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Success by Exhaustion

https://ofdollarsanddata.com - Mar, 01/23/2018 - 13:04
How to Use Brute Force to Improve Your FinancesDettifoss Waterfall, Iceland (Photo: Tim Bekaert)

It was January 1969 when the Department of Justice filed antitrust charges against IBM for monopolizing the computer market. Little did they know, the case would drag on for 13 years, cost the Department of Justice $15 million, and result in 2,500 depositions and over 60 million pages of documents. The charges against IBM were eventually dismissed in many ways because of the incredible work done by Cravath, Swain, & Moore LLP, the legal counsel hired by IBM.

The intriguing part of the story revolves around how Cravath defended IBM. Cravath’s strategy was complex and involved brute force — they wanted to win by outworking their opponents. In What it Takes, Charles Ellis highlights one such instance of Cravath employing this tenacious strategy:

[They had] organized over a dozen Cravath lawyers there in a pattern of 8:00 A.M. to 2:00 A.M. workdays. Every day throughout the trial, the day’s transcript was obtained at about 10:00 P.M. by a team of Cravath lawyers, who took it apart and reorganized the contents into proposed findings of fact to support the series of propositions Cravath sought to prove for IBM. Each was cross-referenced to specific pages in the original transcript.

Max Blecher, a lead plaintiff attorney working against Cravath, said he was “stunned by the enormous effort expended on a simple motion to dismiss.” Blecher continued (emphasis mine):

The sheer manpower that took — the cost — I just felt overwhelmed. I often wondered how they could operate if the client imposed any cost control at all. Everything showed this attitude. They buried us in paper. They produced reams of paper in futile endeavors…We stacked up the paper — it was five or six feet tall!

Cravath’s ability to win was based upon overwhelming effort — it was success by exhaustion.

Scott Galloway, the famed marketing professor at NYU, describes how this method has worked in other domains as well:

The majority of (actual) wars have not been won with strategy, bravery, training, or superior equipment, but brute force. At the end of WWII, the Allies had 38 gallons of gasoline for every one the Germans did. Amazon is the retailer with 38 gallons.

And Amazon uses those “38 gallons” to great effect by regularly experimenting in new lines of business though these experiments will likely produce no profits (or negative profits) for the first 5–7 years. There is a similar story about how Thomas Edison and his team tested more than 6,000 different materials before finding the right one for the lightbulb. In both cases, exhausting all possibilities became a formula for success.

My point is that many of the greatest wins in history came as a result of brute force. Given this observation, there are a few ways that you can utilize this kind of approach to improve your finances:

  • Use indexing to solve the problem of stock picking

If you think about it, indexing is a brute force solution of the problem of picking stocks. It is difficult to know which stocks will do well and which ones won’t, so your best bet is to buy them all and hope the aggregate return is positive. You can extend this idea across asset classes as well by diversifying your portfolio.

  • Increase your savings rate to make your investment returns less important

Saving more money is a brute force solution to the problem of unknown future investment returns. For example, if you assume a 10% return, you may only need to save $X in order to retire. However, if you don’t get 10% every year you will be in trouble…unless you can save more money. At the extreme, if you can save enough money you won’t need any returns (assuming you can keep pace with inflation).

Consider how many years it would take to save for retirement as you increase your savings rate. To go through this thought experiment we will assume that you save the same amount of your after-tax income annually and it grows at some constant rate annually. We will also assume that you can stop saving (i.e. you can retire) once the return on your total savings is the same as the after-tax income you live off of. Basically, you would live off of the interest and your principal balance would stay constant in retirement.

For example, if you make $100,000 after-tax annually and save 20%, this means you live on 80% ($80,000). If we assume a 10% annualized return, it would take a little under 20 years to be retired. If we assume a 4% annualized return, it would take closer to 45 years to be retired. Below is a graph showing how many years it would take to retire given some savings rate (x-axis) and annual return (different colored lines):

As you can see, as the savings rate increases, the number of years you need to work until retirement decreases drastically. I first heard of this idea from Mr. Money Mustache (here). More importantly though, there is a convergence between the different annual return lines as the savings rate increases. Why? The more money you save, the less important your returns are for reaching your goals. This is an amazing result, because it shows how you can succeed in almost any market environment, if you are able to save enough.

