Gracias Bacalo. Sí, me imaginaba que se refería a un quant entendido como un cientifico reciclado al mundo financiero, aunque eso también tiene sus peligros. Recordemos el caso de LTCM a pesar de que contaba con supergurús laureados con el Nobel.
Yo me refería a no descartar todo un estilo de inversión como es el Trend Following por los casos que conocemos en nuestro país que como bien decís parecen más charlatanes que otra cosa. Por lo que estoy leyendo en un libro de inversión basada en factores, es un factor (igual que el value, el tamaño y la calidad) que puede ser tenido en cuenta en un portfolio pues tiene su track record según estudios de backtest.
Os dejo otra párrafo que es largo, pero que creo que puede ser interesante para quien quiera saber si esto del análisis técnico/trend following o momentum funciona o al menos funcionado en el pasado:
"Mark C. Hutchinson and John O’Brien contribute to the literature on time-series momentum with their 2014 paper, “Is This Time Different? Trend Following and Financial Crises.” Using almost a century of data on trend-following, they investigated what happened to the performance of the strategy subsequent to the U.S. subprime and Eurozone crises, and whether it was typical of what happens after a financial crisis. The authors note: “Identifying a list of global and regional financial crises is problematic.” Thus, they chose to use the list of crises from two of the most highly cited studies on financial crises, “Manias, Panics, and Crashes: A History of Financial Crises” (originally published in 1978) and “This Time Is Different: Eight Centuries of Financial Folly” (originally published in 2009). The six global crises studied were: the Great Depression in 1929, the 1973 Oil Crisis, the Third World Debt crisis of 1981, the Crash of October 1987, the bursting of the dot-com bubble in 2000, and the Sub-Prime/Euro crisis beginning in 2007. The regional crises studied (with year of inception in parentheses) were: Spain (1977), Norway (1987), Nordic (1989), Japan (1990), Mexico (1994), Asia (1997), Colombia (1997), and Argentina (2000). The start date for each crisis was the month following the equity market high preceding the crisis. Because neither of the two aforementioned studies provided guidance on the length or end date of each crisis, rather than attempting to define when each individual crisis finished, the authors instead focused on two fixed time periods: 24 months and 48 months after the prior equity market high. Hutchinson and O’Brien’s dataset for the global analysis consisted of 21 commodities, 13 government bonds, 21 equity indices, and currency crosses derived from nine underlying exchange rates covering a sample period from January 1921 to June 2013. Their results include estimates of trading costs as well as the typical hedge fund fee of 2 percent of assets and 20 percent of profits. The following is a summary of their findings:
Time-series momentum has been highly successful over the long term. The average net return for the global portfolio from 1925 to 2013 was 12.1 percent, with volatility of 11 percent. The Sharpe ratio was an impressive 1.1 (a finding consistent with that of other research).
There is a breakdown in futures market return predictability during crisis periods.
In no-crisis periods, market returns exhibit strong serial correlation at lags of up to 12 months.
Subsequent to a global financial crisis, trend-following performance tends to be weak for four years on average. This lack of time-series return predictability reduces the opportunity for trend-following to generate returns.
Comparing the performance of crisis and no-crisis periods, the average return (4.0 percent) in the first 24 months following the start of a crisis is less than one-third of the return (13.6 percent) earned in no-crisis periods. Performance in the 48 months after a crisis starts was well under half (6.0 percent) the return (14.9 percent) in that of no-crisis periods.
Across stocks, bonds, and currencies, the results were consistent. The exception was commodities, where returns were of similar magnitude in pre- and post-crisis periods.
They found a similar effect when examining portfolios formed of local assets during regional financial crises.
The authors noted that behavioral models link momentum to investor overconfidence and decreasing risk aversion, with both leading to return predictability in asset prices. Under these models, overconfidence should fall and risk aversion should increase following market declines, so it seems logical that return predictability would fall following a financial crisis. It is also important to note, as the authors did, that “governments have an increased tendency to intervene in financial markets during crises, resulting in discontinuities in price patterns.” Such interventions can lead to sharp reversals, with negative consequences for trend-following.
Hutchinson and O’Brien concluded: “The performance of these types of strategies [trend-following] is much weaker in crisis periods, where performance can be as little as one-third of that in normal market conditions. This result is supported by our evidence for regional crises, though the effect seems to be more short lived. In our analysis of the underlying markets, our empirical evidence indicates a breakdown in the time series predictability, pervasive in normal market conditions, on which trend following relies.”"
