Fundos de Investimento ( Mutual Funds - SICAV )

[Bedrock 137]

Some Things I Don’t Know

Are retail traders here to stay? The surge in retail trading volume is nuts:

Is this here to stay? Have we pulled forward new user adoption for products like options? Are more people interested in investing than ever?

Or will this slowly fade away once everyone is vaccinated, more people are back in the office and people have more stuff to do?

Are we all going to live our lives online now? Ready Player One ¹ was a great book but it was also kind of depressing. It was this dystopian future where everyone basically lives online in the metaverse or whatever you want to call it.

The characters were all more interested in the features of the virtual world than they are in real life.

Is it possible the pandemic has pulled forward so much technological demand that more and more young people are going to prefer online life to the real world? Isn’t this the bull case for NFTs and the digitization of everything?

Are we heading for a world like Surrogates with Bruce Willis?

Or will people be so ready to get back to the real world after a year of living most of their life online?

Are faster corrections here to stay? Last year the S&P 500 had its faster 30%+ bear market from all-time highs in history. The Nasdaq just experienced one of its fastest corrections in history in recent weeks.

These losses were followed up with violent snapback rallies.

Is this the world investors are going to be living with for a while? Forever?

Technology is speeding up cycles in everything. What if faster markets, to the upside and the downside, are now a feature of an interconnected world?

What if we don’t get inflation? I know, I know, inflation is really 10% per year and I’m blind to this fact. But what if we don’t see runaway inflation like all of the newsletter people have been predicting since the end of the 1970s?

What if all of this government spending only shows up in certain areas like vacations, concerts and restaurants? Or what if some of it finds its way into the stock market again? What if companies can right their supply chain problems in the coming year?

If you think $1.9 trillion is a huge price tag just wait to see what happens during the next recession if we don’t get an extended period of above-average inflation. The current spending binge is going to look tiny by comparison.

Can the stock market crash during an economic boom? This is the big worry from the potential for rising inflation and rates. What if we overdid it?

But has that ever happened before?

Can you remember a time when the economy was booming but the stock market sold off?

I’m doing the research on this as we speak and it’s quite rare for the stock market to experience losses while the economy is in the midst of above trend growth. The only serious market sell-off I could find historically when this happened was the crash of 1937.

Stay tuned for more on this.

Growth or value or both?  Now that it looks like we’re in the midst of a huge economic recovery with more government spending on the way, it would make sense that value stocks should outperform growth stocks, at least for a while.

But how can you possibly bet against tech stocks right now when it appears these companies will be taking over the world?

Or is it possible investors lost their minds and simply pulled forward returns and valuations for tech stocks got out of hand because of the pandemic?

https://awealthofcommonsense.com/2021/03/some-things-i-dont-know/

Editado 15 de Março de 2021 por Bedrock

[tiao 56]

há 16 minutos, JRJordao disse:

Faz sentido que assim seja.

O imposto das heranças é o Imposto do Selo, que isenta os cônjuges/unidos, ascendentes e descendentes, e aos restantes cobra 10% (+0,8% em imóveis) do valor no momento da herança dos bens herdados.

O IRS tributa os rendimentos obtidos pelo próprio titular, não por outros de quem ele herdou.

Leitura recomendada:  https://www.doutorfinancas.pt/impostos/irs/irs-herancas-e-doacoes/ 

Obrigado.

Isto para mim, é uma novidade do caraças! 😁

Muda muita coisa. Nunca tinha pensado que fosse assim...

[tiao 56]

Melhor fundo global que conheçam para deixar para os putos? Ou seja, que fique lá muitos e bons anos!

Global ou EUA, tb é uma hipótese... 

Acham preferível fundo ou um etf como iwda, para esse efeito?

[pge 119]

Andava aqui á procura de um FI de materias primas e é quase tudo de mining e petroleo. Só me saltou á vista um FI de timber. Há mais alguma coisa interessante para situações de subida da inflação?

O sector financeiro tem boas performances com subida da inflação?

O meu melhor FI YTD https://pt.investing.com/funds/lu1670626792

Editado 15 de Março de 2021 por pge

[Virtua 1302]

há 20 horas, superman disse:

Estes fundos da Vanguard são os que estão disponíveis nos Best? 

