"W niezliczonych tekstach
publicystycznych, raportach i analizach zrzucono odpowiedzialność za wywołanie
kryzysu finansowego na wszelkie możliwe instytucje, osoby, mechanizmy i idee.
Nie jest mi jednak znany przypadek pociągnięcia do odpowiedzialności karnej
żadnej osoby lub instytucji w związku z kryzysem finansowym."
Does past performance matter? The persistence scorecard
Ciekawe zestawienie o zdolności zachowania ponadprzeciętnych wyników
przez fundusze na amerykańskim rynku w latach 2009-2013.
"The phrase “past performance is not an indicator of future
outcomes” (or some variation thereof) can be found in the fine print of most
mutual fund literature. Yet due to either force of habit or conviction,
investors and advisors consider past performance and related metrics to be
important factors in fund selection. So does past performance really
matter?"
"Very few funds can consistently stay at the top. Our studies show
that as time horizons widen, the performance persistence of top quartile
managers declines. Of the 692 funds that were in the top quartile as of
September 2011, only 7.23% managed to stay in the top quartile at the end of
September 2013. Similarly, 5.28% of the large-cap funds, 10.31% of the mid-cap
funds and 8.15% of the small-cap funds remain in the top quartile. (...)
Looking at longer-term performance, only 7.71% of large-cap funds, 0.88%
of mid-cap funds and 9.9% of small-cap funds maintained a top-half performance
over five consecutive 12-month periods. Random expectations would suggest a
repeat rate of 6.25%."
Wall Street's Brightest Minds Reveal the most important charts of the year
Zestawienie 126 wykresów od Business Insider, czyli na
co patrzy rynek na koniec 2013 roku.
"Here they are: the most important charts
of the year.
We asked our favourite portfolio managers,
strategists, analysts, and economists across the Street for the charts that
they deem the most important right now, and this is what they sent us.
Much of the focus is on the 10-year Treasury yield —
where does it go, and what is the read-across for other financial markets
around the globe? Many are focused on the stock market as well, the consensus
being that indices will rise to new highs again in 2014.
But there are a lot of other things going on as well."
Why the US is not at risk of a Japan-style deflation
"Concerns about the risk of
a "Japan-style deflation" in the U.S. are once again heating up, as
the Fed prepares to taper its bond purchases, something that's very likely to
happen either this month or next. The worry—echoed in a front-page article in
today's WSJ—is that tapering and eventually ending QE at a time when inflation
is unusually low runs the risk of producing even lower or negative inflation
(i.e., deflation), which in turn could doom the U.S. economy to very weak or
even negative growth for the foreseeable future, much like the problems that
have plagued the Japanese economy for many years. Without ongoing QE support,
the thinking goes, the U.S. economy could fall into a sort of deflationary
quicksand and/or lose all forward momentum. But is deflation really so
dangerous, and has growth really been so dependent on QE?"
Bernanke – lepszy Friedman
"Ben Bernanke to chyba jedyny ekonomista, który swoją
wypracowaną teorię i badania empiryczne miał okazję sam sprawdzić w praktyce na
tak wielką skalę. Dlaczego nazwałem go lepszym Miltonem Friedmanem? Bo był w
pewnym sensie jest uczniem Friedmana – propagował jego koncepcję przyczyn
Wielkiej Depresji, przyznawał polityce pieniężnej stabilizacyjną rolę itd. Ale
jednocześnie brak mu ideologicznego ferworu, nie jest rycerzem walki z państwem
wszędzie i za każdą cenę, co pozwoliło mu posunąć myślenie dotyczące polityki
pieniężnej znacznie na przód. (...)"
Germany's investment problem
"We all know that Euro membership has
been of doubtful benefit to periphery countries such as Greece and Portugal.
But Germany has been a net beneficiary of the Euro, hasn't it?"
"And it is also a story of
too-tight fiscal policy. Instead of increasing its own borrowing to compensate
for the fall in NFC borrowing, the German government gradually reduced its
fiscal deficit - indeed in 2007 and 2008, it was net saving (running a
surplus). On the face of it, this looks sensible: after all, we are led to
believe that governments should net save during booms. But not, emphatically
not, when there is a growing current account surplus. A persistent current
account surplus is contractionary over the medium-term, because it by
definition means that productive investment is leaving the country."
[Podcast SII] Kontrakty na WIG20 - zmieniamy mnożnik
138 odcinek
podcastu Echa Rynku Stowarzyszenia Inwestorów Indywidualnych o kontraktach
terminowych na WIG20, w którym gościem jest Paweł Szczepanik.
