dve dobre researche:
Faber: Global Value: Building Trading Models with the 10 Year CAPE
papers.ssrn.com/sol3/papers.cfm?abstract_id=2129474
Abstract:
Over seventy years ago Benjamin Graham and David Dodd proposed valuing securities with earnings smoothed across multiple years. Robert Shiller popularized this method with his version of this cyclically adjusted price-to-earnings ratio (CAPE) in the late 1990s, and issued a timely warning of poor stock returns to follow in the coming years. We apply this valuation metric across over thirty foreign markets and find it both practical and useful, and indeed witness even greater examples of bubbles and busts abroad than in the United States. We then create a trading system to build global stock portfolios based on valuation, and find significant outperformance by selecting markets based on relative and absolute valuation.
- chystate sa niekto kupit Grecko ?
a
Frazzini, Kabiller, Pedersen: Buffett’s Alpha
http://www.econ.yale.edu/~af227/pdf/Buf ... dersen.pdf" onclick="window.open(this.href);return false;
Abstract:
Berkshire Hathaway has a higher Sharpe ratio than any stock or mutual fund with a history of more than 30 years and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha become statistically insignificant when controlling for exposures to Betting-Against-Beta and quality factors. We estimate that Berkshire’s average leverage is about 1.6-to-1 and that it relies on unusually low-cost and stable sources of financing. Berkshire’s returns can thus largely be explained by the use of leverage combined with a focus on cheap, safe, quality stocks. We find that Berkshire’s portfolio of publicly-traded stocks outperform private companies, suggesting that Buffett’s returns are more due to stock selection than to a direct effect on management.
Buffett’s track record is clearly outstanding. A dollar invested in Berkshire Hathaway in November 1976 (when our data sample starts) would have been worth more than $1500 at the end of 2011. Over this time, Berkshire realized an average annual return of 19.0% in excess of the T-Bill rate, significantly outperforming the general stock market’s average excess return of 6.1%.
Berkshire stock also entailed more risk, realizing a volatility of 24.9%, higher than the market volatility of 15.8%. However, Berskhire’s excess return was high even relative to its risk, earning a Sharpe ratio of 19.0%/24.9% = 0.76, nearly twice the market’s Sharpe ratio of 0.39. Berkshire realized a market beta of only 0.7, an important point that we will discuss in more detail when we analyze the types of stocks that Buffett buys. Adjusting Berkshire’s performance for market exposure, we compute its Information ratio to be 0.66.
- perfektny research na temu z coho je jeho vynos ... ziadna raketova veda ...
ale ... mali by ste niekto gule toto ustat a pokracovat dalej vo svojom style ?
These performance measures reflect Buffett’s impressive returns, but also that Berkshire has been associated with some risk. Berkshire has had a number of down years and drawdown periods. For example, from June 30, 1998 to February 29, 2000, Berkshire lost 44% of its market value while the overall stock market gained 32%. While many fund managers might have had trouble surviving a 76% shortfall, Buffett’s impeccable reputation and unique structure as a corporation allowed him to stay the course and rebound as the internet bubble burst.