São ETFs (cotados) por isso qualquer plataforma tem acesso a eles. Não sei se o Best, banco, tem na oferta ou sói na best trading pro

[pge 119]

há 3 horas, Bedrock disse:

Não haja dúvidas que o único mercado acionista fiável é o dos EUA, com exceção do setor da biotecnologia, pois quando cai não demora muito tempo a subir, é o verdadeiro swing dos preços e aonde o fenómeno do retorno para a média se verifica num menor espaço temporal, logo é no mercado dos EUA em que a gestão ativa terá menos vantagens em relação à gestão passiva.

Como o retorno para a média na Europa e especialmente mais nos mercados emergentes, demora mais tempo que no mercado dos EUA, é por isso que a gestão ativa prevalece sobre a gestão passiva. É por isso que na Europa e nos mercados emergentes e em outros mercados menos fiáveis, se encontram muitos fundos a bater os respetivos benchmarks, enquanto que nos EUA os FIGAs de outperformance são percentualmente inferiores, e como o mercado acionista dos EUA tem tido um peso no mercado global superior a 55% (em Jan. de 2021 era de 55.9%) esse também é um fator favorável à gestão passiva.

Agora, não podemos confundir e extrapolar o que acontece no mercado acionista dos EUA para os restantes mercados mundiais, como acontece infelizmente com demasiada gente que lê papers e estudos relativos ao mercado dos EUA e rapidamente extrapolam os resultados e conclusões desses estudos para o resto do mundo, o que é lamentável e tecnicamente indefensável. 

Na minha vasta experiencia de meia duzia de meses, o que me parece é que os FI com boas rentabilidades têm mais enfoque no growth que os etfs que são mais neutros.

Seria interessante comparar os FI com os etfs na década 2000-2010, devido a terem ocorrido duas grandes quedas mas ainda não encontrei onde fazê-lo.

[Patanisca 1223]

há 1 hora, pge disse:

Há mais alguma coisa interessante para situações de subida da inflação?

O sector financeiro tem boas performances com subida da inflação?

https://www.investopedia.com/articles/bonds/09/bond-market-interest-rates.asp#:~:text=Inflation erodes the purchasing power,to compensate for inflation risk.

Citação

Inflation Expectations Determine the Investor's Yield Requirements

Inflation is a bond's worst enemy. Inflation erodes the purchasing power of a bond's future cash flows. Put simply, the higher the current rate of inflation and the higher the (expected) future rates of inflation, the higher the yields will rise across the yield curve, as investors will demand this higher yield to compensate for inflation risk.

Como é que o sector financeiro faz dinheiro?...

Isso! Com dívida!

+Inflation -> +Bond Yields -> +Reference Rates (meh) ->+Expensive Credit -> Bankers buy Yatches

A subida da inflação faz com que quem vende coisas, as consiga aumentar de preço para responder a supply chains mais caras (matérias primas mais caras p.e.), e com isso manter as rendibilidades dos seus negócios. Quem promete um dia vir a vender coisas, vai sofrer, porque se alimenta de dívida, que com a inflação a subir, fica mais cara. Por isso é que nos últimos meses se tem assistido a uma rotação de Growth (os que prometem vender um dia coisas) para Value (os que sempre venderam coisas e se elas custam mais a fazer, aumentam os preços e vendem à mesma).

Eu não sei se estou a dizer algum disparate, sou uma Patanisca, e não tenho cursos da área financeira, portanto agradeço que alguém me corrija caso a ideia que tenho da coisa não esteja correta.

[vila 17]

Por curiosidade: que percentagem do vosso portefolio têm sempre em stand buy para aproveitar oportunidades de entrada? Deixam em cash DO ou aplicam?

[superman 4]

há 14 horas, Virtua disse:

São ETFs (cotados) por isso qualquer plataforma tem acesso a eles. Não sei se o Best, banco, tem na oferta ou sói na best trading pro

Pelo que vi não existem no best (banco). Mas qual era a tua intenção nessa comparação? Validar o comportamento do smart invest?