- 00:00
Kontrakty terminowe zmieniają się
- 02:20 Czy
należy bać się dźwigni
- 05:13
Przegrywasz z rynkiem? Kup sobie indeks
- 08:51 Ile to
kosztuje
- 11:47
Zmieniamy mnożnik z 10 na 20 zł
- 17:23
Daytraderzy w akcji. Co z nimi?
- 23:11 A może
mnożnik x100 zł?
Green Giants (infografika)
"Wasn’t the economy supposed to be struggling? Then why are
companies in the U.S. and all around the world raking in cash? Let’s look at
which companies are most profitable — and how some of them stay that way."
"Of the 25 companies with the largest corporate profits in the
world, banking, energy and technology firms are absolutely ranking it in.
Collectively, they made $567,856,000,000 in 2012
alone. And that’s only 25 of the most profitable
companies in the world."
Ciemna strona Bitcoin'u - "The Libertarian Bitcoin dream is an interesting idea, but you wouldn't want to live there."
"So the Bitcoin experience gives us a glimpse of Libertarian paradise:
What life would be like with as little government interference as possible, in
a market free of burdensome laws and taxes.
Unfortunately, that experience looks like a total nightmare. It's
characterized by radical instability, chaos, the rise of a boss-class of
criminals who assassinate people they don't like, and a mass handover of wealth
to a minority even smaller than the 1% that currently lauds it in the United
States.
If Bitcoin was a country — Bitcoinistan? — it would be like
Somalia."
Everything You Wanted To Know About Equity Market Valuations (And Didn't Know To Ask)
Bardzo polecam zapoznanie się z raportem opisanym w linku,
ponieważ w przyjazny sposób zwraca uwagę na parę kwestii związanych z horyzontem
inwestycji oraz czynnikami wyceny rynkowej jako całości. Dodatkowo można tam
znaleźć ciekawe wartości dla dzisiejszych poziomów amerykańskiego rynku i
gospodarki. Link do pełnego tekstu raportu jest na dole tekstu (tylko fragment
na Zerohedge).
"This publication tries to assess the following
questions:
1. What kind of return can be
reasonably expected from stock market investments? Is that rate sustainable?
2. What kind of simple tools exist to tell if the
stock market is cheap or expensive?
3. Are stock market returns mean-reverting?
4. Are we going to continue to see similar cyclical
fluctuations in the future, or are we in the midst of a structural break?
I will try to keep things as simple as possible.
Finance doesn't have to be complex (people make it complex)."
Beware of Recency Bias Following an Outlier Year
"Of all the cognitive
biases that influence human behavior, recency bias is by far the most harmful
to long-term investors. This is the tendency for investors to project their
most recent experience into the future. In doing so, investors are assuming
that what has occurred in the recent past will continue to occur indefinitely.
At the same time, investors are also assuming that if something hasn’t occurred
in the recent past, it won’t happen in the future."
Capital Inflows and Booms in Asset Prices
"This is a tidy and useful
addition to the literature on how high levels of international capital flows
generate financial instability."
"Policymakers have long been
concerned that large capital inflows are associated with asset-price booms.
This column presents recent research showing that the composition of capital
inflows also matters. The association between capital inflows and asset-price
booms is about twice as strong for debt-related than for equity-related
investment. Policymakers should therefore pay attention to the composition of
capital inflows, since debt-related inflows may still undermine financial
stability even if they do not result in an overall current-account deficit."
"In general, to monitor the threat of capital
inflows, policymakers look at the current-account balance. If it is in surplus
(as is the case in Germany today) or the deficit is low, they assume that
capital inflows do not pose a risk to financial stability If, on the other
hand, the deficit is large, they worry about the potential risk and, only then,
they may look at the composition of capital inflows.
Our research shows that this view is misleading."
[Trystero] Fałszywa pamięć
Niektóry z uczestników rynku sugerują prowadzenie własnego
dziennika transakcyjnego, argumentując to w różny sposób. W tekście Trystero
został przywołany jeden z argumentów (link poniżej).
"Uczestnicy brali udział w interaktywnym
eksperymencie, którego celem miało być sprawdzenie jak zmienił się ich stosunek
do ważnych wydarzeń politycznych z ostatnich kilkunastu lat. Uczestnikom
pokazano cztery fotografie pokazujące ważne wydarzenia polityczne w USA.
