贵金属投资技术分析英文版 (45)

1、Michael J. MauboussinChief Investment StrategistLegg Mason Capital ManagementLong Term Investing in a Short Term World.Its as Easy as PIELong Term Investing in a Short Term World2PIEPIEsychologyncentivesxpectationsNotLong Term Investing in a Short Term World3Agenda1. The BarriersuPsychologyuIncentiv

2、es2. The EvidenceuCorporationsuInvestors/Investment managers3. The SolutionuSocial contextuA look at winnersuTime arbitrageLong Term Investing in a Short Term World4Barriers to Long Term ThinkingPhenomenonEffectAvailability biasAccounting versus economic focusRecency biasBetting on what has workedSt

3、ressCreates a short-term focusAgent/principal shiftAgency costsIncentivesPsychologyLong Term Investing in a Short Term World5CorporationsSource: Brian J. Hall and Jeffrey B. Liebman, “Are CEOs Really Paid Like Bureaucrats?” NBER Working Paper 6213, October 1997; “2004 CEO Compensation Survey and Tre

4、nds,” Wall Street Journal/Mercer Human Resource Consulting, May 2005; LMCM estimates.19852005CEO Compensation1995Tied to stock market43%Tied to stock market 1%Tied to stock market60%Long Term Investing in a Short Term World6Corporations“Earnings are in a class by themselves”Four reasons:Investors ne

5、ed a simple metric to summarize performanceEPS gets the broadest media distribution and coverageFocus on EPS makes the analysts job easierAnalysts evaluate a firms progress based on making EPSSource: John R. Graham, Campbell R. Harvey, and Shiva Rajgopal, “The Economic Implications of Corporate Fina

6、ncial Reporting,” NBER Working Paper, March 2004.Long Term Investing in a Short Term World7uFirms are willing to sacrifice economic value in order to meet a short-run earnings targetuThe preference for smooth earnings is so strong that 78% of surveyed executives would give up economic value in excha

7、nge for smooth earnings!EPS ObsessionSource: John R. Graham, Campbell R. Harvey, and Shiva Rajgopal, “The Economic Implications of Corporate Financial Reporting,” NBER Working Paper, March 2004.Long Term Investing in a Short Term World8InvestorsFrom Principals to AgentsIndividual investorsFinancial

8、institutions19502000Source: John Bogle, “The Relentless Rules of Humble Arithmetic,” Speech: 60th Anniversary Conference of the Financial Analyst Journal, February 10, 2005.Direct stock holdingsIndividual investorsFinancial institutions1970Individual investorsFinancial institutionsLong Term Investin

9、g in a Short Term World9Investment ManagementProfessionBusiness Deliver superior results Generate sales Long term Asset gathering Contrarian Return for company, not shareholders PatientSource: Charles D. Ellis, “Will Business Success Spoil the Investment Management Profession?” The Journal of Portfo

10、lio Management, Spring 2001.Long Term Investing in a Short Term World10uNumber of funds versus relative returns (1994-2003)Investment ManagementFirmEqual-Weighted OutperformanceNo. of FundsFirmEqual-Weighted OutperformanceNo. of FundsFirmEqual-Weighted OutperformanceNo. of FundsDodge & Cox984Waddell

11、 & Reed6145Eaton Vance4973First Eagle975USAA6131Morgan Stanley Adv.4950Calamos918Oppenheimer6048Goldman Sachs4934So. Eastern/Longleaf903MFS5961The Hartford4833American Funds7926Prudential5949Putnam4754Royce7914New York Life5822John Hancock4735Harris Associates777US Bancorp5737Dreyfus45126Vanguard767

12、5Columbia Mgmt.5672Delaware4456PIMCO7631AllianceBernstein5557Strong4442Franklin Templeton7110Banc One5436Thrivent Financial4425T. Rowe Price7172Neuberger Berman5414Trusco4324Janus7021Lord Abbett5327Merrill Lynch4058ING6960Scudder5265Aim3962Nuveen6526Van Kampen5243Nations Funds3842American Century645

13、4Federated5237American Express3760WM Advisors6415Evergreen5157BlackRock3632Davis627Citigroup5057Pioneer3324Fidelity62207Wells Fargo5039JP Morgan3238Source: Fidelity Investments. Data presented in John C. Bogle, “The Relentless Rules of Humble Arithmetic,” Financial Analyst Journal, November/December

14、 2005.Shading highlights firms that manage fifteen or fewer fundsLong Term Investing in a Short Term World11Investment ManagementuOwnership structure versus relative returns (1994-2003)FirmEqual-Weighted OutperformanceFirmEqual-Weighted OutperformanceFirmEqual-Weighted OutperformanceDodge & Cox98Wad

15、dell & Reed61Goldman Sachs49First Eagle97USAA61Morgan Stanley Adv.49Calamos91Oppenheimer60Eaton Vance49So. Eastern/Longleaf90Prudential59The Hartford48Royce79MFS59John Hancock47American Funds79New York Life58Putnam47Harris Associates77US Bancorp57Dreyfus45PIMCO76Columbia Mgmt.56Strong44Vanguard76All

16、ianceBernstein55Delaware44T. Rowe Price71Banc One54Thrivent Financial44Franklin Templeton71Neuberger Berman54Trusco43Janus70Lord Abbett53Merrill Lynch40ING69Van Kampen52Aim39Nuveen65Scudder52Nations Funds38American Century64Federated52American Express37WM Advisors64Evergreen51BlackRock36Davis62Wells