[superman 4]

A 12/03/2021 às 12:50, Bedrock disse:

Tens aí abaixo uma listagem de 10 fundos de ações, que existem no Best, para constituíres uma carteira robusta, os quais abrangem as várias zonas geográficas e diferentes setores e subsetores temáticos.

Há o fundo global da MS que faz alguma sobreposição com os outros fundos da MS (Ásia, USA e Europa) mas, apesar disso, é importante alocá-lo pois é um fundo abrangente muito bom.

Os fundos n.º 3 e n.º 9 não existem na plataforma e têm de ser pedidos ao teu gestor.

Quanto à distribuição do dinheiro, atualmente, eu punha 5% nos fundos n.ºs 8, 9 e 10; 15%  nos n.ºs  1, 5 e 6; 10% nos n.ºs 2, 3, 4 e 7.

 

1 - Morgan Stanley Investment Funds - Asia Opportunity Fund AH (EUR)  ISIN LU1378879248

2 - Morgan Stanley Investment Funds - US Growth Fund AH (EUR)  ISIN LU0266117414

3 - Morgan Stanley Investment Funds - Europe Opportunity Fund A  ISIN LU1387591305

4 - Morgan Stanley Investment Funds - Global Opportunity Fund AH (EUR)  ISIN LU0552385618

5 - BlackRock Global Funds - Next Generation Technology Fund E2 EUR Hedged ISIN LU1861216783

6 - Allianz Global Investors Fund - Allianz Global Artificial Intelligence AT (H2-EUR) ISIN LU1548497772

7 - Alger SICAV - Alger Small Cap Focus Fund Class A EUH  ISIN LU1339879832

8 - Janus Henderson Horizon Biotechnology A2 USD Acc   ISIN LU1897414303  

9 - Cs Investment Funds 2 - Credit Suisse (lux) Digital Health Equity Fund B Usd  ISIN LU1683288002

10 - BNP Paribas Funds Energy TransitionN Capitalisation ISIN LU0823415012

 

Obrigado! Tenho alguns destes

Continuas a achar que os fundos de transição energética ainda têm pernas para andar, depois das valorizações loucas que têm tido? Em particular o BNP Paribas Funds Energy TransitionN Capitalisation?

Tinha ficado com a sensação de que tinhas saído do sector há uns tempos...

[Patanisca 1223]

há 48 minutos, vila disse:

Por curiosidade: que percentagem do vosso portefolio têm sempre em stand buy para aproveitar oportunidades de entrada? Deixam em cash DO ou aplicam?

Atualmente tenho:

81% em FI
9% Crypto
8% Cash
2% P2P

O que está em cash está mesmo à ordem, disponível.

Costuma estar nos 15-20%, mas está a 8% porque houveram boas oportunidades há uns dias e fiz reforços. Agora é esperar que o patrão pague, para juntar mais umas notitas e voltar aos 15-20%.

[Vidolz 295]

há 53 minutos, vila disse:

Por curiosidade: que percentagem do vosso portefolio têm sempre em stand buy para aproveitar oportunidades de entrada? Deixam em cash DO ou aplicam?

Tenho 40% em cash, todos os dias me questiono se não deva meter o resto já e arranjar mais cashflow até ao próximo crash...

[5coroas 1402]

há 1 hora, vila disse:

Por curiosidade: que percentagem do vosso portefolio têm sempre em stand buy para aproveitar oportunidades de entrada? Deixam em cash DO ou aplicam?

Neste momento 20% em cash.

[Pequeno_Aprendiz 47]

há 13 horas, Patanisca disse:

https://www.investopedia.com/articles/bonds/09/bond-market-interest-rates.asp#:~:text=Inflation erodes the purchasing power,to compensate for inflation risk.

Como é que o sector financeiro faz dinheiro?...

Isso! Com dívida!

+Inflation -> +Bond Yields -> +Reference Rates (meh) ->+Expensive Credit -> Bankers buy Yatches

A subida da inflação faz com que quem vende coisas, as consiga aumentar de preço para responder a supply chains mais caras (matérias primas mais caras p.e.), e com isso manter as rendibilidades dos seus negócios. Quem promete um dia vir a vender coisas, vai sofrer, porque se alimenta de dívida, que com a inflação a subir, fica mais cara. Por isso é que nos últimos meses se tem assistido a uma rotação de Growth (os que prometem vender um dia coisas) para Value (os que sempre venderam coisas e se elas custam mais a fazer, aumentam os preços e vendem à mesma).

