Re: Fat Tails, multiple Fraktale, Louis Bachelier & Benoit Mandelbrot / Frage

verfasst von Popeye, 23.06.2005, 17:17

-->>>- Buy and Hold-Strategien sind schlechter als Market-Timing-Strategien, weil Kursschwankungen nicht symmetrisch sind.
>Hi Popeye,
>Kannst du mir sagen, wovon das Market-Timing abhängig gemacht wurde (wann wird gekauft, wann verkauft?) und wie Buy&Hold gerechnet wurde (man kauft irgendwann und hält für x Jahre?)?
>Danke & Gruß
>Diogenes

Hallo, @Diogenes,
mehrfach machen die beiden Autoren in dem Buch, aber auch in anschließenden Interviews (z.B. FAZ vom 4.6.2005, Seite 23) deutlich, dass dies keine Rezeptsammlung ist. Sie können auf der Basis ihrer Beobachtungen (noch) keine Prognosen geben vielmehr ist das Buch darauf gerichtet tatsächliches Marktverhalten/Risikostrukturen zu beschreiben.
Zum weiteren Verständnis nachstehend ein Scan des Kapitels zum Market-Timing.
Grüße

Seiten 233-35 der fremdländischen Ausgabe
"3. Market"Timing" Matters Greatly. Big Gains and Losses Concentrate into Small Packages of Time.

Concentration is common. Look at a map of gold deposits around the world: You see clusters of gold veins—in South Africa and Zimbabwe, in the far reaches of Siberia and elsewhere. This is not total chance; millennia of real tectonic forces gradually worked it that way. Understanding concentration is crucial to many businesses, especially insurance. A recent study of tornado damage in Texas, Louisiana, and Mississippi found 90 percent of the claims came from just 5 percent of the insured land area.

In a financial market, volatility is concentrated, too; and it is no mystery why. News events—corporate earnings releases, inflation reports, central bank pronouncements—help drive prices. Orthodox economists often model them as a long series of random events spread out over time. While they can be of varying importance and size, their assumed distribution follows the bell curve so that no single one is preeminent. What sense is this? The terrorist attack on the World Trade Center was, by anyone's reckoning, far and away the most important event in years for world stability and, consequently, for financial markets. It forced the closure of the New York Stock Exchange for an unprecedented five days, and when trading reopened caused a 7.5 percent fall. It was one titanic event, not the sum of many small ones. Big news causes big market action. And that action concentrates in small slices of time.

The data demonstrate this. From 1986 to 2003, the dollar traced a long, bumpy descent against the Japanese yen. But nearly half that decline occurred on just ten out of those 4,695 trading days. Put another way, 46 percent of the damage to dollar investors happened on 0.21 percent of the days. Similar statistics apply in other markets. In the 1980s, fully 40 percent of the positive returns from the Standard & Poor's 500 index came during ten days—about 0.5 percent of the time.

What is an investor to do? Brokers often advise their clients to buy and hold. Focus on the average annual increases in stock prices, they say. Do not try to"time the market," seeking the golden moment to buy or sell. But this is wishful thinking. What matters is the particular, not the average. Some of the most successful investors are those who did, in fact, get the timing right. In the space of just two turbulent weeks in 1992, George Soros famously profited about $2 billion by betting against the British pound. Now, very few of us are in that league, but we can in our modest way take cognizance of concentration. Suppose big news has inflated a stock price by 40percent in a week, more than twice its normal volatility. What are the odds that, anytime soon, yet another 40 percent run will occur? Not impossible, of course, but certainly not large. A prudent investor would do as the Wall Street pros: Take a profit.

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gesamter Thread:

• Fat Tails, multiple Fraktale, Louis Bachelier & Benoit Mandelbrot - Popeye, 23.06.2005, 11:47
  • Hervorragender Beitrag, danke! Es zeigt, wie das Forum gewinnen kann, - BillyGoatGruff, 23.06.2005, 12:18
    • Re: Hervorragender Beitrag/ Ja, kommt i.d. Sammlung.... + Zusatz.... - Elli (Boardmaster)--, 23.06.2005, 13:06
    • @BGG & @ELLI - Popeye, 23.06.2005, 13:21
      • Re: Antwort - Cosa, 23.06.2005, 20:35
        • Danke für das Lebenszeichen, Cosa! (o.Text) - - Elli -, 23.06.2005, 22:01
  • Re: Fat Tails, multiple Fraktale, Louis Bachelier & Benoit Mandelbrot / Frage - Diogenes, 23.06.2005, 16:47
    • Re: Fat Tails, multiple Fraktale, Louis Bachelier & Benoit Mandelbrot / Frage - Popeye, 23.06.2005, 17:17
      • Herzlichen Dank! (o.Text) - Diogenes, 23.06.2005, 22:01