Success by Exhaustion Outside of Finance

Though Of Dollars And Data is an investment/finance blog, there are many times where I discuss ideas that are not directly related to finance. I do this because investing is primarily a behavioral exercise, and if I can get you to understand your behavior, you are far more likely to be a successful investor.

So where can you apply this idea outside of your personal finances? You can apply it to your career, your health, your side projects, and so much more. By working hard and finding what works best for you through brute force, you can drastically change your life. If you are interested in how this approach can be used in your career, I highly recommend What It Takes by Charles Ellis. That book inspired me to work harder than I thought possible and made me more than a 1000x return on the purchase price of the book. I can only hope that you find it as useful as I did. Thank you for reading!

➤ You can follow Of Dollars And Data via Email (1 weekly newsletter), Twitter, Facebook, or Medium.

This is post 56. Any code I have related to this post can be found here with the same numbering: https://github.com/nmaggiulli/of-dollars-and-data

Disclaimer

The above references an opinion and is for information purposes only. It is not intended to be investment advice. Seek a duly licensed professional for investment advice. The postings on this site are my own and do not necessarily reflect the views of my employer. Please read my “About” page for more information.

OfDollarsAndData.com is a participant in the Amazon Services LLC Associates Program, an affiliate advertising program designed to provide a means for sites to earn advertising fees by advertising and linking to Amazon.com and affiliated sites.

Success by Exhaustion was originally published in Of Dollars And Data on Medium, where people are continuing the conversation by highlighting and responding to this story.

180 Years of Stock Market Drawdowns

http://awealthofcommonsense.com - Mar, 01/23/2018 - 03:07
“We tend to be inadequate historians.” – Robert Frey A couple weeks ago I covered a little discussed topic involving the use of historical market data. Namely that you have to take market returns that go back to the turn of the 20th century with a grain of salt because of the fact that costs were much higher in those days so no one was really receiving those gross returns on a net basis. The natural follow-up ques...

Artículos recomendados para inversores 227

academiadeinversion.com - Lun, 01/22/2018 - 13:36

Recopilación de artículos recomendados para inversores en general y, en especial, para los seguidores del value investing, volumen 227.

La entrada Artículos recomendados para inversores 227 aparece primero en Academia de Inversión - Aprende value investing desde cero.

Investment Management vs. Financial Advice

http://awealthofcommonsense.com - Dom, 01/21/2018 - 16:58
There’s never been a better time to be an investor. Expenses are coming down. It’s cheaper than ever to trade. Strategies that were once reserved for large institutional funds at exorbitant fees are now available to every investor through low-cost mutual funds and ETFs. The sheer amount of data and computing power available has completely leveled the playing field in many ways between the pros and amateurs. And there...

Materias Primas (Financast)

LaVueltaAlGrfico - Dom, 01/21/2018 - 16:23
El viernes pasado tuve la suerte de ser invitado por Andrés Pellicer a su interesantísimo podcast de finanzas. Disfrutamos de casi una hora hablando relajados sobre materias primas. Hablamos de oro, de réplicas físicas y sintéticas, de curvas de futuros, de bakwardation ,de contango, de beneficio de conveniencia, de petróleo. En fin, un rato muy interesante.

¿Dividendos o recompra de acciones?

LaVueltaAlGrfico - Vie, 01/19/2018 - 08:17
Siempre con el comienzo del año hacemos nuestros propósitos sobre cómo mejorar nuestras finanzas y entonces se me vino a la cabeza escribir un post sencillo y lo más conciso posible sobre cuál es tu apuesta para este 2018: ¿empresas con dividendos o empresas que recompran acciones?.

Why You Should Be Working Less

http://awealthofcommonsense.com - Jue, 01/18/2018 - 22:14
I still remember the exact moment I decided I would never work in the investment banking industry under any circumstances. It was my senior year of college and I had just started an internship with an investment firm. At that point I had no clue what I wanted to do with my life but I knew I wanted to work in finance in some capacity. Investment banking sounded like a decent option because it paid well and apparently you l...

