By: GZ on Sabato 07 Maggio 2005 02:59
Non si puo' fare a meno di menzionare come lettura per il weekend la ^lunga intervista su realworldtrading #http://www.realworldtrading.com/index.cfm?section=interviews&id=40^ del migliore operatore nonchè autore con riguardo alla speculazione in giro oggi al mondo, ^il Victor Niederhoffer#http://www.dailyspeculations.com/vic/vic_index.html^.
Non ce ne sono altri che oltre a gestire un fondo hedge da 100 milioni che nel 2004 ha fatto +50% e dal 2002 un +31% medio annuo, avere inventato il sistema dello "statistical arbitrage" che ora viene usato dai maggiori fondi futures, si prendono anche la briga di scrivere due libri e ^tutti i giorni pubblicare commenti sui mercati finanziari e altro#http://www.dailyspeculations.com/^.
Il Victor spiega qui bene perche' tra i maggiori inganni e illusioni del mercato finanziario che servono a dissanguare il grosso pubblico e mantenere stipendi e uffici in centro per l'industria finanziaria ci siano:
i) l'industria del "trend following", cioe' le dozzine di report, libri, esperti, seminari, indicatori e software che seguono il "Trend" del grafico, per cui ti fanno comprare in alto quando il mercato è salito e vendere in basso quando è sceso
ii) i sistemi e indicatori della famosa Analisi Tecnica che spingono la gente a fare dozzine di operazioni in continuazione, perche' il supporto, la resistenza, l'oscillatore... o altro mumbo jumbo danno sempre dei "segnali" ogni volta che il prezzo si muove, anche quando sono oscillazioni casuali e faresti meglio ad aspettare
ii) la distorsione ribassista del grosso degli esperti e operatori che non capiscono e hanno in antipatia il meccanismo del mercato, specie quello vero, quello Americano. E con il loro pessimismo e le costanti profezie di sventura impediscono al pubblico di fare la cosa più sensata che sarebbe di tenere dei portafogli azionari per anni incassando il 7% medio annuo che le borse maggiori (in media) rendono (grazie ai dividendi)
Ovviamente questi tre temi sono quelli che qui si sono trattati dozzine di volte attirando anche piccole polemiche, perche' appunto contrastano con l'attitudine della maggioranza
--------------------------------------------- (un estratto della parte più tecnica, ma leggere ^tutta l'intervista#http://www.realworldtrading.com/index.cfm?section=interviews&id=40^)
Dave: Moving onto another one of your favorite big market cons, technical analysis. Many traders trade exclusively with TA. Why do you consider it a con?
Victor: Everything is part of the basic philosophical backdrop that we discussed earlier. TA tends to unleash people from the fundamental foundation that they need to be successful.
Dave: It gives most traders false hope? Is that what you are saying?
Victor: That is part of it. It also gets traders to trade too quickly. It makes people fearful and elated, causing too much turnover -- and turn over is very expensive in this game.
Dave: Do you see any value at all to technical analysis?
Victor: Many of my best friends are technical analysts and I am actually a technical analyst myself. However, the kind of technical analysis I perform is scientific. I put forth hypothesis, I test them, I consider the uncertainty, I quantify them, I try to put them in an economic framework . When done in this manner, TA has value. What I don’t believe in is the idea that the visual intuiting of price charts can give much insight into the subsequent distribution of prices. This is the way most people view TA and why TA cons most traders. I do believe that the interplay of markets, and price distributions, are of a highly predictive nature.
Dave: These predictive distributions and market interplay is how you make decisions in the market?
Victor: It’s what I am most renowned for. A large part of the managed account industry in one way or another started out with this basic idea that I pioneered. Monroe Trout, Roy Niederhoffer and Toby Crabel, among many others started at my firm. A number of managers with over a billion dollars under management started with me. This makes it much harder for me since many of my former top people are using and augmenting my methods elsewhere, and of course my ideas become subject to the principle of ever-changing trends.
........Victor: I have an aversion to all fixed systems and purportedly easy ways of making money in the market because the market learns and adapts to allow flexible, sagacious and strong decision makers to profit at the expense of the weak .
Dave: OK, why “trend following” in particular?
Victor: The public needs to be tricked or deceived out of their basic role of buy and hold. If they follow the buy and hold mantra, they are going to achieve the Dimsonesque [editors note: Elroy Dimson, Paul Marsh and Mike Staunton co-authored “Triumph of the Optimists, ” a 2002 book that documented for the first time the 100-year returns of the world’s stock markets] returns of 10, 000 fold per century. I am particularly averse to trend following methods because of the following reasons: 1. They are often untested. 2. If tested, their variability is too high to rule out randomness, and 3.If tested relative to uncertainty, they assume past seemingly non-random movements of prices are predictive of what’s going to happen in the future.
Dave: Is this strictly for the stock market or all financial markets?
Victor: When trend following methods are tested on the stock market indexes, they tend to show that the correlation of past returns and future returns is negative, and that the number of runs of price changes in the same direction is less than would be expected by chance. I have never seen an example of a real life movement in prices that would allow trend following to work retrospectively that does not also show positive serial correlations and an observed number of runs in the same direction that is greater than would have been expected by chance.
Dave: Are you able to support this view with actual numbers?
