Adrian T. Mitroi, CFA
Finante Personale, DAFI 2007
FINANTE PERSONALE. ANALIZA INVESTITIONALA si MANAGEMENTUL DE PORTOFOLIU
1. FINANTE PERSONALE. PSIHOLOGIA RISCULUI
Introducere. Concepte de baza ale finantelor comportamentale. Finante clasice vs. Finante comportamentale. Integrarea finantelor clasice/standard cu cele comportamentale. Cadrul finantelor comportamentale. Importanta asteptarilor. Stilul de investitie. Trasaturi comportamentale relevante in context investitional. Investitorul rational vs. investitorul non rational. Predispozitii, predilectii, tendinte, inclinatii, erori si confuzii cognitive. Studiu de caz.
2. ANALIZA INVESTITIILOR
ANALIZA UNEI FIRME. EVALUAREA FIRMEI, ACTIUNILOR, INVESTITIEI Firma. Evaluarea succesului comercial. Afacerea - elemente esentiale. Competitia. Piata si sectorul. Managementul si organizatia. organizatia. Procesul de business. Planul de afaceri. Situatia financiara. Riscurile. Potentialul unei firme vs p otentialul unei unei investitii. Procesul de evaluare. Modele de actualizare. Modele de comparare EVALUAREA FIRMEI, ACTIUNILOR, INVESTITIEI. APLICATII Cresterea constanta. Analiza de senzitivitate. Analiza de marja. Previziuni. Modelul APT cu 5 factori macro. Cresterea sustenabila. P/E de sector si de tara. Indicatori strategici. Macroeconomie. Analiza de cash flow. Evaluarea prin cash flow liber. Calitatea veniturilor. Studii de caz Evaluarea unei firme prin evaluarea comparativa si prin analiza probabilitatilor de scenarii. Evaluarea unei firme de tehnologie. Evaluarea clasica prin cash flow
3.MANAGEMENTUL DE PORTOFOLIU
Rentabilitate si costul de oportunitate. Riscul unui portofoliu. Matematica portofoliului. Risc si rentabilitate. Teoria moderna a portofoliului (Markowitz). Modelul de evaluare a activelor financiare (Sharpe & co). Coeficientul !. Exemplu de diversificare a portofoliului. Teoria Arbitrajului (Ross). Exemplu de calcul a covariantei. Exemplu de diversificare.
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Finante Personale, DAFI 2007 1. FINANTE COMPORTAMENTALE INTRODUCERE. CONCEPTE DE BAZA ALE FINANTELOR COMPORTAMENTALE Diferenta dintre valoarea intrinseca estimata/asteptata/im estimata/a steptata/implicita plicita si pretul de piata explicit al unui unui titlu financiar ar putea fi fi zero (regula valorii actuale nete nule) daca toti investitorii ar putea anticipa corect atat valoarea intrinseca a actiunilor, cat si momentul implementarii deciziei investitionale - temporizarea precisa a momentelor de vanzare si cumparare. O astfel de situatie de echilibru financiar este posibila doar pe o piata financiara eficienta (organizational, operational si functional), cel putin din punct de vedere vedere teoretic; acest echilibru nu se regaseste in realitate. Diferenta Diferenta dintre pret si valoare este o masura dinamica, atat ca valoare cat si ca sens, si practic, acest ecart tinde foarte rar catre zero. Elemente de natura sociologica, psihologica, psihologica, de asimetrie, de informatie, informatie, etc. sunt doar cateva dintre influentele la care diferenta pret-valoare raspunde in mod continuu. Analiza comportamentului financiar (behavioral finance) nu suplineste evaluarile standard - analiza fundamentala, tehnica si bursiera. In cadrul finantelor moderne, moderne, toate t oate aceste abordari analitice fuzioneaza sinergic cu scopul sustinerii unei decizii investitionale informate. Analiza comportamentala financiara relaxeaza conditia convergentei pretului catre valoare. Intre cele doua caracteristici economice pot exista diferente sistematice, care pot fi exploatate de catre un investitor rational. Intrebarea fundamentala fundamentala al carei raspuns trebuie trebuie gasit si sustinut empiric este: Se poate obtine extra profit profit din exploatarea “ineficientei“ comportamentale, cognitive si pshihologice? Finantele comportamentale se bazeaza pe psihologia comportamentala – stiinta initiata de B. F. Skinner (1938). Dupa Skinner, nu e nici posibila nici necesara cunoasterea motivatiei comportamentului uman, fie el corect sau incorect. Orice comportament a fost deprins in vreun fel si, deci, poate fi la fel dezvatat prin conditionare. Spre deosebire de finantele clasice, cele comportamentale considera si elementele de perceptie, evaluare proprie proprie si emotie implicate in luarea si asumarea deciziei investitionale. Emotiile subiective subiective domina logica obiectiva. Neurostiinta moderna cauta motivatiile comportamentelor umane si sustine ca aspectul emotional este indispensabil in orice decizie, inclusiv cea financiara. Chiar si in cazul comportamentului perfect rational, emotiile sunt prezente in luarea luarea oricarei decizii. decizii.
Nivelul de incredere/siguranta incredere/siguranta in propriile abilitati financiare financiare ale al e unui investitor nu este corelat cu succesul investitional. Jucatorii sunt convinsi ca pot „bate” sistematic piata, prin decizii de temporizare corecte - cumparare sau vindere a unui activ financiar/actiune/moneda financiar/actiune/moneda la momente optime. Investitorii dau prea multa greutate experientelor financiare recente, in dauna celor mai indepartate. Acestia evalueaza deciziile celorlalti participanti de pe piata ca fiind discretionare si nonrationale, nonrationale, pe cand deciziile proprii sunt considerate considerate perfect rationale – in limita informatiilor disponibile la un moment moment dat. Pietele financiare sunt un ecosistem integrat, in care investitorii rationali din punct de vedere financiar, incearca in mod continuu sa obtina profit de pe urma celor cu un comportament non-rational financiar; primii capitalizeaza pe slabiciunile emotionale, informationale, psihologice si sociologice ale celor din urma. 3
Finante Personale, DAFI 2007
In ciuda progreselor in intelegerea mecanismelor economico-financiare, este dificil de explicat de ce oamenii nu se comporta, atunci cand este vorba de bani, dupa cum prezic ecuatiile economice. Teoria acceptata general, in mod politicos de catre economisti, este ca oamenii intreprind actiunile lor economice in functie de calcule rationale si iau decizii dupa modele stricte de eficienta financiara. Noua paradigma a economiei behaviorale incearca sa convinga ca studiul a ceea ce oamenii fac este cel putin la fel de important si interesant ca si cel clasic, a ceea ce oamenii ar trebui sa faca. Metafora platonica a mintii - asemuita cu un conducator conducator de atelaj de razboi tras de doi gemeni – ratiunea si emotia, sustine ca ratiunea este un mic ponei pe cand emotia este un elefant. Neurostiinta economica investigheaza curios interactiunile si ratiunile cele mai profunde din interiorul cortexului uman, impletirea complexa dintre cele patru elemente definitorii psihologic psihologic al comportamentui comportamentui uman – frica, manie, avaritie si altruism, al truism, atunci cand este vorba despre bani. Unul din cele mai reusite experimente economice prin care se incearca sa se demonstreze aparenta nonrationalitate a „animalului de laborator” numit Homo Sapiens Economicus presupune doi subiecti de investigare stiintifica supusi unui test: subiectul A primeste € 10 si poate alege sa ofere subiectului B orice suma din cea avuta, iar acesta, la randu-i poate accepta sau respinge oferta; in cazul in care B accepta, cei doi impart banii asa dupa cum a decis A, iar daca o respinge, B nu primeste nimic. Asa cum a fost dovedit teoretic de matematicianul John Nash (... A ), subiectul A ar acumula cei mai A Beautiful Mind ), multi bani daca ar oferi de fiecare data cate 1€ subiectului B, pastrand 9€ pentru el – si B ar trebui sa accepte intotdeauna aceasta oferta, pentru ca 1€ este oricum mai bun decat nimic. Practic insa, teoria de mai sus nu se confirma, in realitate oamenii se comporta diferit: subiectii B care primesc oferta de 1 sau 2€, o resping sistematic. Cea mai simpla explicatie ar fi ca B simt intotdeauna ca sunt inselati/insultati, ca ar putea primi mai mult; si, mai interesant, daca locul subiectului A este luat de un computer, subiectii B tind sa accepte de fiecare data ceea ce li se ofera, plecand de la premiza ca nu pot fi insultati de catre o masina. Dupa acelasi model, subiectii care joaca rolul lui A, aleg in mod normal o varianta frateasca de impartire echitabila - dovedita experimental a fi in jur de 4€. Singura categorie de persoane care se comporta exact asa cum prezice teoria teoria – oferind suma suma minima posibila posibila de 1€, sunt cei cei pentru care, care, patologic, parerea parerea celorlalti celorlalti nu conteaza – autistii. Prin intermediul echipamentelor echipamentelor de rezonanta magnetica functionala functionala (fMRI) se evidentiaza e videntiaza ca in cazul unei oferte oferte de valori mici se stimuleaza activitatea cortexului insular - o regiune relativ primitiva a creierului uman si care raspunde in principal de emotiile negative, inclusiv mania si dezgustul. Aceasta regiune a cortexului reactioneaza in contradictie cu partea mai evoluata a acestuia – cortexul prefrontal, prefrontal, zona in care predomina impulsurile impulsurile rationale – „mai bine accept 1€ si beau o cola decat nimic”. Concluzia experimentului este - cu cat activitatea in zona cortexului insular este mai intensa, cu atat probabilitatea probabilitatea ca subiectul subiectul B sa respinga oferta este mai mare. Tendinta psihologica emotionala spre teama si implicit spre cautarea protectiei este un impediment in luarea deciziilor financiare corecte.
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Finante Personale, DAFI 2007 INTEGRAREA FINANTELOR STANDARD CU CELE COMPORTAMENTALE
IPOTEZA DE PIATA FINACIARA EFICIENTA. Dupa I. Stancu, cea mai seducatoare lege economica - cea a cererii si a ofertei, este responsabila pentru echilibrarea echitabila a sanselor jucatorilor de pe piata - „o piata financiara asociata cu un numar definit de ipoteze simplificatoare si restrictive (putin realiste, dar esentiale pentru modelarea sistemului finaciar al pietei perfecte)”: •
operatorii de pe piata financiara au un comportament rational (urmarind maximizarea functiei de utilitate a averii lor totale)
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atomicitatea plasamentelor financiare si a jucatorilor pe piata; contingenta pietei (interdependenta performanta a pietelor)
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accesul la informatie este liber si ieftin, costand, oricand mai putin decat profitul obtenabil din exploatarea informatiei marginale
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cursurile de piata se misca aleator (” random walk hypothesis”)
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investitorii au asteptari omogene relativ la rentabilitatile sperate ale plasamentelor (probabilitatea distributiilor randamentelor este aceeasi)
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prezenta imprumutului la rata fara risc, in cantitati nelimitate este o ipoteza de baza, fundamentala, dar nerealista
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toti investitorii au acelasi orizont economic, incadrat de o perioada delimitata
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inexistenta „pierderilor de caldura” – taxe, impozite, costuri de tranzactie, etc.
CONCEPUL DE ARBITRAJ. Conceptul de arbitraj ocupa un loc central in evaluarea activelor financiare, ceea ce face din valoarea actuala neta (VAN) nula, regula de baza in determinarea valorii actuale a titlurilor financiare. Fiecare investitor de pe piata va urmari sa maximize propriul VAN, unde: VAN = Suma veniturilor viitoare incasabile si actualizate ale investitiei – Suma cheltuielilor actuale pentru investitie Diferenta dintre pretul achizitiei si valoarea actuala a veniturilor viitoare, estimata/degajata de proiectul de investitii duce, in mod continuu, la un arbitraj neobosit al acestei diferente, sustinut de catre toti jucatorii de pe piata. Finantele comportamentale presupun, in mod principal, ca aceasta diferenta este, in cea mai mare parte a cazurilor, diferita de zero.
EFICIENTA ALOCATIONALA A PIETEI. Conform teoriei neoclasice a echilibrului general, in contextul regulii lui Pareto, alocarea eficienta a resurselor economice se face, in starea de echilibru, prin cresterea averii/utilitatii unui individ, fara scaderea averii/utilitatii unui alt individ.. Atitudinea jucatorilor prezenti pe piata si modul in care acestia iau deciziile investitionale se fundamenteaza nu numai pe factorii determinanti ai valorii - endogeni si exogeni (rentabilitate, risc, durata), dar si pe anticiparea comportamentului celorlalti investitori si reactia acestora fata de acesti factori determinanti. 5
Finante Personale, DAFI 2007
Teoria finantelor moderne a fost dezvoltata in anii 1950 si 1960 de Markowitz, Sharpe si Fama. Ea sugereaza ca toate informatiile existente pe piata sunt incorporate rapid in pretul unei actiuni sau al unei monede (considerand ca paradigma financiara a anilor 2000 a adus mai pregnant o noua clasa de active investitionale – clasa activelor valutare). Investitorul individual are putine sanse, conform conceputului cheie al teoriei, sa bata piata. In perioada anilor 1970 si 1980, cercetarile academice si practice au inceput sa puna intrebarea daca randamentele obtinute pe piata actiunilor sunt intr-adevar sustinute de ipoteza pietei financiare eficiente sau daca piata actiunilor este segmentata si, deci, daca teoria nu este in totalitate aplicabila, datorita acestor aparente segmentari. Teoria pietei eficiente nu poate explica de ce unele tipuri de actiuni tind sa performeze, din punct de vedere investitional, mai bine decat altele (de ex., performanta SIF sau a bancilor BRD si TLV listate pe BVB). Pentru aceste tipuri de actiuni, daca se ajusteaza rentabilitatea investitiei cu riscul asociat, scala atractivitatii investitionale se modifica substantial.
Descoperirile majore sunt rare in finantele moderne, iar cand acestea sunt facute, ele apar – cu beneficiul ex post, de bun simt. Cele trei puncte mari de inflexiune in finantele moderne sunt legate de Markowitz (1958 – Portfolio Selection), Sharpe (Capital Asset Pricing Model) si mai nou de Daniel Kahneman (2002) si respectivele premii Nobel in economie. Concluzia lui Kahneman, in urma unor experimente practice, este ca oamenii, atunci cand se confrunta cu situatii de pierdere, sunt mai degraba inclinati sa accepte riscuri – contrar la ce ne-am astepta, manifestand o atitudine de aversiune la risc. Daca li se propune un joc de aruncare a unei monede – de a alege intre varianta a) de a pierde € 1.000 sau a nu pierde nimic si varianta b) de a plati € 500 pentru a nu fi nevoiti sa dea cu banul, oamenii aleg de obicei varianta a), aceea de a arunca moneda - in situatii de pierdere se manifesta atitudinea pro risc. In mod aproape uzual, ne asumam riscuri ridicate pentru a evita disconfortul unui regret asociat unui potential de pierdere financiara ulterioara. Manifestarea asimetrica a atitudinii fata de risc in functie de situatia de pierdere sau castig potential poarta numele de Teoria Prospectului (The Prospect Theory) si a fost dezvoltata de doi dintre cei mai importanti finantisti moderni – Daniel Kahneman si Amos Tversky. Fuziunea dintre analiza financiara clasica si cea care considera si aspectele de ordin psihologic, social afectiv si emotional, finantele comportamentale/behaviorale, ajuta investitorii si analistii financiari intr-o abordare mai cuprinzatoare, pentru intelegerea mecanismului de functionare al pietei, dar si a modului in care participantii pe aceasta piata iau si sustin deciziile financiare. Demersul finantelor clasice este in general reflexiv si reactiv; cel al finantelor moderne – care considera influentele si atitudinile behaviorale este progresiv si proactiv. Comportamentul uman este insa, reactiv si nu proactiv, si, deci, dificil de incadrat si previzionat. Capacitatea umana de a procesa, asimila si intelege volumul foarte mare de informatii si stimuli care ne asalteaza zilnic este limitata. Deciziile si judecatile pe care le sustinem zilnic (de ordinul sutelor) sunt constranse de circumstante, timp, factori psihologici, emotionali si sunt rareori strict rationale. De cele mai multe ori ignoram o decizie mai buna, doar pentru 6
Finante Personale, DAFI 2007 simplul fapt ca suntem, in general, interesati de ce este simplu, rezonabil si fezabil. Perceptiile noastre sunt deformate (bias), iar acest lucru se manifesta pregnant in analiza situationala si comportamentala. Pe acelasi model si analistul financiar ia si sustine deciziile financiare, iar intelegerea trasaturilor sale psiho-cognitive – un cocktail de atitudini rationale si irationale, poate ajuta la intelegerea mai larga a mecanismului pietei. Un exemplu elocvent este modul in care procesam informatiile despre o anumita firma si cum ajungem la o decizie investitionala, bazandu-ne, in special, pe ceea ce stim strict la un moment dat (ancorare informationala), fara a avea o imagine de ansamblu/perspectiva si, deci, cum luam decizii suboptimale prin abordare simplista, bazata pe scurtaturi logice; in plus, suntem atrasi de informatiile interesante, viu colorate. In mod evident, interpretarea intuitiva joaca un rol mult mai important in modul cum luam deciziile, decat judecata sistematica. Manifestarile atitudinale deviante (biased), credintele si predilectiile emotionale si cognitive dicteaza modul in care procesam datele si informatiile si, respectiv, cel in care luam deciziile.
CELE TREI UMILINTE ALE OMULUI (Dr. Helmut Henschel, Neuroscience des Anlegerverhaltens, WestLB Research GmbH, 2004) •
La inceputuri, omul avea impresia ca totul se invarte in jurul sau. Copernic a dovedit ca nu soarele se invarte in jurul pamantului, ci invers. Dintr-o data, omul s-a vazut centrifugat din centrul universului la periferia acestuia
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Mai tarziu, omul a crezut ca este destinat sa conduca lumea, pana cand Darwin a descoperit ca oamenii nu sunt chiar atat de speciali, ci sunt doar urmasi mai evoluati ai primatelor, produse ale unei evolutii naturale, in mod asemanator tuturor celorlalte creaturi
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In cel de-al treilea stagiu, o singura distinctie a mai ramas pentru om - ratiunea, rationalitatea. Freud a dovedit cat de fragili suntem in spatele unei aparente - omul este un portofoliu haotic de instincte, emotii, pulsiuni si sentimente. Omul nu este nici macar la comanda propriului creier.
FERICIREA ESTE ECHIVALENTA CU ANTICIPAREA UNUI EVENIMENT PLACUT. DOPAMINA Neurostiinta sustine ca dopamina este neurotransmitatorul raspunzator de sentimentele placute de fericire, beatitudine si confort emotional. In acelasi timp, dopamina este cel mai important amplificator emotional in activitatiile de invatare si conditionare. Una din ipostazele cele mai placute, emitente de vibratii pozitive interne este momentul in care o persoana face prezumtii, previzionari si planuri despre evenimente si stari viitoare. Creierul uman secreta dopamina in momentele in care este solicitat sa faca previziuni, pariuri (The Brain Runs on Fun ); cu cat procesul de previziune este mai solicitant pentru creier, cu atat acesta secreta mai multa dopamina. Oameniilor le plac surprizele si, de aceea anticiparea placerii, datorate confirmarii previzunilor este unul din cele mai placute momente din punct de vedere al activitatii cortexului uman.
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Finante Personale, DAFI 2007 Amintirea placerii resimtite in timpul procesului mental de previziune creeaza interes si a tractie pentru repetare; oamenii au tendinta naturala de a face previziuni, tocmai pentru ca in momentul confirmarii acestora, fluxul de dopamina – ca stimulent al placerii, creste semnificativ.
INVATAREA DIN EXPERIENTA Neurostiinta incearca sa deceleze traiectele activitatii neuronale – locatia unde se proceseaza previziunile logice, deoarece fiecare actiune/decizie umana se bazeaza pe previziune, cateodata in mod explicit, dar de cele mai multe ori doar implicit; toate previziunile sunt bazate pe extrapolari ale informatiilor, invatamintelor, experientelor si analogiilor cu evenimente anterioare (trenduri, paternuri, modele, simplificari, similaritati, cauzalitati, etc.) In cazul efortului mental de previziune, creierul uman cauta in mod impulsiv si compulsiv extrapolari si cauzari analogice in evenimente aleatoare, ordonare si trend in evenimente haotice, ordine in dezordine; cortexul va gasi intotdeuna un eveniment trecut pe care, prin analogie, il extrapoleaza in viitor, chiar daca persoana este perfect constienta ca nu exista o analogie sau justificare in aceasta abordare inconstienta. Simultan, creierul cauta si justificari ale acestor analogii (heuristica disponibilitatilor limitate de procesare a volumelor mari de informatii, a campului de actiuni fezabile practic vs. al celor teoretice, perceptie selectiva a datelor si opiniilor, disonanta cognitiva, analiza tehnica a trendului, filtrarea evenimentelor/emotiilor/memoriei negative). Optimismul si increderea exagerata in abilitatile proprii sunt imune la invatare. Ne dorim satisfactii instantanee si remunerari imediate, chiar daca suntem constienti ca este posibil ca previziunile noastre sa se dovedeasca, in cele din urma, incorecte. Prin heuristica campului de capabilitati decizionale, logica individului scurtcircuiteaza procesul de luare a deciziei, prin extrapolarea simpla a unor evenimente si experiente anterioare, care domina puternic memoria (mai ales cea pe termen scurt), in special daca emotiile si sentimentele legate de acestea au fost pozitive. Pariurile riscante solicita cortexul, in mod special, iar acesta raspunde prin emisii de dopamina sporite, chiar daca rationam constient ca sansele de castig sunt mici. Cand recompensele preconizate nu se materializeaza, nivelul de dopamina neurotransmis scade drastic, inducand o stare de dezechilibru afectiv si emotional; aceasta reactie ar putea explica de ce actiunile firmelor care nu materializeaza asteptarile pozitive ale investitorilor sunt pedepsite drastic, prin reactii dure de vanzare. Daca asteptarile sunt mari si firmele sunt bune, deziluzia este foarte mare. Daca asteptarile sunt mari si firma este slaba iar rezultatele sunt bune, reactia este foarte pozitiva. Cea mai pozitiva reactie are loc in cazul asteptarilor mici de la firme neperfomante care surprind pozitiv.
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Finante Personale, DAFI 2007 EMOTIILE SUNT MOTORUL GANDIRII Descartes a stabilt credo-ul rationalitatii in gandirea carteziana: „Cogito erog sum”-„ Je pense, dont je suis – cred, deci exist ”, sustinand ca doar prin logica si gandire fiinta devine om; actiunile rationale ale acestuia ar trebui sa nu tina cont de
emotii. Neurostiinta moderna contrazice letal punctul de vedere al lui Descartes: emotiile sunt motorul gandirii si, dupa cum sustine Antonio Damasio in cartea sa „Descartes’s Error”, (New York 1994), fara emotie nu exista nici motivatia, nici ratiunea pentru o decizie rationala: „We make judgements not only by assessing probabilities and consequences, but also and primarily by evaluating their emotional attributes” (The Somatic Maker Hypothesis) – „Emitem judecati nu doar prin estimarea probabilitatilor si consecintelor, ci, in primul rand, prin evaluarea atributelor lor emotionale” (Teoria insemnului somatic”. In acord cu experientele traite sau imaginate, codificam, in retele neuronale, stereotipuri, „modele de
stari corporale“. Decizia „corecta” este luata doar atunci cand „am simtit/simtim” ca este buna. Fara emotie, partea constienta a mentalului uman este doar un tigru de hartie, incapabil sa gaseasca directia clara de actiune. Omul nu este doar o masina de gandit, este cel putin, in aceeasi masura, o masina ce simte. Fara emotiile atasate consecintelor deciziilor si, respectiv, actiunilor umane, nu exista linia de demarcatie intre bine si rau. Actul cognitiv de previziune si prezicere este adictiv (horoscopul, pariul). Cortexul uman este puternic preconditionat sa faca previziuni bazate pe analogii, repetitii si trenduri. Starea de previziune a unui succes sau reusita (iluzia controlului) este maxima, din punct de vedere al nivelului de neurotransmitatori secretati de catre creier, doar in cazul unor situatii foarte speciale, de ex. abuzul de droguri si sexul.
DISONANTA COGNITIVA Disonanta cognitiva, in abordarea psihologica, apare atunci cand o persoana nu este multumita cu propria imagine, decizie, comportament; pentru a evita acest disconfort psihologic oamenii au tendinta de a ignora, respinge sau minimiza orice informatie care intra in conflict cu imaginea pozitiva despre sine. Conform George Akerlof si William Dickens, in „The Economic Consequences of Cognitive Dissonance”- American Economic Review 72(1982) – „ datele contrare evidente si care nu pot fi respinse sunt acomodate psihologic printr-o schimbare de crez”. Credintele oamenilor se schimba in mod continuu, pentru a ramane consecvente cu deciziile si prejudecatile din trecut. Ne dorim sa simtim ca am luat decizia corecta (make a good decision or make a decision good ?). De exemplu, in cadrul pariurilor sportive, jucatorii care tocmai si-au plasat jocurile dau calului pe care au pariat sanse mai mari decat cei care inca nu au plasat pariurile. Inaintea pariurilor, jucatorii sunt mai putin siguri de sansa lor, decat dupa momentul alegerii pariurilor. Dupa plasarea pariului, crezul se modifica consecutiv cu decizia luata. Evitarea disonantei cognitive afecteaza procesul de luare a deciziei in doua moduri distincte: 1. oamenii ezita de multe ori sa ia decizii importante, doar pentru simplul motiv ca evaluarea 9
Finante Personale, DAFI 2007 decizionala/contemplarea situatiei este suficient de disconfortanta psihologic si afectiv si 2. filtrarea automata a informatiilor noi limiteaza abilitatea noastra de a evalua si monitoriza deciziile de investitie. Pentru a reduce disonanta cognitiva, cortexul investitorului (prin mecanismul de a utoaparare) filtreaza sau reduce importanta informatiilor negative contrare crezului anterior - si se fixeaza pe informatia pozitiva, care se afla in consonanta cu ideile initale.