Gracias

LaVueltaAlGrfico - Mié, 01/17/2018 - 22:10
Como sabéis, el pasado diciembre realizamos un curso de bolsa en el que donamos todos los beneficios a una ONG. Hace poco menos de una semana, Rankia realizó la donación a la Fundación Madre Selva: 2.490,93 EUR. Lo único que podemos decir es: gracias. Gracias a Rankia, por poner el soporte, las salas web, la logística e involucrar a todo el equipo en esta aventura.

Animal Spirits Episode 13: Nobody Wants to Listen to Your Podcast

http://awealthofcommonsense.com - Mié, 01/17/2018 - 14:32
On this week’s Animal Spirits with Michael & Ben we discuss: How we would do things differently if we were entering the investment industry out of college. The benefits of learning what not to do working at a job you don’t care for. Advice for writing effectively. How to get others to read what you’re writing. Coin Daddy and the craziness of the crypto millionaires. Why pension funds didn’t in...

Warren Buffett y Charlie Munger sobre invertir en criptodivisas y mucho más

academiadeinversion.com - Mar, 01/16/2018 - 17:32

Resumen de lo más destacado de las últimas declaraciones de Warren Buffett y Charlie Munger sobre inversión en criptodivisas, las valoraciones actuales de las bolsas y muchos más.

La entrada Warren Buffett y Charlie Munger sobre invertir en criptodivisas y mucho más aparece primero en Academia de Inversión - Aprende value investing desde cero.

Even With Low Returns, Bonds Still Have Their Use

http://awealthofcommonsense.com - Mar, 01/16/2018 - 16:02
It’s easy to forget about bonds when the stock market is doing so well. It’s even easier to forget about bonds with all of the talk about the “end of the bond bull market” which is the latest topic du jour in financial circles. Here are a few reminders for investors looking to abandon bonds in their portfolios. ******* DoubleLine Capital’s Jeffrey Gundlach recently warned of the possibility of an...

Follow the Money

https://ofdollarsanddata.com - Mar, 01/16/2018 - 12:49
How One Simple Rule Can Beat Buy and Hold InvestingPhoto: TaxRebate.org.uk

The problem with being good at sports betting is that most bookmakers learn who you are and refuse to take your bets. Why? Good sports bettors will cut into a bookmaker’s profit, especially when placing larger bets. However, this all changed in 1998 with the founding of Pinnacle Sports.

Pinnacle proclaimed that it was happy to take larger bets (up to a maximum) from anyone who played. And if Pinnacle found a player who consistently made money, they did not stop them. This was considered heresy in the sports betting market in the early 2000s, but Pinnacle had made an intriguing discovery. The Perfect Bet: How Science and Math Are Taking the Luck Out of Gambling reveals Pinnacle’s secret (emphasis mine):

Whereas all bookmakers look at overall betting activity, Pinnacle also puts a lot of effort into understanding who is placing those bets…Pinnacle generally posts an initial set of odds on Sunday night. It knows these numbers might not be perfect, so Pinnacle only takes a small amount of bets at first. It has found that the first bets almost always come from the talented small-stakes bettors: because the early odds are often incorrect, sharp gamblers pile in and exploit them.But Pinnacle is happy to hand an advantage to these so-called hundred-dollar geniuses if it means ending up with better predictions about the games. In essence, Pinnacle pays smart gamblers for information.

Pinnacle was able to revolutionize the sports betting market because they paid a premium for data and insights on the outcome of sporting events. All they had to do was follow the money.

Pinnacle’s discovery reveals an important lesson for investors that I have recently come to accept: you are likely to outperform a traditional buy and hold investment approach…if you follow the money. When I say “follow the money”, I mean using a simple trend following rule. One such rule for investing in the S&P 500 could be:

  • When the current price > average price over the last 12 months, stay invested (or buy in if you aren’t invested).
  • When the current price < average price over the last 12 months, sell everything and move to cash (or bonds).

This rule translated into simpler terms would be:

  • When everyone is buying and the market is moving up, stay invested.
  • When the price starts dropping below where it was over the last year, get out.

That’s it. That simple rule has outperformed buy and hold for almost every 40 year period I tested starting in 1900–1939 and going through 1978–2017 (assuming no taxes or transaction costs). It has also done so with far less downside risk than buy and hold.

