným fondom, ktorý replikuje index S&P CNX Nifty. V prvých troch rokoch boli na tom aktívne spravované fondy lepšie, no na záver, ku koncu roka 2009 takmer 60% aktívne spravovaných fondov dopadlo horšie ako pasívny fond. Tento trend má pokračovať, keďže na indickom trhu bude stále viac investorov, ktorí si budú navzájom konkurovať a robiť tak trh stále viac efektívnym.

V druhej časti štúdie skúmal Bhatia, či sa na základe minulej dobrej výkonnosti dá predpovedať budúca výkonnosť a vybrať tak fond s nadpriemernými výnosmi. Skúmal výkonnosť 111 akciových fondov investujúcich do indických blue chipov v rokoch 2007 až 2009. Ak totiž má niekto schopnosť poraziť trh a nejde pri tom o náhodu, bude medzi najlepšími fondami aj v nasledujúcom roku, aj v tom ďalšom a v ďalšom atď. Výsledky však ukázali, že z fondov, ktoré boli v prvom roku medzi najlepšími 25%mi, bolo v druhom roku v tejto top skupine len niečo menej ako 5% fondov. V treťom troku to bolo menej ako jedno percento. Tieto výsledky sú ešte horšie ako vyplýva z teórie pravdepodobnosti, čiže horšie ako keby boli výnosy fondov náhodné. Keby bol totiž nadpriemerný výsledok fondu len vecou náhody a nie talentu manažéra, aj v treťom roku by medzi top 25% bolo 1,56% fondov z top skupiny prvého roku. 

Ukazuje sa teda, že indický akciový trh, aj keď patrí k rozvíjajúcim sa trhom, je stále viac efektívnejší. Dosahovať na ňom výnosy vyššie ako je priemerný výnos trhu je dlhodobo nemožné. Jedine vplyvom náhody. Spoliehať sa teda na technickú, či fundamentálnu analýzu pri obchodovaní indických akcií v situácii, keď ani miestni indickí investiční manažéri tento trh nevedia poraziť, je nerozumné rozhodnutie.

English summary (taken from the original article): The fact that index funds outperform the majority of actively managed mutual funds has been widely accepted in many areas of the market. As you move away from the most efficient markets, however, active proponents get bolder. The less liquid and less efficient the market, they say, the more opportunity there is to outperform. These arguments are echoed within the Indian media and the Indian investment management industry. Proponents of active fund management in India variously claim that Indian markets are inefficient; that Indian fund managers are privy to information not available to the rest of the market etc.

Hemen Bhatia analyzed therefore in the summer edition of the Journal of Indexes the performance of actively managed equity mutual funds in India. The study considers 57 funds (only 57 funds have been in existence for more than 6 years) over the period 2003 to 2009. Bhatia compared their performance with the performance of passively managed ETF mimicking the large cap S&P CNX Nifty Index. As of December 2009, 57 to 60 percent—or 32 to 35—of the funds have underperformed the Nifty BeES. While active management had a strong run for the three-year periods ending between December 2006 and February 2008, more recently, those funds have trailed. We believe that this trend is here to stay. The argument for indexing in an efficient market is inviolable, and there is a strong argument to be made that the Indian market is rapidly evolving.
In the second part of the study Bhatia analyzed the predictability of alpha on the grounds of past performance. He studied 111 large cap funds over the period 2007 to 2009. If fund management is a skill that can be repeated, then most of the top-quartile fund managers should be in the top quartile the next year and the year after that. But if it is a random event, then the law of probability should apply. In a random scenario, only 6.25 percent of total funds should repeat top-quartile performance a year later, and 1.56 percent of the original sample should remain in the top quartile three times in a row. The actual results prove that amongst the large-cap group, less than 5 percent—or five individual funds—managed to repeat their top-quartile performance over two years, and less than 1 percent—essentially one fund—repeated for all three years.

As a result, it is more and more evident that the Indian market is becoming efficient. Beating the market continually for a long period of time is not possible except when you are lucky. Relying on technical or fundamental analysis when investing in the Indian stock market is a fool’s game. After all, if domestic managers with firsthand knowledge of a market as complex as India are unable to add value, what chance do Western managers have of doing better? It’s a gamble you’ll lose, whether you’re betting in New York, London or Delhi.

Súvisiace články :

1. Teória efektívnych trhov: evidencia z malej otvorenej ekonomiky (Efficient market hypothesis: evidence from a small open-economy)
2. Grécke mýty a tragédia eura (Greek Myths and the Euro Tragedy)
3. The index funds gospel according to Dr Burton Malkiel (Posolstvo indexových fondov podľa Dr. Malkiela)

Ak je táto teória pravdivá, potom je zverovanie peňazí do rúk špekulantom, alebo manažérom bežne ponúkaných podielových fondov stratou peňazí.

Ozdemir vo svojej štúdii zistil, že istanbulský akciový index ISEN 100 predstavuje efektívny trh a jeho správanie je teda v súlade s teóriou efektívnych trhov. Z toho vyplýva, že špekulovanie s týmto indexom, či využitie aktívne spravovaných podielových fondov na investíciu do neho, je neoptimálnym riešením. Investícia do pasívne riadeného fondu s minimálnymi poplatkami, ktorí  ‘len’ nakúpi a drží akcie indexu ISEN 100 je pre investorov najlepšou voľbou.

