By: GZ on Venerdì 01 Luglio 2005 16:47
Col passare del tempo mi convinco sempre di più che quello che conta non sia tanto la previsione della direzione del mercato, ma la "Deviazione Media", l'Oscillazione insomma.
I mercati sono oggi al livello a cui erano 6 o 7 anni fa in media (quelli emergenti e le small cap più alti, quelli maturi ed europei in particolare più bassi)
Quello che contano erano le "OSCILLAZIONI" che ci sono state in questi anni.
Chi durante queste oscillazioni ha cercato di vendere quando oscillavano in alto e comprare quando oscillavano in basso ha vinto qualche cosa.
Chi ha fatto il contrario vendendo quando i mercati erano scesi e comprando quando erano saliti ha perso. La direzione ? Boh... magari tra cinque anni saremo di nuovo qui in termini nominali
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....a veteran trader once had on his wall. It said, simply, “It ain't gonna happen that way.” It's a constant reminder to allow for uncertainty, and ^not to form detailed “scenarios” about future market movements#http://www.hussmanfunds.net/wmc/wmc050627.htm^.
That one takes a while to learn. There's a constant tendency to want to plan out the market's future course, draw trendlines, plan on a strong second-half, etc. Just like our detailed concepts about what we need to be happy can often make us miserable when something seems missing, our scenarios about the specific future path of the market can drive us absolutely out of our minds if the market moves the “wrong” way.
Write this down. There is no “wrong” direction for the market. The market absolutely doesn't care about the scenarios investors have carefully planned for it. It ain't gonna happen that way.
It's important to understand that I'm talking about specific scenarios. There's nothing wrong with saying, for example, that stocks are priced to deliver unsatisfactory long-term returns. Or saying that, given some set of conditions, the market has historically performed well on average. When you phrase your investment views in terms of average outcomes and ranges of possible error, you're doing what you should be doing, which is carefully analyzing expected returns, and also allowing for uncertainty. In contrast, when you phrase your investment views in terms of what the market is going to do, in this particular instance, between now and some reasonably close future point in time, you've formed a scenario. The problem is simple – over short horizons (generally anything under a couple of years), the potential forecast error absolutely overwhelms any specific forecast you can make. It ain't gonna happen that way.
Again, it's fine to set an investment position on what you would expect on average, allowing for a large degree of uncertainty over short horizons. It's another (absolutely insane) thing to establish a substantial investment position that requires the market to do something specific over a limited horizon.
As I've noted before, even in the most favorable and unfavorable Market Climates we identify, the average expected return over a short horizon of say, a week, a month, or even a quarter is overwhelmed by the “standard deviation” of returns. However, as the number of instances increases, the average outcome starts looking much closer to the expected value. So it's enough to align our investment positions with the average return/risk profile we observe at every point in time, provided that we avoid positions that rely on a particular outcome. The key is to allow for uncertainty in every specific instance. That's what scenario-builders constantly fail to do.
