Sete momentos mais marcantes de Centeno no Banco de Portugal

[frugal]

Ltcm
e de que asset allocation estás aqui a falar?
cumprimentos

[Figueiraa1]

Neste período tivemos dois Bear Markets. LTCM é possível apresentar a rentabilidade a 15 anos desde 1997?

[Automech]

LTCM, esse quadro é espectacular. Informação condensada de forma simples e clara. É daquelas coisas óbvias depois de ver. Obrigado.

[VirtuaGod]

Se estou a fazer bem as contas 82% em 10 anos são "apenas" 6.2%. Tendo em consideração o que se passou na década passada é relativamente bom mas está longe de serem resultados do outro mundo!!

[ghorez]

82% com volatilidade de 6%? Oh MEU DEUS! que resultados!

[LTCM]

[VirtuaGod]

Bob's Daily Buzzword: `Endowment Model'

[LTCM]

According to the latest data from Standard & Poor’s, most passive index funds, including exchange traded funds, beat out the performance of actively managed mutual funds. There are a few exceptions, but on the whole, active management is not outperforming.

The S&P report also highlighted that passive management also wins out over the long term time frame. Most active managers fail to outperform their benchmarks over the long term.

The trend also repeats itself when it comes to bond funds. Take, for instance, actively managed long government bond funds. Over the past five years, 93.62 % of them trailed the Barclays Long Government index.

The one area that is an exception now is the large-cap value fund. Over the past five years, more than 60 % of active funds in that category beat the S&P 500 Value index. Last year the gap was closed, with about 27% outperforming.

[Figueiraa1]

it's below the put strike, he buys stock. If the calls or puts aren't exercised, the investor keeps the premiums, which add to returns. This should only be done on the portion of the portfolio that requires rebalancing.[/url]

Ui, vou ter de analisar melhor essa ténica

Fico a aguardar a partilha dos Mestres em Etf's e Fundos.

[VirtuaGod]

it's below the put strike, he buys stock. If the calls or puts aren't exercised, the investor keeps the premiums, which add to returns. This should only be done on the portion of the portfolio that requires rebalancing.[/url]

Ui, vou ter de analisar melhor essa ténica

[LTCM]

With the popularity of exchange-traded funds, many investors no longer rely primarily on mutual funds. They use ETFs like the SPDR S&P 500 (ticker: SPY), iShares Russell 2000 (IWM), iShares MSCI EAFE (EFA), and the iShares MSCI Emerging Markets (EEM), which unlike mutual funds, have puts and calls. This means investors can rebalance their portfolios by selling puts and calls to set their entry and exit prices. Mutual-fund investors have to sell some of their shares to rebalance their portfolios. Options and ETFs make rebalancing easier—while reducing portfolio risk and increasing returns.

Suppose an investor chooses to rebalance quarterly if equities rise or fall by 5%. He can write quarterly call options that are 5% above the market and quarterly put options that are 5% below it. At the quarter's end, if the underlying market price is above the call strike, the investor sells stock, and if it's below the put strike, he buys stock. If the calls or puts aren't exercised, the investor keeps the premiums, which add to returns. This should only be done on the portion of the portfolio that requires rebalancing.

[ghorez]

Sim VirtuaGod, vou comprá-los via Best Trading Pro, e queria recorrer apenas e de preferência ao NYSE, porque é o mais barato do preçario em termos de trade.

[VirtuaGod]

Este portfolio seguinte é para um familiar mais velho (55 anos) que quer apostar em ETF pelo BEST - ou seja considerem apenas os ETF presentes no BEST:

Não te esqueças de usar é o best trading Pro senão pagas "guarda de títulos" para aí de 25 euros ano!!