Eu não sei se estou a dizer algum disparate, sou uma Patanisca, e não tenho cursos da área financeira, portanto agradeço que alguém me corrija caso a ideia que tenho da coisa não esteja correta.

Não sou da área financeira, não tenho cursos nessa área e nem sequer chego a ser Patanisca. No entanto, concordo a 100% com a leitura, apesar de não corroborar a generalização. Essencialmente a subida das taxas de juro vai influenciar as empresas mais alavancadas e principalmente as que planeavam alavancar ( daí os earnings per share das growth serem revistas em baixa...). Basicamente para a mesma margem de EBIT de uma determinada empresa, com juros mais caros, o net income diminui.

Agora há empresas growth que não tem muita dívida, já estão a gerar cash flow’s positivos e a inflação até poderá aumentar as suas margens, assim como há empresas value altamente endividadas e quando chegar a hora de emitir novas obrigações vão ter que pagar mais caro... 

No fim de contas, cabe ao gestor do fundo justificar a comissão que nos cobra e fazer uma escolha acertada tendo em conta a análise micro e macroeconómica.

[5coroas 1402]

há 1 hora, Vidolz disse:

Tenho 40% em cash, todos os dias me questiono se não deva meter o resto já e arranjar mais cashflow até ao próximo crash...

A Gamestop está outra vez a ficar barata.

[Bedrock 137]

há 2 horas, superman disse:

Obrigado! Tenho alguns destes

Continuas a achar que os fundos de transição energética ainda têm pernas para andar, depois das valorizações loucas que têm tido? Em particular o BNP Paribas Funds Energy TransitionN Capitalisation?

Tinha ficado com a sensação de que tinhas saído do sector há uns tempos...

Eu não tenho o BNP porque só estou a investir com USD, tenho um outro FI de transição energética que resgatei quase na totalidade há cerca de 1 mês quando comecei a ver que a clean energy estava a ter um rebound em favor do crude oil energy. 

Esse FI do BNP depois das quedas nas últimas semanas, deve ser para manter no médio prazo pois é o presente e o futuro da energia. No entanto, nesta altura indefinida, eu só lhe atribui um peso de 5% na carteira de 10 FIs propostos.

O crude oil teve estas valorizações recentes com o fundamento da reabertura e expansão da economia no pós vacinas Covid, e como as energias renováveis ainda estão longe de suprimir a demanda da economia em velocidade de cruzeiro, a velha energia fóssil altamente poluente valorizou. 

 

Editado 16 de Março de 2021 por Bedrock

[Vidolz 295]

há 42 minutos, 5coroas disse:

A Gamestop está outra vez a ficar barata.

Não sei se volto a entrar nessa montanha russa  

[Bedrock 137]

há 1 hora, Vidolz disse:

Não sei se volto a entrar nessa montanha russa  

Acho bem e até digo mais: nas montanhas russas que entrem os camaradas oligarcas russos putinsófilos. 

Editado 16 de Março de 2021 por Bedrock

[Bedrock 137]

@Vidolz, como estás carregado em cash à espera de quedas acentuadas para entrares e aproveitares oportunidades, mas depois, quando entras, costumas entrar já um pouco atrasado, eu acho que nesta altura do campeonato devias transformar o teu cash de EUR em USD, na perspetiva da valorização do USD face ao EUR, e assim podias extrair rentabilidade da tua liquidez e como costumas investir em stocks dos EUA já podias investir diretamente em USD e não por via indireta de EUR.

[Bedrock 137]

How to Predict Stock Returns (using a simple model)

 

Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns. The so-called “Occam’s razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible.

Mr. Bogle’s model is pretty simple:

Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage change (annualized) in the P/E multiple.

Source paper link

Not bad! A simple three factor model to predict stock returns.

Building a Model to Predict Stock Returns

Let’s walk through one example of how we can use Bogle’s model to predict stock returns—with the obvious caveat that this is only one model and is not guaranteed.

1. Starting dividend yield

This is the simplest part!

