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AswathDamodaran1MarketTimingAswathDamodaranAswathDamodaran2ThePayofftoMarketTimingQIna1986article,agroupofresearchersraisedtheshacklesofmanyanactiveportfoliomanagerbyestimatingthatasmuchas93.6%ofthevariationinquarterlyperformanceatprofessionallymanagedportfolioscouldbeexplainedbythemixofstocks,bondsandcashattheseportfolios.QInadifferentstudyin1992,Shillingexaminedtheeffectonyourannualreturnsofbeingabletostayoutofthemarketduringbadmonths.Heconcludedthataninvestorwhowouldhavemissedthe50weakestmonthsofthemarketbetween1946and1991wouldhaveseenhisannualreturnsalmostdoublefrom11.2%to19%.QIbbotsonexaminedtherelativeimportanceofassetallocationandsecurityselectionof94balancedmutualfundsand58pensionfunds,allofwhichhadtomakebothassetallocationandsecurityselectiondecisions.Usingtenyearsofdatathrough1998,Ibbotsonfindsthatabout40%ofthedifferencesinreturnsacrossfundscanbeexplainedbytheirassetallocationdecisionsand60%bysecurityselection.AswathDamodaran3TheCostofMarketTimingQIntheprocessofswitchingfromstockstocashandback,youmaymissthebestyearsofthemarket.Inhisarticleonmarkettimingin1975,BillSharpesuggestedthatunlessyoucantellagoodyearfromabadyear7timesoutof10,youshouldnottrymarkettiming.ThisresultisconfirmedbyChua,WoodwardandTo,whouseMonteCarlosimulationsontheCanadianmarketandconfirmyouhavetoberight70-80%ofthetimetobreakevenfrommarkettiming.QThesestudiesdonotconsidertheadditionaltransactionscoststhatinevitablyflowfrommarkettimingstrategies,sinceyouwilltradefarmoreextensivelywiththesestrategies.Atthelimit,astock/cashswitchingstrategywillmeanthatyouwillhavetoliquidateyourentireequityportfolioifyoudecidetoswitchintocashandstartfromscratchagainthenexttimeyouwanttobeinstocks.QAmarkettimingstrategywillalsoincreaseyourpotentialtaxliabilities.Youwillhavetopaycapitalgainstaxeswhenyousellyourstocks,andoveryourlifetimeasaninvestor,youwillpayfarmoreintaxes.AswathDamodaran4MarketTimingApproachesQNon-financialindicators,suchaswhowontheSuperBowlQTechnicalindicatorssuchaspricechartsandtradingvolume.QMeanreversionindicators,wherestocksandbondsareviewedasmispricediftheytradeoutsidewhatisviewedasanormalrange.QMacroeconomicvariables,suchasthelevelofinterestratesorthestateoftheeconomy.QFundamentalssuchasearnings,cashflowsandgrowth.AswathDamodaran5Non-financialIndicatorsQSpuriousindicatorsthatmayseemtobecorrelatedwiththemarketbuthavenorationalbasis.QFeelgoodindicatorsthatmeasurehowhappyarefeeling-presumably,happierindividualswillbiduphigherstockprices.QHypeindicatorsthatmeasurewhetherthereisastockpricebubble.AswathDamodaran61.SpuriousIndicatorsQThereareanumberofindicatorssuchaswhowinstheSuperBowlthatclaimtopredictstockmarketmovements.QTherearethreeproblemswiththeseindicators:•Wedisagreethatchancecannotexplainthisphenomenon.Whenyouhavehundredsofpotentialindicatorsthatyoucanusetotimemarkets,therewillbesomethatshowanunusuallyhighcorrelationpurelybychance.•Aforecastofmarketdirection(upordown)doesnotreallyqualifyasmarkettiming,sincehowmuchthemarketgoesupclearlydoesmakeadifference.•Youshouldalwaysbecautiouswhenyoucanfindnoeconomiclinkbetweenamarkettimingindicatorandthemarket.AswathDamodaran72.FeelGoodIndicatorsQWhenpeoplefeeloptimisticaboutthefuture,itisnotjuststockpricesthatareaffectedbythisoptimism.Often,therearesocialconsequencesaswell,withstylesandsocialmoresaffectedbythefactthatinvestorsandconsumersfeelgoodabouttheeconomy.QItisnotsurprising,therefore,thatpeoplehavediscoveredlinkagesbetweensocialindicatorsandWallStreet.YoushouldexpecttoseeahighcorrelationbetweendemandathighlypricedrestaurantsatNewYorkCity(orwhereveryounginvestmentbankersandtradersgo)andthemarket.QTheproblemwithfeelgoodindicators,ingeneral,isthattheytendtobecontemporaneousorlaggingratherthanleadingindicators.AswathDamodaran83.HypeIndicatorsQAnexample:The“cocktailpartychatter”indicatortracksthreemeasures–thetimeelapsedatapartybeforetalkturnstostocks,theaverageageofthepeoplediscussingstocksandthefadcomponentofthechatter.Accordingtotheindicator,thelesstimeittakesforthetalktoturntostocks,thelowertheaverageageofthemarketdiscussantsandthegreaterthefadcomponent,themorenegativeyoushouldbeaboutfuturestockpricemovements.QTherearelimitationswiththeseindicators•Definingwhatconstitutesabnormalcanbetrickyinaworldwherestandardsandtastesareshifting.•Evenifwedecidethatthereisanabnormallyhighinterestinthemarkettodayandyouconclude(baseduponthehypeindicators)thatstocksareovervalued,thereisnoguaranteethatstockswillnotgetmoreovervaluedbeforethecorrectionoccurs.Inotherwords,hypeindicatorsmaytellyouthatamarketisovervalued,buttheydon’ttellyouwhenthecorrectionwilloccur.AswathDamodaran9TechnicalIndicatorsQPastprices•Pricereversalsormomentum•TheJanuaryIndicatorQTradingVolumeQMarketVolatilityQOtherpriceandsentimentindicatorsAswathDamodaran101a.PastPrices:Doesthepastholdsignsforthefuture?PriorsNumberofoccurrences%ofpositivereturnsAveragereturnAftertwodownyears1957.90%2.95%Afteronedownyear3060.00%7.76%Afteroneupyear3083.33%10.92%Aftertwoupyears5150.98%2.79%AswathDamodaran111b.TheJanuaryIndicatorQAsJanuarygoes,sog
本文标题:全套美国投资哲学,过千张pdf版pptmkttiming
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