REGULI DE ABORDARE RATIONALA A PROCESULUI DE DECIZIE FINANCIARA Defineste obiectivele corecte, accesibile si fezabile; fericirea si placerea nu sunt identice cu performanta; la fel de importante sunt emotiile, distractia (don’t forget the fun), statusul social, apartenenta sociala (belonginness). Economisirea si consumul nu sunt, in mod necesar, doua alternative mutual exclusive. Investitia in actiuni poate fi privita si ca un demers interesant, distractiv. Aceasta are si aspecte hedonice, datorita motivatiei si emotiei pe care le simte un investitor care imagineaza strategii investitionale complexe si care este adesea comparat cu un parasutist, in momentul pregatirii pentru saltul in gol. Disonanta cognitiva este unul din cele mai dificile momente psihologice, iar gandirea pozitiva, incantarea datorata anticiparii foarte placute a unor posibile castiguri viitoare sunt stimulente intelectuale si afective deosebite.
Don’t worry, be happy – the brain runs on fun. Starile psihologice pozitive, optimiste imbunatatesc abilitatea si
flexibilitatea mentala, capacitatea de a gasi solutii la probleme, fie ele intelectuale sau interpersonale. O modalitate eficienta de a introduce pe cineva in rezolvarea unei probleme este aceea de a incepe printr-o gluma. Rasul si relaxarea par sa ajute oameni intr-o abordare mai larga, flexibila si asociativa a unei probleme. Starea de relaxare ajuta creierul sa gaseasca solutii, relatii, asocieri, care nu ar fi putut fi imaginate intr-o stare mai tensionata. Abordarea optimista si pozitiva (the can do attitude) induce abilitatea mentala, de mare pret, de creativitate sporita si abilitate de recunoastere a unor solutii, relatii, cauze, efecte si consecinte ale unei decizii. Analistii financiari sunt vulnerabili la erori cognitive si emotionale, pentru ca exprimarea unei opinii investitionale asertive pune raportul risc-rentabilitate in afara domeniului optim: valoarea prezenta a profitului obtenabil dintr-o opinie corecta (dar diferita decat cea a pietei) este mai mica decat valoarea prezenta a pierderii ce poate deriva dintr-o opinie incorecta (divergenta initial fata de cea a pietei). Daca si analistii profesionisti sunt supusi acelorasi greseli psihogice, atunci se pune intrebarea „care este valoarea adaugata a sfatului investitional profesionist?” O explicatie ar putea fi data de faptul ca investitorilor le plac amanuntele si detaliile, interpretarile si povestirile. Oamenii au nevoie de motive serioase pentru a intreprinde o decizie investitionala si raportul analistilor se poate constitui intr-o poveste interesanta si atractiva, o confirmare sau infirmare a unei opinii formate initial. Recunoaste si cunoaste-ti emotiile! Asculta-i pe cei care nu sunt de acord cu tine! Ai o atitudine deschisa, favorabila ideilor, care nu se bazeaza pe informatii certe (think out of the box, think laterally ), pe logica constienta (brainstorm you brain)! Ai incredere in intuitie! Asculta-ti subconstientul! Construieste un registru emotional propriu (Antoine Bechara)! Cortexul, prin sistemul limbic, 10
Finante Personale, DAFI 2007 contribuie la analiza rationala cu inputuri emotionale si sentimentale asociate unor evenimente, relatii, corelatii, experiente anterioare. Prin instituirea unui registru emotional propriu, o persoana poate sa constientizeze reactiile psihologice, somatice si vegetative si, deci, sa neutralizeze prejudiciile, pe care le pot aduce emotiile ne(re)cunoscute, necontrolate. Pune intrebarile clasice: Cum m-am simtit ultima data cand am luat o decizie similara? si, Care a fost rezultatul deciziei mele? Raspunsul la prima intrebare sugereaza de ce doresti sa actionezi asa/decizi in acest fel, iar cel la a doua intrebare poate fi baza deciziei impotriva impulsului emotional. Complementar, pe langa situatia detaliata a pozitiei portofoliului investitional al unui individ, un registru emotional poate inregistra si emotiile asociate fiecarei decizii financiare. „My father will sit down an give you theories to explain why he does this or that, but I remember seeing it as a kid and thinking, Jesus Christ, at least half of this is bull---t. I mean, you know the reason he changes his position on the stock market or whatever is because his back stars killing him. It has nothing to do with reason. He literally goes into a spasm, and it’s its early warning sign” (Robert Soros, describing his father George, quoted by Jason Zweig, Money Magazine, Money and the Mind, How Neuroscientists Are Cracking the Code of Investment Behavior, Presentation to AIMR/CFA Institute Annual Conference, Toronto, May 2002). O emotie sau sentiment, din momentul in care persoana reflecta asupra
acesteia, nu mai este aceeasi niciodata, atat calitativ cat si cantitativ. Abordarea contrariana este profitabila. Investitorul considera intotdeauna, mai mult sau mai putin constient, riscul cartoforului (the maverik risk) – riscul de a fi gresit intr-o decizie si de a fi singurul care a facut acest lucru; acest risc este real si omniprezent – o dovada ca in timpul exuberantei irationale a erei de inceput a internetului, managerii de fonduri de investitii, care au prevazut balonul de sapun al preturilor astronomice pentru firmele de IT&C si au refuzat sa cumpere actiunile acestor firme (contrar a ceea ce facea toata lumea) nu mai erau in business, la momentul cand s-a dovedit ca aveau dreptate (mijlocul anului 2000). Desi logica s-ar fi putut dovedi de succes pe termen lung, pe termen scurt era posibil ca managerii s-ar putea sa nu aiba dreptate, iar clientii acestora nu erau dispusi sa astepte verdictul sau sa tolereze o asemenea atitudine conservatoare, cand toti ceilalti jucatorii erau in pozitii de castiguri substantiale. Sentimentul de conformitate cu grupul social sau profesional este foarte puternic, mai ales la nivel subconstient. Comportamentul deviant este considerat de catre ceilalti membrii ai grupului (conformistii) ca o amenintare si o punere sub semnul intrebarii a intereselor grupului pentru decizii uniforme, conforme si nondeviante, de la ceea ce este cutuma general acceptata. Investitorul contrarian trebuie sa considere si sa administreze riscul cartoforului si, mai ales, trebuie sa lupte impotriva impulsului si inclinatiei emotional(e) foarte puternic(e) de a se conforma grupului. CADRUL FINANTELOR BEHAVIORALE OBIECTIVE CONDITII
Evaluarea investitiilor
Construirea portofoliului
Interactiunea cu clientul
Prea multa incredere
Extrapolare
Ancorare informationala
Iluzia cunoasterii
-previziuni
-trecut = viitor?
-date recente
-aparentele
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Finante Personale, DAFI 2007 Imitarea sociala
Conformitate
Heuristica 1/N
Sabloane, paternuri
-presiune sociala
-estimari analitice
-ponderarea egala
-aleatoriul
Perceptia riscului
Praguri
Efectul de dispozitie
Evitarea regretului
-preferinte
-rezultate in cifre
Teoria a gentului
Gandirea de grup
Rationalitate constransa
Iluzia controlului
-principalul
-non interventia
-optimizare
- noroc vs. pricepere
-rebalansarea
Gandirea economica traditionala sustine ca oamenii iau decizii rationale in scopul maximizarii beneficiilor economice. Daniel Kahneman si Amos Tversky in lucrarile lor „On the Psychology of Prediction ” (1973) si „Judgements Under Uncertainty: Heuristics and Biases” au aruncat pentru prima data manusa dezbaterii, daca oamenii sunt strict rationali in deciziile lor. Vernon Smith, co-laureat al premiului Nobel in economie in 2002 impreuna cu D. Kahneman, a contribuit cu studiile sale de economie experimentala (experimente controlate in laborator, pentru evaluarea si cuantificarea modului in care oamenii iau decizii) la intelegerea modului de functionare al pietelor. Ideea centrala a cercetarilor sale e legata de punerea sub semnul intrebarii a doua paradigme general aceptate ale finantelor clasice, considerate pana atunci de necombatut cu argumente stiintifice: 1. pietele sunt eficiente doar in prezenta unui numar suficient de mare de participanti si 2. pietele pot atinge echilibrul, doar in conditiile in care o cantitate suficient de vasta de informatii este disponibila participantilor. Unul din cele mai interesante experimente consta in constituirea, in conditii de laborator, a trei piete: 1. o piata unilaterala, monopolistica in care furnizorii fixeaza si controleaza pretul (piata utilitatilor) 2. o piata bilaterala prin care vanzatorii si cumparatorii se pot gasi unii pe altii si negocia pretul si 3. o piata continua, de licitatie intre pretul oferit si cel cerut (de tipul burselor de valori). Rezultatele experimentului arata ca in cazul pietei 3, convergenta catre eficienta (stabilirea pretului de schimb) este rapida, participantii reusind sa inteleaga si sa asimileze comportamentul celorlalti jucatori destul de repede. In contrast, pietele in care vanzatorul si cumparatorul trebuie sa se gaseasca unul pe celalalt, procesul de eficientizare este mai laborios si mai lent. In cea de-a doua parte a experimentului, dupa ce participantii au ajuns sa se cunoasca suficient, li s-a cerut sa aleaga pe ce tip de piata isi doresc sa actioneze in continuare. Finantele clasice presupun ca tipul de piata continua, cu pret de oferta si de cumparare si cu maximizarea beneficiului economic este cea spre care ar trebui sa tinda toti participantii; in contrast cu aceasta prezumtie, experimentele au dovedit ca jucatorii prefera piata mai fragmentata, in care fiecare depune efort pentru gasirea partenerului comercial. Participantii prefera afacerile bilaterale, in care impart diferenta dintre pretul oferit si cel cerut cu celalalt jucator. Una din concluziile certe ale experimentelor este ca participantii la piata nu se comporta intotdeauna dupa cum ar prezice teoria clasica financiara – aceea de urmarire a maximizarii profitului economic.
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Finante Personale, DAFI 2007 IMPORTANTA ASTEPTARILOR Daca firmele bune nu reprezinta intotdeauna investitii bune, atunci de ce investitorii au tendinta de a plasa capitalul cu preponderenta in acestea? Raspunsul ar putea fi ca investitiile se fac, in general, in functie de perceptii si nu neaparat de realitatea economica. Piata sconteza probabilitatea evenimentelor viitoare, iar informatia ar trebui sa fie complet incorporata in pretul curent. In evaluarea curenta, perceptiile sunt mai importante decat realitatea si evolutia pretului unui activ financiar reflecta modificari ale perceptiei despre ce s-ar putea intampla in viitor. Daca piata ar reusi sa sconteze cu precizie si acuratete (definind precizia, abilitatea de a prevedea sensul evolutiei si acuratetea, abilitatea de a prevedea marimea modificarilor) evenimentele viitoare, atunci nu ar trebui sa mai existe o volatilitate a cursurilor bursiere, singura modificare notabila fiind cea data de valoarea in timp a banilor. Desi piata este eficienta in pretuirea asteptarilor investitorilor, participantii nu pot prevedea cu precizie evolutia viitoare a evenimentelor.
Piata actualizeaza in mod continuu perceptia prezenta despre evenimentele viitoare, iar aceasta perceptie se poate modifica in orice moment. Informatia consensuala este deja incorporata in pretul curent. Valoarea adaugata de analiza investitionala (orice demers de cercetare/informare pentru o alocare optima a fondurilor disponibile in titluri de proprietate - actiuni, imobiliare, valute, aur, de credit - titluri de stat, obligatiuni, ipoteci, credite securizate de ipoteci sau de creante, rezida in abilitatea de a discerne ce, cum, cat, cand si unde o perceptie investitionala particulara difera de cea consensuala si daca aprecierea generala se va modifica, in sensul alinierii acesteia la perceptia particulara si, implicit, impactul pe care l-ar avea alterarea estimarilor consensual-circumstantiale asupra pretului activului. De ex., faptul in sine ca se estimeaza o crestere economica de 5% pentru PIB al Romaniei pentru anul 2005 si ceva mai putin pentru 2006 nu are importanta in evaluarea unei actiuni. Ceea ce conteaza semnificativ este daca opinia generala incorporeaza deja aceasta informatie si care este probabilitatea pentru opinia consensuala sa se dovedeasca in timp incorecta. Deoarece nu putem anticipa exact evolutia viitoare a evenimentelor este, deci, cel mai important sa anticipam directia (precizia estimarii) si marimea (acuratetea estimarii) modificarilor in perceptia participantilor de pe piata, in ceea ce priveste evenimentele urmatoare; aceste anticipari fiind cu mult mai relevante decat previziunile absolute de evolutie.
Un investitor care reuseste sa previzioneze surprizele (in termenii diferentei, de exemplu, intre veniturile estimate si cele realizate) are sanse mai mari sa bata piata decat unul consensual, care reactioneaza concomitent cu ceilalti participanti. Elton, Grube si Gultekin in ” Capital Market Efficiency and Expectations Data ”, ” Expectations and Share Prices” 2003, concluzioneaza ca, in general, cunostintele sau abilitatile de a previziona veniturile efective ale unei firme (si deci pretul acestor venituri, curente/viitoare) are o importanta scazuta in procesul deciziei investitionale, in raport cu abilitatea de a prevedea schimbarile in asteptarile/estimarile participantilor de pe piata. O regula simpla a administratorilor de investitii daca exista un cvasiconsens in privinta randamentului/pierderii obtenabile din investitia intr-o anumita actiune, atunci 13
Finante Personale, DAFI 2007 probabilitatea unei surprize (pozitive sau negative) a evolutiei profiturilor (diferentei acestora fata de cele estimate anterior) este mai mare si, deci, posibilitatea de a obtine profit creste.
STILUL DE INVESTITIE Definind stilul investitional ca si predilectia managerului de investitii pentru actiuni de crestere sau actiuni de venit, se observa ca: - investitorul cu predilectie spre crestere (growth manager) are o filozofie investitionala cu tendinta preponderent optimista; diferenta intre performantele investitorilor pe segmentul de crestere nu este data de tipul sau momentul achizitiei actiunii de crestere, ci de momentul in care aceasta actiune ar fi trebuit vanduta (urmare a cresterii sustinute a cursului), deci impotriva cursului aparent continuu ascendent al consensului pietei – definitia investitorului de tip contrarian. Firmele din aceste sectoare au o politica de dividende restransa, insa ratele de crestere (vanzari, profituri) sunt mai mari decat ceea ce este in medie prezent pe piata; evident aceste actiuni sunt purtatoare de prima investitionala, pretul lor fiind, in general, ridicat, cel putin prin raportare la profituri (indicatorul P/E ridicat). -investitorul cu predilectie spre venit (value manager) are tendinta de a avea asteptari modeste, conservativ administrate; spre deosebire de managerul de crestere, care trebuie sa stie cand sa vanda, cel de venit se diferentiaza fata de competitorii sai prin alegerea corecta a momentului achizitiei titlului. Actiunile firmelor din sectoare cu ciclicitate sunt considerate investitii de venit. Aceste firme sunt cele care platesc constant dividende si nu sunt, de obicei, in centrul atentiei investitorilor de crestere. Aparent ar trebui sa fie usor de urmarit o strategie investitionala de tip contrarian, dar factori de natura sociologica, psihologica si emotionala (riscofilie, riscofobie) reduc din succesul potential al acestei technici. Dihotomia de performanta intre cele doua strategii de investitii se observa pregnant si pe piata romaneasca de capital. Segmentarea pietei intre actiuni de crestere si actiuni de venit sta la baza dezvoltarii strategiei investitionale pe termen lung. In evaluarea empirica a evolutiei pietei de capital, teoria clasica a ipotezei de piata eficienta nu reuseste sa explice de ce unele investitii in actiuni sunt mai performante (in termeni de rentabilitate ajustata cu risc), decat altele in actiuni cu caracteristici aparent similare. O explicatie a acestei surprize/anomalii empirice poate fi faptul ca piata este alcatuita din mai multe segmente de actiuni. Piata actiunilor nu se comporta ca un intreg, in ceea ce priveste performantele investitionale, ci mai degraba este fragmentata. Unele segmente (construite in functie de scala randamentului ajustat cu risc) au evolutii de rentabilitate suplimentara, deci din punct de vedere practic, piata nu este eficienta, deoarece ar trebui sa pretuiasca la fel actiunile/segmentele cu aceleasi caracteristici de rentabilitate - risc. Aceste rentabilitati superioare nu pot fi explicate in contextul ipotezei de piata eficienta. Modelul Sharpe de evaluare a rentabilitatii estimate este poate prea simplist, deoarce considera ca exista doar o legatura liniara intre rentabilitate si riscul de piata, iar modelul lui Roll si Ross adauga mai multi factori, care ar putea explica rentabilitatile asteptate ale investitiilor pe bursa (fara ca sa exprime exhausiv care sunt acesti factori). Ambele nu reusesc sa justifice teoretic de ce se obtin randamente superioare din investitiile pe 14
Finante Personale, DAFI 2007 anumite segmente ale pietei. Concluzia acestor modele este ca piata poate fi eficienta, dar in mod selectiv, si ca exista o cantitate eficienta de ineficienta, care face posibila obtinerea de profituri suplimentare strategiei simple de cumparare si mentinere. Practic, din punctul de vedere al administratorilor de investitii, exploatarea acestor anomalii ale pietei a fost si se poate dovedi in continuare benefica financiar, iar explicatia acestui model pentru posibilitatea empirica de a castiga mai multi bani decat altii (nu prin noroc ci prin abilitati) poate fi data de asimetria accesului la informatie. Aceasta asimetrie se datoreaza factorilor de natura structurala, circumstantiala, cognitiva, psihologica, etc.
Un factor interesant care ajuta la explicarea unor anomalii de rentabilitate este legat de durata unei actiuni, evaluata in mod similar ca si durata unei obligatiuni: senzitivitatea evolutiei actiunii la modificarile ratei dobanzilor. Actiunile cu durata mai lunga au o senzitivitate la rata dobanzii mai ridicata decat cele cu durata mai scurta. Durata se exprima in ani pentru ca masoara nu numai randamentul investitional asteptat, dar si momentul obtinerii acestui randament. De exemplu, actiunile A si B – cotate la BVB, cu rentabilitati estimate egale de 20%: randamentul pentru actiunea A este format din 14% crestere de capital si 6% randament al dividendului, iar cel al actiunii B este format, in totalitate, de potentialul de apreciere a cursului (crestere de capital) – actiune de crestere. Aprecierea valorii in viitor a titlului este un factor incert (spre deosebire de dividend), atat in ceea ce priveste magnitudinea, cat si momentul; in plus, valoarea prezenta a fluxurilor de numerar viitoare scade cu cresterea ratelor dobanzii. Ramane ca in scenariul cresterii dobanzilor, rentabilitatea investitiei in actiunea B (fara dividend) este esential dependenta de evenimente indepartate in timp (si incerte), in comparatie cu o parte din rentabilitatea actiunii A, care este legata de un sir relativ predictibil si, deci, valoros (cel putin psihologic) de dividende. In scenariul cu cresterea ratelor dobanzilor, este mai probabil ca actiunea A sa performeze mai bine decat B, deoarece pe termen scurt, dividendul asociat lui A aduce un beneficiu financiar mai rapid si, deci, mai cert.
Un alt element important este legat de factorul crestere (vanzari, venituri, cota de piata, cash flow, etc). Analistii pun accent special pe investigarea acestui factor, iar pretuirea unui titlu financiar este esential influentata de cresterea estimata. „Produsul” tranzactionat pe piata actiunilor este cresterea estimata a profiturilor firmei. In particular, de cel mai mare interes se considera rezultatul operational si nu cel final. O alta anomalie aparenta este aceea ca investitiile in firmele „bune” nu sunt neaparat si intotdeauna performante, dupa cum plasamentele in firmele „rele” sunt de multe ori mai performante. Firmele care au o imagine foarte buna sau par sigure, departe de afaceri cu risc ridicat, ar putea sa nu fie atractive din punct de vedere investitional, pentru simplul motiv ca succesul lor de pana la un moment dat ar putea fi deja incorporat/scontat in pretul curent, ori pretul curent este prea ri dicat, iar potentialul de crestere in viitor al pretului este scazut, deci atractivitatea din punct de vedere investitional este scazuta.
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Finante Personale, DAFI 2007 O definitie mai atenta ar fi folosirea termenului de firme de calitate in loc de, pur si simplu, firme bune. O firma putin indatorata, cu o rata de plata a dividendelor constanta sau cu venituri stabile si crestere constanta ar putea reprezenta definitia a ceea ce inseamna o firma de calitate. Pe de alta parte, firmele cu costuri fixe ridicate – grad de levier operational ridicat, au un potential de probleme financiare mai accentuat (ex. IMP, RRC). Costurile fixe nu scad atunci cand ciclul economic al firmei se afla pe o panta descendenta. In general, o firma de o calitate mai slaba este o firma cu costuri fixe ridicate. Shefrin si Statman in „ A Behavioral Framework for Expected Stock Return” 2004 sugereaza un motiv plauzibil pentru care investitorii sunt reticenti fata de firmele de calitate scazuta: managerii de investitii au mai degraba aversiune la regret decat aversiune la risc. Aversiunea la regret, asa cum sugereaza psihologia cognitiva, este legata de regretul mangerului de investitii (agentului), atunci cand acesta trebuie sa se justifice in fata investitorului (proprietarului) pentru contraperformanta portofoliului administrat. Din punct de vedere cognitiv, daca investitia in actiunile unei firme de calitate se dovedeste neperfomanta, managerul de investitii poate da vina pe piata sau pe alti factori externi. Justificarea ca firma este oricum de calitate si ca alti factori au dus la evolutia negativa a investitiei sta in picioare si este relativ usor de sustinut. Pe de alta parte, daca acelasi scenariu se aplica in cazul unei firme de calitate inferioara, regretul/esecul performantei scazute prin asumarea pariului contradictoriu este mult mai dificil de sustinut cognitiv si emotional.
Reactia exagerata (overreaction) la informatii noi de pe piata este o sursa de alfa in performanta unui portofoliu investitional pentru stilul de investitie bazat pe valoare/pret (investitii bazate pe pretul scazut, atractiv al actiunii). Reactia exagerata pune mare pret pe asteptarile investitorilor si decurge din doua caracteristici comportamentale fundamentale – reprezentativitatea si primordialitatea. Prin reprezentativitate oamenii tind sa atribuie, doar pe baza unor observatii particulare, caracteristici generale pentru o intreaga populatie, printr-o abordare stereotipa. Prin primordialitate se poate explica de ce atribuim sanse prea mari evenimentelor care au o probabilitate scazuta, mai ales daca aceste evenimente au avut loc recent.
Reactia intarziata (underreaction) este sursa coeficientului alfa al portofoliului pentru strategia de investitie de crestere (investitii bazate pe potentialul de crestere a profiturilor si mai putin pe pretul curent al actiunii). Reactia intarziata pune putina greutate pe asteptari. Increderea exagerata se datoreaza faptului ca indivizii au prea mare incredere in informatiile la care au acces si, respectiv, in abilitatea lor de a procesa aceasta informatie si de a lua o decizie bazata pe aceasta informatie. Reactia intarziata decurge, de obicei, din doua trasaturi comportamentale definitorii ale investitorului – increderea exagerata (supraconfidenta) in propriile abilitati analitice si decizionale si ancorarea mentala la evenimente cu preponderenta mentala. Datorita acestor biasuri comportamentale, investitorii reactioneaza prea putin si prea tarziu la informatii sau opinii noi. In plus, datorita fenomenului de ancorare mentala, indivizii isi schimba greu opiniile, ideile si conceptiile. 16
Finante Personale, DAFI 2007
READING. Is your brain wired for wealth? An owner's manual for the investor's brain: From hunting sloths to picking stocks. September 27, 2002 By Jason Zweig, MONEY Magazine Staff Writer Fortunately, the latest discoveries also point the way toward cures for bad investing behavior. "Investors are human," says Andrew Lo, a finance professor at the Massachusetts Institute of Technology. "Therefore, how the human brain works and why we react the way we do to various situations are critical for developing a better understanding of the common mistakes that typical investors make." For nearly our entire history as a species, humans were hunter-gatherers, living in small nomadic bands, pursuing wild animals, foraging for edible plants, finding mates, avoiding predators, and seeking shelter in bad weather. Those are the tasks our brains evolved to perform. Rein in your brain. Now, how you can use these new insights into the brain to make yourself a better investor? Whenever possible, you need to develop automated, irreversible investing habits that are tailor-made for neutralizing your brain's worst liabilities while optimizing its greatest assets. Here's how neuroscience leads to a new science of investing Strap yourself in -- Because the amygdala -- the part of your brain that initiates feelings of fear -- is an almost irresistible force, you must reduce your exposure to images that can provoke panic. Turn away from stock tickers; turn off the televised images of closing bells and yelling traders. And promise aloud or in writing, be fore a friend or family member who can hold you to it, that you won't check the value of your accounts more than once a month. If you haven't already, sign yourself up to dollar-cost average through an automatic investment plan that will electronically purchase shares in a mutual fund every month. That way, your investing commitment can never flag, even when you are full of fear. Stay in balance -- The human brain is wired to try to make predictions from past patterns and take risks in the search for a big reward. That make sense if you're following the footprints of a tasty water buffalo or looking for flowers that indicate an edible root plant. With stocks, that habit can lead you quickly astray as you invest in a few stocks based on past performance. Geniuses like Warren Buffett can get away with putting all their money in a handful of holdings. The rest of us need to set limits on our prediction addiction. Give your broker a limit order that will automatically sell any stock that grows to more than 10 percent of your total. And if your long-term goal is to have, say, 75 percent of your assets in stocks, but they've shriveled to 49 percent, buy enough to get them back up to 75 percent. Redouble your research -- If a stock or fund goes straight up, don't just enjoy the ride. The better an investment does for you, the more p owerfully your brain will believe nothing can ev er go wrong with it. Each time it rises, say, 50 percent, study it again more closely; ask what could go wrong; seek out negative opinions. The time to do the most homework is before bad news can catch your brain by surprise. There are no guarantees, but doing extra research just when things are going well is the best way to prepare yourself in case something later goes wrong -- or seems to. You'll then have a better sense of whether it's a false alarm or a real one. Use different wallets -- If you can't stop chasing "the next Microsoft," at least chase it with only part of your money. Just as prudent gamblers lock most of their cash in the hotel-room safe and go onto the casino floor with no more than they're willing to lose, you should set up a "mad money" account. You can't control your prediction addiction, but you can at least contain it -- by putting into your mad-money account only what you can afford to lose. That way, you speculate with a fraction of your money, not with all of it. Build an emotional registry -- Remembering what you did is only one way to learn from your own experience. Emotions can be an excellent guide to what you should and shouldn't do. But to use them as an accurate guide, you need to remind yourself of how you felt after your decisions (and their results). "Regularly evaluating whether an outcome made you feel good or bad," says University of Iowa's Antoine Bechara, "will help you learn from your behavior." Keeping a written record of your feelings -- what Bechara calls an emotional registry -- is a good idea, particularly if you are a younger investor. Store these "fee ling records" alongside your trading records. Look at the long run -- Remember that your brain perceives anything that repeats a couple of times as a trend -- so never buy a stock or a fund because its short-term returns look hot. Check out the long run, and never assess performance in isolation; always compare a stock or fund to other similar choices. Flex your cortex -- Because your prefrontal cortex is responsible for evaluating the consequences of your actions, and because advancing age impairs that part of your brain, be on guard. If you (or members of your family) are elderly, simple reminders can help -- like a note next to the phone that says, "No thanks to telemarketers" or a Post-It note on your PC that reads, "Neve r open unsolicited investing e-mail." Diversify, diversify, diversify -- This grim bear market has revealed the biggest risk of all: underestimating your own tolerance for risk. Thinking you can tough it out then suddenly finding you can't is a recipe for financial disaster. Diversification -- making sure that you never keep all your money in one kind of investment -- is the single most powerful way to prevent your brain from working against you. By always holding some cash, some bonds, some real estate, some U.S. and foreign stocks, you ensure that your prediction addiction can never force you into a single, sweeping bet on a "trend" that disappears. And by keeping your money in a broad basket of assets, you lower the odds that a meltdown in one investment will send your amygdala into overdrive. Putting yourself on investing autopilot minimizes the opportunities for your brain to perceive trends that aren't there, to overreact when apparent trends turn out to be illusions or to panic when fear is in the air. That frees up your brain to focus on the harder work of long-term financial planning. Above all, you should take enormous comfort from knowing that the latest scientific findings show just how newly valid the oldest truths of investing really are.