As of 3/10/2021, the dividend yield on the S&P 500 is ~ 1.50%.

2. Estimating the Earnings Growth Rates

The simplest way to estimate earnings growth rates is by using historical averages.

Here, one can either use geometric or arithmetic averages. One can also vary the look-back period.

Below are the numbers over numerous periods through 2019. ⁴

As we see, on average, over the long-run, firms grow their earnings. This makes sense as CEOs are incentivized in their compensation packages to maximize shareholder value. ⁵

So, using the simple method of using averages, reasonable growth rates for earnings would be within the 4% – 12% range, using the past 30 years and examining both the average and geometric means.

Another approach, which is more complicated, involves a more detailed model to generate earnings growth rates. This involves projecting (1) future revenue growth for the market and (2) future profit margins. We examine these topics in detail in this post here (section 3 of the article).

The first item, future revenue growth, can be reasonably approximated by a combination of GDP and inflation (depending on the real/nominal GDP values). The second item needed is profit margins. Examining our old post, one of the biggest issues (looking back) was that our simulation assumed margins would mean-revert, on average. But margins actually increased! While difficult to say with certainty, there is a reasonable theory that profit margins may be permanently higher due to economic moats driven by technology—thus future margins may be higher than the long-term historical average. Thus, one can use a more complicated model to generate future earnings growth rates for the economy.

Here, we will stick with the simple model, and use 7% for the earnings Growth rate. ⁶

3. Estimating the P/E multiple move

As Bogle and Nolan (2015) so nicely outline—over very, very long time periods—the majority of the returns to the stock market are generated by items (1) and (2)—dividend yield and earnings growth—which they call “Investment Return”. The last part, the change in P/E, they call “speculative return” as this is more prone to the whims of the market:

• If people are more risk-averse, multiples will be lower
• If people are less risk-averse, multiples will be higher

Of course, that is my oversimplification of the idea, and there are many other factors involved (inflation, interest rates, tax law, etc.).

In their paper, they highlight the prior returns to the market in Exhibit 1:

Over the long-run, dividends and earnings growth drive the returns, so by their model, these are the real important factors for predicting stock returns for very long time horizons.

However, not everyone has a 50-year+ time horizon, and 10-year periods can be prone to large changes in the P/E multiple!

Thus, we need to generate some model to figure out how multiples expand/contract over time.

Campbell and Shiller (1988 and 1998 papers) examined the idea of price-to-earnings (P/E) multiples being related to future stock returns. Their CAPE Ratio (Cyclically Adjusted Price to Earnings ratio) was used to examine future stock returns. The CAPE ratio is a nice method to normalize earnings and account for inflation.

In their papers (1988 and 1998), they found a high relationship between CAPE and future returns—higher CAPEs indicated lower returns in the future, and lower CAPEs indicated higher returns in the future.

In fact, their 1998 paper even highlighted that the P/E multiple, and specifically the CAPE multiple, was very high at the time (near the end of the Internet Bubble), and their model predicted that returns in the future will be low/negative.

And they were correct!

As shown above, the returns in the 2000s were negative for equity investors.

So why don’t we just use the CAPE model?

Well, I started with Bogle’s approach as I like the simplicity.

The other reason, as outlined in the 2019 JPM article, “Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach” by Davis et al., is that the CAPE model has not worked too well out of sample.

Exhibit 2 of the paper examines the performance of the CAPE model. As can be seen below, in my edited screenshot, the model worked very well for a long period of time.

Unfortunately, out of sample, the CAPE model consistently predicted lower returns than what was realized in the market.

But why did this occur?

Well, the CAPE model requires a reversion to the mean. By this, I mean the model will predict that the current CAPE ratio will revert to the mean or the historical average.

Thus, if the CAPE is below the mean, the model will predict an expansion of the earnings multiple, which is “positive” to the predicted stock returns (it adds to the predicted returns). If, on the other hand, the CAPE is above the mean (which it currently is), the model will predict a contraction of the earnings multiple, which is “negative” to the predicted stock returns (it subtracts from the predicted returns).

Thus, this CAPE or P/E reversion effect can either increase or decrease predicted stock returns. ⁷

But what if the mean has permanently changed? If so, the model would be “misspecified” as we’d assume reversion to the incorrect mean.

