Lehrbuchweisheiten (und andere) zur Aktienanlage (Englisch)

verfasst von Popeye, 21.06.2002, 20:53

In praise of common sense
Jun 20th 2002
From The Economist print edition


What light does the modern theory of portfolio
choice shed on the decisions of ordinary investors?

AT FIRST glance, the gap between
finance theory and the advice typically
offered to ordinary investors seems
wide. The rules of sound investing, as
laid down by most advisers (salesmen)
working for banks, insurance companies
and the rest, or by personal-finance
pundits in the media, suggest that these experts
have been too busy to open chapter one of any
post-1950s finance-theory textbook.

Good news: it may not matter. The advisers' common
sense has more going for it than you might imagine.
It turns out that more advanced theories-which few
economists, never mind investment advisers, have
bothered to understand-endorse some of the
salesmen's favourite rules of thumb, albeit for
reasons unsuspected in head office.

The basic framework for modern finance theory is
mean-variance analysis. This allows different
investments to be compared in terms of the trade-off
between expected reward (measured by mean return)
and risk (measured by the variance of returns). An
investor who cares only about these two properties
will always prefer an investment that offers the
highest mean return for any given amount of risk.

That may seem obvious-but it has some surprising
implications. Cranking through the algebra-take this
on trust-it follows that all investors will choose the
same combination of risky assets. To the extent that
investors differ in their fondness for risk, they will
mix different amounts of zero-risk"cash" (short-term
money-market instruments, such as treasury bills)
with their chosen bundle of risky assets-shares and
bonds. But the proportions of shares and bonds in
the risky part of the portfolio will be the same for all.
This is flatly at odds with the advice that is always
offered to conservative (risk-avoiding) investors: hold
more bonds and fewer shares.

Another article of faith for investment advisers is that
young people saving for retirement should, other
things equal, take more risk and hold more stocks
than old investors. The idea is that time lets you ride
out the ups and downs of the stockmarket. This is
also the rationale for"buy and hold"-the
stockmarket strategy often recommended to small
investors.

Again, according to the basic theory, this is wrong. In
the standard model, assuming among other things
that the risk and return properties of different assets
do not change, the investment horizon is irrelevant.
The long-term investor should choose the same
bundle of assets as the short-term investor.

So investment advisers don't know their theory of
portfolio choice. Never mind. In"Strategic Asset
Allocation" (published by Oxford University Press),
John Campbell and Luis Viceira of Harvard University
guide the reader (who will need a bit of maths) to
the frontiers of pure and applied portfolio choice. Lo,
much of the standard advice is redeemed.

First, cash is not riskless for the long-term investor,
as the basic model assumes. This is because of
uncertainty over the rates at which treasury bills and
the like will have to be rolled over. The safe asset for
a long-term investor is an index-linked long-term
bond-or, if inflation risk is low, a long-term nominal
bond. Just as cash varies in the simple model to
accommodate different preferences for risk, the
proportion of indexed bonds varies in a cleverer
model for the same reason. The standard advice on
asset allocation for conservative investors turns out
to be not too bad.

Second, shares are indeed safer over the long term
than over the short term. Why? Because the evidence
suggests that stock returns are somewhat predictable
from dividend yields and other market information.
Returns are mean-reverting: expected returns are
lower when the market has recently done well, and
higher when it has done badly. This mean-reversion
violates the model's assumption of constant
investment opportunities. And it lowers the risk of
holding stocks over the long term. The investment
advisers' guidance is vindicated again.

Here, though, comes a catch. The property that
makes shares safer in the long than in the short
term-mean-reversion-also refutes the rationale for
"buy and hold". In principle, the wise long-term
investor should try to time the market, exploiting
information in the history of share prices. Reduce
your equity holdings at times (such as now) when
prices are historically high in relation to dividends,
and increase them when prices are low.

A third and very important complication also ignored
by the simple model is that most investors have
other sources of wealth-in particular, income from
employment. This is equivalent to the income from a
relatively safe financial asset, but with a twist. Its
amount varies according to the investor's age:
expected lifetime income from work is high when
investors are young and dwindles to nothing at
retirement. This means that the composition of
wealth changes over time, even if choices about
allocating financial assets stay the same. The
long-term investor needs to rebalance his financial
assets accordingly.

Labour income makes holding riskier assets more
attractive, and the younger the investor, the stronger
this effect. So the advisers are right again, even if
they do not know why: young investors with secure
jobs ought to be especially keen on investing in
shares. Older investors, as well as investors with
insecure jobs and investors with wages that are
highly correlated with stockmarket returns, should be
more conservative. Investment bankers fall into the
last two categories, implying, paradoxically, that they
should be among the most boringly cautious
investors of all. So all is not lost: the theory does
give one cliché a beating."Leave stocks and shares
to the professionals" is bad advice for professionals
and amateurs alike.

Quelle: Economist - nur für Abo!

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• Lehrbuchweisheiten (und andere) zur Aktienanlage (Englisch) - Popeye, 21.06.2002, 20:53