17、 Fargo50Pioneer33Fidelity62Citigroup50JP Morgan32Source: Fidelity Investments. Data presented in John C. Bogle, “The Relentless Rules of Humble Arithmetic,” Financial Analyst Journal, November/December 2005.Shading represents private firmsLong Term Investing in a Short Term World12InvestorsuBad timi

18、ng exerts a huge tollAverage Investor ReturnSource: John C. Bogle, “The Relentless Rules of Humble Arithmetic,” Financial Analyst Journal, November/December 2005.12.8%10.0%6.3%Average Annual Return (1983-2003)S&P 500 Index FundAverage Fund ReturnLong Term Investing in a Short Term World13InvestorsuB

19、ad timingchasing what has been hotSource: John C. Bogle, “Statement of John C. Bogle to the United States Senate Governmental Affairs Subcommittee,” available at Bogle Financial Markets Research Center. Long Term Investing in a Short Term World140100020003000400050006000Investors“At Cape Cod Barber

20、Shop, Slumping Stocks Clip Buzz”“Tech-Stock Chit-Chat Enriches Many Cape Cod Locals”199520002005“All they ever say is, Buy, buy, buy, all the way down from $100 a share to bankruptcy.” NASDAQ“I dont think anything could shake my confidence in this market.even if we do go down 30%, well just come rig

21、ht back.”March 13, 2000July 8, 2002Long Term Investing in a Short Term World15InvestorsAll StylesSmall Cap ValueSmall Cap GrowthMid Cap ValueMid Cap GrowthLarge Cap ValueLarge Cap GrowthNote: Data from 1979-2002. Source: Evergreen Capital Management, LLC. “An Asset Allocation Strategy for the Intell

22、igent Investor.”Mutual Fund Flows and Subsequent 2-Year Avg Return versus S&P 500 (%)High outflows, low valuationsHigh inflows, high valuations-4.9-8.4+1.4-2.1-9.5-5.8-6.7+17.8+8.7+1.7+14.5+10.3+6.5+4.2Long Term Investing in a Short Term World16uBad timingInvestorsLast 5 year annual gainRydex Weight

23、ingS&P 500 Weighting EnergyPrecious MetalsTechnologyFinancialsOverweightUnderweight10.7%18.7%31.2%22.6%9.8%0.4%-5.9%2.8%15.1%4.8%2.9%21.6%Source: Bloomberg and S&P.Performance Data as of 5/26/06Rydex Data as of 5/26/06S&P Data as of 5/30/06Long Term Investing in a Short Term World17uIn it for the sh

24、ort(er) termInvestorsSource: John Bogle, “The Mutual Fund Industry 60 Years Later: For Better or Worse?”, Financial Analyst Journal, January/February 2005.Annual Turnover of Shares by Equity Fund Investors05101520253035404550194519501955196019651970197519801985199019952000200220032004*Shares Redeeme

25、d as Percent of Assets Long Term Investing in a Short Term World18uHolding periods are shrinkingInvestment Managers0204060801001201946 1951 1956 1961 1966 1971 1976 1981 1986 1991 1996 2001 Annual Turnover Rate (%)Source: Bogle Financial Markets Research Center.2006Long Term Investing in a Short Ter

26、m World19EvidenceuThe market is actually long-term orientedTakes many years of value-creating cash flows to justify todays priceInvestors make short-term bets on long-term outcomesShort-termism creates costsLong Term Investing in a Short Term World20SolutionuMinimize agency costsuIncentives (busines

27、s) create a very suboptimal social contextuFundamental attribution errorLong Term Investing in a Short Term World21SolutionuThe prison experiment (1971)“Situational variables can exert powerful influences over human behavior, more so than we recognize or acknowledge.”Philip ZimbardoStanford Universi

28、tySource: . Used by permission.Long Term Investing in a Short Term World22Who Succeeds?uPortfolio turnoveruPortfolio concentrationuInvestment styleuGeographic locationSource: Michael J. Mauboussin, More Than You Know: Finding Financial Wisdom in Unconventional Places (New York: Colu

29、mbia University Press, 2006), 17-19.Long Term Investing in a Short Term World23010203040506070809010002468101214161820Number of TrialsPercentage of Heads01020304050607080901000102030405060708090100Number of TrialsPercentage of HeadsTime Arbitrage - ExpectationsSource: Michael J. Mauboussin, “Capital

30、 Ideas Revisited-Part 2,” Mauboussin on Strategy, May 20, 2005.20 Trials100 TrialsLong Term Investing in a Short Term World24Time Arbitrage - ExpectationsuTime arbitrageUnderstand expectationsFocus on signalLong term growth, ROICLong Term Investing in a Short Term World25ConclusionsuCompanies, inves

31、tors, and investment managers behave suboptimallyuPsychology and incentives explain much of this poor behavioruUnderstand the nature of investing, and carefully consider expectationsLong Term Investing in a Short Term World26The views expressed in this commentary reflect those of Legg Mason Capital Management (LMCM) as of the date of this commentary. These views are subject to change at any time based on market or other conditions, and LMCM disclaims any responsibility to update such views. These views may not be relied upon as investment advice and, because in