Davis et al. examine this question in their paper, as shown in Exhibit 3:

From this image, we see that there does appear to be a significant upward shift in the CAPE ratio over the past 30+ years, relative to the prior ~ 60+ years. Their solution is to edit the model to better predict the “mean reversion” or “the P/E change” part of Bogle’s formula. Details in this reference. ⁸

Without diving too much into the model (and whether it is good/bad), the big idea is the following—these variables are predictive of the earnings yield, or the market multiple. In doing so, as opposed to only using the past CAPE ratio’s mean, they attempt to predict the future CAPE ratio—which in turn predicts the last part of Bogle’s formula—the change in the P/E multiple.

Not surprisingly, they find that this model works better than the simple CAPE model.

However, let us stick with the simple Bogle model for now (and even my simplification of the model), and try to predict the last variable we need—the change in the P/E multiple.

As of 3/10/2021, the S&P 500 is trading at ~3,900. Using the 2019 earnings value of ~ $142 as the baseline the current P/E multiple is 3900/142 ~ 27.5.

Important note–I am using the 2019 earnings as the 2021 earnings are generally expected to be near the 2019 earnings values. There are valid arguments for/against this approach as opposed to using the 2020 ending earnings of ~ $100. Obviously, if one believes that the covid impact is permanent and long-lasting, then you’d want to use the 2020 earnings number of $100. If, on the other hand, you believe that the impact is temporary, using the 2019 number as a baseline makes more sense.

Over the past 30 years, using annual data as of 12/31 each year, the S&P500 was trading at an average multiple of ~ 24 (the mean) and a median multiple of 21.

So, in our calculation—I am going to use a reversion to a P/E of 22.5 (average of the median and the mean).

Thus, the change in P/E, annualized over 10 years, is (22.5/27.5)^(1/10)-1 = -1.98%.

For simplicity, let’s say negative 2%.

Thus, if the P/E multiple contracts (as in my calculation) to a value of 22.5, the last part of Bogle’s equation would imply that changes in the P/E multiple will add a negative 2% annually to the market return annually over the next 10 years.

Putting it all Together to Predict Stock Returns

Thus, we have used one model, Jack Bogle’s model, and generated the three parts of the (nominal) predicted returns.

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index.

What one notices is that the predicted stock return is lower than in the past (many cite 10%+ annually).

Of course, this is only one model and is not guaranteed.

Below is a range of outcomes using the simple model by varying (1) the next decade’s growth rate of earnings and (2) the ending P/E of the market, with the assumption that (1) the starting dividend yield is 1.5% and the starting P/E is 27.5:

However, this is a simple model to use when attempting to figure out future returns. In the appendix below, I list links to other models/predictions.

Two items to note:

1. Some models predict real returns and others predict nominal returns. Please be aware of the differences from firm to firm. In the model above, my prediction was nominal (before inflation).
2. The largest variation in the predicted returns across the various models comes from “part 3” of the Bogle model—some firms expect a full reversion to the mean, while others may completely ignore this aspect

Hopefully, my prediction of 6.5% is way too conservative!

---

One note—this article highlights an image showing the long-term return is mainly driven by what Bogle calls the “Investment Return” while the “Speculative return” is close to 0. To see this, let’s be very bearish on long-term P/E multiples, and say that in 50 years, the P/E is going to 15.

Well—this means that from a starting P/E multiple of 27.5, its annualized impact on the total return (predicted) is (15/27.5)^(1/50)-1 = -1.2%. Thus—while this would have a negative impact, over the long-term, (1) dividends and (2) earnings growth should (hopefully!) subsume this number.

---

Appendix

1. Campbell and Shiller’s paper – CAPE model in detail and how it was studied academically.
2. Fight the Fed model – The main takeaway to remember: While the Fed Model can be good at describing how the market P/E is currently set, it is no better at predicting future stock returns than a model based on long-term P/E ratios.
3. Vanguard expected returns (2021 version)
4. AQR expected returns (2021 version) – Different models (in “real” terms, not nominal).
5. Morningstar summary of 2021 expected returns
6. Damodaran equity risk premium models – to get a predicted return, you add the equity risk premium (ERP) to the 10-yer T-bond yield at the time.
7. Alpha Architect how to build expected return models.
8. Research Affiliates expected returns module – note you can toggle between real and nominal returns, as well as change the “expected returns model”.
9. A one-factor model by Cliff Asness to predict stock returns.