[ghorez]

-> Atenção que este portfolio é escolhido considerando apenas os 100 ETF de trading gratuito do TD Ameritrade:
http://research.tdameritrade.com/grid/p ... ftNav=true

10% - iShares Barclays TIPS Bond Fund;
20% - Vanguard Intermediate-Term Bond ETF;
30% - Vanguard Small Cap ETF;
30% - FTSE All-World ex-US Small Cap ETF;
10% - Vanguard REIT index ETF;


-> Este portfolio seguinte é para um familiar mais velho (55 anos) que quer apostar em ETF pelo BEST - ou seja considerem apenas os ETF presentes no BEST:

60% - iShares Barclays 7-10 year treasury Bond fund;
30% - Vanguard Total World Stock index ETF;
10% - Vanguard REIT index ETF;

Não sei como utilizando estes 2 brokers conseguirei uma asset alocation melhor... ou como ficar menos exposto aos US.

[LTCM]

Ontem, hoje, amanhã e sempre.

When Ms Foresight was born in America in January 1900, her parents invested $1 on her behalf in a basket of shares. If it had been left there it would now be worth about $9,000. But Felicity reckoned she could do much better. Discovering at an early age that she could foresee the performance of financial markets perfectly, she would predict at the beginning of each year which asset around the world would bring the highest total dollar return (income plus capital gain) over the following 12 months. She would put all her wealth into that asset, and reinvest her income, before making a new forecast and shifting her money the following January.

By her 100th birthday Ms Foresight had turned her initial $1 into an amazing $1.3 quadrillion—ie, 13 followed by 14 noughts—even after deducting dealing costs and taxes. Since then, despite the three-year bear market, she has enjoyed a post-tax average annual return of 29% thanks to some canny selections (Israeli, Russian and Czech shares in succession). Her nest-egg is now $2.7 quadrillion. Had she not had dealing costs and taxes to pay, she would, thanks to the effects of compounding, be worth an astonishing $27.5 quintillion (ignoring the fact that no market in the world is big enough to absorb such wealth).

In 2002, when S&P 500 shares yielded a total loss (including dividends) of 22%, Felicity enjoyed a 44% dollar return on her Czech shares. In theory, she could have made an even heftier profit in Pakistan, but she limits herself to stockmarkets covered in the back pages of The Economist. Gold, up 26% as investors sought a safe haven in an uncertain world, and London residential property (up by over 30% including an assumed net rental yield of 4%) would also have produced handsome rewards (see chart). Indeed, The Economist's global house-price indices suggest that, once rental income is included, housing in most countries (apart from Germany and Japan) yielded double-digit returns last year. At the other extreme, Argentine shares saw the biggest drop. Among developed markets German shares fared worst, with a 33% dollar loss, even though the euro rose by 18% against the dollar.

During Ms Foresight's 103 years, American shares have outperformed all other assets, returning 9.3% on average since 1900 compared with 4.8% on long-term Treasury bonds. Gold has yielded a dismal 2.8%, even less than the 4.1% return on cash (measured by the yield on American Treasury bills). Over the past ten years, however, the main equity markets have offered a lower return than either property or British government bonds (see chart). The best ten-year investment in our portfolio was London residential property with a total dollar return of 16%, well above the 9% earned on American stocks.

Despite the recent spurt in its price, gold's long-term performance has been lacklustre, offering a ten-year average return of only 0.4%. But the worst investment of all has been Chinese equities. China may be the fastest growing big economy, with massive potential, yet Chinese shares have suffered an average annual loss of 16%. Emerging stockmarkets more broadly have proved a poor bet over the decade, even though in 14 of the past 15 years one of these markets has topped the global investment league. What goes up has then usually tumbled down.

This is where Henry Hindsight, an old flame of Felicity's, has been badly caught out. He invests each January in the previous year's best-performing asset. Henry is like a typical small investor who tends to follow fashion, buying East Asian shares or internet shares in the 1990s after they had already risen sharply—and usually just before they began to slide. Felicity's best prediction was that marriage to Henry would never work.