English summary: Zeynel Abidin Ozdemir from the Gazi University in Ankara, Turkey, analyzed in his study Efficient market hypothesis: evidence from a small open-economy the validity of the Efficient Market Hypothesis (EMH) on the Istanbul stock exchange. The EMH posits that the current price is the best estimate of the instrinsic value of a company’s share due to the fact that every single bit of new information is immediately reflected by the market participants into the current price. The result is that nobody can beat the market return on an efficient market unless he is lucky (here and here). If this hypothesis works then actively managed investments and speculations are waste of time and money.

Ozdemir found out in his study that the market for the Turkish blue chip stocks is an efficient one. As a consequence, speculating with these stocks or actively investing in them is a suboptimal decision. A passive investment in an index fund that buys and holds the stocks in the ISEN 100 index is a superior solution. On efficient markets (e.g. USA, EU, Asia etc.), investors using passive, index funds are better off than investors pursuing above market returns in actively managed mutual funds.

Súvisiace články :

1. What’s the state of the economy? (Aký je stav ekonomiky?)
2. De-Snooping Market Timing Rules (Výkonnosť indikátorov po zohľadnení data miningu)
3. Market Madness? The Case of Mad Money

English summary: Norwegian wealth management company Connectum Capital Management recommended their clients to sell all their positions in hedge funds. Richard Stott, one of the partners of the said company, stated in a letter that according to a vast number of empirical studies these funds do not contribute positively to the returns or volatility of an investor’s portfolio. Another arguments against the hedge funds are high fees, lack of liquidity and regulation. Index funds are the preferred investment vehicle.

Via IFA Blog.

Súvisiace články :

1. Hedge Fund Attrition, Survivorship Bias, and Performance
2. Cloning of Mutual Funds (Klonovanie podielových fondov)
3. The index funds gospel according to Dr Burton Malkiel (Posolstvo indexových fondov podľa Dr. Malkiela)

English summary (taken from the original article):

In his classic 1959 book that defined modern portfolio theory, Markowitz considers the semi-variance as a potential measure of risk. For symmetric distributions, the true variance and semi-variance are interchangeable. For longer holding periods (e.g., a year or more), distributions of returns are right skewed, and no single measure of dispersion (e.g., the variance or the semi-variance) summarizes the overall risk of the distribution.

Súvisiace články :

1. Does Gold Belong in My Portfolio? (Patrí zlato do portfólia?)

English summary:

Website Indexuniverse.com published yesterday an interview with William Bernstein, known in the USA for his support of index funds and passive investing. In the interview, he recommends investing in low-cost index funds and discourages people from trading and speculating on individual stocks.

Via Abnormal Returns.

Súvisiace články :

1. Eugene Fama interview
2. Interview with Richard Thaler
3. ETF Tracking Error Explodes in 2009

Doron Avramov z University of Maryland, Tarun Chordia z Emory University, Gergana Jostova z George Washington University a Alexander Philipov z tej istej univerzity zverejnili tento mesiac štúdiu Anomalies and Financial Distress, v ktorej skúmali spojitosť medzi objavenými anomáliami a finančnou situáciou firiem. Zistili, že skúmané ‘anomálie’ (price momentum, earnings momentum, credit risk, analyst earnings forecast dispersion, idiosyncratic volatility, capital investments) sú v skutočnosti len zdanlivými anomáliami a objavujú sa len pri akciách firiem s nízkou trhovou hodnotou s úverovým ratingom horším ako BB+ v období, kedy im bol znížený rating. Keď spomínaní vedci vylúčili tieto firmy zo skúmanej vzorky amerických firiem tzv. anomálie sa stratili. Inými slovami, skúmané anomálie sú v skutočnosti len zdanlivé a vyššie výnosy akcií, ktorých sa týkajú, sú dôsledkom rizika, ktoré je spojené s finančnou situáciou týchto firiem. O žiadne anomálie nejde - za vyššími výnosmi stojí vyššie riziko.

Ďalšou skutočnosťou je, že aj keby sa jednalo o anomálie a teda možnosť bezrizikového zisku, nedal by sa zrealizovať, keďže ide o malé firmy, ktorých akcie sú nedostatočne likvidné, s čím sú spojené vysoké transakčné náklady, ktoré by vymazali potenciálne zisky.

English summary (taken from here):

In the April 2010 revision of their paper entitled “Anomalies and Financial Distress”, Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov use portfolio sorts and regressions to investigate the relationship between financial distress (low credit ratings and downgrades) and profitability for trading strategies based on: stock price momentum, earnings momentum, credit risk, analyst earnings forecast dispersion, idiosyncratic volatility, asset growth, capital investments, accruals and value.

They conclude that profitability of strategies based on price momentum, earnings momentum, credit risk, analyst earnings forecast dispersion, idiosyncratic volatility and capital investments derives predominantly from short positions in firms with poor credit (less than BB+) during deteriorating credit conditions. Profitability comes mostly from 12-month intervals bracketing credit rating downgrades. Evidence indicates that many (but not all) well-known stock return anomalies derive their profitability from short positions in firms with low credit ratings during deteriorating credit conditions, with shorting constraints and illiquidity limiting exploitation. In other words, the said anomalies are spurious and higher returns result from risk based on the financial distress of the relevant companies.

Via CXO Advisory Group.

Súvisiace články :

1. Technical Trading Thoroughly Tested on Emerging Currencies (Testovanie technickej analýzy na menových pároch rozvíjajúcich sa krajín)
2. The Credit Default Swap Market
3. De-Snooping Market Timing Rules (Výkonnosť indikátorov po zohľadnení data miningu)