To visualize this, I put together a chart that shows both a buy and hold approach and the trend following rule (“12-month simple moving average (SMA)”) outlined above. I also shaded in green in the background every time the trend model “moved to cash” (i.e. this is inflation-adjusted cash, so it technically moves to TIPS, which I refer to as “cash”). As you can see, the trend following model outperforms over the 1900–2017 period:

[Author’s Note: I was informed after posting this that the prices I used from the Shiller data are average monthly prices, instead of closing prices. I have been told this can overstate the outperformance of trend following. My understanding is that trend following still works, but the size of the outperformance is not as large as the charts below display. If I have time to change the data in the future, I will update these charts and remove this note.]

If we zoom in on the period of 1990–2017 we can see more detail on how this model outperforms:

As you can see, during bull markets this model tends to underperform because it moves to cash too quickly. It acts a little skittish and doesn’t hold on. However, it makes up for this underperformance during drawdowns by moving to cash and waiting it out until the storm clears. You can clearly see this when it moves to cash in the DotCom bubble (2001) and the GFC (2008).

However, underperformance can last a long time. If we look at the 1978–2017 period, we see that this trend model didn’t start to outperform until 2003 or so:

My point with all of these charts is that this trend following model has worked well historically, but it has done so with periods of underperformance.

As a side note, I also tested trend following rules using shorter (3-month moving average) and longer (18-month moving average) time frames. However, I found that the only trend models that consistently outperformed buy and hold were in the 10–12 month range. Why? The 3-month moving average seems to be too skittish and moves to cash too often, while the 18-month moving average doesn’t react quickly enough to some drawdowns and can experience large losses. As a result, the 10–12 month moving averages seem to be the Goldilocks of trend following.

Why does this approach work? Simple answer: it follows where money is flowing. Trend following anticipates the mass of investor behavior to some degree and acts on that information. Just like Pinnacle Sports, trend following pays a premium of underperformance a lot of the time in order to gain information. Sometimes that information provides a huge edge when it comes to avoiding losses. By avoiding these losses, trend following can outperform.

Abandoning Buy and Hold?

Coming to accept that trend following can outperform buy and hold was difficult for me. I first heard about it through Michael Batnick, but was quite skeptical. And why shouldn’t I be? Buy and hold is the alter of the Gods in investing. Who would dare challenge it?

It wasn’t until I had dinner with Jake from EconomPic a month ago that I started to dig deeper. Jake sent me Meb Faber’s revolutionary white paper that popularized this idea using a 10-month simple moving average rule and then I decided to test it myself with the Shiller U.S. stock market data. I am convinced it works, but I wouldn’t recommend it for a large portion of someone’s tax-advantaged portfolio because (a) what if it stops working and (b) the bouts underperformance may make it difficult to stick with.

Instead, it might be better to use trend following for altering your equity exposure in your tax-advantaged portfolio. For example, instead of moving from 100% stocks to 100% bonds, maybe you move from an 80% stock/20% bond portfolio to a 60% stock/40% bond portfolio.

Either way, if you are interested in learning more on this, I highly recommend Meb’s white paper and Newfound Research’s detailed discussion on two centuries of momentum (note: trend following is a form of absolute momentum). Lastly, big thank you to Jake for inspiring me to write this. Follow him on Twitter if you don’t already.

Happy trend following and thank you for reading!

➤ You can follow Of Dollars And Data via Email (1 weekly newsletter), Twitter, Facebook, or Medium.

This is post 55. Any code I have related to this post can be found here with the same numbering: https://github.com/nmaggiulli/of-dollars-and-data

Disclaimer

The above references an opinion and is for information purposes only. It is not intended to be investment advice. Seek a duly licensed professional for investment advice. The postings on this site are my own and do not necessarily reflect the views of my employer. Please read my “About” page for more information.

OfDollarsAndData.com is a participant in the Amazon Services LLC Associates Program, an affiliate advertising program designed to provide a means for sites to earn advertising fees by advertising and linking to Amazon.com and affiliated sites.

Follow the Money was originally published in Of Dollars And Data on Medium, where people are continuing the conversation by highlighting and responding to this story.