Future imperfect

What is Felicity's hot tip for 2003? Naturally, she is not saying. However, she has hinted that she is ignoring the advice of most American analysts, who reckon, on average, that the S&P 500 will gain 20% by the end of 2003. After all, share prices are still far from cheap. In previous bear markets equities have always undershot before staging a full recovery; this time valuations have remained well above their long-term average. The price/earnings (p/e) ratio for the S&P 500 using historic reported profits is currently around 30, compared with a 50-year average of 16 and lows of ten or less in previous bear markets. Even if forecast profits are used to estimate earnings, the p/e ratio still looks high.

Moreover, analysts' consensus forecast of a 15% rise in American corporate profits in 2003 is almost certainly far too high, given that nominal GDP is likely to grow by only 4%. Markets were cheered by the upward revision of America's third-quarter GDP growth to 4% at an annual rate. However, a deeper delve into the figures shows that corporate profits actually fell by 7%. Even in a recovering economy, excess capacity and weak pricing power continue to squeeze profits.

Even if the American economy avoids another recession in 2003, real GDP growth is likely to remain below trend for a prolonged period because the large debts of firms and consumers will cramp spending. If so, the output gap (the gap between actual and potential GDP) will remain large, pushing inflation lower. Inflation is already low, with the GDP deflator rising by only 0.8% in the past 12 months. In the non-financial corporate sector prices have fallen by 1.2% in the past year. The Fed has now woken up to the risks, but even if full-blown deflation is avoided, the pace of growth in nominal income—and hence profits—will be sluggish for some time.

If Ms Foresight believes that American share prices could fall for a fourth year—the longest such decline since the Great Depression—where might she be investing? Interest rates of only 1% on bank deposits are hardly enticing. Long-term government bonds look attractive if you expect inflation and interest rates to fall further, but with bond yields already near historic lows, potential gains are limited.

Henry Hindsight's decision is much easier to predict. He is ploughing all his money into Czech shares, gold and residential property. But to Felicity's experienced eye many housing markets, from London to Washington to Sydney, may look horribly bubble-like.

Asked whether she still favours emerging markets, the old lady smiles coyly. According to the Bank Credit Analyst, a Canadian research firm, emerging stockmarket valuations are currently at their cheapest during the 15 years for which figures are available, offering a p/e ratio of nine compared with a long-term average of 15.

Whatever happens this year, Felicity will strike lucky again. But sooner or later her run of double-digit returns may come to an end. In a world of near-zero inflation, where stockmarkets in different countries are moving ever closer in step and where risk and uncertainty are on the rise, the returns that Felicity is accustomed to will be elusive. She would be wise to recall 1931, when the best performing asset was cash, offering 1% interest.

[LTCM]

Buffett’s performance is outstanding as the best among all stocks and mutual funds that have existed for at least 30 years. Nevertheless, his Sharpe ratio of 0.76 might be lower than many investors imagine. While optimistic asset managers often claim to be able to achieve Sharpe ratios above 1 or 2, long-term investors might do well by setting a realistic performance goal and bracing themselves for the tough periods that even Buffett has experienced.

In essence, we find that the secret to Buffett’s success is his preference for cheap, safe, high-quality stocks combined with his consistent use of leverage to magnify returns while surviving the inevitable large absolute and relative drawdowns this entails. Indeed, we find that stocks with the characteristics favored by Buffett have done well in general, that Buffett applies about 1.6-to-1 leverage financed partly using insurance float with a low financing rate, and that leveraging safe stocks can largely explain Buffett’s performance.

[EuroVerde]

Com isto vamo ver se eur/usd se sustem.

[LTCM]

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[frugal]

Ltcm
Pensas entao que a melhor forma de guardar todas as poupancas de uma vida é num portefolio de etfs como apresentaste?
Se nao, como distribuis os 100% de poupanca?
Cumprimentos meus

[LTCM]

[VirtuaGod]

[LTCM]

[LTCM]

The “cult” of equity – or better yet the cult of “total return” – for both bonds and stocks – is over, if that definition presumes a resumption of historical patterns anywhere close to double digits. The era of financial repression continues.