Notes:

1. More on that below. ↩
2. Of note, Shiller has data on his site as well, I just viewed this website as easier for anyone to “check” my calculations and view the data. ↩
3. That is nominal returns, not real returns which account for inflation. ↩
4. Using annual values, as opposed to monthly values. ↩
5. In general the incentives are higher now than they were in the past, as the majority of the academic literature highlighting that CEOs with “pay packages aligned to shareholder value” started in the early 1990s—thus, more recent growth rates are probably applicable for the future if we assume incentives matter. ↩
6. Giving a higher weight to the past 10 years. ↩
7. Note, there are many ways to predict reversion to the mean in models, I am overly simplifying this topic here. ↩
8. They use a 5-variable model to predict the inverse of the CAPE in the future—i.e. they build a model to predict the future CAPE (to which the model then revert towards!).

    

   The variables are the following:

   1. CAPE real earnings yield, or 1/CAPE
   2. Real 10-year bond yields or nominal Treasury yield less an estimated 10-year expected inflation rate.
   3. Year-over-year CPI inflation rate
   4. Realized S&P 500 price volatility, over trailing 12 months
   5. Realized volatility of changes in our real bond yield series, over trailing 12 months

https://alphaarchitect.com/2021/03/16/predicting-stock-returns-using-a-simple-model/

[Bedrock 137]

Credit Suisse Global Investment Returns Yearbook 2021 Summary Edition

https://www.credit-suisse.com/about-us/en/reports-research/csri.html 

 

[psferreira 9]

Resgatei este fundo PTYESYLM0009, com menos valias, para englobar no saldo +- valias, na seguinte data:

- data de pedido 28-12-2020

- data de transação 29-12-2020

- data de liquidação 04-01-2021

Afinal para efeitos fiscais entra em que ano? acho que não me aparece na declaração que o Best me enviou.

 

Editado 16 de Março de 2021 por psferreira

[Bedrock 137]

Masters of Equities Universe Are Unfazed by Spike in Bond Yields

The recent rise in interest rates triggered a bout of volatility, but it’s not making the pros in the stock market run for the hills just yet.

Some of the world’s biggest fund managers say equities can persevere and continue rallying through the rise in government bond yields. They are focusing instead on prospects for a powerful economic and profit recovery.

In an informal Bloomberg News survey of more than 50 market players, most respondents including State Street Global Advisors and JPMorgan Asset Management said they’re monitoring the pace of the ascent in yields -- and the reasons for it -- rather than awaiting a particular level that will mark a breaking point for stocks. As long as central banks stick to accommodative policies, the equity bull run can power ahead, these investors say.

“Absent a shift in central banks’ thinking, we don’t think yields will rise to a level where it broadly hurts equities,” said Hugh Gimber, a London-based global market strategist at JPMorgan Asset Management. “Provided the Fed sticks to guidance, and remains comfortable, willing to look through any temporary spike in inflation, I don’t see an environment where yields are rising in a way that’s problematic for equities broadly.”

The surge in government bond yields over the past month helped fuel an exit from the frothier parts of the market such as technology and defensive shares, leading to a dip of as much 11% in the Nasdaq 100. But the vaccination push in major economies and bets on a recovery in economic growth as well as consumer spending are filling equity bulls with confidence that they can keep reaping returns despite higher interest rates.

At the same time, the pick-up in yields and the more than 70% rally in stocks from pandemic lows are pushing fund managers to become more selective. The likes of Manulife Investment Management and HSBC Asset Management say that, while this isn’t the time to exit equities, the selloff in bonds will accelerate the rotation out of the more expensive growth parts of the market and into cheaper and laggard equities that can benefit from the economic recovery.

“If rates were rising from a normal range, tech stocks would’ve been fine, but not true when the valuations are what they have been,” said Dave King, a Boston-based portfolio manager at Columbia Threadneedle Investments. “Potential reopening, coinciding with the rise in yields as well as other factors, were positive for the stocks that people didn’t like too much last year, whether it’s banks or energy.”