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Finante Personale, DAFI 2007 TRASATURI COMPORTAMENTALE RELEVANTE IN CONTEXT INVESTITIONAL. INVESTITORUL RATIONAL vs. INVESTITORUL NON RATIONAL. COMPORTAMENTUL FINANCIAR NON RATIONAL
In contextul analizei pietei financiare eficiente, agentul economic reprezentativ/investitorul rational (homo economicus) ia decizii conforme cu maximizarea utilitatii asteptate, pe baza unor previziuni normale si rationale (unbiased). Modul cum intelegem, procesam cognitiv si acceptam emotional o anumita situatie are impact direct si esential asupra modului cum decidem (”what you see depends mostly on what you are looking for ”). Investitorul cvasirational face, in schimb, greseli predictibile, din diferite motive de comportament financiar nonrational. Prin intelegerea acestor tendinte cognitive si adaugarea influentei comportamentului uman se poate obtine o cunoastere mai buna a ceea ce se intampla pe piata. Prin acest proces de largire a abordarii analitice, piata investitiilor devine astfel eficient adaptiva.
PREDISPOZITII. PREDILECTII. TENDINTE. INCLINATII. ERORI SI CONFUZII PSIHOLOGICE SI COGNITIVE 1. OPTIMISMUL FINANCIAR (overconfidence) Optimismul exagerat al analistilor financiari: in modele financiare, k (costul capitalului) este prea mic (risc perceput mic) si g este prea mare (previziuni prea optimiste ale cresterii). Oamenii au tendinta de a exagera sansele de castig. De exemplu, 80% din conducatorii auto, atunci cand sunt intrebati ce cred despre propriile abilitati de a conduce un automobil, raspund in orice sondaj - ca abilitatile personale sunt cu mult peste medie; la fel rezultatul sondajelor releva ca atunci cand e vorba de intrebari legate de simtul umorului sau de abilitati sociale, trei sferturi dintre barbati considera ca sunt - cel putin din punctul de vedere al acestor calitati - cu mult peste medie. Este evident ca, cel putin din punct de vedere statistic, aceste procente sunt prea mari si nivelul de incredere in propriile abilitati/calitati analitice este prea ridicat. 2. CONTABILITATEA MENTALA. COMPARTIMENTALIZAREA BANILOR In conceptul de contabilitate mentala (asociat si cu cel de incadrare cognitiv comportamentala – termen scurt vs. termen lung; venituri vs. capital; protectie la saracire vs. potential de crestere, etc.), investitorii deschid, mentin, crediteaza, debiteaza si inchid diferite conturi (T) mentale echivalente tuturor activelor si pasivelor financiare, trecute, prezente si viitoare, pe care le gestioneza ca un agent economic, personal. Oamenii/investitorii opereaza cu doua tipuri mari de conturi mentale: a) contul de venituri/dividende si b)contul de capital/cresteri de capital. Cele doua conturi nu sunt interschimbabile, asa cum teoria lui Modigliani Miller ar sustine, ci, din contra, atunci cand se considera si influenta comportamentului financiar, investitorii nu sunt indiferenti care din cele doua conturi sunt operate. Daca se considera si faptul ca, din punct de vedere al venitului net, randamentul de dividende si cel de capital sunt impozitate diferit, se constata ca investitorii iau, in mod uzual, decizii suboptimale (cel putin din punct de vedere fiscal) si prefera sa foloseasca debitul contului de venituri (dividende) doar pentru cheltuieli curente, evitand astfel sa debiteze contul de capital cu o vanzare de actiuni (de ex. pentru o necesitate de bani imediata). Pe aceasta logica, de a considera efectul 18
Finante Personale, DAFI 2007 covariantei relative intre cele doua tipuri de conturi, conturile mentale sunt, evident, ineficiente din punct de vedere Markowitz. O aplicatie specifica a teoriei moderne a portofoliului, in contextul finantelor behaviorale este, de exemplu, cresterea semnificativa a pretului petrolului (+70$ barilul, sept. 2005, dar si sept 2007) implica un trend pozitiv pentru companiile de extractie, prelucrare si distributie a produselor derivate (SNP, PEI, RRC) – pretul acestor actiuni a crescut semnificativ pe bursa in primele 9 luni ale lui 2005; pe de alta parte, un producator auto sau dintr-o ramura intensiva din punct de vedere energetic poate sa isi vada cursul actiunilor pe un trend descendent; un portofoliu din doua actiuni, una a unui producator, distribuitor de produse petroliere si cealalta a unei firme care foloseste intensiv petrolul, ar fi eficient din punct de vedere Markowitz, deoarece corelatia economica intre performantele celor doua firme este scazuta. Aceste corelatii par astazi (oct 2007), mult mai putin evidente. Alocarea activelor are o importanta majoritara in randamentul portofoliului, in comparatie cu selectia activelor portofoliului, modelul de administrare conservativ fiind cel mai eficient. Acest portofoliu se construieste pe principiul top – bottom: 1. Alocarea procentuala - determinarea proportiei actiunilor in cadrul portofoliului (evaluarea firmelor, stabilirea ponderilor relative pe industrii, sectoare, tari, valute, etc.) si 2. Selectia titlurilor (care actiuni). O alta clasa de conturi mentale este cea in care investitorii opereaza cu banii prezenti si viitori, ce sunt in mod specific sau planuit destinati pentru retragerea la pensie, distractie, vacanta sau pentru educatia proprie sau a copiilor. In functie de profilul individual de aversiune/interes pentru risc, investitorii au tendinta de a nu amesteca, in mod firesc (dar ineficient), conturile mentale de protectie financiara (cu debite formate din depozite bancare, obligatiuni de stat, active imobiliare, etc.) cu conturile mentale de castig (cu debite formate, de exemplu, din actiuni cu potential mare de crestere/scadere, considerate mult mai speculative). 3. REGRETUL. TEAMA DE REGRET Conform laureatului Premiului Nobel in Economie din 2002, Daniel Kahneman, regretul datorat unei pierderi financiare are o disutilitate economica de 2 – 2,5 ori mai mare decat utilitatea datorata unui castig; deci, investitorul apreciaza ca un pariu rezonabil acela in care are cel putin sansa sa castige in doua cazuri din trei. Teama de regret este un impediment, dar si un mecanism de control, element psihologic esential, care ne defineste ca persoane si care ia forme, destul de des, detrimentale succesului, cel putin din punct de vedere strict economic si financiar. Teama de regretul consecutiv unei decizii nereusite/neinformate se leaga esential de responsabilitatea asociata in mod rational deciziei/algerii. Dintre cele doua tipuri de regrete – regretul prin omisiune (decizia de a nu urmari o oportunitate, care s-a dovedit, in cel din urma, ca ar fi fost profitabila) si regretul prin comisiune (decizia de a fi urmarit o oportunitate ce s-a dovedit, in cele din urma o nereusita) - psihologii sunt de acord ca regretul prin comisiune este cel mai dificil de sustinut psihologic. Prin prelungirea acestei reguli, in contextul comportamentului financiar, se poate intelege de ce
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Finante Personale, DAFI 2007 investitorii prefera, de cele mai multe ori, sa amane o decizie investitionala (amanarea unei decizii, fiind ea insasi o decizie), sperand ca mai multe informatii sau circumstante pot determina o alegere mai usoara/evidenta.
De exemplu, un investitor cu doua tipuri de plasamente (unul in actiuni de valoare/venit, aducatoare de dividende si celalalt in actiuni aducatoare de crestere de capital) doreste sa achizitioneze un bun – de ex. un televizor de € 300; optiunea 1- cea de folosire a dividendelor este evident mai usor de sustinut psihologic si afectiv decat optiunea 2 - aceea de a vinde o parte din actiunile de crestere de capital, care au potential de crestere si in viitor. Vinderea acestor actiuni ar fi, in mod clar, perceputa si acceptata cognitiv, ca o decizie investitionala hotarata, pe cand cumularea dividendelor nu presupune acest lucru. In cazul in care cursul actiunilor ar creste ulterior, regretul prin comisiune ar fi mult mai dureros. Alegerea/decizia este echivalenta cu potentialul regretului. Regretul este disconfortul psihologic pe care il simtim atunci cand realizam prea tarziu, ca o alegere diferita ar fi adus un cu totul alt rezultat, evident mai bun. Dupa Meir Statman, modalitatea cea mai rationala de a face fata temerii de regret/reducere a stresului de regret potential este aceea de: a) a pune/vedea lucrurile in perspectiva si b) a ajusta in mod rezonabil referintele orizontale (statusul prezent vs. cel trecut sau vs. cel anticipat) si cele verticale (statusul propriu fata de statusul altora). 4. TEAMA DE PIERDERE O actiune de 10 RON care pierde intr-o prima perioada 50% din valoarea initala trebuie sa creasca cu 300%, in cea de a doua perioada investitionala, pentru ca investitorul sa aiba, pe cele doua perioade, un randament egal cu unul obtenabil pe alte doua perioade in care, in prima, actiunea a crescut doar cu 50%. 5. (A)SIMETRIA DE INFORMATIE Cu cat coeficientul de informatie investitionala este mai scazut, cu atat potentialul de castig este mai mare. De ex., profitul care ar putea fi obtinut de pe urma investitiilor in firme cu capitalizare mica, in afara atentiei speciale a investitorilor sau de pe urma celor cu evaluari relative mici (M/B scazut sau P/E scazut fata de P/E de sector). 6. PREDILECTIA REMUNERARII IMEDIATE (pasarea din mana si cea de pe gard) Dividendele trebuie sa fie cel putin constante (ca valoare), predictibile si in crestere. 7. PSIHOLOGIA RISCULUI. AFECTUL FINANCIAR: PRET – VALOARE a) Aversiunea la risc Dupa finantistul behavioral Tversky, investitorii care se afla in pozitii de pierdere au o atitudine pro risc si isi asuma decizii investitionale care, in mod normal, (in pozitii de castig) nu le-ar urma. Motivul pentru care, in circumstante de pierdere, investitorii sunt pro risc este dat de aversiunea acestora la pierdere. Aversiunea la pierdere impinge investitorul catre asumarea unor riscuri suplimentare, pentru a compensa pierderea. In schimb, aversiunea la risc se manifesta in situatii pozitive, de castig. Exemplu: intre optiunea A – un venit sigur de 85.000 € si optiunea B – 85% sanse de a castiga 100.000 20
Finante Personale, DAFI 2007 € si 15% sanse de a nu castiga nimic, marea majoritate a investitorilor ar alege A - un castig sigur, desi sperantele de rentabilitate ale celor doua optiuni sunt perfect egale. Contrar asteptarilor noastre intuitive (contraintuitiv), se poate conchide ca in situatii pozitive, oamenii manifesta aversiune la risc. b) Aversiunea la pierdere Se manifesta in situatii negative, de pierdere. Exemplu: intre optiunea A – o pierdere sigura de 85.000€ si optiunea B – 85% sanse de a pierde 100.000€ si 15% sanse de a nu pierde nimic, marea majoritate a investitorilor aleg B – mizand pe potentialul (mic) de a nu pierde nimic. 8. ASPIRATII Cu totii avem aspiratii de stabilitate financiara si satisfactie emotionala. Una din cele mai importante si poate cea mai relevanta in contextul finantelor comportamentale este dorinta de a fi mai avut, de a o duce mai bine. De asemenea, ne dorim sa fim protejati la adversitate economica, care ar putea afecta semnificativ starea noastra financiara (saracie). 9. SATISFACTIA ESTE RELATIVA SI NU ABSOLUTA Ceea ce ne multumeste cel mai mult este ascensiunea inspre mai bine si nu nivelul absolut al binelui, cel putin in termeni financiari. Diferenta pozitiva fata de statusul financiar anterior este cu mult mai satisfacatoare emotional, decat estimarea absoluta a statusului/pozitiei prezent/e. De ex., John detine € 10.000 si mai castiga inca €10.000, iar Gheorghe are € 40.000, din care pierde € 10.000. Desi nivelul final relativ de avere al lui Gheorghe este superior celui lui John, diferenta nefavorabila fata de nivelul initial il afecteaza cu mult mai mult pe Gheorghe, comparativ cu incantarea lui John. In ceea ce priveste atitudinea oamenilor fata de bani, valorile relative sunt mult mai importante decat cele absolute. Aceasta eroare cognitiva este observabila in mod curent, deoarece oamenii uita de cele mai multe ori sa priveasca lucrurile in context, in evolutia si in perspectiva lor. Averea este absoluta, statusul este relativ. Pentru a contracara aceasta predispozitie si eroarea comportamental-cognitiva, investitorul trebuie sa isi administreze, in mod rational, asteptarile si aspiratiile, prin sisteme de referinta (benchmarks) circumstantiale, rezonabile si ajustabile in mod continuu. 10. INCADRAREA DECIZIONALA De ex., un investitor administreaza un portofoliu initial mixt de valori in € si $. Intre timp, $ s-a depreciat, iar € s-a apreciat (de ex. Aug. 2005). Pentru un necesar imediat de lichiditate in RON, investitorul este tentat sa vanda $ si nu €, desi prin raportarea la nivelul portofoliului initial si admitand ca evolutia corelata negativa a celor doua valute este prezumtiv egala, decizia de a vinde $ sau € este irelevanta din punct de vedere al portofoliului individual. Reusitele sau nereusitele trecute au un impact dramatic asupra procesului curent de luare a unei decizii. 11. STEREOTIPIA DECIZIONALA, CAUTAREA TRENDURILOR Oamenii, in general, si investitorii, in particular, denota abilitati remarcabile in cautarea si detectarea trendurilor (three is a trend). Neurostiinta moderna sustine ca motivul acestei inclinatii psihologice universale este dat chiar de abilitatea de a supravietui, ajutand omul la intelegerea tempourilor naturale, a momentelor celor mai prielnice ale actiunilor, de care 21
Finante Personale, DAFI 2007 depinde supravietuirea (plantare, recoltare). Cand este vorba de investitii insa, aceasta predilectie naturala, de a insinua patternuri este nepotrivita. Cautarea incorigibila de trenduri si reguli conduce spre asumptia gresita ca exista o anumita ordine, acolo unde aceasta nu exista in realitate, ci doar in previziunile noastre. In viata reala, evenimentele sunt cu mult mai neprevazute si aleatoare, decat ne-am dori. Stiinta a descoperit ca aceasta tendinta spre ordin si simetrie (o definitie simpla a frumosului) este adanc inradacinata in cortexul uman si ca animalele sunt mult mai eficiente in previziunea evenimentelor aleatoare decat oamenii. De ex., in conditii de laborator, cand doua seturi de lumini sunt aprinse in secventa aleatoare, oamenii au preponderent tendinta de a prezice care lumina se va aprinde in secventa urmatoare, chiar daca li s-a spus foarte clar ca secventele sunt complet aleatoare. Daca, de ex., lumina rosie se aprinde in 80% din cazuri, iar cea verde in celelalte, cea mai buna strategie la dilema ce lumina se va aprinde la urmatoarea secventa este de a alege neconditionat culoarea rosie, existand astfel sansa de 80% de a fi corect in alegere. Soarecii si porumbeii de laborator aleg intotdeauna aceasta varianta, care este si cea mai simpla, fiind recompensati cu un graunte. Oamenii, pe de alta parte, sunt convinsi ca sunt suficient de abili in incercarea de a prezice culoarea secventei urmatoare, chiar si in cazul in care stiu clar ca secventele sunt aleatoare. In medie, aceasta incredere nejustificata in propriile abilitati de prezicere (prediction addiction) conduce o persoana, care ia parte la un asemenea experiment, la un rezultat corect doar in 68% din cazuri. Cu alte cuvinte, chiar inteligenta superioara a oamenilor este factorul care duce la un rezultat al confirmarii prezicerilor mai scazut decat al soarecilor sau porumbeilor de laborator. O echipa de cercetatori de la Darmouth College, condusa de profesorul de psihologie George Woldford a initiat un studiu, pentru a afla de ce oamenii tind sa prezica evenimentele nepredictibile. Acelasi tip de experimente cu secventele aleatoare de rosu si verde a fost administrat bolnavilor la care, din diferite motive, conexiunile neuronale dintre cele doua emisferele cerebrale au fost separate (tratamentul chirurgical al epilepsiei). In cazul celor care procesau informatia doar cu emisfera dreapta, acestia au inceput sa invete gradual sa aleaga optiunea cea mai frecventa, intocmai ca si animalele de laborator. In cazul epilepticilor ce operau cu emisfera stanga, s-a remarcat tendinta naturala de a incerca, in mod continuu, sa ghiceasca urmatoarea secventa – un comportament natural si, deci, rezultatul la teste scadea dramatic (acuratetea prezicerilor). Concluzia lui Woldford a fost ca exista un modul in emisfera stanga a cortexului uman, responsabil de cautarea neobosita a trendurilor/patternurilor, chiar cand acestea nu exista. Modulul interpretor din emisfera stanga sustine convingerea general umana – „pot sa rezolv”. Aceasta tendinta cognitiva este eficienta atunci cand exista un trend in interiorul unor secvente de date, informatii sau cand tendinta este usor de decelat, iar informatiile nu sunt foarte complicate. In caz contrar, predilectia pentru previziune poate avea efecte negative. Modulul interpretor stang este responsabil, de ex., si de greseala cartoforului. Credinta ca daca la o moneda a cazut de cateva ori stema, urmeaza banul, cand de fapt probabitatea este, la fiecare aruncare de moneda, egala pentru cele doua evenimente, indiferent de rezultatul tuturor experimentelor anterioare. Din cauza tendintei cognitive a interpretorului, investitorii tind sa extrapoleze successul unei firme, investitii in viitor. Cortexul uman nu functioneaza ca un computer, ci proceseaza informatiile prin simplificari si filtre emotionale,care scurteaza semnificativ timpul de analiza si decizie. Decizia luata prin 22
Finante Personale, DAFI 2007 intermediul acestor filtre nu este aceeasi cu una, ce ar fi luata in lipsa lor. Cunoasterea acestor tendinte comportamentale este un prim pas in evitarea lor. In acest context, o eroarea comuna umana este supraestimarea preciziei si importantei informatiei. 12. INSTINCTUL DE GRUP Investitorii au tendinta, mai degraba, sa stea in liniile de comportament al grupului social sau profesional caruia ii apartin, evitand sa isi asume riscuri individualizate de pozitii investitionale semnificativ diferite fata de ale celorlalti. Motivatia instinctului de grup sta si in argumentul ca, in cazul in care investitorul se dovedeste corect in anticiparea evenimentelor, castigul obtenabil este mult mai mic decat pierderea, care poate aparea in cazul in care anticiparea nu a fost corecta (cand previziunea a fost diferita fata de ceea ce era cvasiacceptat general). 13. NOROC SAU PRICEPERE In general, oamenii au tendinta de a atribui rezultatele pozitive priceperii/experientei (si nu norocului), iar cele negative ghinionului (si nu nepriceperii). Tendinta psihologica cea mai intalnita este aceea de a nu atribui niciodata succesul norocului. Psihologii olandezi Wagenaar si Keren au concluzionat, in urma unor experimente ca, in cazul jucatorilor de noroc profesionisti, acestia atribuie rezultatele lor (castiguri sau pierderi) prin supraestimarea priceperii si subestimarea sansei (doar 18% din rezultat se datoreaza sansei). In experimentul lui Woldford, o alta concluzie interesanta a fost ca, daca subiectilor experimentului li se cere sa duca la indeplinire o sarcina suplimentara (de ex. aceea de a-si aduce aminte o secventa de numere vizionata recent), rezultatele la testele cu lumina rosie si verde se imbunatatesc considerabil, deoarece intreruperile mentale datorate celei de-a doua sarcini logice scurtcircuiteaza impulsurile date de modulul interpretor. O alta concluzie este cu cat un investitor petrece mai mult timp studiind datele si informatiile despre piata, cu atat rezultatele prezicerilor sale sunt mai slabe (!). Pur si simplu soarecii si porumbeii sunt mai abili decat oamenii in a alege intotdeauna optiunea cu cea mai mare probabilitate.
GESTIUNEA
PORTOFOLIULUI
INVESTITORULUI
INDIVIDUAL
IN
CONTEXTUL
FINANTELOR
COMPORTAMENTALE In ciuda progreselor in intelegerea mecanismelor economico-financiare, este dificil de explicat de ce oamenii nu se comporta, atunci cand este vorba de bani, dupa cum prezic ecuatiile economice. In teoria clasica, oamenii intreprind actiunile lor economice in functie de calcule rationale si iau decizii dupa modele stricte de eficienta financiara. Paradigma finantelor comportamentale incearca sa convinga ca studiul a ceea ce oamenii fac este, cel putin la fel de important si interesant ca si studiul clasic, a ceea ce acestia ar trebui sa faca. Neurostiinta economica investigheaza interactiunile si ratiunile profunde din interiorul cortexului uman, impletirea complexa dintre cele patru elemente definitorii psihologic ale comportamentului uman, teama, mania, avaritia si altruismul, atunci cand este vorba despre bani sau in contextul administrarii acestora. Intelectul (intelegerea unei situatii care necesita o anumita actiune), ratiunea (estimarea 23
Finante Personale, DAFI 2007 consecintelor pe termen lung ale actiunii respective) si sentimentele (care au, de fapt, primul si ultimul cuvant asupra initierii cursului actiunii) sunt toate functii intercorelate ale cortexului uman.
Analiza comportamentului financiar (behavioral finance) nu suplineste evaluarile standard – analiza fundamentala, tehnica si de piata. In cadrul finantelor comportamentale, toate aceste abordari analitice fuzioneaza sinergic, in scopul sustinerii unei decizii investitionale informate. Analiza comportamentului financiar relaxeaza conditia convergentei pretului catre valoare: intre cele doua caracteristici economice pot exista diferente sistematice, care pot fi exploatate de catre un investitor disciplinat si rational. Intrebarea fundamentala, al carei raspuns trebuie gasit si sustinut empiric este: Se poate obtine extra profit din exploatarea “ineficientei“ comportamentale, cognitive si psihologice? Spre deosebire de finantele clasice, cele comportamentale considera si elementele de perceptie, evaluare proprie si emotie implicate in luarea si asumarea deciziei investitionale. Emotiile subiective domina logica obiectiva. Neurostiinta moderna cauta motivatiile comportamentelor umane si sustine ca aspectul emotional este indispensabil in orice decizie, inclusiv cea financiara. Chiar si in cazul comportamentului perfect rational, emotiile sunt determinante in luarea oricarei decizii. De ce este important studiul comportamentul jucatorului investitor pe piata?
Ceea ce se numeste informatie de piata este, de fapt, un set de date publice, prezentate in forma obiectiva. Aceste date devin informatie materiala (pot influenta pretul titlului financiar), in momentul in care se combina cu cunostintele, experienta practica si evaluarile investitorilor. Acestia interpreteaza evenimentele si datele relevante pe doua niveluri cognitive: nivelul intelectual de ordonare, procesare si analiza a factorilor reali (datele economice) si nivelul logic rational al influentelor pe care le pot avea acesti factori asupra celorlalti jucatori de pe piata. Termenul de informatie nu mai poate fi definit obiectiv doar de pachetul de date relevant pentru piata, la un moment dat, ci trebuie corelat cu volumul de cunostinte profesionale (intelectul uman) si cu dinamicile interpersonale ale partenerilor (emotia si sentimentul acestora). Mai mult, exista un grad ridicat de interdependenta (dat de incertitudine si schimbare continua) intre experientele trecute (memoria autobiografica) si asteptarile despre viitor (ratiunea). Trecutul ne influenteaza modul cum interpretam datele si cum le selectam, dupa relevanta si preponderenta. Daca se adauga in ecuatia deciziei (a carei corectitudine va putea fi estimata doar ex post) si presiunea de timp, ramane ca stresul decizional este rezultatul incertitudinii asociate interactiunii rationalului cu non rationalul.
Tema prezentata este o pledoarie pentru disciplina si politica coerenta de investitii, incredere mai mare in elementele de perceptie, emotie si afect, acceptarea nereusitelor temporare (ex. mentinerea pe termen mai lung a actiunilor perdante pe termen scurt), recunoasterea din timp a profiturilor rezonabile in raport cu riscul asumat (ex. vinderea actiunilor castigatoare), supradiversificare, rebalansarea economica a portofoliului (cu scaderea rentabilitatilor, comisioanele mici si 24
Finante Personale, DAFI 2007 rare pot face diferenta in performanta investitionala) concomitent cu extinderea orizontului de timp. De teama privarii de profit suplimentar, investitorii, care nu isi pastreaza cumpatul si extrapoleaza simplist trendul pe termen scurt, isi altereaza profilul psihologic de sustinere a riscului pana la un nivel periculos. In mod detrimental pentru acestia, apetitul la risc creste exact la momentul cel mai nepotrivit, tocmai atunci cand capacitatea de asumare de risc suplimentar este in scadere. La celalalt pol al erorilor, sunt investitorii prea increzatori in abilitatile individuale, prin supraestimarea semnificatiei intelectului si a educatiei profesionale, pe o piata in care preturile sunt, de regula, consecinte neintentionate ale actiunilor unei multimi de indivizi inteligenti, instruiti, determinati spre profit, pregatiti psihic si emotional si a caror preocupare principala este mentinerea privilegiului de participant la joc (securitatea profesionala). In general, cei care au succes pe termen lung in piata castiga putin, dar sistematic (sau oricum castiga mai mult si de mai multe ori decat pierd), nu pentru ca iau intotdeauna deciziile rationale si corecte din punct de vedere material, ci pentru ca isi dozeaza si focuseaza eficient energia pentru acces fruntas la informatie, inovatie, autenticitate profesionala si adaptare continua la regulile schimbatoare ale jocului bursei.