Victor: In my book “Education of a Speculator”, I report that the correlation between weekly stock price changes in the S&P futures during the 1990’s is approximately -0. 08. The correlation between daily changes is approximately -0.04 over almost all relevant periods. The chances of a rise following a series of 2, 3, 4 or more consecutive declines, in stocks, is approximately 10% higher than normal. Therefore, trend followers in the stock market averages would appear to be playing in a game heavily stacked against them.
Dave: What about the other markets? Do the same studies hold true?
Victor: No. I hasten to add that such tests would not show similar biases against trend following in other markets such as fixed income, or foreign exchange.
Dave: Then what is your objection to trend following in these markets?
Victor: In general it’s the philosophical objection that the followers of long term trends don’t take into account one of the fundamental rules of economics, which is that incentives matter.
Dave: Please explain what you mean.
Victor: The supply curve moves outward and to the right when prices rise, and inward to the left when prices decline. Moreover, trend following does not take into account the fundamental tendency of the market to abhor upsetting the apple cart by moving prices to permanent new level, thereby creating threats to its tried and true tendency to make the public lose more than they have any right to by constantly buying too high and selling too low. If the public were all trend followers, and the vast majority of them are, then prices would be constantly moving to permanently higher or lower levels, and this would be bad for the well-heeled upholders of the market infrastructure who must survive for markets to continue.
Dave: This all seems to make sense in theory. However, how do you explain the fantastic track records of the major trend followers reported in books on the subject or the economic argument that speculators on big moves are paid an economic return by hedgers and equilabrators?
Victor: Well, I would look as a criterion at the total profits that all trend followers have made over time for their public clients rather than the personal profits they have made for themselves. I would also compare the past high returns that the publicly cited great exponents have made to the total dollar amount that their clients have made or lost. In addition, I would look at the actual total dollar returns to the public of those who invested in some of the greatest trend following funds who admittedly have had much inferior results, lawsuits, and tragedies in their publicly reported and audited results versus the legendary stories of great past performance. Another thing I would like to point out is the publicly reported results of the famous trend followers in the last two years, when money at their disposal is at the maximum. I dare say that billions upon billions have been lost as a review of the rankings of CTA’s would show. But, of course, that’s guaranteed to happen. Looking at the April TASS Flash report, I’d estimate the average trend fund is down 20-40% over the last 2 years, and some are really getting killed. Please bear in mind that the big CTA’s typically offer 8 or 10 different “programs”, so that they can quietly close down the worst performers, or just stop reporting their result.
Dave: Wow, that’s some indictment of trend following. Is there anything else on this subject?
Victor: Of course, I am just getting started! I normally don’t like to talk about this subject since it foments much hatred against me. Many of the proponents of trend following are attempting to market systems, seminars and funds based upon the concept and I stand as a reasoned voice against their profits and thus must be discredited for their own survival. With that said, my major objection to trend following is that it doesn’t take into account one of the most important regularity of the markets, aside from the laws of incentive, and the immense degree of deception and big cons---i.e. the principle of ever-changing cycles . The public is always behind the form. I would even go so far to compare the concept of trend following to a cult like scientology. It’s impossible to have a rational discussion with some of its proponents since so many people have vested interest in perpetuating the myth.
Dave: We are on a roll on this subject, let me see if I can dig a little deeper into your thoughts on the concept of market trends. Do you believe that trends don’t exist at all or simply that an existing trend is not tradable?
Victor: Any trend that exists can be quantified and its departure from randomness can be measured with the usual statistical procedures, such as confidence intervals and likelihoods. Serial correlation coefficients, regression coefficients of current changes versus past changes, and magnitudes of the impact of past moving averages on the future, distributions of the length of runs, the correllelogram, the expected waiting times between peaks and valleys, survival statistics. All these techniques are very good at discovering any non-random elements.
To join a proper debate, such measures must be quantified for various markets and various times, and the degree of uncertainty and departure from randomness must be ascertained. I have never found a movement in prices that anyone could make money with by a trend following method that didn’t also show a major departure from randomness revealed by the standard statistical measures I mentioned. The tragedy is the mysticism and blind acceptance of trendism, that trend following exponents proclaim, without any evidence as to magnitude and uncertainty. No self-reported results that selected individuals or leaders might have made in the past shed light on the debate.
Dave: Your well known saying, “If it can be tested, it must be tested” comes into play here . Exactly what testing have you done to prove the above idea?
Victor: These tests can readily be performed My group of colleagues performs these tests maybe 2-3 thousand times a year over different markets and time frames. Those of a cognitive bent and those with their feet on the ground are always open to the existence of trends, but they test them with the best statistical methods existing. If you apply these tests to stock market moves, you will find that all such tests show negative serial correlation. In fact, they indicate a tendency for reversal.
Dave: What about the upward bias in stock prices? Why can’t that be interpreted as a trend?
Victor: Well, all proper statistical tests take into account this upward drift. They would look for serial correlations over and above the basic drift of the market. One of the other market cons is the permanent bearishness of some of market pundits, and I am the last person to say that this upward drift, evidenced over the last 200 years, does not exist. This in no way refutes, but it does refine the statistical tests required for the stock market. However, I hasten to add that no such upward drift exists in any other market.....