Artículos recomendados para inversores 226

academiadeinversion.com - Lun, 01/15/2018 - 09:52

Recopilación de artículos recomendados para inversores en general y, en especial, para los seguidores del value investing, volumen 226.

La entrada Artículos recomendados para inversores 226 aparece primero en Academia de Inversión - Aprende value investing desde cero.

Updating My Favorite Performance Chart For 2017

http://awealthofcommonsense.com - Lun, 01/15/2018 - 03:01
Each and every year since I started this website I’ve updated the following asset allocation quilt: For the second year in a row each asset class on this chart was positive. 2017 was a good year for investors. Looking at this list also serves as a reminder that next year the 2008 data will drop off the 10-year return numbers. So while the current 10-year numbers look pretty good, barring a market meltdown in 2018, ...

The Lifecycle of an Investment Idea

http://awealthofcommonsense.com - Vie, 01/12/2018 - 01:38
The Holy Grail of portfolio management is finding an asset or strategy that has high returns with low correlations to standard portfolio holdings like stocks and bonds. In the mid-2000s, many investors were led to believe they found such an asset in commodities. One of the main reasons for this belief was an academic paper written in 2005 by Gary Gorton and Geert Rouwenhorst called Facts and Fantasies about Commodity Fut...

La del Rand

LaVueltaAlGrfico - Mié, 01/10/2018 - 22:50
Ayer ocurrió una cosa muy curiosa en el Rand suráfricano (ZAR), sintomática del momento que estamos viviendo. Algo así como el resultado de meter trading algorítmico, análisis de datos en redes sociales y fake news en una batidora. Y ponerla al máximo. Todo comenzó en una conocida página de noticias de dudosa credibilidad, que señaló la dimisión de J. Zuma, actual y polémico presidente en

Animal Spirits Episode 12: The Melt-Up

http://awealthofcommonsense.com - Mié, 01/10/2018 - 14:59
On this week’s Animal Spirits with Michael & Ben we discuss: The prospects for a melt-up in the stock market over the coming 9-18 months. The psychological damage another market crash would have on investors. Why not all historical stock market bubbles have ended in a crash. The problem with trying to come up with a mathematical formula to define a bubble. An under-the-radar idea for your best investment of 201...

How the U.S. Stock Market is Unique

http://awealthofcommonsense.com - Mar, 01/09/2018 - 15:39
Home country bias is when investors have the tendency to invest mostly in their own domestic markets. A simple reason for this is familiarity (and in many countries a lack of opportunity to invest elsewhere). But many investors who have a home country bias don’t understand how the different regions of the world differ in terms of their market structure and composition. In this piece I wrote for Bloomberg I use South...

The Patterns That Weren’t There

https://ofdollarsanddata.com - Mar, 01/09/2018 - 12:56
Why Signals Are Hard to Identify and What to Do About ItOil Spill in Skagway, Alaska (Photo: Wikimedia Commons)

It was the beginning of 1959 and something was not quite right with John Nash. The famed mathematician, who would eventually go on to win the Nobel Prize in Economics for his work on game theory, was having a mental breakdown.

What started with innocent jokes about finding patterns in licenses plates progressed into a full-fledged belief that extraterrestrials were sending him decoded messages through the New York Times. At one point, Nash also became convinced that more men around Boston were wearing red neckties to get him to notice them. He was seeing patterns that weren’t there.

Though no one knows why approximately 1 percent of the population in all countries develop schizophrenia, seeing patterns between non-related things (the technical term is Apophenia) is a common symptom. You may already know Nash’s story from A Beautiful Mind, but understanding why Nash believed what he did provides an important lesson for investors.

In late 1995, following his recovery from schizophrenia, Nash was asked why he believed so many illogical things in his past. Nash’s answer revealed a core truth about how humans perceive patterns:

The ideas I had about the supernatural beings came to me the same way that my mathematical ideas did. So I took them seriously.

This is the problem that you, I, and every other human on Earth are born with — we have no faulty pattern detector. Just like John Nash couldn’t discern between reality and the spurious patterns he saw, we cannot easily tell the difference between a signal and noise. This limitation did not hinder us in a world of small sample sizes and no need for probabilistic thinking, however, the modern world has changed all of that.