Aplicarea disciplinata a procedurilor, regulilor, cutumelor de diversificare si alungire a orizontului de timp al investitiei, mixajul eficient intre investitia de venit si cea de crestere, considerarea tendintei rentabilitatilor de asezare pe medie, urmarirea momentului de piata, studiul evenimentelor publice relevante, observarea atenta a modificarilor previziunilor de profit sunt toate elemente care definesc calitatea procesului investitional, cea care face, in cele din urma, diferenta intre succes si pierdere. Managerii de portofoliu trebuie sa isi c onvinga sistematic angajatorii, angajatii si publicul investitor atat despre ideile lor originale, cat si despre repetabilitatea competentei lor investitionale. Bursa este un domeniu public-privat, in care performanta economica se poate masura si, deci, recompensa obiectiv, instantaneu si transparent. De exemplu, pentru rezultatele la 15 septembrie 2006 (BET, +16%, BET FI, – 5%), performanta fondurilor mutuale se afla intre – 6% si + 10%. Pe o piata alerta si extrem de competitiva, cei care pierd 4%, cand indicele de referinta scade la minus 6% sunt foarte bine vazuti, iar cei care au reusit doar 4% cand indicele a crescut cu 6% pot fi penalizati imediat, deci supravietuirea si succesul lor profesional depind de adaptabilitatea la comportamentul si performanta generala/sistematica a pietei. Tensiunea dintre autenticitate si adaptare genereaza stresul profesional, aducator de competitie si valoare adaugata. Managerii de investitii pot reduce acest stres prin adaptare si conformitate la regulile grupului, fata de care sunt comparati in timp real (indicele de referinta, benchmark), prin integrare si mimica a proceselor si regulilor de investitie general acceptate pe piata, la momentul respectiv. In mod paradoxal, coalitiile neintentionate ale investitorilor formeaza evenimentele semnificative material de pe piata si nu invers. Cresterea in jur de 70% a actiunilor Transelectrica, in prima luna dupa IPO, desi atribuita informal de catre micii jucatori si unii brokeri subestimarii, inainte de oferta publica, a profiturilor cu 50%, este un exemplu de formare instantanee a unei coalitii de trend de pret, in conditiile speciale in care cererea pentru un titlu este intampinata de o oferta prea mica (pe o piata cu o oferta relativ scazuta de actiuni noi). In 25
Finante Personale, DAFI 2007 contextul specific, a fost doar necesar ca opinia de subevaluare si contagiunea ideilor sa fie intretinute de cateva gr upuri de investitori si pretul a urcat dramatic, in cateva saptamani. In general, pentru a se forma o coalitie (neintentionata) de pret (dar nu neaparat in sens anticompetitional) este necesara o multiplicare a opiniei jucatorilor de pe piata si, deci, formarea unor asteptari mai mult sau mai putin uniforme despre titlul respectiv, desi nu exista unanimitate in privinta metodei prin care s-a ajuns la acest cvasiconsens. Din punct de vedere tehnic, rapoartele de evaluare pre IPO, despre oportunitatea investitionala oferita de TEL, au diferit semnificativ doar relativ la inputul - rata de actualizare a veniturilor viitoar, obtenabile de catre utilitatea publica. Tonul dat de consensul subevaluarii s-a articulat si dezvoltat ca o miscare psihologica de masa, cu fazele tipice de crestere, stagnare si declin. In primele doua saptamani de la tranzactionare, coalitia de trend de pret, aflata in perioada de crestere exponentiala, a dominat platforma de comunicare catre ceilalti participanti de pe piata, cei care nu au achizitionat initial, dar care, ulterior cotarii, au fost gata sa accepte cererea crescuta pentru aceste titluri. Nonconformistii au intrat prea tarziu pe piata si nu au putut decat sa priveasca de pe margine cum partea dominanta isi marcheaza profiturile si intra apoi in faza de stagnare. Rezultatul coalitiei informale de pret fost o succesiune de stiri, comunicate si informatii pozitive despre titluri si respectiv veniturile potentiale ale companiei. Volumul detaliilor a fost mai mare decat capacitatea de absorbitie informationala a celorlalti jucatori pe piata, asa incat multitudinea de informatii s-a redus in final la cateva idei generale, de semnificatie si relevanta temporara, care au devenit paradigma investitionala a momentului despre actiunea respectiva. Efectul de contagiune financiara asupra intregii burse in urcare nu s-a lasat asteptat si, ca in toate pietele aflate in perioade de crestere, marea majoritate a actiunilor au crescut, in special datorita cercului virtuos al cresterii si optimismului generalizat. Pe acest platou pozitiv, performanta investitionala este atribuita doar abilitatilor profesionale, desi ar fi fost greu de construit si administrat un portfoliu perdant, pe o piata in crestere generalizata. Consecutiv, s-a observat pe ordinele brokerilor o reactie exagerat de pozitiva la informatiile care se conformau cu tactica momentului (inventata si promovata de membrii coalitiei) si o reactie pasiva la tot ceea ce ar fi contrazis moda momentului (TEL: strong buy ). Pe piata in scadere, reactiile sunt opuse – exagerat de negative la informatii care confirma trendul in scadere si reactii pasive la date care contravin asteptarilor uniforme, stabilite de formatorii de opinie pesimista din coalitie.
Din punct de vedere practic, finantele comportamentale completeaza si nu suplinesc analiza tehnica si fundamentala prin: - analiza sistematica a pretului (dupa principiile fundamentale si tehnice), considerand interdependenta stransa intre experienta si asteptarile investitorului, evolutia in timp, dar si momentul/pulsul pietei. Schimbarile lente de pret nu sunt contagioase emotional, in schimb, cele care au o rata de insinuare constanta, pot sugera jucatorilor un trend (trei puncte formeaza o linie?). Modificarea brusca de pret este atribuita stirilor noi (negative sau pozitive) si nu are un efect de durata, odata ce noul prag de rezistenta sau suport a fost stabilit.
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Finante Personale, DAFI 2007 - analiza volumelor tranzactionate este relevanta si informativa investitional, mai ales in contextul unei piete cu adancime scazuta, ca BVB. In general, investitorii tind sa accepte trendul impus de majoritate, decat sa contraargumenteze cu opiniile si tranzactiile au contraire proprii, astfel incat volumul tranzactionat este un bun indicator al trendului de moment al pietii. Insatisfactia rezultatului negativ, datorat unei decizii contrare trendului, displace mult mai mult decat atrage eventuala satisfactie, de pe urma unei decizii au contraire, dar cu rezultat pozitiv fata de trend.
Analiza investitionala de succes incearca sa estimeze preturile si timingul acestora si se coreleaza cu obtinerea constanta a rentabilitatii in exces, singura cifra care reuseste sa convinga intotdeauna investitorii, angajatorul, angajatii. Piata bursiera coteaza titlurile, ca rezultat al interactiunii dinamice intre datele economice, constructiile intelectual-informationale ale analistilor, dar si sensibilitatea emotionala si psihologica a investitorilor. Ratiunea intervine pentru a ghida comportamentul si actiunile jucatorului pe piata, in functie de reteaua de interese si compromisuri economice din cadrul bursei (ca si consecinte neintentionate ale actiunilor intentionate de formare a preturilor titlurilor cotate) si de mentinerea unui status emotional stabil, lipsit de contradictii, care sa permita intelectului persoanei investitor/manager sa formuleze tactica investitionala, care ii pare cea mai fezabila si care comporta riscurile cele mai rezonabile, simple de inteles si administrat. Finantele comportamentale asuma ca in unele circumstante, pietele financiare ar putea fi ineficiente informational, in primul rand, datorita influentei factorilor psihologici, cei care deviaza sistematic si neproductiv deciziile financiare de la regulile rationale. Nu toate deviatiile de la pretul arbitrajat la un moment dat de catre piata sunt datorate nonrationalitatii, ci pot rezulta si din dezechilibre temporare sau circumstantiale intre cerere si oferta. Spre deosebire de piata bunurilor, in general, bursa nu sustine o relatie directa dintre cerere si oferta: cand cererea pentru o anumita actiune creste (Transelectrica, inceputul lui septembrie), oferta s-ar putea sa scada, tocmai pentru ca detinatorii de titluri, cei care au achizitionat in cadrul OPI, au speculat pe preturi ulterioare mai mari si au decis sa nu vanda, ca rezultat al presiunii neasteptate la cumparare. Acest proces autoreferential, caracterizat de feedback-ul pozitiv al perceptiei detinatorilor de titluri, nu poate fi explicat integral doar de motive fundamentale micro si macroeconomice. O ratiune importanta, ce sustine procesul decizional si actiunea consecutiva, nu depinde de optimizarea raportului cost/beneficiu, ci de atingerea si mentinerea starii de echilibru si consonanta emotionala a decidentului investitor. Jucatorii de pe piata tranzactioneza, de fapt, estimari si asteptari despre valoarea in viitor a titlurilor financiare, in general prin doua metode: 1. formuleaza asteptari de ordin material – cele capabile sa influenteze cursul titlurilor (in functie de date macroeconomice, de sector, specifice firmei, dobanzi si rate de actualizare a veniturilor viitoare, pentru a ajunge la valoarea corecta, intrinseca a titlului); aceasta analiza este bazata pe intelect si pe abilitatea de procesare logica a informatiilor, si 2. estimeaza comportamentul celorlalti – element de importanta, atunci cand deciziile si actiunile partenerilor pot avea influenta decisiva asupra propriului success (Teoria jocurilor, J. Nash). In acest caz, formarea asteptarilor subiective se face 27
Finante Personale, DAFI 2007 in conditii de presiune de timp si incertitudine omniprezenta. Evenimentele publice si perceptia investitorilor despre acestea sunt intai categorizate si standardizate cognitiv, printr-un proces de codare logica si acces ordonat si selectiv la cunostintele, amintirile si experientele experientele organizate organizate in memorie. Asteptarile despre impactul acestor evenimente evenimente stimulante se formeaza apoi prin apel la l a registrul emotional istoric (memoria autobiografica) autobiografica) al decidentului. decidentului. Procesarea informatiilor are loc atat la nivel semantic (cunostinte accumulate), cat si la cel al memoriei autobiografice (experientele personale), in conditii de presiune de timp, t imp, stres, schimbare schimbare continuua si incertitudine. Conform Conform teoriei t eoriei neoclasice a echi librului general, in contextul regulii lui Pareto, alocarea eficienta a resurselor economice se face, in starea de echilibru, prin cresterea averii/utilitatii unui individ, fara scaderea averii/utilitatii unui alt individ. Eficienta alocationala se raporteaza la ipoteza fundamentala a comportamentului rational a investitorului, in cadrul asteptarilor sale omogene. Atitudinea jucatorilor prezenti pe piata si modul in care acestia iau deciziile investitionale se fundamenteaza fundamenteaza nu numai pe factorii determinanti determinanti ai valorii endogeni si exogeni (rentabilitate, risc, durata), dar si pe anticiparea comportamentului celorlalti investitori si a reactiei acestora fata de acesti factori.
FINANTELE CLASICE O recapitulare succinta a presupunerilor de baza ale finantelor clasice se poate imparti pe cele doua teorii financiare esentiale: CAPM si EMH. Capital Asset Pricing Model (CAPM) presupune ca investitorii sunt intotdeauna rationali, prefera oricand avere mai multa decat mai putina, au a u aversiune aversiune la risc, decid in mod consecvent functiei individuale de utilitate, pot da sau lua cu imprumut la rata de dobanda fara risc, au asteptari omogene despre distributia rentabilitatilor viitoare ale titlurilor, cauta sa maximizeze liniar functia dintre rentabilitate (ER) si risc (deviatia standard), iar taxele, impozitele si comisioanele sunt zero. Efficient Market Hypothesis (EMH) presupune restrictiv ca preturile si informatiile istorice sunt reflectate, in totalitate, in pretul curent al titlurilor1. Preturile nu au memorie redundanta, sunt independente independente si se aseaza pe o curba de distributie identica pe toate perioadele (forma slaba). Toate informatiile publice disponibile se reflecta in totalitate in pretul curent al titlurilor (forma semi tare). Toate informatiile, inclusiv cele private si privilegiate, sunt incluse in pretul curent (forma tare). Din punct de vedere practic, EMH in forma slaba sustine ca pretul si volumele istorice ale tranzactiilor cu titluri sunt reflectate complet in pretul curent si, deci, analiza tehnica nu poate fi, in mod consistent, profitabila. profitabila. Forma semi tare presupune ca pretul curent al titlului reflecta toata informatia disponibila disponibila public, la acel moment. Cum toti investitorii au acces la aceeasi informatie, practic nici analiza fundamentala nu poate fi consistent profitabila, dar, dar, in schimb, ajuta la procesul procesul de eficientizare a pietii, pietii, doar atunci cand descopera, descopera, proceseaza, proceseaza, disemineaza disemineaza si incorporeaza incorporeaza in pretul curent orice modificare in informatia relevanta pentru formarea anterioara a pretului. EMH, in forma sa tare, conchide ca pretul curent al titlului este sustinut de totalitatea informatiilor publice disponibile disponibile (forma slaba), dar si a informatiilor private, non publice. Chiar daca avansul tehnologic de astazi reduce pertinenta si persistenta informatiilor 1
E. Fama and K. French , The Cross Section of Expected S tock Returns, Journal of Finance (June 1 992 )
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Finante Personale, DAFI 2007 private, reducand deci asimetria de informatie ce s-ar putea dovedi dovedi profitabila pentru cei informati privilegiat, in mod paradoxal, paradoxal, devine din ce in ce mai greu pentru jucatorii jucatorii de pe piata sa emita judecati logice prezumtive despre evolutia cursului actiunii respective. Exista, atat in lumea academica, cat si in cea de afaceri, o dezbatere aprinsa daca pietele de capital sunt complet eficiente informational. Dupa cei 40 de ani de la introducerea Teoriei Pietei Eficiente (EMH), comunitatea academica si cea de afaceri nu au ajuns la un consens privind validitatea presupunerilor teoriei. Investitorii sunt interesati de pertinenta EMH, de fiecare data cand incearca sa deceleze, prin analiza tehnica, o anumita directie a pietei si, prin analiza fundamentala, fundamentala, pentru gasirea actiunilor sub sau supra evaluate sau cand decid plasarea capitalului la modul pasiv, de urmarire a performantei performantei unui index bursier. bursier. Daca s-ar putea gasi o anomalie, ce s-ar putea fructifica sistematic de catre investitori, atunci validitatea EMH ar fi demontata, investitorii ar recunoaste limitele EMH si atunci toata lumea ar evita managementul activ de portofoliu, in favoarea celui pasiv si, deci, nu ar exista ratiunea dupa care analistii financiari aduna, analizeaza si disemineaza informatia relevanta in fixarea pretului si, mai ales, nu ar sustine procesul continuu de oscilatie necesar mentinerii unei piete eficiente. IPOTEZA DE PIATA INEFICIENTA In lumea finantelor clasice, investitorul investitorul nu beneficiaza beneficiaza de castiguri castiguri superioare pentru detineri in afara a fara portofoliului portofoliului de piata. Indicatorul alfa de eficienta financiara (cel datorat abilitatilor decizionale si nu doar simplei prezente pe piata sau, pur si simplu, doar norocului), chiar daca apare, din cand in cand, in performanta unui portofoliu administrat activ, nu se poate obtine sistematic si persistent. In general, investitorii sunt recompensati doar pentru asumarea riscului sistematic, reprezentat de indicatorul beta, de prezenta financiara pe piata printr-un portofoliu suficient diversificat. Dupa aceasta logica, pretul titlurilor este determinat liniar in functie de riscul sistematic asumat. Succint, investitorii isi formeaza asteptarile doar in mod rational, piata in ansamblul ei cumuleaza eficient toata informatia disponibila la momentul respectiv, iar preturile de echilibru incorporeaza incorporeaza absolut toate datele si informatiile accesibile public si privat. pr ivat. La momentul tranzactiei, pretul este egal cu valoarea titlului, pentru ca toate informatiile disponibile au fost deja scontate, incorporate si asumate in pretul curent al titlului. Randamentele in Euro, in ultima perioada, sunt prea atragatoare pentru a fi ignorate: 35000
30000
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BET-FI € 15000
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Finante Personale, DAFI 2007
INEFICIENTA OPERATIONALA A PIETEI Mai importanta decat dilema daca piata este sau nu eficienta in sens informational este intrebarea daca piata este eficienta din punct de vedere operational - ofera costuri de tranzactii suficient de mici. Ipoteza de eficienta operationala presupune presupune ca valoarea profitului profitului asteptat/estimat al unui speculator este egala cu pierderea pierderea data de costurile tranzactiei / ale intermedierii financiare. Louis Bahelier spunea ca „speranta matematica a speculatorului este zero”. Costul intermedierii financiare este estimat in jur de 3% anual2, atat pentru pietele de capital mai dezvoltate, cat si pentru cele emergente. Acest cost creste pentru portofo portofoliile liile administrate mai agresiv, cu rotatii mari. Pentru un randament randament de 15%, acest cost cost ar scadea profitul cu o cincime, dar pentru un randament de 6% costul de intermediere financiara 3% inseamna jumatate din profitul obtinut. Chiar daca investitorul ar negocia comisioane mai mici si ar lua in calcul costurile de administrare si tranzactionare, punand lucrurile in perspectiva, rezulta ca pe durata investitiei, ce ramane r amane net investitorului este doar in zona rentabilitatii generale a pietei.
INFLUENTA FACTORILOR PSIHOLOGICI IN DECIZIA FINANICIAR - MONETARA Intr-o perspectiva simplificatoare, finantele comportamentale reprezinta integrarea economiei cu psihologia si teoria deciziei. Erorile sistematice in luarea deciziilor financiare sunt recurente si previzibile, in primul rand datorita tendintelor emotionale ale persoanelor active pe piata. Din punct de vedere psihologic, investitorii sunt in primul rand oameni. Distorsiunile Distorsiunile atitudinale ale acestora sunt evidentiate, evidentiate, in linii mari, de trei t ipuri de comportament: comportament: 1. Constrangerea data de conflictul de agent (conflictul de interese intre managerul de portofoliu si clientul investitor) 2. Reactiile emotionale (preferinte speciale, inclinatii si distorsiuni atitudinale: increderea exagerata, teoria irelevantei prospectului prospectului final, riscul ri scul irational, aversiunea aversiunea la risc r isc pe pierderi, avaritia si teama, t eama, regretul si teama de regret, r egret, afectul, etc.) 3. Erorile cognitive datorate asteptarilor incorecte incorecte sau gresit administrate (iluza optica, ancorarea mentala, auto atribuirea, efectul de dispozitie, compartimentalizarea mentala, etc.). Erorile mentale sistematice (erori cognitive) sunt cauzate frecvent de abordari heuristice (simplificari/scurtaturi logice si reguli decizionale simpliste folosite in rezolvarea problemelor problemelor complexe). complexe). Cand aceaste abordari decizionale simpliste sunt folosite in situatii nepotrivite, ele conduc la erori mentale sistematice si previzibile, estimari eronate sau evaluari nereusite ale potentialului investitiilor. Simplificarile heuristice sunt, totusi, exceptia si nu regula. Daca se recreeaza conditiile, erorile de simplificare heuristica apar din nou. Aceste erori cognitive nu se datoreaza nici unui aspect patologic; sunt doar greseli sistematice de logica. Un exemplu la indemana este (inca) dificultatea relativa cu care cetateanul roman transforma valorile din ROL in RON. Tipic, o suma de 1.000.000 RON este asociata cu 1.000.000.000 ROL. In ceea ce priveste investitiile, preturile actiunilor (sau ale
2
Rober J. Shiller, Irrational Exube rance, p 39
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Finante Personale, DAFI 2007 instrumentelor financiare, in general) sunt date de asteptarile legate atat de evolutia emitentului, cat si de perceptia (estimata, asteptata si greu modificabila) despre modul cum piata va privi aceasta evolutie in viitor.
Modificarile in aceste asteptari duc la modificari ale pretului actiunii. In formarea previziunilor, oamenii se bazeaza pe informatii, proceduri de analiza si procesare a acestora. Astfel, in acest proces de analiza a informatiei, investitorii fac greseli sistematice de logica, repetabile si previzibile, care se datoreaza doar predispozitiilor comportamentale si psihologice. psihologice. Consecinta decizionala decizionala a acestor inclinatii eronate este ca investitorul poate procesa procesa gresit informatia, informatia, prin reactii decizionale prea puternice sau prea slabe. Reactia intarziata, prea slaba, rezulta, in principal, din doua trasaturi comportamentale omniprezente: increderea prea mare in propriile abilitati de analiza a informatiei disponibile si folosirea asertiva a cunostintelor in procesarea acestei informatii. Ambele duc la ancorarea cognitiva a individului, captiv in opinile sau crezurile anterioare (cel mai sugestiv exemplu de ancorare este afisarea preturilor de catre vanzator in ordinea urmatoare: pretul sugerat de producator > pretul redus al distribuitorului > reducerea speciala de preturi in aceasta perioada; exemplificarea graduala a celor trei valori ancoreaza mental consumatorul, inducandu-l sa creada ca are o oportunitate speciala de cumparare). In ambele cazuri, consensul despre previziuni este distorsionat si, deci, pretul atasat acestor previziuni previziuni este incorect. Cert este ca din interactiunea interactiunea formarii asteptarilor si modul de procesare a informatiei, reactia initiala puternica poate fi o sursa de randament alpha, in cazul investitiilor de venit (interesate de oportunitati ieftine, acum), iar reactia intarziata, slaba, poate fi sursa de randament alpha in cazul investitiilor de crestere (interesate de oportunitati opo rtunitati scumpe, in viitor). Pe de alta parte, reactia emotionala exagerata la aparitia unei informatii informatii noi se datoreaza, in special, fenomenului de reprezentativitate si generalizare: oamenii tind sa extrapoleze informatia existenta la un moment dat (sau cea bazata doar pe o singura sin gura observatie) observatie) si sa o considere reprezentativa pentru o intreaga populatie de evenimente (stereotipie previzionala). In mod analog, reactia exagerata se poate justifica si prin propunerile Teoriei Prospectului3 a lui Daniel Kahneman, care sugereaza ca atunci cand plasamentul investitional se afla in domeniul pierderilor, investitorii pot deveni (in mod cvasi non rational) chiar mai interesati de asumare suplimentara de riscuri. Pregnanta sau preponderenta
3
Kahneman, Dan iel and Tversky Amos, Prospect Theo ry. An Analysis of Decision un der Risk, 1979.
Teoria Prospectului. Se refer ! la tendin " tendin " a irationala a oamenilor/investitorilor de a realiza rapid profiturile (prin vindere) si de a amana realizarea pierderilor (prin mentinerea activului). Tversky si Kahneman argumenteaza ca deciziile oamenilor (in context financiar) sunt limitate cognitiv prin tendinta de simplificare euristica. Oamenii sunt mai putin interesati de prospectul (finalitatea) deciziilor lor asupra pozitiei finale a portofoliului de active. Investitorii sunt focalizati, in principal, asupra probabilitatii ca decizia lor sa duca la pierde ri sau la castiguri fata de status quo (sau alt punct de referinta, stabilit in functie de perceptia si circumstanta personala prevalenta) si nu la impactul acesteia asupra intregului portofoliu. Orice decizie poate fi incadrata ori ca pierdere ori ca si castig. In consecinta, cel mai important aspect este legat de modul in care este prezentata si incadrata (framed) performanta (trecuta sau cea obtenabila). Conform Teoriei Prospectului, oamenii au predilectia teribila spre obtinerea situatiei de chit (pragul de rentabilitate zero) - pierderile sunt sustinute indefinit, in speranta inflexiunii trendului in pierdere spre cel in profit si atingerii punctului de break-even.
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Finante Personale, DAFI 2007 informationala a evenimentelor recente, cu impact emotional, financiar si social semnificativ se manifesta in cazurile in care, evenimente cu probabilitate foarte mica, dar cu efecte negative foarte mari, par ca se pot intampla mult mai frecvent decat in realitate4. Evenimentele cu impact emotional major, desi apar relativ rar, au preponderenta in registrul sentimental al unei persoane. Piatra de incercare in estimarea corecta a perfomantei investitionale nu este evaluarea rentabilitatilor perioadei anterioare, deoarece corelatia intre performantele trecute si cele viitoare este, in general, foarte aproape de zero. Succesul trecut se poate datora mai mult norocului decat priceperii. Pragmatismul abordarii din perspectiva psihologica si sociala a deciziilor investitionale se concentreaza pe intrebarea daca aceste decizii, atunci cand sunt aparent non rationale, sunt de fapt simple erori cognitive, predictibile care pot crea, in timp, diferente sistematice profitabile intre valoare si pret, spre folosul investitorilor rationali, cei care nu fac aceste erori. Spre exemplificare, se observa ca investitorii sunt, in mod uzual, indiferenti la oportunitatile de cumparare de actiuni intr-o piata in urcare (bull), pana cand trendul este evident pentru toata lumea. Doar de la acest moment incep achizitiile semnificative, pentru ca nimeni nu vrea sa ramana in afara “turmei“, desi, la fel de evident, va trebui sa urmeze o perioada de corectie (bear). Pentru a compune problema, obiectul afectiunii investitorilor il reprezinta tocmai acele actiuni ale caror performante au fost cu mult mai bune decat media pietei si care sunt, in mod evident, cel mai expuse la corectii mai mari decat pozitia generala a pietei (poate pentru simplul motiv ca au un coeficient de risc sistematic ! mai mare).
