España
pues yo tengo una subida de adrenalina que es demasiado,porque la subida del fondo y las acciones individuales,porque no seria siempre asi,pero claro tambien tiene que bajar,suerte a todos en vuestras inversiones
Ahí has dado en el clavo. Tampoco creo que los value investor hayan pasado de ser buenos a no tener ni idea. Quizás el mayor defecto de un value investor típico, es que sólo sabe hacer value investing. Puede que algunos hasta desconozcan todo el tema este que comentas de la ciclicidad de los distintos estilos/factores de inversión. O quizás lo conocen, pero no creen que se pueda preveer esta ciclicidad, al menos de forma aprovechable para saber si conviene invertir en un factor o en otro (o incluso en varios a la vez). Yo la verdad es que tampoco lo tengo claro, pero creo que al menos hay que conocerlo.
Por ello os dejo un extracto un poco largo pero que me parece muy interesante de un libro que he leído sobre factor investing. Disculpad el poco formato, pero es que no es fácil el copy paste desde el kindle...
Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today (English Edition)" de Andrew L. Berkin, Larry E. Swedroe
"While there has been little controversy over the source of the size premium (it is generally accepted that small-cap stocks are riskier than large-cap stocks),
there has been great debate as to the source of the value premium. There is a belief among many academics that the value premium is actually an anomaly (in contradiction to the EMH) and the result of persistent pricing errors made by investors. For example, those from the “behavioral school” of finance believe investors naively extrapolate past growth when evaluating a company and thus overreact to that information, resulting in a situation where growth companies are persistently overpriced and value companies are persistently underpriced. Behavioralists also find that investors confuse familiarity with safety. Because they tend to be more familiar with popular growth stocks, those stocks tend to be overvalued.
The debate rages on among financial economists over whether the value premium is risk-based or behavioral-based, with supporting evidence on both sides. And it is certainly possible that both the mispricing and risk explanations play a role in the premium. We will first look at the academic evidence supporting the risk-based explanation for the value premium, beginning with the 1998 paper “Risk and Return of Value Stocks.” The authors Nai-fu Chen and Feng Zhang make the case that value stocks do contain a distress (risk) factor. They examined three intuitive measures of distress present in value companies: cutting dividends by at least 25 percent, a high ratio of debt to equity, and a high standard deviation of earnings. Chen and Zhang found that the three measures all captured the returns information (produced high correlations) contained in portfolios as ranked by BtM. When these three metrics were present, returns were greater. Because all three measures have simple, intuitive risk interpretations by being associated with firms in distress, the authors state that it is not surprising the risk factors they studied were both highly correlated and were also highly correlated with BtM rankings. T
heir conclusion was that value stocks are cheap because they tend to be firms in distress, with high leverage, and that face substantial earnings risk. They therefore provide higher returns due to the greater risks facing value investors. Next, we look at the 2005 study by Lu Zhang, “The Value Premium.” He concluded that the value premium could be explained by the asymmetric risk of value stocks. Value stocks are much riskier than growth stocks in bad economic times and only moderately less risky than growth stocks in good times. Zhang explains that the asymmetric risk of value companies exists because value stocks are typically companies with unproductive capital. Asymmetric risk is important because of the following:
- Investment is irreversible. Once production capacity is put in place, it is very hard to reduce. Value companies carry more nonproductive capacity than growth companies.
- In periods of low economic activity, companies with nonproductive capacity (value companies) suffer a greater negative impact in earnings because the burden of nonproductive capacity increases, and they find it more difficult than growth companies to adjust capacity.
- In periods of high economic activity, the previously nonproductive assets of value companies become productive, while growth companies find it harder to increase capacity.
- In good times, capital stock is easily expanded. In bad times, adjusting the level of capital is an extremely difficult task — especially so for value companies.