The energy sector is the best performer in the MSCI World this year, rising about 30%, while financials are next with a 14% gain. More defensive and rates-dependent sectors, such as consumer staples and utilities, are both in the red.

Cult stocks that have been investors’ favorites throughout the pandemic have also had a harsh few weeks. Tesla Inc. was down as much as 36% from its January peak before recouping some of its losses last week. Even market stalwart Apple Inc., the biggest U.S. stock, crashed as much as 19% from its record high.

This environment could also mark a shift from U.S. stocks to other international equities, such as Europe and emerging markets, that have higher exposure to value sectors. Having lagged the S&P 500 during last year’s rally from the March lows, the Stoxx Europe 600 is outpacing the American benchmark so far in 2021.

“The risk of an equity market correction driven by higher yields is highest in the U.S.,” said Joost van Leenders, an Amsterdam-based senior investment strategist at Kempen Capital Management. “The U.S. economy has recovered faster than the European economy, and another major fiscal stimulus bill has just been approved. Inflationary pressure in Europe looks minimal. From a style perspective, growth is more at risk than value. This also means Europe may benefit relative to the U.S.”

Investors who are watching out for a particular Treasury yield level that can significantly hurt global equities pointed to a range between 2% and 3% for 10-year bonds.

“It’s important to remember that historically, rising yields have been consistent with rising markets, because both are driven by growth, and we think that will remain the case this time,” said Mark Haefele, chief investment officer at UBS Global Wealth Management. At the same time, he added that “yields above 2.25-2.5%, if not accompanied by an improvement in the long-term earnings growth outlook and lower risk premia, would start to make current equity valuations look more challenged.”

The pause in the bond market selloff in the middle of the week last week showed how quickly stocks and growth sectors can come rushing back. The Nasdaq 100 on Tuesday surged 4% for its biggest jump since November, signaling that appetite for tech names remains strong.

“If the rise in bond yields is too quick or too high, it’s a negative for equity valuations. However, if controlled and modest over time, equities can absorb the adjustment reasonably well,” said Nathan Thooft, Boston-based global head of asset allocation at Manulife Investment Management. “Especially if the reason for higher rates is better growth rather than just higher inflation.”

https://www.advisorperspectives.com/articles/2021/03/15/masters-of-equities-universe-are-unfazed-by-spike-in-bond-yields

 

[Bedrock 137]

há 1 hora, psferreira disse:

Resgatei este fundo PTYESYLM0009, com menos valias, para englobar no saldo +- valias, na seguinte data:

- data de pedido 28-12-2020

- data de transação 29-12-2020

- data de liquidação 04-01-2021

Afinal para efeitos fiscais entra em que ano? acho que não me aparece na declaração que o Best me enviou.

 

O que conta é a data de liquidação para efeitos fiscais e para tudo o resto pois é só nessa data que o valor resgatado cai na nossa conta à ordem.

Se fosse um FI estrangeiro em USD, também o câmbio seria da data de liquidação para efeitos fiscais.

Eu quando resgato no final do ano para efeitos fiscais, resgato antes do Natal para que a data de liquidação seja desse ano. Há que contar com um delay de 5 dias úteis, entre o resgate e a liquidação, para não termos surpresas de alguns FIs que demoram mais tempo a liquidar.

Editado 16 de Março de 2021 por Bedrock

[Virtua 1302]

há 6 horas, superman disse:

Pelo que vi não existem no best (banco). Mas qual era a tua intenção nessa comparação? Validar o comportamento do smart invest?

Tenho feito várias vezes esta comparação. Um dos dois (Smart Invest ou Vanguard lifestrategy) vai ser onde vou começar a investir e estou indeciso/pouco histórico pelo que tenho acompanhado relativamente de perto o comportamento de ambos (e normalmente, como é costume, quando faço para mim partilho aqui no fórum).

Por acaso pensei que os Vanguard fossem dar uma porrada descomunal aos Smart (devido ao diferencial de custos e excesso de exposição à Europa por parte dos Smart). Estou surpreendido.