COMPORTAMENTUL FINANCIAR-MONETAR AL INVESTITORULUI Nivelul de incredere/siguranta in propriile abilitati financiare ale unui investitor nu este corelat cu succesul investitional. Jucatorii sunt convinsi ca pot „bate” sistematic piata, prin decizii de temporizare corecte – cumparare sau vindere a unui activ financiar/actiune/moneda la momente optime. Investitorii dau prea multa greutate experientelor financiare recente, in dauna celor mai indepartate. Acestia evalueaza deciziile celorlalti participanti de pe piata ca fiind discretionare si nonrationale, pe cand deciziile proprii sunt considerate perfect rationale, cel putin in limita informatiilor disponibile la un moment dat. Pietele financiare sunt un ecosistem integrat, in care investitorii rationali din punct de vedere financiar, incearca in mod continuu sa obtina profit de pe urma celor cu un comportament financiar aparent non-rational. Primii capitalizeaza pe slabiciunile emotionale, informationale, psihologice si sociologice ale celor din urma.
Fuziunea dintre analiza financiara clasica si cea care ia in calcul si aspectele de ordin psihologic, social, afectiv si emotional – finantele comportamentale/behaviorale ajuta investitorii si analistii financiari intr-o abordare mai cuprinzatoare pentru intelegerea mecanismului de functionare a pietei, dar si a modului in care participantii pe aceasta piata iau si sustin deciziile financiare. Demersul finantelor clasice este, in general, reflexiv si reactiv. Cel al finantelor comportamentale este progresiv si proactiv. Comportamentul uman este, insa, reactiv si nu proactiv si, deci, dificil de incadrat si previzionat. 4
Riscul se defineste si cand se intamp la mai multe lucruri decat se po t intampla
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Finante Personale, DAFI 2007 Finantele comportamentale explica usor de ce individul a luat o anumita decizie, dar nu gasesc la fel de facil si o explicatie despre cum vor arata si deciziile viitoare.
Capacitatea umana de a procesa, asimila si intelege volumul foarte mare de informatii si stimuli care ne asalteza zilnic este limitata. Deciziile si judecatile pe care le sustinem zilnic (de ordinul sutelor) sunt constranse de circumstante personale, timp, factori psihologici, emotionali si sunt rareori strict rationale. De cele mai multe ori ignoram o decizie mai buna, doar pentru simplul fapt ca suntem, in general, interesati de ce este simplu, rezonabil si fezabil. Perceptiile noastre sunt deformate (bias), iar acest lucru se manifesta preponderent in analiza situationala si comportamentala. Pe acelasi model si analistul financiar ia si sustine deciziile financiare, iar intelegerea trasaturilor sale psiho-cognitive, un cocktail de atitudini rationale si irationale, poate ajuta la intelegerea mai clara a mecanismului pietei. Un exemplu elocvent este modul in care procesam informatiile despre o anumita firma, respectiv actiune, si cum ajungem la o decizie investitionala, bazandu-ne, in special, pe ceea ce stim strict la un moment dat (prin procesul de ancorare informationala), fara a avea o imagine de ansamblu si de perspectiva si, deci, cum luam decizii suboptimale prin abordare simplista, bazata doar pe scurtaturi logice, heuristice. In plus, prin insasi natura noastra umana suntem atrasi de informatiile interesante, viu colorate, prezentate atractiv. In mod evident, interpretarea intuitiva joaca un rol mult mai important in modul cum luam deciziile, decat judecata sistematica. Manifestarile atitudinale deviante (biased), credintele si predilectiile emotionale si cognitive dicteaza modul in care procesam datele si informatiile si, respectiv, cel in care luam deciziile.
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Finante Personale, DAFI 2007
Behavioral finance application: Managing Individual Investment Portfolios “The essence of investment management is t he management of risks, not the management of returns” Benjamin Graham
Finance as Social Science
Although the field of modern finance has progressed impressively, it is still hard to explain on a scientific basis why people behave non-rational when dealing with money. The classic finance assumes people rationalize and optimize their financial decisions. Behavioral Finance adds the importance of what investors should do and complements the mantra of classic finance with what people actually do, in terms of economic and financial decisions. The new field of Behavioral Finance investigates the subtle and profound interactions within the human brain when faced with uncertainties of an economic decision. The most basic psychological traits of human being (fear, anger, greed and altruism) stamp an indelible mark on our decisions about money. The intellect (understanding a situation), reason (long-term consequences of the contemplated action) and emotion (the judge of the course of action) are all interrelated resorts behind human decision-making. The field of modern finance has progressed impressively in the last half century, from intuitive concepts of present value of future economic benefits, to diversification and risk measurement, to monetary value of the option to choose, the cycle is complete with behavioral finance comprehensive approach of considering the essential influence of human element in the financial decision. However, it is still difficult to explain on a strict scientific basis why people behave non-rational when facing with money decisions. Classic finance foundation lays on strict rationality and optimization of financial decisions. Behavioral Finance adds to the equation the psychological and emotional facets of the human decision. In the financial word, the decision relates fundamentally to the identification of difference between value and price of a financial asset.
Price vs. Value
First part of the paper presents some arguments on why this difference between price and value is so difficult to discover and so rarely, it tends to zero. In the pursuit of understanding the behavior of the market player, the basic argument relays on the fact that the risk appetite increases exactly at the worst moment – when the capacity to assume additional risk decreases most significantly. In the second part, the article deals with the so-called unintentional price coalitions formed by the Romanian market investors with the occasion of some significant stock market events (ex an IPO for a major stock). Contrarian decisions (against the general trend or momentum of the market) that resulted in negative results (negative return vs. market index) are much more emotionally penalized that are rewarded contrarian decisions that led to positive results. The emotional and psychological implication of a negative result hurts more, in absolute terms, that pleases a positive result, in cases of contrarian investment decisions. In the context of behavioral finance, it is relatively easy to explain why the individual took one specific decision. However, it is no so easy to find an explanation about next pattern of 34
Finante Personale, DAFI 2007 decisions. The difference between intrinsic value and market price of a financial asset could reach zero, on net present value basis, if all unbiased market investors could anticipate the implicit value of the asset and the timing of correct valuation of the respective asset. However, such a situation would be possible only on the playground of efficient markets (organizationally, operationally and functionally efficient). On the real market, these conditions do not occur regularly; the difference between price and value tends undecidedly to zero.
The difference between price and value
Rational financial analysis
Behavioral finance does not eliminate but complements the standard evaluations approaches – fundamental technical and markets. It combines the findings of all valuation procedures with the investigation of social, psychological and emotional aspects of the market. Financial behavior analysis relaxes the fundamental analysis requirement for convergence between price and value. The difference between the two is rarely systematic, then can be exploited efficiently by a rational and disciplined investor. Can an informed and disciplined investor make (or loose less) money by exploitation of behavioral, cognitive and psychological inefficiencies of the market? Behavioral analysis considers the elements of human perception and evaluation
of outside situation and events, and most important, the emotions associated with a financial decision. Modern finance incorporates the neuroscience debate and assertion that personal motivations and emotions are indispensable to any human decision, including the financial ones. The subjective emotions dominate the objective logic; they are essential to ignite any decision and respective course of action.
Why it is important to study and understand the behavior of investor.
We call information the set of public data, presented and available to everybody in an objective manner. The information can have a material impact on the price of the financial asset when the objective data is combined with the knowledge, practical experience and investors’ evaluation. The investors interpret data and significant events at two cognitive levels 1. The intellectual level of ordination, process and analysis of real factors (economic data) 35
Finante Personale, DAFI 2007 2. The logical and rational level of understanding how this objective identifiable factors will influence the perception of the other players in the market The term of information cannot be only defined by the data relevant at a specific moment of the market but has to be correlated with the volume of professional knowledge (human intellect) and the interpersonal dynamics of market players (their emotions and sentiments). More, due to uncertainty and continuous change, there is a strong interdependence between experiences (autobiographic memory) and rational expectations about the future. Our experiences influence the way we interpret and select available data, based on relevance and salience. If we add to the decision equation (of which righteousness can be assessed only ex post) the time pressure, the decisional stress is the sum of uncertainty of interaction between rational and non-rational. The investor should have more trust in her own guts, perception, emotion and affect; investment discipline should accept temporary decreases in the value of portfolio, diversify across a wide range of sectors, companies, investment styles, and capitalization sizes, and manage actively having in mind the economic and tax consequences of aggressive trading and most importantly, elongation of investment horizon. Inefficient and aggressive rebalancing of the portfolio, especially on a downward trend, is highly detrimental to the overall active performance of the portfolio:
Effective net return decreases with increased portfolio turnover
By fear of losing opportunity for additional profit, investors that are not keeping their temper, act impulsively by extrapolation of short-term trend into a medium and long-term investment attraction. As consequence of their actions, their risk profile has changed so they appear to be able to bear more risk that would be otherwise reasonable, advisable and rational. They overestimate their individual abilities in terms of financial education, intellect and ability to process, disseminate and understand the huge volume of market data. The market price is either supported or resisted by a multitude of educated, determined, intelligent, psychologically strong individuals that act for one single scope – maintaining the privilege to be a surviving market player. Job security and professional success are the most important arguments that prevail in the mind of investment managers. The long-term market winners make small gains, systematically (or wins more and more times than they loose). Their success is not necessarily a result of a continuous stream of rational and correct 36
Finante Personale, DAFI 2007 material decisions but of a disciplined and focused approach, prime access to information, ability to mosaic correctly the available data, innovate and adapt to the continuous change of the stock market game.
Unintentional price coalitions make the difference on the market
The disciplined approach of investment management is based on principles, procedures, rules, regulations and, most importantly, common sense ideas: full diversification of the portfolio, investment horizon elongation, efficient mix of different investment styles of growth and income, portfolio returns tendency to revert to the mean, rare rebalancing of asset composition, concentration on event-driven, market timing, earnings surprises and analysts revisions – are all elements that defined a high quality investment management process. Investment managers have to prove their repeatable professional ability and sustainable value-adding capability on a continuous basis in front of their employers, employees, investment public. The stock market mechanism evaluates and rewards economic performance objectively, transparently and instantly. On such alert and competitive market, if one loses 4% when the relevant benchmark is down 6% is highly regarded; however, gaining only 4% when the index rose 6% is considered poor performance. Professional survivorship depends essentially on how adaptive is the investment manager behavior relative other market participants. The tension between authenticity and adaptation generates the professional competition for being a market winner. One way to cope with the inherent professional stress is to adapt and conform to the governing rules of the peer group you belong to and to which you are compared in real time, but this herd behavior will fetch, at best, index performance. The unintentional price coalitions lead to significant material market events and not the other way around. Transelectica (TEL) is a relevant example of a price coalition when the market price increased 70% in the first month after the IPO. Brokers attributed the major price increase to the underestimation by the management of future earnings with the occasion of IPO valuation. In the respective context, the instant coalition (around the significant undervaluation opinion) sent a contagious effect on the market that sustained a continuous demand for the shares right after the public offering. An unintentional price coalition (not necessarily in non-competition sense) is the resort for multiplication of a market opinion and formation of investor expectations more or less uniform about the respective stock. However, there is no unanimity on the method how the market has reached the respective cvasi consensus. The market opinion about the undervaluation articulated and developed as a psychological momentum. In the first two weeks after the IPO, the bullish price coalition dominated the communication platform, luring everybody, even the latecomers, to jump the wagon of loading the stock to the portfolio. The contrarians were watching sideways how the stockholders enjoyed marked profits of +100% in two months. By that time, the coalition had reached a neutral position. The coalition worked by a succession of news, information and details about present and future position of the company. The volume of information was so large and so positive that the majority of market players were accepting the trend and the omnipresent opinion – strong buy. The contagious market bubble effect infested the majority of other listed shares. The 37
Finante Personale, DAFI 2007 virtuous cycle of positive news was in full swing and everybody was highly optimistic about the overall prospect of the market. On this plateau, the short-term investment performance was attributable solely to the professional ability of investment managers, although was obvious for everybody that in an overall bull market was impossible to manage a losing portfolio. Brokers received orders in line with the market positive sentiment. The reaction was in conformation and confirmation with the market momentum. All information that was in line with the market short-time paradigm (invented and promoted by coalition members) was immediately incorporated in strong buying orders. Any contrarian information was immediately dismissed. On downward market, the market reacts in mirror: immediate and strong negative reaction to any information that conforms to the negative mood and passive attitude to any information that contravene to the uniform expectations of the market. The opinion markers set up the tone of the short-term momentum.
Contrarians decisions that resulted in negative results are penalized much more severely that are rewarded those with positive results
Practically, behavioral finance complements but not replaces technical and fundamental analysis: •
The systematic analysis of the fundamentals of the market prices results from correlation between investor experience
and expectations and market momentum. Slow changes in market sentiment are not emotionally contagious, but they insinuate slowly but strongly in the market trend. Sudden moves, on the other side, are attributed to new muscular evidence presented and disseminated by the market, do not have a lasting effect once the new resistance or support floor was established •
Analysis of the traded volumes is highly relevant, mostly in the context of gauging the trend formation on the market:
this aspect is essential in the context of limited depth market as the Romanian Stock Exchange •
In general, the investors tend to accept easily the market momentum imposed by the majority rather than adopt a
contrarian investment strategy. The insatisfaction of a negative result after a contrarian decision weights significantly higher than eventual satisfaction coming from a contrarian decision, so investors find it difficult to assume au contrarie decisons.
A successful financial analysis should result in correct estimation of the market price and the respective time period – investment horizon. Excess return is the only figure correlated by the investment public with investment success. Job security is the most important input in any investment manager decision. The market displays the price as result of the dynamic interactions between relevant economic data, investor perception information and knowledge and equally important, emotional and psychological state of mind. Rational reasoning guides investor behavior based on: •
The network of commercial interests and economic compromises (as unintentional consequences price formation
actions of the market participants) and 38
Finante Personale, DAFI 2007 •
Maintenance of a stable emotional status quo, lack of internal and external contradictions (emotional consonance) that
allow the investor intellect to form and implement an investment tactic that is feasible, easy to understand, amend and manage and within the risk boundaries that are generally accepted and easy to cover or protect Behavioral finance assumes that in some circumstances markets can be informational inefficient mostly because of the influence of the distorting, non-rational influence of the psychological biases of investors. These factors deviate systematically and unproductively the financial decisions from the rational rules of behavior. The imbalance between demand and offer can be attributed to non-rationality but also depend on circumstantial and temporal effects. The stock market operates sometimes apart from the simple demand and offer mechanism; when demand for a certain stock increases with no apparent economic justification except for a market psychological momentum, the offer can decrease a a result of stockholders intention to profit in the future from the unexpected surge in the interest for the respective stock (see Transelectrica, Sept. 2006). This positive reinforcement cycle of increased demand and decreased offer was not necessarily supported by new, unexpected positive economic data about the company. One of the most important decision input is not related to rational optimization of cost/benefit ratio but to achieving and maintaing a psychological state of consonance of the decision and its practical implementation. The market players trade expectations about the future of the listed companies and the estimated value of the respective stocks. The rational expectations are form by two methods: 1.
Intellectual reasoning and evaluation, logical processing of information and available economic data (sector, specific,
market) construction of an informed opinion about the intrinsic value of the asset 2.
Estimation of psychological reasoning of other market participants behavior – since other participants decisions and
actions can have a decisive effect on own success or failure (Games Theory, J. Nash 5). In this case, formation of expectations is subjected to time pressure and omniscient uncertainty Even-driven investor perception is shaped by the autobiographic memory. The memory register records events in a highly organized and selective manner, based on their significance and relevance for the person. The outcome of the events is perceived in the light of experience and possible repercussions of an eventual decision. Information processing is performed at the semantic level (personal knowledge accumulated during lifetime) and then at emotional level (autobiographic memory and personal experiences during lifetime). Investment decisions are often constrained by time pressure, social rules and regulations, continuous change and uncertainty. Investors base their decisions on internal, intrinsic factors (return, risk, duration, and exit) and on external, market factors of anticipation of other market players’ reaction to the respective factors.
5
John Nash, Equilibrium points in n-person games" Proceedings of the National Academy of the USA, 1950, 36(1):48-49.
The equilibrium point, at which each player strategy is the best answer at counterattacking strategies followed by other players.
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Finante Personale, DAFI 2007
Monetary and financial decisions are significantly influenced by psychological factors
In a global perspective, behavioral finance integrates economic principles with psychological determination of human behavior in the investment decision context. The systematic psychological errors and biases are recurrent and predictable but this can be observed mostly ex post. It is very easy to explain why a certain person assumed a financial decision in some specific circumstances but it is extremely difficult to use the explanatory power of Behavioral Finance to predict how the respective person will react in the future to the same type of events coping the same circumstances. It is definitely not easy to identify the contributing factors for investment success, however defined. From a psychological standpoint, investors make non-rational mistakes because the human nature is more prevalent than any education, training and intellectual power. No matter how sophisticated is the financial and statistical data, the decision is eventually implemented by a human being, subjected to emotions, high hopes and fears, job security constraints, etc. If these biases and errors are recurrent and predictable, a rational investor can profit from non-rational decisions of naïve noisemakers activating in the market. The business of managing investment assets is much more complicated, competitive, rewarding and challenging than ever. Investors become increasingly sophisticated but the emotional attributes remain as simple as always, fear of losses and desire to make more money. Irrespective of the four equestrians of investment apocalypse (commissions, taxes, inflation and consumption), investors need to make more money than lose, to survive the fiercely competitive market. In the Romanian market context, the new tax regulation in force (Jan 07) is much more severe with investment holding periods less than 365 days, axing investment returns with 16%. The investors hate t o pay taxes and it is very important to adopt an asset allocation strategy that will reduce tax impact and use the fiscal benefit of longer holding periods (taxed at 1%). Investors suffer from psychological biases in their investment management process. Three major groups of biases affect both the investment advisors and their clients: 1.
The constraint of antagonistic tug of war game between the investor and investor manager (the agent)
2.
Emotional reactions and biases (special preferences, inclinations, behavioral distortions – self confidence, risk and
regret aversion, prospect theory, avarice, fear, greed, etc 3.
Cognitive errors as direct result of mismanaged expectations (optical and cognitive illusions, mental anchoring,
disposition effect, mental accounting, self attribution, etc). See additional terminology, in appendix Mental cognitive errors are frequently caused by heuristic simplifications – logical shortcuts by which decision makers use simple rules to solve complex problems. When this approach is used inappropriately for complex problems solving, investors’ biases lead to systematic mental mistakes- biases. These errors of investment performance estimation are predictable, then exploitable, by the rational decision makers. Intrinsic value of an investment reflects the discounted value of future economic benefits derived by holding the asset. The stock value is highly correlated with the expectations regarding economic performance of the issuer and the market perception about this evolution. Modification of the general 40
Finante Personale, DAFI 2007 impression and expectation about the prospects of the company, although difficult to gauge, is the source of stock price moves. In forming expectations, investors rely on their ability to gather, process and understand a mosaic of different information. This ability is subjected to error, in a systematic manner. Access to correct information can lead, however, to inappropriate decisions (wrong informed decisions vs. uninformed decisions). An inappropriate decision can lead to under or over reaction to materially relevant market information. Under (late) reaction is a direct consequence of an excess of self-confidence in the ability to process and understand new information. The individual is mentally anchored in past opinions and is mentally closed to new information that contradicts the old set of beliefs. An interesting example of mental anchoring is the price discount posting in a sales period: suggested price by the producer>retail price>sales price in this period. The gradual exemplification of the three figures, anchors mentally the prospective buyer into an opportunity for a great deal. People buy compulsively not because of apparently reduced prices but they are certain they just find an excellent deal. Our wardrobes are a good example of that! Overreaction (early) reaction is a direct consequence of mental generalization and representation. Through generalization, people tend to extrapolate existing information, sometimes base on a single observation and consider it representative for a large population of event (provisional stereotomy). By analogy, overreaction and exaggeration typology was proposed by the Prospect Theory of Daniel Kahneman. This Nobel Prize theory suggests that when the investment portfolio is in the domain of loss, the investors are becoming more interested, almost non rationally, by increased exposure to risk. The most recent event has the greatest impact on autobiographic memory. Recent losses or gains are more salient in their emotional and social impact. People tend to discount the eventual implications of low probability high negative impact events. These events, due to their apparent low probability, seem to happen less often. Their expected outcome can have, however, disastrous effects on the value of investor portfolio 6. High emotional impact events, although rare, have a major, indelible impact on the emotional registry of a person. Any subsequent decision reflects the historical record of successes and failures. The cornerstone of investment performance evaluation disregards past performance, since the correlation between past and future performance is, in general, very low. Past success attributed to professional skill can be a matter of lack rather than knack. From a practical standpoint, suboptimal investment decisions are attributed to non-rational resorts, and if this apparent non-rationality is recurrent, it can be associated with predictable cognitive errors. These systematic mistakes can create for rational investors, in time, profitable differences between value and price. For example, it is a usual behavior for the investors to be almost indifferent to buying opportunities at the incipient phase of a bull market, but they start to be interested when upside trend is almost obvious for everybody in the market. From this moment on, the buying spree of increased volumes makes a clear upward trend. Nobody wants to be just a spectator of the game; everybody wants a piece of action because of a non-rational herd instinct. From a rational standpoint, however, it should be clear that the upward trend need not to continue indefinitely. Just to compound the problem, the objects of investor affection is 6
One definition of risk – the situation when more things are happening than can happen.
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Finante Personale, DAFI 2007 represented by those stock that performed dearly in the latest period and are obvious most exposed to the eventual correction. Assembling efficient frontier Markowith envelope with Kahneman risk value preposition, it is observed that asset allocation of investment portfolio is changed significantly from profile 1 to profile 5 in the graph below. Risk appetite increases inappropriately exact at the wrong moment and for the wrong reason - when the risk bearing capacity decreases as result of increased losses.
Investor financial behavior
Although there is a low correlation between professional abilities and investment success, investors have high confidence that somehow, someday they will succeed in beating the markets, in a systematic way. Beating the index by outsmart moves, ahead of competition, finding undervalued and overvalued securities and implementing the buying and selling decision at the right timing is difficult, if not impossible, in the long sustainable way. Investors put too much weight into most recent financial experiences and ignore a longer term, larger perspective. They evaluate other players decisions as discretional and non-rational and assume their own decision to be logical and rational, and in conformity with all exiting information. Financial markets are an integrated ecosystem, where rational and informed investors try and sometime succeed in making profit on other, non-rational, less informed market players. Smart investors capitalize on emotional and informational weaknesses of the less disciplined ones. The fusion between classical investment analysis and behavioral evaluation should help investors and financial analysts for a larger, more informed perspective on the market mechanism. What your competitors do is equally important with what you do as a survivor in the fierce game of stock market.
Risk appetite increases at the wrong moment and for the wrong reason, when risk capacity is decreasing significantly because the portfolio is on the loss domain.
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Finante Personale, DAFI 2007 Classic finance analyis is, in general, reflective and reactive. Adding the behavioral finance perspective into the equation can help in understating how other market participants will react. Human behavior is, in general, reactive and not proactive, and consequently difficult to frame and predict in a narrow set of rules. Behavioral Finance can explain with relative ease why the individual took a certain decision, but find it very difficult to explain what decision will take that individual in the future. Human brain has limited capacity to process, assimilate and understand the huge volume of information and stimuli that assault us every second. The decisions and judgments we undertake daily (hundreds) are constrained by personal circumstances, time pressure, psychological and emotional factors, and are at the crossfire of a rational and non-rational influences. We often ignore a good decision for the simple fact that we are, in general, more interested by simple, reasonable and feasible solutions to our dilemmas. Our perception, especially when it comes to money, can be distorted and biased by our history, present circumstances and future expectations. Our attitudes and decisions in the financial area are a cocktail of rational and non-rational motives. We reach a certain conclusion and implement the subsequent decision based on what we know now, anchoring ourselves in information that we considered relevant, losing the larger perspective. Financial decisions are sometimes suboptimal due to our simplistic, heuristic and emotional logic. Through our human nature, we are attracted by interesting, colored and attractive information that conforms to our hardembedded beliefs and creeds. Our intuition plays a major role in our decision, but this can be detrimentally affected by our emotional logic attributes. Biased psychological and cognitive manifestations of our affect distort our ability to approach financial decisions in a systematic logic.