When these facts are combined with a high aversion to risk (especially when that risk can be expected to show up in difficult economic times, when investors’ employment prospects are more likely to be in jeopardy), the result is a large and persistent value premium. This is consistent with the results of Motohiro Yogo’s 2006 study “A Consumption-Based Explanation of Expected Stock Returns.” Similar to his results for small-cap stocks, Yogo found that value stocks deliver low returns during recessions, when the marginal utility of consumption is highest. In other words, the returns of value stocks are more pro-cyclical than growth stocks. Thus, investors must be rewarded with high expected returns to hold these risky stocks. We next examine a 2005 study, “Is the Book-to-Market Ratio a Measure of Risk?” The authors, Robert F. Peterkort and James F. Nielsen, developed a leverage-based approach to investigate the BtM effect. Because leverage is risky, it is not surprising that they found a positive relationship between higher stock returns and market leverage. Their regression results also showed that when compared with market leverage, the BtM ratio added a small amount of explanatory power for stock returns. They wrote that they believe the incremental power of the BtM ratio is due to additional information about the riskiness of the firm’s assets. Thus, they concluded that BtM effect is mostly a leverage (risk) effect. The authors had another interesting finding. When they considered only companies that they called “all-equity” firms (those with minimal amounts of mostly current debt, as opposed to long-term liabilities), there was no BtM effect at all. If the value premium is an anomaly, the mispricing should show up in all high-BtM firms, not just those with high leverage. These findings are consistent with those of Ralitsa Petkova’s 2006 study “Do the Fama-French Factors Proxy for Innovations in Predictive Variables?” Petkova found that value companies tend to be firms under distress, with high leverage and high uncertainty of cash flow. Therefore, shocks to the default spread (the spread between bonds of higher-rated credit and lower-rated credit) explain the cross-section of returns and is consistent with value being a measure of distress risk. In addition, growth stocks are high-duration assets (much of their value comes from expected future growth), making them similar to long-term bonds. Value stocks, on the other hand, are low-duration assets, making them more similar to short-term bonds. Thus, shocks to the term spread (the difference between short-term bonds and long-term bonds) also explain the cross-section of returns and is further consistent with value being a measure of distress risk. Next, we look at the 2014 study “Value Premium and Default Risk,” which covered the period from 1927 through 2011. The authors, Mohammed Elgammal and David G. McMillan, found that there was a “positive relationship between default risk and the value premium for both large and small firms together with a leverage effect.” They concluded: “The results show a positive association between the default premium and the value premium accompanied with evidence for a leverage effect on the value premium. This lends support to the risk-based explanation for the source of value premium. That is, where the default premium captures systematic risk in the macroeconomy and that the value premium is associated with rational decision making on the part of investors. Value stocks characterized by poor performance, earnings and profitability compared with growth stocks are more vulnerable to the risk of default and lead the investors to require a higher return on value stocks as leverage increases.” These papers demonstrate the link between value stocks and financial distress at the asset level. Value stocks are not simply great bargains waiting to be scooped up as free money. Rather, they are cheap for a reason — a reason related to their riskiness. And finally, we have the study “The Value Premium and Economic Activity: Long-Run Evidence from the United States.” To test the validity of the risk explanation, the authors, Angela J. Black, Bin Mao, and David G. McMillan, examined the relationship between the value premium and macroeconomic variables, such as industrial production, inflation, money supply, and interest rates. Their study covered the period from 1959 through 2005. The following is a summary of their findings. First, in times of economic expansion, when industrial production rises, value stocks become less risky relative to growth stocks. Thus, the prices of value stocks increase more than the prices of growth stocks. The result is that the spread between the high book-to-market and low book-to-market stocks narrows and the value premium declines. In bad times, value stocks become riskier relative to growth stocks. The result is that the prices of value stocks decrease faster than growth stocks, and the value premium increases (a sign of increased risk). Therefore, there is a negative relationship between the value premium and industrial production. This certainly was the case in the most recent recession, which lasted from December 2007 through June 2009, when the value premium was -0.44 percent per month. Second, a similar, negative relationship exists between the value premium and the money supply. Following an increase in the money supply, stock prices increase. The prices of value stocks tend to increase more than growth stocks, and the value premium shrinks. When money supply decreases, stock prices decrease, with the prices of value stocks decreasing more than growth stocks, and the value premium increases. Third, there is a positive relationship between the value premium and interest rates. As long-run interest rates rise, stocks become less attractive than bonds and stock prices decrease, with the prices of value stocks decreasing faster than the prices of growth stocks. That leads to an increasing value premium. When interest rates fall, the prices of value stocks increase faster than the prices of growth stocks. This leads to a decreasing value premium."
Primer aviso Dax -100 puntos
Dj -200 puntos
De momento no significa nada, algo de nervios quizas, esperemos que pasa arriba
Entiendo que te vas a poner mas en liquidez?
yo y creo que alguno mas , estamos expectantes para ver cuando levantas la bandera de entrada.
No más liquidez, estoy por encima del 50%.
Cuando llegue el momento, estoy pensando en acciones del estilo ACX, MAP para completar las acciones de la cartera individual. Algo tendré para swing en BBVA.
El resto va a ir todo a las posiciones de los fondos value y de índices.
Creo que todavía falta bastante.
Freedom is driven by determination
Salvo AK, con paciencia recuperaremos...y si el oro se fuese a 1600$ alguna ganancia habrá.
Con ésta he aprendido:ojo con las mineras de oro.
Si vuelvo a entrar en el sector lo haría mediante algun etf de VanEcks Vectors
Según mis cuentas "de la vieja", pues con el oro a 1.600$
Buenas
Como persona física, es decir, con mis ahorros personales, solo invierto en fondos el 1% de todo mi patrimonio: en ello incluyo viviendas, fondos, depósitos y liquidez. Los coches u otras máquinas no los considero "capital", para mí, una vez comprados, no valen dinero. No invierto más % por falta de tiempo, pero para dormir tranquilo no superaría el 10% de mi patrmonio. Básicamente en lo que tengo invertidos casi todos mis ahorros es en viviendas, varias de ellas alquiladas.
Como persona jurídica (empresa), en fondos invierto algo menos del 10% de los ahorros de mi sociedad. Un 20% está en depósitos y un 70% en cuentas bancarias. Los coches u otras máquinas o equipos que posee la sociedad, así como muebles, etc. no los considero "capital", para mí, una vez comprados, no valen dinero.
Esta es la distribución de mis bienes/inversiones.
Un saludo
Manuel