Zdjęciom towarzyszył krótki opis. Badani najpierw mieli odpowiedzieć na pytanie
jak dobrze pamiętają te wydarzenia:
·
pamiętam, że
widziałem to wydarzenie w wiadomościach
·
pamiętam to
wydarzenia ale go nie widziałem
·
nie pamiętam
tego wydarzenia
·
pamiętam to
wydarzenie ale w inny sposób
Następnie
mieli opisać co czuli gdy wydarzenia się rozgrywały oraz co o nich myślą po
upływie czasu.
Fortel polegał
na tym, że jedno z czterech wydarzeń zostało sfabrykowane. "
Customer Loyalty in Retail Banking: Global Edition 2013
Bardzo polecam przeglądnąć opracowanie od Bain & Company o
zachowaniach klientów banków na całym świecie. Opracowanie zawiera masę
ciekawych zestawień, przykładowo można znaleźć informację wykorzystaniu
bankowości mobilnej oraz wizytach w oddziałach w rozbiciu na poszczególne
kraje. Lub też znaleźć informację o motywach będących podstawą zmiany banku.
(Raport w pliku pdf.)
"How exactly does customer loyalty translate into better financial
results for a retail bank? And how much value is at stake? For many bankers,
the link between loyalty and financial results is somewhat unclear.
This year’s report, based on Bain’s proprietary research with 190,200
consumers in 27 countries, sheds light on how banks are using (or failing to
use) loyalty to improve the economics of the business. The research was conducted
online in July and August 2013 through market research firms Research Now and
GMI."
The $5 trillion dilemma facing banking regulators
"During the financial
crisis, everybody became familiar with the idea that a bank could be “too
interconnected to fail”. The problem arises from the way that derivatives tend
to accumulate: if you have a certain position with a certain counterparty, and
you want to unwind that position, then you can try to negotiate with your
original counterparty — but they might not be particularly inclined to give you
the best price. So instead you enter into an offsetting position with a
different counterparty. You now have two derivatives positions, rather than
one. The profits on one should offset any losses on the other — but your
counterparty risk has doubled. As a result, total counterparty risk only ever
goes up, and when a bank like Lehman Brothers fails, the entire financial
system gets put at risk."
"All of which
means that as we move to a system of central clearinghouses, a new systemic
risk is emerging: “fire sale risk” is the term of art. If a market becomes
stressed, and the clearinghouses raise their margin requirements, then the
consequences can be huge. In the bond market, the death spiral is all too well
known: a sovereign starts looking risky, the margin on its bonds is hiked,
which in turn triggers a sell-off in that country’s bonds, which makes them seem
even riskier, which triggers another margin hike, and so on."
Kilka ważnych pytań, część 12: Czy Analiza fundamentalna (AF) jest skuteczniejsza od Analizy technicznej (AT) ?
Polecam świetny tekst T. Symonowicza, w którym wskazuje pewne
różnice pomiędzy analizą fundamentalną i techniczną.
"Na wstępie podobnie jak w przypadku Analizy
technicznej można by zadać proste pytanie: czy Analiza fundamentalna działa?
Udzielenie odpowiedzi byłoby równie trudne, przynajmniej z dwóch powodów:
(1) Z
racji tego, że analizuje ona nie tylko wymierne dane (quantitative analysis),
ale również wpływ wydarzeń rynkowych i okołorynkowych (qualitative analysis), w
proces decyzyjny uwikłane są głęboko: intuicja, interpretacja, subiektywny
osąd. W tym układzie już w założeniach cały proces zależy od kompetencji człowieka,
podlegającego szeregowi błędów behawioralnych i poznawczych.
(2)
Brak możliwości obiektywnej weryfikacji samej AF przez oddzielenie jej od
każdorazowych decyzji inwestora powoduje, że trudno stwierdzić czy ewentualną
przewagę na rynku generuje ona sama czy użytkownik. AF nie działa w oderwaniu
od inwestora, jest co najwyżej tak dobra jak stosujący ją."
Abenomics - Japan's Dangerous Experiment
"For Abenomics to succeed, Japanese
households will need to reverse the recent deflationary trend of excess saving
and encourage consumers to spend more. In the infographic, Mads Koefed, Head of
Macro Strategy at Saxo Bank, suggests that ‘the new experiment in Japan has
boosted consumer sentiment and that has now resulted in consumers spending more
of their money’. Will a more optimistic outlook translate into a revival for
the world’s third largest economy? It is premature to gauge the success of
Abenomics at this stage, and there are question marks over the proposed
structural reforms. Fears remain over Japan’s alarming national debt, and an
eventual rise in interest rates would add a greater burden on the government,
undercutting reform measures. Will an offshoot of Abe’s remedies to Japan’s
macroeconomic problems inflict a greater debt load?"
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