The PRACTICE OF PORTFOLIO MANAGEMENT A division of the portfolio into section alpha and section beta. A portfolio’s return equals the weighted average of its component: Total Return = Risk free rate + Alfa + Beta. Section beta follows an initially agreed upon selection of a portfolio, representative of a widely know, actively traded stock market index ( ex. BET with the ten most liquid shares, BET-FI, BET-C); for this section of the portfolio, the manager assumes only the systematic risk and presumably earns something close to the market return. Betas reflect class performance but number of asset classes is limited (classes: equity, fixed income, private equity, derivatives, money market, investment funds, FX, etc). Since there are a limited number of asset classes (asset allocations), their correlations tend to be high The alpha section (assets selection) of the portfolio reflects the incremental increase in the assumed risk (and implicitly potential increase in the marginal return); alpha section is less conservative that the beta section and represents the ability of the manager to earn the extra return (skill vs. luck). One of the most conservative investment styles – value investing covers dividend paying stocks with relative low P/E ratio. To measure an investment manager’s performance, alpha 43
Finante Personale, DAFI 2007 performance is most relevant. To appraise the overall performance, however, the return for the portfolio is measured against a certain benchmark or style. Some new analytical tools are the investment performance tracking error vs. the benchmark (agreed upon initially between the manager and the investor) and style adherence. These measures come together as indexing. However, investment managers should have some liberty from beta investing - that is pursuing an active, risk controlled alpha strategy. Managers should have a certain degree of freedom to manage money intelligently. One critical item in measuring performance of the manager is how to devise the incentive plan, i.e. compensation based on total assets under management or based on the long term, renewable, secular rate of return. Another opportunity to profit, within the constraints of the relatively small capital market as the Romanian one, is to make active sector bets (i.e., financials, petrol, real estate, etc). Investing fully into an index does not give manager room to bet on a certain sector that she considers attractive. Sector bet is a critical allocation decision, and asset allocation decision weights significantly in the composition of the portfolio’s total return. Another critical question to be addressed by the Romanian market player is related to the degree of efficiency of the market; an efficient market, in the most general definition, is a market that incorporates, instantly, all information available (present and future) into the current market price. If the market is efficient, what is the use of stock picking ability? Value investment style seems to be one of the most enduring investing winning strategies: portfolio’ s overall P/E should be 50 to 60% of the market P/E. The total return is equal with growth rate plus yield, and the yield provides a good marginal return, build-in into the value of the stock, since usually stocks sell on their growth rate, so a value strategy implicitly incorporates this build-in advantage (BRD, SIFs). As John B. Neff, CFA – the legendary value investor puts it: “not all low P/E stocks are attractive, some are fundamentally poor companies in poor industries, so you have to pick the best of the bunch based on your analysis…If the investment in not measuring up to your expectations a year later, you have to readdress your analysis to make sure you do not have a fundamentally deteriorating situation” (AIMR/CFA Conference proceedings, Equity Research and Valuation Techniques, 2003). Value strategy (value is in the eye of the beholder) differs from low P/E strategy (which is quantifiable and measurable). For the P/E strategy, of critical importance is the investment discipline, i.e. when you are right in your investment decision (when to buy). On the other side, a growth strategy – is more interested in the denominator of the P/E fraction, i.e. E (earnings/growth), so that the critical factor is when to sell. Investment advice: strong, financially solid construction/home builders. Buy low P/Es in decent industries. At a portfolio level, by following a conservative yet smart strategy, an investment manager could create a portfolio that may have 100% appreciation potential built it (for an investment holding period of, say, 12 months); subsequently, when an individual stock (Impact, ex) reaches two thirds of its appreciation potential, the manager should start to sell the portfolio holding; if the position is overweighed in the portfolio, a conservative approach could be a more aggressive cash in – when the position reaches, say 75% of appreciation potential, manager sells 25% of position and then sell the rest on a scale down to 35% of portfolio appreciation potential. 44
Finante Personale, DAFI 2007 In a world of uncertainty, good decisions can lead to bad outcomes and vice versa. Risk management is not equal with diversification. Worry free investing: is driven by specific investor goals by identification of minimum income levels and hedging them by investing only extra funds in risky assets v.s. the Conventional Approach: Equity percentage = 100% - investor’s age There is no necessary connection between the length of one’s time horizon and one’s tolerance for risk; people with long time horizons may be risk averse, and those with short time horizons may be risk tolerant. The least risky for long-term investors is to match risk/default-free inflation-protected bonds to their planned spending goals. Gradually increase consumption if the stock market performs well without jeopardizing the standard of living. Romanian inflation bonds are a good buy. Stocks are not safe in the long run. Using probability of a shortfall as a measure of risk is very dangerous since it ignores the potential severity of shortfall. Eliminate unacceptable downside risks first and then allocate part of the portfolio to risky assets. Focus on standard of living, not just wealth. Sustainable income is key. End of period wealth is not important.
Benjamin Graham, the father of investment analysis: Investors should stay away from growth stocks, when their
normalized P/E go above 25 [normalized = recurrent, normal, sustainable earnings]; when the product of a stock’ P/E and stock’s P/B (activ net) is less than 22.5 – it is at least a good value investment preposition; if the normalized P/E is below 15 and P/E is below 1.5 (SIFs, for example) the stock should be an attractive buy; when the price of a stock is less than 1.3 times the tangible book value, is should be a good value for the investor. The central difficulty of investing, both for retail and for professional investors is that we are all our worst enemies: we buy high and sell low and we do worst possible thing at the worst possible time because we are most certain that we are right just when we are are most likely to be wrong. Feasibility of an investment decision is critical. People do what is feasible/doable not what is theoretically sound and attractive. Of critical importance is not what investors/people ought to do to get optimal results but what they can do, what is feasible for them to do. The best investing advice is not theoretically ideal by psychologically practical. Investors need something to do; psychologists refer to this impulse as the “illusion of control”. It is why we push the elevator button several times after we have pushed it the first time – we think we can make the elevator arrive more quickly if wee keep pushing the button.
Investors should kept the margin of safety at all times and should not focus exclusively on how much money can be made but on how much money can be lost, because even the best investors are wrong 45% of all time (Benjamin Graham, The Intelligent Investor, rev.ed. updated by Jason Zweig, Investing Columnist, Money Magazine). CNNMoney on the article Is your brain wired for wealth? quotes: “Suddenly, sunning investment insights are coming from the frontier of one of the least likely fields you could imagine: neuroscience. In university and hospital laboratories around the world, researchers are 45
Finante Personale, DAFI 2007 using the latest breakthroughs in technology to trace the exact circuitry your brain uses to make the kinds of decisions you rely as investor. Neuroscience of investing helps explain one puzzle after another: why we chronically buy high and sell low, why “predictable” growth stocks sell at such high prices, why it’s so hard to understand our own tolerance for risk until we lose money, why we keep buying IPOs and “hot shares” despite all the evidence that we shouldn’t, why stocks that miss earnings forecasts by a penny can lose billions on dollars of market value in seconds. Stocks have prices and companies have values. Stock prices are based on expectations, typically forecasts of the future profitability of the company; changes in expectations cause prices to change; when people are forming expectations they use the info available and some procedure to analyse and process that information (heuristic bias!). Ex., investors buy a stock today (SIFs!) for yesterday’s dividend; investors can misprocess new information by either overreacting or underreacting to new information. MFT explains the reality of financial markets but insufficiently: many investors are reluctant to use the benefits of diversification for risk reduction; trading volume is much higher that could be explained by new information, volatility of equity prices are much higher than could be explained by theory, prices are much higher than could be justified by fundamentals
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Finante Personale, DAFI 2007
Case Study – Managing Individual Investment Portfolios
Luc Tiss is a successful executive with a major Romanian bank, listed on the Bucharest Stock Exchange. At 44, with total savings of € 250,000, she is in good health, with no family obligations, current debts, private pension scheme or home property. Her current remuneration of € 62,500 covers annual spending but does not provide any excess for investment or additional savings. Her employer has rewarded its top performing professionals with a generous stock-bonus plan, a premiere on the Romanian financial market. As a result, Luc’s incentivization program resulted on a stock market value (zero cost basis, taxable at local overall rate of 16%) of € 1,250,000. Current expected inflation rate for the Romanian economy: 4%.
Luc Tiss psychological profile is highly methodical, patient, calculated, careful and conservative, but most probably she will not be comfortable with a decline in her investment portfolio of more than 10% p.a. She will require a minimum of 3% return in real terms (current risk free rate stands at about 7%) from her asset portfolio. You are the financial advisor for Mrs. Luc Tiss and start the job with the following situational profiling: A.
Return requirement
1.
At 16% tax rate, a 8.3% gross return (at least) is required to keep Luc financial comfortable
2.
If she retires in 21 years, assuming a constant inflation rate, her portfolio must generate:
€62,500 x (1.04)21 =
€142,423 as annual, inflation adjusted post retirement income 3.
4.
Assuming that: •
the market value of Mrs. Tiss portfolio will not change until retirement
•
Luc will return 8.3% annually on her portfolio (7% nominal, after tax return)
She should accumulate on its savings € 250,000 x (1.07) 21 = € 1,035,141 for a total of € 1,250,000 + € 1,035,141 = € 2,285, 141
5.
To generate € 142,423 in each year on a € 2,285,141 portfolio, a return of approximately 6.23% is necessary
B.
Risk tolerance
•
A careful and conservative person, Luc has a below average willingness to assume investment risk; she will not easily
tolerate a decline of more than 10% in the value of her market portfolio •
Her investment portfolio requires a below average risk exposure to minimize downside risk and volatility
•
Her ability to assume risk is above average, since she is wealthy, in good personal and financial condition
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Finante Personale, DAFI 2007 C.
Unique circumstances
•
Unique circumstances and preferences of Luc are mostly related to the domination of her large holding of bank stock
•
She can maintain her lifestyle as long as her investment portfolio does not decline in value. However, a dramatic and
prolonged setback in the value of her portfolio can have negative consequences that would require a major downscaling of her lifestyle or generation of additional spending capital from alternate sources of income •
For exemplification, a worst-case scenario might be characterized by a 50% drop in the market value of the bank’s stock
and a subsequent sale of the stock, with the proceeds subject to the 16% tax rate. The net proceeds from such a sale would be € 1,250,000 x 0.5 x (1 – 0.16) = € 525,000. When added to the savings portfolio of € 250,000, Luc’s total portfolio value would be € 775,000. Difficult enough, for this portfolio to generate € 142,423 in income, a 18.3% return would be required.
Synopsis
As investment advisor for Mrs. Luc, you have to design and propose an investment policy focused on obtaining a minimum 3% real, after tax return, from a balanced mix of high quality, low or below average risk portfolio of assets. Of decisive significance is what can happen to the value of the bank stock, so probably a well-defined exit strategy must be developed as soon as is practical and appropriate to avoid low probable yet highly possible worst case scenario. As investment advisor, you are required to propose a rigorous asset allocation guide for Mrs. Tiss. One major constrain to be addressed is her concern regarding the desired maximum 10% negative return. The so-called ”safety-first” rules were developed by Elton, Gruber, Brown and Goetzmann (2003) and DeFusco et al. (2004) and elegantly presented in ”Managing Individual Investor Portfolio” (James Bronson, CFA; Matthew Scanlan, CFA; Jan Squires, CFA). Safety-first rules provide some guides to approximate and control downside risk: If: •
The portfolio has a dominant equity component
•
The portfolio does not make significant use of futures or options
•
The portfolio investment horizon for the shortfall risk concern is not short term
Then: The normal distribution may reasonably be used as an approximate of portfolio returns. You, as the investment advisor to Mrs. Luc, are responsible for establishing a return and risk objective and personal constrains considerations for your client. Your next assignment will include a statement of the client’s strategic asset allocation – the percentage distribution of the portfolio among existing investable asset classes. Empirical studies support the argumentation that asset allocation decision has the most impact on the overall return of the portfolio than security selection. The investment portfolio must be created from Luc’s existing savings.
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Finante Personale, DAFI 2007 Your assignment is to provide an articulated justification for choosing the most appropriate asset allocation you would recommend to Luc, among the five presented:
Asset class Total return CASH 3.50% BONDS CORPORATE 6.00% BONDS MUNICIPALS 7.00% BVB LARGE CAPS 13.00% RASDAQ SMALL CAPS 16.00% M. FUND INT'L STOCKS 15.00% REAL ESTATE P’SHIPS 7.00% VENTURE PARTNERSHIPS 20.00% TOTAL Expected total return Expected after tax total return Expected standard deviation Sharpe ratio return to standard deviation
standard deviation 2.50% 11.00% 10.80% 17.00% 21.00% 21.00% 15.00% 64.00%
A 10% 0% 40% 20% 10% 10% 10% 0% 100% 9.55% 8.02% 9.40% 0.853
asset allocation B C D 20% 25% 5% 25% 0% 0% 0% 30% 0% 15% 35% 25% 10% 0% 15% 10% 0% 15% 10% 10% 25% 10% 0% 15% 100% 100% 100% 9.95% 8.23% 12.83% 8.36% 6.91% 10.77% 12.45% 8.50% 18.10% 0.671 0.813 0.595
E 10% 0% 30% 5% 5% 10% 35% 5% 100% 8.85% 7.43% 10.10% 0.736
In solving the case and presenting a comprehensive financial advice to Luc, select the most interesting option among several strategic asset allocation, using the following structure: 1. Determination of the asset allocation that most probably satisfy the investor’s expected return requirement, with adjustment for the effect of taxes and inflation 2. Elimination of asset allocations that do not meet the threshold, in terms of quantitative risk objectives i.e., that are incongruent with the investor risk attitude 3. Definitely, from a psychological perspective, the investor will not be able to accommodate an asset allocation strategy that will violate her risk objective: e.g., no more than 10% downside in any given year 4. Qualification of investor’s unique and specific financial and personal circumstances must account for liquidity requirement that has to be appropriately met by holding a certain level of cash equivalent. The respective asset allocation must satisfy that constraint. Specific circumstances can make certain allocation completely unacceptable. 5. Evaluation of expected risk – adjusted performance of the implied diversification benefits by the asset allocations that meet the above criteria 6. Selection of the asset allocation that is expected to be the most favorable to the investor.
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Finante Personale, DAFI 2007
2. INVESTMENT ANALYSIS 2.1. COMPA NY A A NALYSIS COMPANY’S STATUS AND DESCRIPTION OF THE BUSINESS I. THE COMPANY:
How to value a company and its success: Strengths/Weaknesses, Value Chain and Resources, Cor e Com petencies and Sustaina ble Co m pet it ive Advant age
! Company’s energy and value platform (customer satisfaction, innovation DNA delivered) ! The Customers of your Customers. Sell P&S that help your customer do the same ! How big is the market? (in which the company operates). Market growth vs. company growth ! What is proprietary? (competitive/sustainable advantage) ! An intellectual capital company or an opportunistic one? A learning company? An adaptive, knowledge-based, thought-leader organization?
! What is the Business Model (how it makes €)? A renewable business model? Renewable, sustainable revenues?
! Who’s managing the show? Who really wants the company to succeed, and who does not? ! Management: Emotional Literacy / Behavioral Management / Passion / Entrepreneurial Instinct Value-Added Mentality / Business and Investment IQ
! Strong Balance Sheet and Renewable Profit. Financial fitness and staying power in difficult times
! SOFT ASSETS: Employee turnover; education level; training quality; innovative capacity; strategy for specific market goals
! An ambidextrous company, with ST execution excellence and LT vision? ! Service design and service innovation II. THE BUSINESS. ESSENTIAL ELEMENTS a) Company legal status and form; owners’ identity and percentages b) Reputation in the market place c) Operations - effective and efficient. Adequate production facilities. Leased or owned? d) Production 50
Finante Personale, DAFI 2007
1.
Capacity and curent production levels
2.
Input materials (cost and availability)
3.
Status of equipment (by products/ production line)
4.
Process/product technology (re: int’l standards). Product/service substitutes
5.
Location and physical plant. Environmental and safety. EU standards
6.
General production costs
7.
Product quality. ISO qualification
8.
Process/product development. R&D. Stages in the life cycle of the firm, products/services and industry
9.
Maintenance programs. Utility requirements. Transportation
e) Technology and technical endowment - level, type, cost, obsolescence, needs, proprietary f) Capital deepening: better equipment increases productivity g) Administration - effective and efficient. Management controls and procedures h) Accounting & Control - Accurate, timely, useful and prudent. Management information and control systems in place? i) Regulation & Licenses - Who regulates the company and how? j) Sales and marketing
1.
Major market segments (domestic and international) 1.1 Market structure, size, growth, and stability 1.2 Major clients. Breakdown. Concentration 1.3 Major competitors. Trends 1.4 SWOT (strengths, weaknesses, opportunities and threats) 1.5 Critical success factors 1.6 Matching / Mismatching of People, Premises and Processes 1.7
Premium factors on company’s market share; people employed, unique products and services. The „Franchise”
2. Commercial activities 2.1
Marketing and sales. Distribution. Advertising. Budgeting
2.2
New client development. Marketing strategy. Brand name
2.3
Pricing and sales terms. Trade financing. Customer post selling service
III. THE COMPETITION: MARKET & INDUSTRY ANALYSIS (If they do it to you, they do it also to your competition) a) Market Opportunity - the specific opportunity that the company exploits profitably. Market structure, size, growth potential, and stability. Government policies and economic environment. Relevant trends b) Products/Services. “Franchise”. Proprietary or commodity? Substitutes. Quality reputation of the company’s products and services c) Industry & Competition – dynamics, trends, growth, positions, strategies, shares 51
Finante Personale, DAFI 2007
d) Competitive Advantages & Barriers. Stage in the life cycle of the firm, products / services and the industry e) Suppliers - who, how many, how much? Relationships. Concentration. Alternatives f) Distributors – proper channels. Advertising. Budgeting g) Marketing strategy. How does the company compete? Price, terms of sale, product differentiation or focus. Brand name, special capabilities, cost savings potential h) Customers. How many? Concentration. Percentages of total sales. Good relationships. Dominant customer group. Can more/other customer relationships be developed? i) Import/ Export. Domestic demand and foreign demand. FX and interest exposure
IV. THE MANAGEMENT AND THE ORGANIZATION / KEY PERSONNEL “A’s hire A’s and B’s hire C’s” a) Review of company’s organization
1.
Legal status. Ownership structure
2.
Top management – owners? Background. Succession plan. Team tenure
3.
Other key personnel - skills, experience, incentives. Employment contracts
4.
Reputation in the market place
5.
Corpocracy, “managementocracy”, meritocracy ?
b) Departmental strengths and weakness c) Labor. Team tenure. Contracts. Qualifications, compensation. Turnover, Conflicts of interest. Self and related-party dealing d) Crisis management
V. THE BUSINESS PROCESS AND THE BUSINESS PLAN a) Business Strategy & Plan - detailed plan of action. Marketing plan b) Key Success Factors - What does it take to compete successfully in company’s industry?
VI. THE FINANCIAL STANDING a) Historical and curent financial condition. Prospects b) Geographical source of revenues. Client location c) Multiple revenue streams. Persistent vs. transitory earnings d) Average size and age of a contract e) Sales and margin trends. Sales growth. Net income. Dividend policy. Budgeting
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Finante Personale, DAFI 2007
1. % R&D / Sales; Mkt Capitalization / Sales; % of Inventory / Sales 2. % of Sales to existing customers vs % of Sales to new customers 3. Profitability / Customer; COGS / Customer 4. How profitable each customer is? f) Major sources of financing. Which banks are used? Collateral pledged. Contingencies? g) Inflation Effects - Can the company respond well to inflationary stresses, maintain margins, raise prices, generate FX, and hold down input prices? h) Growth & Financing - Long-term growth is achievable/bankable? Internal/organic vs. external/acquisition growth i) Taxation - Any incentives or past dues. j) Audited financial statements and IAS familiarity k) Cash flows; operating, financing and nonrecurring
VII. THE RISK IDENTIFICATION AND ASSESSMENT “The best way to make money is not to lose money”
Risk analysis is important because the returns required by potential investors are largely determined by the perceived risk a) Growth Risk – fundamental risk of not being able to execute growth b) Industry Risk - the specific risk associated with the industry in which the firm operates c) Political and regulatory Risk - the risk related to adverse government regulation d) Marketplace Risk - the risk related to changes in the market for products or services e) Inflation Risk - the risk created by uncertainty regarding inflation levels f) Foreign Exchange Risk - the risk associated with doing business in other currencies g) Interest Rate Risk - the specific risk of changing interest rates affecting the business h) Concentration Risk – the risk related to competition, customers and suppliers power i) Liquidity Risk - the risk associated with firm's ability to raise operational cash j) Technological Risk - the risk of product or equipment obsolescence in a rapidly-changing industry
VIII. THE ENTERPRISE POTENTIAL An ambidextrous company has both the short-term execution skill and the long-term vision I)
SHORT TERM PROSPECTS a) Sales growth. Earnings growth vs. revenue growth b) Pricing. Variable cost reduction. Fixed costs reduction
II)
MEDIUM TERM/LONG TERM PROSPECTS a) Three year plan for the company. The Business plan b) Core strengths and key assets. Non-viable business and non-essential activities 53
Finante Personale, DAFI 2007
c) Basis for improving competitive performance (by product and service) d) Opportunity for merger/spin-off e) Input materials (cost and availability) f) Status of equipment (by products/production line) g) Process/product technology/quality (re: int’l standards) h) Location and physical plant. Environmental and safety i) Process/product development. R&D
2.2. COMPANY, S STOCK AND IINVESTMENT VALUATION The valuation process: • Understanding the business process • Forecasting how the business process will perform, forecasting company performance • Selecting the most appropriate set of valuation models • Making (fundamental, technical/timing, behavioral) the investment decision A. MODELE DE ACTUALIZARE A DIVIDENDELOR / PROFITURILOR; DIVIDEND / PROFIT DISCOUNT MODELS
For the single holding period, the dividend discount model holds that the price of a stock should equal the present value of all future, discounted at a discount rate commensurate with the risk of the stock: E (D1) + E (P1) V0 = 1 + k V0 intrinsic value, or the investor’s own estimate of what the stock is really wor E (D) expected dividend per share E (P) expected price at the end of holding period g reinvestment rate * return on equity k market rate for the holding period Specific example (Bodie, Investments) Cost of capital / required rate of return: k = 3 % + 1.2( 7.75 % ) = 12.3 % Dividend forecasts: 2008: $ 0.54; 2009: $ 0.66; 2010: $ 0.78; 2011: $ 0.90;E (ROE)=14%; Reinvestment rate = 82 %; Growth rate: g = 14 % x 0.82 = 11.5 % (g= ROE x Reinvestment rate)
D2007 (1 + g ) $0.54 $0.66 $0.78 $0.90 + + + = $2.11 ; P2007 = ; 2 3 4 k-g 1.123 (1.123) (1.123) (1.123) P2007 $125.44 P2007 = = = $78.87 ; (1.123)4 (1.123)4 Estimated intrinsic value: V2007 = P2007 + PV of Div
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2007 -2011 =
P2007 =
$0.90(1.115) = $125.44 ; 0.123 - 0.115
$78.87 + $2.11 = $80.98
Finante Personale, DAFI 2007
B.RATIO BASED VALUATION
1. Dividend Yield (Dividend / Price) Positives: − A high dividend relative to price provides the investor with a high curent return −
High yield stocks are often less volatile while providing a good total return
−
Returns are more certain when a large portion of the present value is received in the early years
−
Dividend yield is most attractive to risk averse investors
−
High yield issues have very low growth expectations (SIFs!)
Negatives: − Investors usually use past dividends, not estimated dividends −
It is not appropriate for issues that do not pay dividends
Dividend yield is negatively related to the expected rate of growth in dividends an positively related to the stock’s required rate of return:
D0 / P0 = (k – g)/(1 +g), cu D1 = D0(1 +g), si P0 = D1/((k – g) 2. Earnings Ratio (P/E) •
• •
•
Price per share is divided by earnings per share. Analysts use either a forecast of earnings, or the most recent past results. Media publishes these multiples using the most recent reports of earnings. P/Es based on forecasts are preferable since they incorporate expectations The analysis of /PE focuses on the growth prospects and stability of firms Generally speaking, that means investors are willing to pay a higher price per unit of curent earnings when they expect the earnings stream to grow rapidly and consistently A low P/E in relation with higher growth estimates may attract investors in the stock selection process
Positive: − Using estimated earnings introduces a manageable amount of forecasting Negatives: − P/E is not a good indicator for highly cyclical earnings. These issues are usually most attractive when their earnings are very depressed and their P/Es are high −
When these companies are very profitable, the issues are not as attractive since they are more likely to disappoint./The market does not pay high prices for peak cyclical earnings
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2.1.a. Example: SIF 6, Calculation of P/E and P/E comparisons:
Revenues EPS DPS
2007 €0.714 €0.214
2008 €0.952 €0.286
2007 Required rate of return Growth rate P/E
SIF 6 14% 10%
industry 10% 6% 8
a. Assuming a stable growth rate for the SIF and for its respective industry, P/E = [payout ratio* (1+g)]/(k-g) • •
P/E on trailing earnings is P/E computed based on curent year earnings, 2006 P/E on estimated earnings is P/E computed based on next year earnings, 2007
Payout is constant: 0.214/0.714 = 0.286/0.952 = 0.3 • •
(Trailing P/E) = P 0/E0 = [(D0/E0)*(1+g)]/(k-g) = 0.3*(1+0.10)/(0.14-0.10) = 8.25 (Estimated P/E) = P 0/E1= D1/E1/(k-g)=0.3/(0.14-0.10) = 7.5
b. Influence of the fundamental determinants to P/E; risk, growth, market risk premium - If the risk of investment in SIF increases substantially: since P/E is a decreasing function of risk, as SIF risk increases, the SIF’s P/E decreases - If the estimated growth rate for EPS and DPS increases: since P/E is an increasing relation to estimated constant growth of the SIF, the higher the expected growth, the higher SIF’s P/E - If the Romanian market risk increases: P/E is a decreasing function of market risk premium (k market); an increase in the Romanian market risk premium would increase the required rate of return for all investments played in the market-including the respective SIF, lowering the price of the SIF relative to its earnings; higher market risk premium lowers SIF 6’s P/E What is your estimate of the curent Romanian market risk premium? What is your estimate of the curent required rate of return/discount rate?
2.1.b. Example: SIF 6, Calculation of historical P/E and P/E comparisons: • •
The relative valuation (horizontal valuation): comparison of a stock with other from similar industry, capital structure, etc The time series valuation/own relative valuation (vertical valuation): past value of the stock’s P/E s as basis for comparison:
The basic assumption: the stock’s P/E may regress to historical (mean, median, average, industry specific, sustainable, benchmark) average level („ The Mean Reverting Theory”) Estimated price of the stock: Benchmark value of historical P/Es * Estimated earnings Example: If SIF 6 has an estimated year end EPS of € 0.355 (ROL 13,135): Mean P/E 10,5
2003 8
2004 11,1
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2005 12,8
2006 11,1
2007 9,7
Finante Personale, DAFI 2007
Observation: Estimated price, for the year end period is: P end 2007 = 10.5 * 0.355 = €3.72, with the observations that normalized earnings (free of economic cycle fluctuations i.e. mid cycle earnings) can be used to eliminate some of the exogenous influences that are not under company’s control but influence its industry in approximate way; additionally, changes in interest rates and other economic fundamentals limit the relevance of using average, past P/Es. In the Romanian economy situation, reported earnings overstate – most of the time, the real economic value of the profits (that are the most meaningful to investor) •
Past P/Es yields an estimation whether the stock is curently and relatively under/fairly/over valued in relation to a benchmark value of the multiple (“ The Law of One Price” )
•
PEG ratio = (P/E) / expected earnings growth (P/E per unit of growth); minuses: PEG assumes a linear relation between P/E and growth, and does not account for differences in duration of growth and risk
•
For DCF valuation, P/E is useful in determination of terminal values: Vterminal = Benchmark value of P/E * E terminal
C. OTHER VALUATION MEASURES
!