[ghorez]

Neste momento estou indeciso entre que brokers apostar (2 opções):

- TD Ameritrade: Custos de trade inexistentes - desde que escolha ETF da lista de 100 que eles lá têm. Praticamente seriam custos de transferência de dinheiro de PT para US (a volta de 20 EUR) e depois eventualmente de US para PT (20 EUR).

Que instituição financeira apenas cobra 20 EUR na transferência? Já está incluída nos custos a comissão da instituição financeira intermediária nos US? E o spread do cambio EUR/USD está incluído nos custos?

A somar a isto teria apenas a dupla tributação (que ainda não percebi se posso evitá-la (0%) ou minimizá-la (15%) + a tributação em Portugal (breve nos 28%).

Penso que apenas podes minimiza-la para 15% US e 28% PT. Algum forista tem opinião diferente?

- BEST Trading Pro (BTP): Custos de trade de 10 EUR (Se 10 ETF = 100 EUR/ano, considerando reforços anuais).
Tributação apenas em Portugal e sem custos de transferências bancárias.
Escolha de ETF mais limitada que a TD Ameritrade.

Como consegues apenas tributação em Portugal? Os ETFs não são sediados nos US? Caso sejam, então estarás sujeito a dupla tributação. Algum forista tem opinião diferente?

A grande questão aqui será a dupla tributação...porque imaginando um horizonte de 25 anos...se for taxado nos US a 15% ou mesmo 5%, sobre as mais valias (ou dividendos?? nunca percebi esta parte)..essa pequena taxa pode tornar-se mais pesada que ir pagando os custos de trade no BTP.

Penso que a dupla tributação apenas ocorre nos dividendos. As mais-valias são apenas tributadas em Portugal.

BEST cobra-te 16 eur, AB7 cobra-te 19 eur.
Se optares pelo BEST, apenas tens tributação em Portugal independentemente do ETF.
Mas se der para evitar a dupla tributação por completo, então acho que vale muito mais a pena de ter o dinheiro no TD Ameritrade.

[jtavelar]

Neste momento estou indeciso entre que brokers apostar (2 opções):

- TD Ameritrade: Custos de trade inexistentes - desde que escolha ETF da lista de 100 que eles lá têm. Praticamente seriam custos de transferência de dinheiro de PT para US (a volta de 20 EUR) e depois eventualmente de US para PT (20 EUR).

Que instituição financeira apenas cobra 20 EUR na transferência? Já está incluída nos custos a comissão da instituição financeira intermediária nos US? E o spread do cambio EUR/USD está incluído nos custos?

A somar a isto teria apenas a dupla tributação (que ainda não percebi se posso evitá-la (0%) ou minimizá-la (15%) + a tributação em Portugal (breve nos 28%).

Penso que apenas podes minimiza-la para 15% US e 28% PT. Algum forista tem opinião diferente?

- BEST Trading Pro (BTP): Custos de trade de 10 EUR (Se 10 ETF = 100 EUR/ano, considerando reforços anuais).
Tributação apenas em Portugal e sem custos de transferências bancárias.
Escolha de ETF mais limitada que a TD Ameritrade.

Como consegues apenas tributação em Portugal? Os ETFs não são sediados nos US? Caso sejam, então estarás sujeito a dupla tributação. Algum forista tem opinião diferente?

A grande questão aqui será a dupla tributação...porque imaginando um horizonte de 25 anos...se for taxado nos US a 15% ou mesmo 5%, sobre as mais valias (ou dividendos?? nunca percebi esta parte)..essa pequena taxa pode tornar-se mais pesada que ir pagando os custos de trade no BTP.

Penso que a dupla tributação apenas ocorre nos dividendos. As mais-valias são apenas tributadas em Portugal.