For example, in ancient times, if you spotted a tiger in the same cave three times, you probably wouldn’t go near that cave in the future. Today, if a mutual fund has outperformed for three years in a row, you might send them all your money. Different times, but similar thinking.

This matters for you as an investor, because you may end up making investment decisions based on seeing patterns that are nothing more than random chance. Many investors tend to chase performance by investing in those funds/sectors with the best recent track record. However, there is plenty of evidence that doing so typically leads to worse performance in the long run (see here, here, here, and here).

The thing that many investors tend to forget is that randomness will always exhibit some patterns. In fact, the British mathematician Frank P. Ramsey proved mathematically that no matter how complicated you make a system, as it grows in size it will have to show some substructure. This is known as Ramsey’s theorem and illustrates why patterns exist within randomness.

To make this idea clearer, consider the following two sequences of 10 coin flips:

  1. HHHHHHHHHH
  2. THTTHTHHTH

Which sequence is more likely?

If you have ever studied statistics you will know that this is a trick question — both sequences are equally likely. I know that this answer doesn’t feel right, but that is the point of this post. It seems rational to assume that sequence 2 is more random than sequence 1 because it exhibits less of a pattern. After all, if someone came up to you and flipped 10 heads in a row, you would start to question whether their coin was rigged, right? However, sequence 2 has the same probability of occurring as sequence 1 (1 in 1,024).

If we imagined flipping a coin 400 times and plotting it on a 20x20 grid, you might see some smaller patterns though the sequence is completely random (Note: red = tails, black = heads):

My point is that many of the financial decisions you make throughout the rest of your life will be dominated by small sample sizes where randomness will likely play a role. If you combine this with the recency bias (i.e. the tendency to overweight the most recent information), you can see how short term patterns could affect your financial decision making. Therefore, before you make a financial decision, consider how chance could be influencing your decision.

The Disguise of Randomness

One of my professors in college used to do a wonderful exercise that beautifully illustrated the nature of randomness. He would give someone a coin and a sheet of paper and then ask them to do two things in private:

  1. Write down what they thought a sequence of 20 coin flips would look like.
  2. After doing step 1, flip the real coin 20 times and write down the actual sequence of flips elsewhere.

Within seconds of being shown the two sequences, my professor could always tell which came from the real coin and which was simulated. How did he do this?

My professor realized that people tend to switch back and forth between heads and tails too quickly in their simulations, while the real coin typically wouldn’t. Most people think that seeing 4 or more heads (or tails) in a row seems un-random so they balance their simulated sequence out with more tails (or heads). Ironically, this behavior makes their sequence less random and easier to identify when compared to the real coin sequence.

I loved this exercise because it demonstrated how randomness likes to disguise itself with patterns. While it will always be a challenge to identify this disguise, it doesn’t mean we shouldn’t try. Thank you for reading!

➤ You can follow Of Dollars And Data via Email (1 weekly newsletter), Twitter, Facebook, or Medium.

This is post 54. Any code I have related to this post can be found here with the same numbering: https://github.com/nmaggiulli/of-dollars-and-data

Disclaimer

The above references an opinion and is for information purposes only. It is not intended to be investment advice. Seek a duly licensed professional for investment advice. The postings on this site are my own and do not necessarily reflect the views of my employer. Please read my “About” page for more information.

OfDollarsAndData.com is a participant in the Amazon Services LLC Associates Program, an affiliate advertising program designed to provide a means for sites to earn advertising fees by advertising and linking to Amazon.com and affiliated sites.

The Patterns That Weren’t There was originally published in Of Dollars And Data on Medium, where people are continuing the conversation by highlighting and responding to this story.

Cartera #2DeepValue en 2017 (+32%) y Cartera 2018

foolvalue.com - Lun, 01/08/2018 - 15:05

Presentamos a continuación los principales resultados de la Cartera #2DeepValue en 2017. #2DeepValue se compone desde 2012 con títulos con muy baja valoración medida en términos de P/BV, ajustada por niveles de endeudamiento, criterios de diversificación sectorial y otros aspectos que alineen la cartera con la tesis subyacente descrita en un post anterior. Desde 2013 la cartera es una inversión real y muestra una rentabilidad anualizada desde el inicio del 31%.