The essential analyst ratios •
Price / Expected Earnings (P/E); Price per Book Value (P/BV)
•
P/EBITDA; EBITDA = Operating income – COGS; Price per EBIT (P/EBIT); EBIT = EBITDA – D/A
•
ROE, ROA, Net Profit Margin. Liquidity ratios. Profitability ratios
•
EV (enterprise value); EVA (ec. value-added); MVA (market valueadded); CFROI (cash flow return on investment); VAR (value at risk)
! The essential market ratios: Market share; Total number of share; Market capitalization; Free float; Sales growth; EPS growth; Nominal value; average price, closing price, number and volume of transactions, dividends date, 52 week low, high average, etc ENTERPRISE VALUE= MKT. VALUE of EQUITY + MKT. VALUE of DEBT – CASH & INVESTMENTS* *Cash and investments = non earning assets
ENTERPRISE VALUE TO EBITDA •
•
•
An indicator of the total company value, more useful than P/E (accounts for financial leverage, depreciation, interest), appropriate for valuation of capital intensive business; useful also when EPS is negative (EBITDA is frequently positive) Minuses: when working capital increases, EBITDA overestimates CFO and does not account for revenue recognition policy of the company All else equal, a lower EV/EBITDA (the cash flow multiple) relative to comparables indicate a relatively undervalued company 57
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2.2. Example: Relative valuation of two companies, based on EBITDA
Calculation of P/EBITDA, EV/EBITDA and relative valuation for SIF A and SIF B (€ mil): EBITDA = NICO + Interest expense + Taxes + Depreciation Enterprise Value = Mkt. Value Equity + Mkt. Value Debt – Cash & Investments SIF A:
EBITDA/share: (49.5 +3 + 2 +8)/5 = 62.5/5 = €12.5 P/EBITDA = 1.5/12.5 = 0.12 Market value of equity = 1.5 *5 = € 7.5 Market value of debt = € 5 Total market value = 7.5 + 5 = €12.5 EV = 12.5 –5 = €7.5 million; EV/EBITDA = 0.6 Price per share Number of share Market value of debt Cash and investments Net income Net income from continuing op. (normalized) Interest expense Depreciation Taxes
SIF B:
SIF A 1.5 5 5 5 49.5 49.5 3 8 2
SIF B 1 2 1.8 2 12 8 5 4 3
EBITDA: (8 + 5 + 3 + 4)/2 = 20 /2 = €2 P/EBITDA = 1/2 = 0.5 Market value of equity = 1 *2 = €2 Market value of debt = € 1.8 Total market value = 2 + 1.8 = € 3.8 EV = 3.8 – 2 = €1.8 million; EB/EBITDA = 0.9
2.3.INVESTMENT V VALUATION A APPLICATIONS 1. Constant growth valuation example SIF6: k = 15% (nominal terms), gstable =5%, Pcurent= ROL 3,150, Dcurent = ROL 400 D1 = D 0 (1+g) = 400 * (1+0.05) = Rol 420; V 0 = D0 (1+g)/(k-g) = 400*1.05/(0.15-0.05) = RON 4,200 > RON 3,150, buy?! 2. Sensitivity analysis Example 1 with variation on inputs; value estimate is very sensitive to rather small changes in input (assumed growth rate and required rate of return); the model is not applicable to non-dividend paying or to unstable-growth stocks
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k
g
3%
4%
5%
6%
9%
10%
5,886
6,933
8,400
10,600
43,600
12%
4,578
5,200
6,000
7,067
14,533
15%
3,433
3,782
4,200
4,711
7,267
17%
2,943
3,200
3,500
3,855
5,450
20%
2,424
2,600
2,800
3,029
3,964
3. Forecasting Sales: $ 100 million (y1); g2=20%; g3=15%; g4, g5 = 10% (long term, sustainable). EBIT as % of S: 20% (y1, y2); 18% (y3); 16% (y4, y5) Interest expense: 10% of total debt. Income tax: 40%. Dividend yield: 20% (y1, y2); 30% (y3, y4); 50% (y5). Assets: 80% of sales, each year. Debt (y1): $ 40 mil. Equity (y1): $ 40 mil. Shares: 4 mil; K = 15%; P/E (y5) = 10
Year 1
Year 2
Year 3
Year 4
Year 5
Income statement Sales $100.00 $120.00 $138.00 $151.80 $166.98 EBIT $20.00 $24.00 $24.84 $24.29 $26.72 Interest $4.00 $4.83 $5.35 $5.64 $6.18 EBT $16.00 $19.17 $19.49 $18.65 $20.54 Taxes $6.40 $7.67 $7.80 $7.46 $8.22 Net income $9.60 $11.50 $11.69 $11.19 $12.32 Dividends $1.92 $2.30 $3.51 $4.48 $6.16 DPS $0.480 $0.575 $0.877 $1.120 $1.540 PV of DPS $ 2.834 NI/share (y5) = $12.32/4=$ 3.08/share; if P/E (y5) =10, then P/share (y5)=$30.8, then P/share (today, no dividends)= $ 15.313; P/share (today +PV DPS) = $ 2.834 + $ 15.313 = $18.147 Balance sheet Total assets $80.00 $96.00 $110.40 $121.44 $133.58 Total debt $40.00 $48.32 $53.20 $56.38 $61.81 Equity $40.00 $47.68 $56.88 $65.06 $71.77 4. APT with five macro factors For a risk free rate of 3% and inflation expectation of 12%, the estimated factor sensitivities to five macroeconomic factors (APT) and the respective market risk premiums to each of the factors, compute the required rate of return for the company ABC: Factor Sensitivity Risk Premium (%) Confidence risk / riscul de incredere 0.25 2.59 Time horizon risk / riscul de orizont de timp 0.30 -0.66 Inflation risk/ riscul de inflatie -0.45 -4.32 Business-cycle risk / riscul ciclului economic 1.60 1.49 Market-timing risk / riscul de temporizare 0.80 3.61 E(R)= R f + (F1*RP1) + (F2*RP2)+………= 15% + (0.25*2.59) + (0.30*-0.66)+(-0.45*4.32)+(1.60*1.49)+(0.80*3.61) = 22.68%
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5. Sustainable growth vs. actual growth Company A: Revenues: $ 5,000 mil; Net income: $ 500: EPS: $2; Assets: $ 3,000; Equity: 2,200; Dividend/share = $0.5 What growth strategies are available to the company, if the actual growth rate is 10%? Assume the company maintains the curent capital structure and stable dividend policy.
ROE = (Net Income/Revenues) * (Revenues/Assets) * (Assets/Equity) = (500/5,000) * (5,000/3,000) * (3,000/2,200) = 22.7% Sustainable growth: ROE * Retention rate = ROE * (1 – payout rate) = ROE * (1 – 0.5/2) = 17% Since the sustainable growth rate exceeds the actual growth rate then: for a temporary situation, management can wait opportunities for future capital projects/implicit growth; for a longer-term preposition, the management can either increase the dividend (payout) or buy back shares. 6. Industry P/E For the Romanian investment funds industry, the following data are available: R f =6%; Industry beta: 1.2, Industry ROE: 25%; Industry payout ratio: 60%; Market required rate of return: 11%. What is the industry P/E?
Required rate of return for the industry: r = R f + ! (R m-Rf ) = 6% + 1.2 (11% - 6%) = 12% Industry sustainable growth rate: g = ROE * retention rate = ROE * (1- payout ratio) = 25% * (1 – 60%) = 10% P0 = D1/(k-g) P0/E1 = (D1/E1) / (k-g) = payout / (k-g) = 60% / (12% - 10%) = 30 7. Country P/E Fundamental factors / factori fundamentali Real GDP growth/ cresterea reala a PIB Tbills rate / dobanda titluri stat, T/S Equity risk premium / prima de risc a pietii
Romania 2006 5% 10% 5%
Romania 2007 2% 6% 4%
Considering each fundamental factor in isolation (all else equal), what is the effect of the factors on country P/Es? - Higher expected 2006 GDP growth implies higher earnings growth in 2006, a higher P/E in 2006 - Lower Tbills rate for 2007, implies a lower R f , a higher P/E for 2006 - Lower equity risk premium for 2007, implies a lower required rate of return and higher P/E for 2007
8. Strategic ratios
Curent ratio Quick ratio Inventory turnover Days sales Asset turnover % Times interest Net profit margin %
Industry A 1.5 1.4 120 2 240 1 -10
Industry B 1.2 1.05 50 750 92 20 7
Industry C 2.4 0.75 20 15 120 3.2 3
Industry D 1.6 0.8 4 90 40 4.5 12
a. Attach the relevant letter (A to D) to each industry Answer:
Trade: C; Internet provider: A; Pharmaceuticals producer: D; Leasing: B 60
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b. Suggest another relevant ratio, specific for each industry at question a Debt coverage = CF from operations / Total debt Answer: Trade: Internet provider: Service usage = Number of hits / Day; Sales / customer Pharma producer: R&D intensity = R&D expense / Sales Leasing: Default ratio = No of bad debts / New contracts concluded c. Company ABC is a trader. Company and industry ratios are:
Curent ratio Quick ratio Inventory turnover Days sales Asset turnover % Times interest Net profit margin %
ABC 1.8 1.07 35 25 170 2.2 4.2
Trade Industry 2.4 1.2 20 15 140 3.5 2.5
c1. Please briefly comment on the main strong points of ABC ABC has a very quick rotation of its inventory and gets higher profit margin, by offering its customers better credit terms on sales. Therefore, it has to finance the activity extensively through ST credit. Overall, the policy pays off, as the company has much higher a profit margin than the industry. Those particularities give to ABC a mixed position: better on some ratios, and poorer on other. Strong points: Rolling inventory quicker – perhaps due to better trade conditions offered to customers Very good use of assets – optimization procedures probably in place Very good profitability – certainly due to higher margins Answer:
c2. Using the data above, please briefly comment on the main weak points of ABC Answer: Weak points: Higher ST credit needed to push sales to clients; The ability of the company to repay debts should be questioned; Pushing sales may reduce the quality of receivables
9. FREE CASH FLOW VALUATION Additional sources: (1) Analysis of Equity Investments: Valuation, AIMR 2002 and (2) I. Stancu, Finante, ed. III, Ed. Economica, 2002; (2) employs, for the determination of a company’s financial value (yield value), the weighted average cost of capital before tax (WACCBT) and respectively CFF (CF disponibil ) and FCFE (CFA – cash flow al actionarilor ) before tax. The examples that follow, use WACCAT – weighted average cost of capital, after tax. The two models should yield similar results.
Free cash flow to the firm (FCFF): cash flows available to all the investors (creditors and shareholders), after all operating and investment expenses have been made: a) (FCFF) Free cash flow to the firm = Net income + Dep. + Interest exp.* (1 – Tax rate) – Invest. in working capital – Invest. in fixed capital b) (FCFF) Free cash flow to the firm = Cash flow from operations + Interest expense * (1 – Tax rate) – Investment in fixed capital c) FCFF = CFO + Interest exp.* (1 – Tax rate) – Invest in Fixed Capital 61
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Free cash flow to equity (FCFE): cash flow available to shareholders: a) (FCFE) Free cash flow to equity = Free cash flow to the firm - Interest Expense * (1 – Tax rate) + Net Borrowing (new debt-repaid debt) b) FCFE = FCFF – Int. exp.* (1 – Tax rate) + Net borrowing = NI + Dep. – Invest. in Working Cap. – Invest in Fixed Cap. + Net borrowing c) FCFE = CFO – Invest in Fixed Capital + Net borrowing • • •
Int. expense * (1 – Tax rate) = interest expense net of tax savings, available to creditors Investment in Working Capital = fluxuri de investitii in imobilizari Investment in Fixed Capital = fluxuri de active circulante, nete de datoriile din exploatare •
The value of the firm equals future FCFFs, discounted at WACC: FCFF1
FCFF0 (1 + g)
WACC – g
WACC – g
Firm value = ————— = ——————; for constant growth in FCFF MV(Debt)
MV(Equity) WACC = ————————— r d (1 – Tax rate) + ————————— r MV (Debt) + MV (Equity) MV (Debt) + MV (Equity
•
The value of equity is the value of the firm minus the value of the firm’s debt:
Equity value = Firm value – Market value of debt Dividing the total value of equity by # of outstanding shares gives the value per share •
The value of equity can be found by discounting FCFE at the required return on equity ( r ): FCFEt
"
Equity value = # ———— t =1
•
(1 + r)t
The value of equity if FCFE is growing at a constant rate is: FCFE1
FCFE0 (1 + g)
Equity value = ——— = —————— r–g
r–g
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Free cash flow valuation, example 1
a) Calculating FCFF from Net Income: FCFF = Net income + Dep. + Interest exp.* (1 – Tax rate) – Invest. in working capital- Invest. in fixed capital Soiza SA, distribution co. initial funding (D: 224, E: 336) was invested in FA: 500, CA: 60; 450 of TA are evenly depreciable in 10yrs.
INCOME
(EBITDA) Depreciation Operating income Interest expense Income before taxes Income taxes (at 30%) Net income BALANCE Cash €0.00 Accounts receivable 0.00 Inventory 60.00 Curent assets 60.00 Fixed assets 500.00 - Acc.Depreciation 0.00 Total assets €560.00 Account payable €0.00 Curent long-term debt 0.00 Curent liabilities 0.00 Long-term debt 224.00 Common stock 336.00 Retained earnings 0.00 Total L & E €560.00 2004
2007 €242.00 54.45 187.55 18.97 168.58 50.58 €118.00
€108.92 €228.74 100.00 110.00 66.00 72.60 274.92 411.34 500.00 550.00 45.00 94.50 €729.92 €866.84 €50.00 €55.00 0.00 0.00 50.00 55.00 246.40 271.04 336.00 336.00 97.52 204.80 €729.92 €866.84
€360.54 121.00 79.86 561.40 605.00 148.95 €1,017.45 €60.50 0.00 60.50 298.14 336.00 322.80 €1,017.45
2007 CA - Cash €0.00 €100.00 €110.00 €121.00 60.00 66.00 72.60 79.86 60.00 166.00 182.60 200.86
Net Working Capital
Accounts receivable Inventory Total curent assets excluding cash
2005
2005 2006 $200.00 $220.00 45.00 49.50 155.00 170.50 15.68 17.25 139.32 153.25 41.80 45.97 €97.52 €107.28
2006
CL – ST Debt 0.00 50.00 55.00 60.50 €60.00 €116.00 €127.60 €140.36 €56.00 €11.60 €12.76
Accounts payable Working capital Increase in working capital
FREE CASH FLOW to shareholders ( CF DISPONIBIL ACTIONARILOR) 2005 2006 2007 Net income €97.52 €107.28 €118.00 + Depreciation and amortization 45.00 49.50 54.45 + Int. expense x (1 – Tax rate) 10.98 12.08 13.28 - Investment in fixed capital 0.00 (50.00) (55.00) - Investment (increase) in Working C (56.00) (11.60) (12.76) Free cash flow to the firm €97.50 €107.26 €117.97
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Free cash flow valuation, example 2 b). Calculating FCFF from CFO: FCFF = CFO + Interest expense * (1 – Tax rate) – Inv. in fix capital c). Calculating FCFE from FCFF: FCFE = FCFF – Int. (1 – Tax rate) + Net borrowing = FCFE = CFO – FCInv + Net borrowing 2005 2006 2007 Cash flow from operations Net income €97.52 €107.28 €118.00 Plus: Depreciation 45.00 49.50 54.45 Increase in accounts receivable (100.00) (10.00) (11.00) Increase in inventory (6.00) (6.60) (7.26) Increase in accounts payable 50.00 5.00 5.50 86.52 145.18 159.69 Cash flow from operations Cash flow from investing activities Purchases of PP&E 0.00 (50.00) (55.00) Cash flow from financing activities Borrowing (repayment) 22.40 24.64 27.10 Total cash flow 108.92 119.82 131.80 Beginning cash 0.00 108.92 228.74 Ending cash €108.92 €228.74 €360.54 Cash paid for interest (€15.68) (€17.25) (€18.97) Cash paid for taxes (41.80) (45.98) (€50.57)
Cash flow from operations + Interest expense x (1 – Tax rate) – Investment in fixed capital Free cash flow to the firm
2005 86.52 10.98 0.00 97.50
2006 145.18 12.08 (50.00) 107.26
2007 159.69 13.28 (55.00) 117.97
Less: Interest paid x (1 – Tax rate) Plus: New debt borrowing Less: Debt repayment Free cash flow to equity
(10.98) 22.40 0 108.92
(12.08) 24.64 0 119.82
(13.28) 27.10 0 131.79
CAGR FCFF = CAGR FCFE = 5%; (Compounded estimated anual growth in FCFE and FCFF) Interest: 15.68, Debt: 224, Equity: 336, k Equity = 12%; tax: 30%, then WACCAT=0.4*0.07*(10.3)+0.6*0.12=9% • Firm = 97.5 (1+5%) / (9%–5%) =2, 559; E = F – D = 2,559 – 224 = 2,335 • Equity = 108,92 (1+5%)/(12% –5%) = 1,634 Free cash flow valuation, example 3
The RRC company (million Euro): NI: € 250; D: € 90; CAPEX: € 170; increase in working capital: € 40.Company finances 40 % of the increase in net fixed assets (CAPEX - D) and 40 % of the increase in working capital with debt financing, @ interest expenses of € 150; market value of RRC’s debt: € 1,800. FCFF sustainable compounded anual growth: 6%; FCFE growth: 7 %; tax: 30 %; capital structure: 40 % debt. The before tax cost of debt is 9 percent and the before-tax cost of equity is 13 percent. The company has € 10 ml shares. 1. using the FCFF valuation approach, estimate the total value of the firm, the total market value of equity, and the value per share 2. using the FCFE valuation approach, estimate the total market value of equity and the value per share 64
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1. FCFF = NI + D + Int. (1–Tax )–FCInv–WCInv = 250 + 90 + 150 (1 – 0.30) – 170 – 40 = € 235 WACCBT = 9%(1 – 0.30) (0.40) + 13%(0.60) = 10.32% FCFF1
FCFF0 (1 + g)
Firm value = ————— = —————— = WACC – g
WACC – g
235(1.06)
—————
=
5,766.20
0.1032 – 0.06
Equity = 5,766.20 – 1,800 = 3,966; Vo = 3,966.20 / 10 million = 396.62 per share 2. FCFE = NI + D – FCInv – WCInv + Net borrowing = 250 + 90 – 170 – 40 + 0.40 borrowed (170CAPEX – 90Depreciation + 40Increase in Working C ) = €178 Company borrows 40 % of the increase in net CAPEX (170 - 90) and the working capital (40), net borrowing is 48; equity is the FCFE discounted at the required rate of return of equity: FCFE1
FCFE0 (1 + g)
178(1.07)
Equity value = ————— = —————— = ———— = 3,174.33 r–g
r–g
0.13 – 0.07
The value per share: V o = 3,174.33 ml / 10 ml = 317.43 per share
CASE STUDY Valuation by multiples This valuation example is based on multiples of revenues. A multiple scenario table is presented: Example 1 (a medical equipment company) Expected
Optimistic
Pessimistic
55 %
10%
35%
Revenue in year 5
20
50
10
Net income
8%
15%
10%
P / E at exit
15
20
10
€ 20
€150
€3
Probability
Company value at exit Blended value at exit
€29.3
Investor required IRR
40%
Current company’s value
€5.4
•
•
The three scenarios represent varying growth and profitability expectations; also the macro conditions can affect the probabilities assigned The expected scenario (most likely) assumes € 20 million in revenue in five years, with a net income margin of 8 percent
•
The potential exit is a sale of the company to a strategic competitor
•
For a P/E of 15, the exit vale of the company (in the most) likely scenario is around €24 million
•
•
The same type of calculation is performed for the other two scenarios. Multiplying the company value for each scenario with the assigned probability and adding the three gives a so called “blended value at exit” at around € 29.3 million If we assume a five-year investment horizon for the potential investor, and using an IRR of 40 % (in €/RON, depreciation adjusted), the present value of the company is € 5.4 million post 65
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financing. The objective of the venture capitalist is to earn a 40-60% annual return, net of inflation; this high range reflects the potential returns necessary to invest in the company; they can make their money when / and only at the time that they are exiting. Rates of return on venture capital investments are extremely sensitive to time. •
Next, assuming that the present value is also the agreed-upon price, the investor ends up with about 28 % ownership for € 1.5 million investment. The calculation could also include the expectation for additional financing.
Example 2 (a technology company, Oct. 2006) •
•
The analysis is based on a number of assumptions: growth for 2.5 years at a 20%; 25%; and-5% rate, a weighted average price to operating income of 10.2, a weighted average price to net income of 16 and a weighted average price to sales of 2.09. The valuation scenario considers a potential exit through the sale of the less than 100% of equity capital to a strategic player (2007 year-end). A sale of the whole equity capital could add a majority/control premium (usually in the range of 20 to 40 %) on the top of the estimated value. The value of the capital includes the significant contribution to revenue of the company's Goodwill / Digital Capital
Scenario Scenario's probability
conservative 50%
optimistic 35%
pessimistic 15%
12,960 1,800 1,197 9.5 16 1.8 17,101 19,151 23,328
14,063 2,184 1,530 13.5 20 2.3 29,486 30,593 32,344 $19,753 $21,104 $24,635 11,307 12,081 14,102
8,465 1,176 782 5 7 1.3 5,879 5,472 11,004
Estimated sales at exit Estimated net operating income at exit Estimated net income at exit Price/operating income at exit Price/income at exit Price/sales Value at exit (operating income based) Value at exit (net income based) Value at exit (sales based) Weighted value (operating income based) Weighted value (net income based) Weighted value (sales based) Present value (operating income based) Present value (net income based) Present value (sales based)
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Partea III
GESTIUNEA PORTOFOLIULUI
PORTFOLIO MANAGEMENT RISKS AND RETURNS
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Historical Returns
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60.00%
40.00%
20.00%
s n r u t e R
0.00%
-20.00%
Stocks Long-Term Government Bonds(%) -40.00%
Treasury bills(%)
Years
-60.00%
1. Return and the Opportunity Cost of Capital •
Nominal vs. real returns; historical vs. expected returns
•
Expected return = mean return
•
Arithmetic mean vs. geometric mean
•
Return/cost of capital and risk premiums: - Historical: geometric/compound anual rates vs. expected: arithmetic averages
•
Higher risk = higher (nominal / real) return? - Government/Treasury Bills (avg. return of 4%; standard deviation of 3%); Gov’t bonds vs. corporate bonds - BET (ROL/$/€), BET-C (ROL/$/€); BET-FI (ROL/$/€); Dow Jones; FTSE; CAC, S&P (avg. return: 12%, $: 20%)
2. Portfolio Risk •
Variance $2 = (real return – expected return) 2
•
Standard deviation $ = (real return – expected return); $ is always positive because we do not know what will happen
•
Portfolio diversification reduces portfolio risk because individual stock prices are less than perfectly correlated
•
Risk = unsystematic risk (unique, residual, specific, peculiar, and diversifiable) + systematic risk (market, undiversifiable) 68
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•
The risk of a well-diversified portfolio depends on the market risk of the securities comprising the portfolio; market risk accounts for most of the risk of a welldiversified (20 - 30 stocks) portfolio. Romanian market: 8 – 12 stocks. Diversification reduces variability but it does not eliminate market systematic risk.
3. Portfolio mathematics Reg. 1:
Media sau rentabilitatea estimata a unui activ financiar reprezinta media ponderata cu probabilitati a tuturor scenariilor posibile/ The mean or expected return of an asset is a probability - weighted average of all expected returns of all possible scenarios:
E (r) = " Pr(s) r(s) s
Reg. 2:
Dispersia (varianta) rentabilitatilor estimate ale unui activ financiar reprezinta valoarea estimata a patratului deviatiilor de la rentabilitatea estimata. The variance of an asset’s returns is the expected value of the squared deviations from the expected return:
$ = " Pr(s)[r(s) - E(r)]
2
2
s
Deviatia standard/abaterea medie patratica este radacina patrata a dispersiei/variantei. Reg. 3:
Rata estimata de rentabilitate a unui portofoliu reprezinta media ponderata a ratelor estimate de rentabilitate ale fiecarui activ financiar component: The expected rate of return on a portfolio is the weighted average of the expected rate of return of each component asset: n wi Er(Ri) p i=1
E (R ) = "
Reg. 4:
Cand un activ financiar cu risc se combina cu un activ financiar fara risc, deviatia standard (abaterea medie patratica - AMP) a portofoliului este egala cu deviatia standard (AMP) a activului financiar cu risc, inmultita cu proportia acestui activ in portofoliu. When a risky asset is combined with a risk-free asset the portfolio standard deviation equals the risky asset’s standard deviation multiplied by the portfolio proportion invested in the asset.
• Covarianta masoara cat de mult evolueaza in tandem rentabilitatile estimate a doua active cu
risc. Cand covarianta este pozitiva, inseamna ca rentabilitatile estimate ale activelor evolueaza impreuna. Cand covarianta este negativa, inseamna ca rentabilitatile variaza invers. Covariance measures how much the returns of two risky assets move in tandem. A positive covariance means that asset returns move together. A negative covariance means that the returns vary inversely. Cov (a,b) =
" Pr( s )[r ( s) - E(r )][r ( s ) - E( r )] a
a
b
s
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Reg. 5 Coeficientul de corelatie standardizeaza covarianta la o valoare cuprinsa intre -1.00 (corelatie negativa perfecta) si +1.00 (corelatie pozitiva perfecta) si poate fi interpretat atat ca semn, cat si ca marime: The correlation coefficient scales the covariance to a value between -1 (perfect negative correlation) and +1 (perfect positive correlation) and may be interpreted both as a sign and a magnitude:
ρ(a,b) =
Cov
σ σ a
Reg. 6
(a, b)
b
H. Markowitz: Cand doua active financiare cu risc cu dispersiile σ21 si respectiv, σ22 se combina intr-un portofoliu cu ponderile w 1 si, respectiv, w2, dispersia portofoliului este: When two risky assets with variances s 12 and s22 , respectively, are combined into a portfolio with weights w1 and w2 , respectively, the portfolio variance is
= w 2 σ 2 + w 2 σ 2 + 2w w ρ (r , r )σ σ σ 2 2 2 2 2 2 σ portfolio(1, 2 ) = w1 σ1 + w 2 σ 2 + 2w 1 w 2 Cov (r 1, r 2) portfolio (1, 2 )
Reg. 7:
1
1
2
2
1
2
1
2
1
2
W. Sharpe: Cand un activ cu risc este combinat cu unul fara risc, atunci deviatia standard a portofoliului este egala cu deviatia standard a activului cu risc inmultita cu proportia din portofoliu investita in activul cu risc / When a risky asset is combined with a risk-free asset theportfolio standard deviation equals the risky asset’s standard deviation multiplied by the portfolio proportion invested in the asset:
E(σ port2 ) = w2Rf σ2Rf + (1- wRf )2 σi2 + 2 wRf (1- wRf )ρRf ,i σRf σi
E(σ port) = (1- wRf )
σi
Calculul covariantei, exemplu / Example of covariance computation Economy Boom Normal Recession
• • • • • •
•
Probability 0.25. 0.50 0.25
A (TLV) 20% 10% 0%
B (BRD) 5% 10% 15%
R a = (0.25) (0.20) + (0.50) (0.10) + (0.25) (0.00) = 0.10 R b = (0.25) (0.05) + (0.5) (0.10) + (0.25) (0.15) = 0.10 2 $ a = (0.25) (0.20-0.10) 2 + (0.5) (0.10-0.10)2 + (0.25) (0.00-0.10) 2 = 0.005 2 $ b = (0.25)(0.05-0.10) 2 + (0.5)(0.10-0.10)2 + (0.25)(0.15-0.10)2 = 0.00125 $a = (0.005) 1/2 = 0.07071 = 7.071%; $ b = (0.00125)1/2 = 0.03536 = 3.536 % Cov (a,b) = (0.25)[(0.20-0.10)(0.05-0.10)]+ (0.50)[(0.10-0.10)]+ (0.25)[(0.000.10)(0.15-0.10)] = - 0.0025 2 2 %(a,b) = cov (a,b) / $ a $ b = - 1
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4. Risk and Return •
Contribution of H. Markowitz
•
Contribution of W. Sharp
•
The ! Coefficient; measuring !
•
Capital Asset Pricing Model (CAPM)
•
How valid is CAPM ?
•
Alternatives to CAPM: APT; BAPM; Consumption CAPM
5. Modern Portfolio Theory (Markowitz) •
A portfolio of assets is considered to be efficient if no other portfolio offers higher expected return with the same (or lower) risk, or lower risk with the same (or higher) expected return
•
For an efficient portfolio (situated on the efficient frontier) the relationship between each stock’s expected return and its marginal contribution to the portfolio’s risk is a straight-line
•
The standard deviation of a portfolio is a function not only of the standard deviations of the individual investments, but also of the covariance between the rates of return for all the pairs of assets in the portfolio; in a large portfolio, these covariances are the most important factors
•
The proper way to measure the risk of an individual asset is to assess its impact on the volatility of the entire portfolio of investments.
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6. Capital Asset Pricing Model (W. Sharpe et co) •
The major factor that allowed portfolio theory to develop into capital market theory is the concept of a risk-free asset
•
The required rate of return for a risky asset is the risk free asset return plus a risk premium for the individual asset:
E(r ) = R + ! (R m − R ) i f i f
•
Between the expected return and beta of each stock comprising the market portfolio is a straight-line relationship
•
When a risk-free asset is combined with a risky portfolio, the expected standard deviation of returns on the new portfolio is the linear proportion of the standard deviation of the risky asset
•
Both return and risk increase in a linear fashion along the original line, and this extension dominates everything below the line that is tangent on the original efficient frontier; this line is referred to as the capital market line (CML)
7. The ! Coefficient •
! measures the stock' sensitivity to changes in the value of the portfolio and stock’s marginal contribution to portfolio risk
•
The market portfolio lies at the point of tangency, and includes all risky assets; the market is in equilibrium, and all assets in the market portfolio are included in proportion with their market value
•
The market portfolio is on the efficient frontier; it is also the optimal portfolio - the tangency point between the capital allocation line and the efficient frontier
•
Market Portfolio is Markowitz efficient
•
The marginal contribution of a stock to the risk of the Market Portfolio is !
•
Perfect positive correlation causes the standard deviation for the portfolio to change in a linear fashion, therefore all the portfolios on the capital market line are positively correlated
•
The relevant risk measure for risky assets is their covariance with the market portfolio, which is systematic risk: Cov (i,m); ! is standardized by relating this covariance to the variance of the market portfolio
•
The return for the market portfolio (R m) should be consistent with its own risk, which is the covariance of the market with itself ( $2m):
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E(r i ) = R f + E(r i ) = R f +
Cov
(i, m) 2 σm
R m - R f 2 σm
(R m
− R f )
(Cov
(i, m)
)
E(r ) = R + ! (R m − R ) i f i f !
!
company risk
Market risk n (number of securities)
n (number of securities)
Riscul portofoliului in functie de numarul de titluri din portofoliu / Portfolio risk as a Function of the Number of Stocks in the Portfolio
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E (r) The Efficient Frontier
Global minimum variance portfolio
Individual assets
Minimum-variance frontier / PVMA – portofoliul de varianta minimala absoluta
Frontiera de dispersie minima pentru activele financiare cu risc The Minimum – Variance Frontier of Risky Assets
Portfolio risk ( ! p)=20 % Market risk ( !m)=20 %
Portfolio risk ( ! p)=30 % Market risk ( !m)=20 %
100/(a)
100/(b) number of securities
Market risk (! p)=20 percent
Portfolio risk ( !m)=10 percent 100/(c) (a) A randomly selected 100-stock portfolio ends up with !=1 and a standard deviation equal to the market’s – 20 % (b) A 100-stock portfolio constructed with stocks with average !=1.5 has a standard deviation of about 30 percent – 150 percent of the market’s (c) A 100-stock portfolio constructed with stocks with average != 0.5 has a standard deviation of about 10 percent – half the market’s.
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Example of portfolio diversification (50% stocks + 50% bonds) Cov(s,b)=0,3333(-7-11)(17-7)+0.3333 (12-11)(7-7)+0.3333(28-11)(-3-7) = -116.67 %(s,b) = cov (s,b) / $a$ b= -116.66 / [(14.3) (8,2)] = - 0.99
• •
Probability
Equity fund %
Bond fund %
50% equity + 50 % bond
Recession
1/3
-7
17
+5
ormal
1/3
+ 12
+7
+ 9.5
1/3
+ 28
-3
+12.5
Expected return
11
7
9
Variance
204.7
66.7
9.5
Standard deviation
14.3
8.2
3.1
Boom
8. Arbitrage Pricing Theory (Ross) •
•
•
Stock’s expected risk premium depends on the investment’s exposure/ sensitivity (bi) to several (undefined) unexpected macro changes / factors (r factor i) and on unique influences: E(r)=a+ b 1(r factor1)+b2(r factor2)+b3(r factor3)…+ unique noise Risk premium for any asset depends on its sensitivities to factor risks (b i) and on the expected risk premium for each factor (r factor i- r f) ; it is not affected by the unique, company-specific risk: r – rf = b 1(r factor1- r f) +b2(r factor2- r f) +b3(r factor3-r f) ….+ (r factor i- r f) ; (r ) is the premium received for taking the factor i’s risk factor i- r f CAPM similar, diversification eliminates unique risk; diversified investors therefore ignore this risk component when making decisions; (R m-R f) could be a factor or not.
Factor Risk (b)
Risk Premium (r factor -r f)
Factor Risk Premium b(r factor -r f)
Yield spread
1.04
5.10%
5.30%
Interest rate
-2.25
-.61
1.37
FX rate
.70
-.59
-.41
GNP
.17
.49
.08
Inflation
-.18
-.83
.15
Market
.32
6.36
2.04
Factor
Expected
R f +8.53%
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Exemplu de calcul pentru rate estimate de rentabilitate, dispersie si covarianta
Probabilitatea
Rentabilitatea A
Rentabilitatea B
p 0,25 0,50 0,25
R A 20% 10% 0%
R B 5% 10% 15%
Outcomes Boom Normal Recesiune
−
•
E(R) = R =
N
" p R s
s
;
s = 1 −
R A = (0,25)(0,20)+(0,50)(0,10)+(0,25)(0,00) = 0,10 −
R B = 0,25)(0,05)+(0,5)(0,10)+(0,25)(0,15) = 0,10 −
•
•
2
Dispersia unei singure valori mobiliare: σ = (R - )2 2 2 2 2 σA = (0,25)(0,20-0,10) +(0,5)(0,10-0,10) +(0,25)(0,00-0,10) = 0,00500 2 2 2 2 σB = (0,25)(0,05-0,10) +(0,5)(0,10-0,10) +(0,25)(0,15-0,10) = 0,00125 Abaterea medie patratica: 1/2 σA = (0,00500) = 0,07071 = 7,071% 1/2 σB = (0,00125) = 0,03536 = 3,536 % −
•
•
−
−
−
Covarianta: valoarea estimata a lui (R A- R A )(R B - R B ) = E [(R A- R A )(R B- R B )] = Cov AB CovA,B=(0,25)[(0,20-0,10)(0,05-0,10)]+(0,50)[(0,10-0,10)]+(0,25)[(0,00-0,10)(0,15-0,10)]=- ,0025 Coeficientul de corelatie: covarianta “standardizata” de cele doua abateri medii patratice Cov( A, B ) ρA,B = =-1 σ Aσ B
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TEHNOLOGIA MANAGMENTULUI DE PORTOFOLIU In contextul actual extrem de dinamic al evolutiilor inregistrate pe pietele financiare ale lumii si al diversificarii continue a instrumentelor financiare, gestiunea unui portofoliu de valori mobiliare devine o misiune deosebit de complexa si solicitanta. Aceasta misiune devine si mai dificila, cand plasamentele se efectueaza in conditiile unei piete financiare emergente, cum este cea din Romania in momentul de fata. O problema deosebit de importanta este si selectarea societarilor de valori mobiliare si chiar a brokerilor prin care se vor derula tranzactiile. In privinta activitatii operative, de o mare importanta este monitorizarea zilnica a pozitiilor detinute si verificarea rapoartelor de tranzactionare. O confruntare periodica a propriilor evidente cu cele aflate in cadrul compartimentului contabil si cu cele existente la societatea depozitara poate fi uneori deosebit de utila. Initierea oricarei tranzactii trebuie sa fie neaparat precedata de verificarea incadrarii acesteia in liniile directoare stabilite in administrarea fondului, prin obiectivele si strategia adoptata, precum si de verificarea respectarii restrictiilor impuse prin statutul (acordul de administrare sau prospectul de emisiune) al fondului sau prin alte reglementari legal aplicabile, in vigoare. Gestiunea portofoliului este o stiinta – dupa unii autori un mixt intre stiinta si arta - care necesita o foarte buna cunoastere a comportamentului cotatiilor bursiere si a factorilor care le influenteaza si o la fel de buna cunoastere a tehnicilor si metodelor de modelare matematica si statistica de previziune si de optimizare. Recomandarile pentru o gestiune eficienta raman riscante, ca urmare a imprevizibilului activitatilor bursiere. Realizarea unei performante superioare mediei in gestiunea unui portofoliu nu este imposibila, fiind insa o sarcina dificila si chiar foarte costisitoare (cheltuieli de studiu a pietei bursiere, comisioane de tranzactionare, etc). Determinarea riscului investitional, pe baza datelor statistice ofera intotdeauna o buna estimare a volatilitatii viitoare a titlului sau portofoliului considerat; analistul financiar poate ajusta aceasta volatilitate determinata statistic pe baza cunoasterii evenimentelor bursiere recente si a anticiparilor sale privind evolutia pietei de capital.Previziunile sunt foarte importante, ele trebuind sa ia in considerare tendintele macroeconomice, tendintele indicelui general al pietei bursiere, ale ratei dobanzii, sau ale inflatiei, acestea avand incidente directe asupra cotatiei fiecarei valori mobiliare. Analistul financiar realizeaza previziuni ale reactiei cursurilor fiecarui titlu la diverse scenarii socio-economice, previziuni de natura sa ghideze activitatea managerului de portofoliu pe o piata marcata de cresterea deosebita a riscurilor bursiere. Gestionarul portofoliului trebuie sa urmeze recomandarile analistului financiar, in cadrul restrictiilor determinate de marea dificultate a previziunii evolutiilor viitoare a cotatiilor.
Managerul de portofoliu trebuie sa fie o persoana competenta, cu experienta si reputatie personala buna pe piata fondurilor si care sa fie remunerata corespunzator activitatii depuse si calitatilor mentionate, folosindu-se diverse modalitati de stimulare a activitatii sale. Pentru ca o societate de administrare sa gestioneze cu succes portofoliul de valori mobiliare, apartinand unui fond de investitii, trebuie sa respecte urmatoarele directive operationale: 77
Finante Personale, DAFI 2007 - determinarea obiectivelor de performanta a investitiilor, prin stabilirea nivelurilor generale de profitabilitate propuse si a obiectivelor pentru vanzari, prin atragerea de noi resurse financiare pentru investitii, in vederea depasirii pietei cu un procentaj predeterminat; - selectia directivelor de evaluare si comparare a indicilor pietei, pe baza criteriilor de comparare, stabilite de consiliul de administratie si comisia interna pentru evaluarea investitiilor; - selectia candidatilor pentru pozitiile manageriale de investitii, ei trebuind sa fie membri ai unor organizatii profesionale, sa aiba experienta, educatie academica si recomandari de la alti participanti din domeniu; - determinarea politicii de remunerare, prin stabilirea directivelor pentru sistemul de bonificatii. Teoria moderna a portofoliului a fost elaborata in ideea determinarii unui model rentabilitate - risc utilizat pentru evaluarea performantelor investitiilor financiare. Un accent deosebit este plasat pe problematica determinarii riscului investitional. Conceptul determinarii riscului nu este de data recenta. A fost utilizat incepand din anii 1940-1950 pentru analiza riscului investitional al companiilor, atat de catre analisti externi, cat si interni, in raport cu compania. Pe masura cresterii solicitarilor de finantare a firmelor pe pietele de capital si odata cu sporirea gradului de reglementare a acestor piete, sub aspectul cerintelor de diseminare a informatiilor publice, companiile si-au dezvoltat sisteme de control al riscului operatiunilor proprii precum si sisteme de analiza si explicitare a valorii de piata a actiunilor proprii. Formele moderne de cuantificare a riscurilor isi au originea in lucrarea lui Markowitz din 1959 “Portfolio Selection: Efficient Diversification of Investments”. Tot acestuia i se datoreaza si formalizarea si aplicarea teoriei riscului, in sfera investitiilor in active financiare. Ulterior, datorita unor necesitati de ordin practic, legate de implementarea teoriei diversificarii a lui Markowitz, Sharp in lucrarea sa din 1964 “Capital assets prices - A theory of market equilibrium under conditions of risk a extins sfera analizei si asupra activelor financiare fara risc, demonstrand ca exista o noua frontiera eficienta, diferita de cea demonstrata anterior de Markowitz si a elaborat modelul de evaluare a activelor financiare cunoscut sub denumirea modelul CAPM (Capital Assets Pricing Model). Ulterior au fost aduse o serie de imbunatatiri modelului CAPM, cum ar fi modelului CAPM multiperiodic (Merton - 1971) sau al modelului CAPM - consum. Datorita deficientelor conceptuale si posibilitatilor limitate de modelare a pretului activelor financiare, constatate in cazul modelelor unifactoriale anterioare, au fost dezvoltate si modele multifactoriale de analiza a riscului (cum este cazul modelului APT, prezentat de Ross in 1976). In prezent se incearca determinarea unei legaturi directe intre operatiunile companiilor si valoarea de piata a actiunilor acestora, prin intermediul teoriei moderne a portofoliului. Sunt avute in vedere urmatoarele :
Nivelul investitiilor unei firme determina profitabilitatea viitoare a acesteia. Investitorii intocmesc anumite scenarii asupra evolutiilor viitoare a volumului vanzarilor si asupra costurilor operationale ale firmei. Cu cat gradul de acuratete al acestor scenarii este mai ridicat, cu atat este mai ridicata probabilitatea ca acestea sa se realizeze efectiv (deci riscul investitional 78
Finante Personale, DAFI 2007 este mai redus). Profitabilitatea viitoare este determinanta valorii actuale a actiunilor firmei. Interesul proprietarilor companiei este maximizarea valorii investitiei lor. Acest lucru presupune existenta unui sistem de determinare permanenta a valorii acestei investitii. Obiectivul managementului companiei este cresterea continua a valorii companiei, o valoare ridicata a acestor actiuni insemnand si un interes sporit pentru acestea (conform principiului cererii si ofertei: pretul creste atunci cand cererea depaseste oferta).
Obiectivele centrale urmarite in cadrul teoriei moderne a portofoliului sunt: •
definirea notiunii de risc si cuantificarea riscurilor asociate investitiilor in diferite instrumente financiare;
•
determinarea celor mai bune variante rentabilitate – risc, disponibile in portofoliile realizabile de investitii si
•
determinarea si alegerea portofoliu optim.
Teoria cuantificarii riscurilor financiare, a analizei si controlului acestora a evoluat intr-un ritm deosebit de alert, in ultimele decenii. Ea isi gaseste, in prezent, o sfera foarte extinsa de aplicatii in domeniile diversificarii riscurilor investitionale, a (re)structurarii portofoliilor de active financiare si a operatiilor de acoperire a riscului - hedgingului, fiind utilizata pe scara larga de institutiile bancare, intermediarii de pe pietele financiare, organismele de plasament colectiv si fondurile de pensii.
Aplicarea teoriei in practica presupune analiza parametrilor specifici (medii, dispersii, covariante) ai unor serii cronologice reprezentate de rentabilitatile istorice ale activelor financiare considerate, respectiv cele ale unor marimi agregate (indici bursieri spre exemplu).
Perspectiva portofoliului se refera la detinerile agregate ale investitorului. Datele economice fundamentale influenteaza rentabilitatile medii ale tuturor activelor, iar riscurile asociate detinerii acestor active sunt in r elatie reciproca Managementul de portofoliu este un PROCES, un set integrat si disciplinat de activitati investitionale, aplicate in mod consecvent, in combinatia cea mai potrivita si eficienta, dupa o logica riguroasa, dinamica si flexibila, toate activele prezente in averea investitorului: actiuni, obligatiuni, imobiliare, metale pretioase, salariu actual si viitor, locuinta, etc MP este un proces in derulare continua, se aplica sistematic prin monitorizare 24/7, feedback si rebalansare a claselor de active (alocare), dar si in interiorul claselor de active (selectie). MP este un proces dinamic si continuu in care: obiectivele si constrangerile investitionale sunt clar identificate si specificate (in forma de document scris); politicile si strategiile investitionale sunt evidentiate de comun acord intre investitor si manager; compozitia portofoliului este stabilita pana in cel mai mic detaliu; deciziile investitionale sunt initiate de managerii de portofoliu si implementate de brokeri si traderi; performanta portofoliului este evaluata in timp real; circumstantele individuale ale investitorului si situatia pietei de capital 79
Finante Personale, DAFI 2007 sunt monitorizate si evaluate continuu, iar orice ajustare, rebalansare sau revizie considerata necesara este implementata in conditiile considerate cele mai favorabile.
Procesul logic al managementului de portofoliu 1.
Etapa de planificare
Identificarea si specificarea obiectivelor si constangerilor investitorului. Obiectivele sunt legate de performanta portofoliului. Obiectivele de risc tin cont de standardul de masurare a riscului. Riscul absolut se masoara prin varianta si deviatia standard a rentabilitatii portofoliul. Riscul relativ se masoara prin varianta si deviatia standard a diferentei dintre rentabilitatea portofoliului administrat si rentabilitatea unui portofoliu de referinta si comparatie (benchmark portfolio). Obiectivele de risc tin cont si de dorinta, dar si de abilitatea investitorului de asumare a unui anumit nivel de risc. Toleranta (aversiunea) la risc este capacitatea de a face fata riscului inerent investitiei pe piata de capital. Intre dorinta si abilitatea de asumare a riscului de catre investitor poate exista o diferenta importanta, pe care consultantul de investitii este obligat sa o recunoasca si sa o administreze prudent. Obiectivele de rentabilitate se masoara in termeni de randament absolut, relativ, real, nominal, brut sau net. Constangerile sunt limitari ale abilitatii investitorului de a folosi, in totalitate sau partial, avantajele unei investitii potentiale. Constangerile sunt fie interne (nevoile de lichiditate curenta, orizontul de timp, circumstante unice/specifice), fie externe (impozite, taxe). Constangerea de lichidiate este legata atat de depuneri, cat si de retrageri din portofoliu. Retragerile sunt dependente de gradul de lichiditate al activului, care este invers corelat cu rentabilitatea obtenabila. Constangerea de orizont de timp investitional. Orizontul dicteaza abilitatea investitorului de a sustine un anumit grad de risc, modul de alocare a activelor, rebalansarea alocarii. Politica de investitii – ca document oficial, care guverneaza relatia manager de investitii – investitor: •
descrierea clientului si a situatiei sale financiare
•
obligatiile si responsabilitatile investitionale ale partilor, datoria fiduciara a managerului, comunicare si raportare, parti implicate (custode, evaluator, contabil, comitet de investitii)
•
obiectivele investitionale, constangerile particulare
•
modalitatea de masurare si referinta pentru performanta investitionala
•
modalitatea de alocare a activelor si metoda cu care se modifica alocarea strategica si tacti ca a activelor strategiile investitionale si stilul de investitie
2.
Stabilirea strategiei investitionale
strategia pasiva. Estimarile pietei de capital (modificarile) nu au impact asupra compozitiei portofoliului indexat dupa un indice (sau un mix) relevant. Indexarea unui portofoliu urmareste pozitionarea activelor dupa procentul valoric, oglindit de un indice bursier. Randamentul obtinut din administrarea activa este beta. 80
Finante Personale, DAFI 2007 strategia activa. Estimarile si modificarile in asteparile despre piata de capital se vad, in timp real, in modalitatea de alocare si selectare a claselor si, respectiv, titlurilor din portofoliu. Randamentul obtinut din administrarea activa este alfa. Administratorul portofoliului modifica ponderile titlurilor fata de indicele de referinta, in cadrul portiunii de portofoliu care se afla la discretia sa investitionala. Strategia semiactiva este un mixaj intre cele doua strategii, activa si pasiva, in cadrul unui contract de adminstrare a investitiei, care specifica in clar cat din tactica investitionala este la discretia managerului si cat se prescrie de catre comitetul de investitii sau de catre proprietarul fondurilor. Asteptarile despre evolutia pietei de capital. Previziunile despre rentabilitatile obtenabile si riscurile asociate, pe clase de active pentru un portofoliu diversificat eficient – maximizarea randamentului pentru un anumit nivel de risc sau minimizarea riscului pentru un anumit nivel al rentabilitatii. Alocarea strategica a activelor in interiorul portofoliului. Din combinatia asteptarilor despre evolutia pietei si intentia investitorului se exprima ponderile claselor de active. Valorile maxime si minime ale acestor ponderi sunt in relatie cu obiectivul esential de administrare prudenta a riscului. Alocarea tine cont si de orizontul investitional, care poate fi o perioada sau mai multe perioade.
3.
Etapa de executie
Constructia si revizia portofoliului. Selectia activelor si compozitia portofoliului se bazeaza pe analiza tehnica, fundamentala si comportamentala. Implementarea sugestiilor investitionale se face pe baza inputurilor analistilor financiari, iar planurile investitionale devin realitate. Decizia de selectie si compozitie a portofoliului se bazeaza pe tehnicile de optimizare si eficientizare statistica pentru obtinerea rentabilitatilor estimate. Alocarea tactica si circumstantiala poate diferi temporar fata de alocarea strategica generala. In cazul in care datele problemei se schimba semnificativ, modificarea alocarii strategice poate fi permanenta si nu doar temporara. Alocarea tactica a activelor raspunde la modificarile temporare, pe termen scurt, ale asteptarilor despre piata de capital si nu la schimbarile in circumstantele specifice investitorului. Implementarea deciziei de portofoliu se face cu considerarea costurilor explicite si implicite ale constructiei si reviziei compozitiei portofoliului. Costurile explicite sunt usor de decelat si controlat (comisioane, taxe). Costurile implicite sunt mai greu de controlat (spreadul bid – ask, impactul ordinelor mari, costurile de oportunitate ale tranzactiilor ce nu au putut fi executate).
4.
Etapa de feedback
Feedback-ul si controlul sunt importante pentru atingerea scopurilor investitionale si consta in monitorizare si rebalansare a portofoliului. Monitorizarea urmareste pozitia curenta a portofoliuli, oportunitatile de vanzare si de cumparare si mentinerea in limitele cerute de client, de control al costurilor. O alta monitorizare este indreptata spre observarea eventualelor modificari care pot aparea in circumstantele sau constrangerile personale ale investitorului. 81
Finante Personale, DAFI 2007 Monitorizarea evolutiei economice si a pietei de capital. Modificarile in structura portofoliului pot fi datorate nu numai datelor noi despre piata de capital, ci si modificarilor preturilor. De ex., distributia de actiuni gratuite TLV sau BRK a marit volumul activelor respective in portofoliul unor fonduri de investitii (care au ajuns astfel la limita reglementata de detinere sau impusa de contractul de administrare si, deci, vanzarea se poate face din motive exogene titlului respectiv. Mai mult, dupa lansarea IPO Transelectrica, multi investitori au vandut alte titluri din portofoliu doar pentru a participa la oferta si nu pentru ca evolutia pretului sau previziunile despre actiunile intitiale s-au modificat.
5.
Evaluarea performantei portofoliului
Masurarea performantei portofoliului se refera la estimarea rentabilitatii portofoliului Atribuirea performantei portofoliului determina sursele de rentabilitate (alocare, selectie) Estimarea performantei relative a portofoliului, fata de un indice de comparatie Evaluarea performantei absolute a portofoliului deriva din trei elemente: Alocarea strategica pe clase de active Temporizarea de piata (deviatiile tactice de la alocarea strategica) Selectia activelor in interiorul claselor
Portofoliul se evalueaza in functie de un randament predefinit (actiunile) sau de un sir de pasive ce trebuiesc satisfacute de activele portofoliului (obligatiunile). Evaluarea se face in termeni de comparatie absoluta (randament general) si in comparatie relativa (randament fata de un indice de referinta, alte portofolii gestionate in aceeasi strategie sau pe aceeasi piata). Un portofoliu de active este considerat eficient daca nici un alt portofoliu nu ofera o rentabilitate estimata mai mare pentru acelasi risc (sau mai scazut) sau cu risc mai scazut, pentru o aceeasi rentabilitate estimata (sau mai ridicata). Cea mai buna cale de masurare a riscului unui singur activ este estimarea impactului sau asupra volatilitatii intregului portofoliu de investitii.Frontiera eficienta reprezinta acel set de portofolii care are cea mai ridicata rata de rentabilitate, pentru fiecare nivel de risc dat sau riscul cel mai scazut, pentru fiecare nivel de rentabilitate. Deviatia standard a unui portofoliu este o functie nu numai a deviatiilor standard ale investitiilor individuale, ci si a covariantei dintre ratele de rentabilitate ale tuturor perechilor de active din portofoliu. Intr-un portofoliu suficient diversificat, aceste covariante reprezinta factorii decisivi. Rata estimata a rentabilitatii pentru un activ financiar cu risc este determinata de rata fara risc, Rf, plus o prima de risc pentru activul financiar respectiv
E(r ) = R + β (R − R) i
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