#2DeepValue gestiona posiciones con una perspectiva de valoración contrarian y atiende al aspecto emocional que puede condicionar la evolución de la cartera. Selecciona valores castigados de forma puntual o estructural pero con aparente capacidad para recuperar niveles tras un eventual exceso de mercado. A su vez, la disciplina temporal de rotar cartera evita la tentación de mantener posiciones que -pudiendo tener recorrido- implican tesis de inversión de otro orden y fuerza el remplazo periódico por posiciones mejor alineadas con la filosofia de la cartera.

En 2017 #2DeepValue se ha comportado satisfactoriamente, con una revalorización anual acumulada al cierre del año 2017 del +32,3% que compara con el +10,5% del Stoxx 50 Gross Return. 

El patrón de comportamiento que se viene observando desde 2012 se repite en el año, con algunos valores mostrando números excepcionales y otros tantos con rendimientos moderadamente negativos. Al cierre los cinco valores que más se han revalorizado promedian el 79% (ENCE, Correa, Cementir, COFIDE, Novabase) mientras que los cinco valores con peor comportamiento promedian –13% (Safilo, Vallourec, Maurel, Danieli y Bilfinger). De los quince valores de la cartera, doce muestran un retorno positivo. 

Por países, Italia con cinco representantes se ha revalorizado un +24%, mientras que la media de los tres valores españoles es de un +78%. Son nueve los valores que han distribuido dividendos -que no reinvierto y computo íntegro a efectos de los cálculos de retorno-, cifra superior a la de ejercicios anteriores. La mediana de la revalorización de la cartera se ha situado en un +23,4%, alejado del promedio de la cartera y que muestra el claro repunte de unos pocos valores en esta ocasión.

Estelar ha sido la evolución de ENCE, Correa y Cementir en el conjunto del año, y de Correa y Salzgitter en el tercer trimestre. Pharol ha sido el más volátil del año, alcanzando una revalorización máxima del 80% para culminar el año con un meritorio 21%. Sin el valor de mayor revalorización -ENCE- la cartera #2DeepValue hubiera quedado en +25,6%. 

Evolución de 1.000 euros en #2DeepValue 2012-2017

Desde junio de 2012 la revalorización acumulada alcanza +340% frente al +87% del Stoxx 50 GR. Esto equivale a una tasa de retorno anualizada desde el inicio de la cartera del +31% vs +12% del comparable.  Por lo tanto, 1.000 euros invertidos en #2DeepValue en junio de 2012 son 4.401 euros al 31 de diciembre de 2017 y 1.871 euros si se hubieran invertido en el índice. 

 La cartera 2DeepValue de 2018 

La composición de la cartera para el ejercicio 2018 ha tenido un elemento de complejidad inédito hasta ahora: los niveles absolutos del mercado impiden obtener el número suficiente de valores dentro del perímetro de selección de nombres empleado hasta ahora. Esto plantea la disyuntiva de mantener un porcentaje de la cartera en liquidez desde el inicio (en torno al 30%) o bien modificar los criterios evitando asumir riesgo adicional. Finalmente la decisión ha sido de alguna manera salomónica: modificar el perímetro para completar una cartera de quince valores eliminando el cap de tamaño aplicado en los últimos años e incluir algunos valores de menor capitalización que no estaban en el perímetro original y forman parte de índices menores. El criterio general ha sido no incrementar el riesgo de la cartera vía mayor P/BV u otros factores como el nivel de apalancamiento.

La lista de valores para la cartera 2018 ha quedado compuesta por: AS Creation Tapeten, Caltagirone, Casino Guichard, CIR, Danieli, Hornbach Baumarkt, Kloeckner, Maurel et Prom, Renault, Repsol, Safilo, Saipem, U10, Vallourec y Volkswagen pref (VOW3). El ratio P/BV al inicio de 2018 es de 0,74x, con un leverage promedio del 13% El market cap promedio de la cartera es de 9.852M, significativamente superior a 2017 y el retorno medio del año anterior ha sido del -3%. 

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