Standard & Poor’s is making several index changes in the coming trading days.  While Regal Beloit Corp. (NYSE: RBC) and Allegiant Travel Co. (NASDAQ: ALGT) are moving up in the S&P Indexes, the big S&P decision is around the AOL Inc. (NYSE: AOL) spin-off from Time Warner Inc. (NYSE: TWX).  Other companies directly or indirectly affected in these changes are Avocent Corp. (NASDAQ: AVCT), and Emerson Electric Corp. (NYSE: EMR).  Our take on this is what it means for the amount of buying and selling from index funds.

Regal Beloit Corp. (NYSE: RBC) is moving up out of the S&P SmallCap 600 and will replace Avocent Corp. (NASD:AVCT) in the S&P MidCap 400.  Moves of this nature for Regal Beloit create very little added buying by S&P index-tracking funds.  Avocent is being acquired by Emerson Electric Corp. (NYSE: EMR), an S&P 500 constituent, in a tender offer expected to be completed soon pending final approvals.  Because Emerson is about 30-times the size of Avocent, this sort of index weighting change from index-tracking funds is just too small for us to even care about.

Allegiant Travel Co. (NASDAQ: ALGT) will be a new member of the S&P Small Cap 600 Index and will replace Regal Beloit in the index after the close of trading on Tuesday, December 8.  Allegiant is up 2.7% on only 250,00 shares.  It looks likely that more shares will need to be purchased based upon a $866 million market cap.

AOL Inc. (NYSE: AOL) is still trading as a when-issued stock but it will replace Imation Corp. (NYSE: IMN) in the S&P MidCap 400 after the close of trading on Wednesday, December 9.  Imation had a market capitalization of less than $325 million, under the minimum requirements for a mid-cap constituent.  Index sellers already have taken almost 4% out of the Imation price based upon index selling pressure as the entire weighting will be dumped.

Time Warner Inc. (NYSE: TWX), a S&P 100 and S&P 500 constituent, is spinning off AOL to shareholders on or about that date on a 1 for 11 share tax-free dividend basis.  Time Warner will remain in both the S&P 100 and S&P 500 indices. Fractional shares will be sold off and that cash will be distributed, but the tax portion is considered taxable. The exact market cap for AOL is not yet known as it trades on a when-issued basis.  That figure is north of $2.5 billion and is not deemed to be north of and is not more than $3.3 billion based on average comparisons.

The bad news is that AOL not going into the S&P 500 Index will create some mandatory S&P 500 Index benchmark fund selling in shares of Time Warner.  But the good news is that this will likely be far less index selling compared to many other key spin-offs.

Our calculations for what the real translation of index trackers differs from others because we have discussed with S&P analysts about their own interpretations of index trackers.  Based upon a conversation we had and assuming the market remains stable, we would expect only about 10 million Time Warner net shares over the coming days to have to be absorbed, and that figure will be easy to be absorbed as the indexers have a week before the formal change.  Any additional shares that need to be sold won’t have to be immediately sold as most funds have looser buy and sell policies on index changes.

JON C. OGG

The Department of Energy has just released its new weekly data on oil inventories. The headline data looks good for those wanting lower oil prices, but there is actually some very mixed data in the report.  The key ETFs that we are watching on the news are the Oil Services HOLDRs (NYSE: OIH), the Ultra Oil & Gas ProShares (NYSE: DIG), the United States Oil (NYSE: USO) ETF and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL).   NYMEX WTI Crude is up $0.06 per barrel at $76.08 10:34 AM EST after the news, which is a far lower price than what has been seen into weekly inventory data in recent weeks.

Crude oil inventories rose 2.09 million barrels to 339.899 million barrels; Dow Jones had estimates at only about +800,00 barrels.  We were looking for about 1 million.  Gasoline inventories showed the big gains as they rose 3.996 million barrels to 214.08 million barrels; we saw a Dow Jones estimate of 700,000 and we were looking for or perhaps “hoping for” 1 million or more.  So both crude and gasoline blew out the numbers.

Distillates were soft again with a drop by -1.17 million barrels to 165.698 million barrels.

Some more bad news was on the refining capacity.  This came down back under 80.0% to a reading of 79.66%.  Last week was 80.25% and Dow Jones had an estimate of 80.5%.  We would have been happy if this would have just remained above 80%, but this is a dud of a reading and it just shows how troubled the refining business is.

The Oil Services HOLDRs (NYSE: OIH) is down 0.3% at $119.45, the Ultra Oil & Gas ProShares (NYSE: DIG) is down 0.7% at $35.52, the United States Oil (NYSE: USO) ETF is down 0.85% at $39.28, and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL) is down 0.85% at $25.94.  NYMEX WTO Crude at 10:52 AM EST is currently down $0.94 at $77.43 per barrel.

JON C. OGG

IndexIQ is no stranger to ETFs with non-traditional investment goals.  IndexIQ recently launched an ETF called the IQ ARB Merger Arbitrage Exchange-Traded Fund (NYSE: MNA), which is the first ETF we have seen out there that tracks merger arbitrage.  The aim is to track the performance of a basket of mergers which the index invests in with the ultimate goal of capturing the difference between a merger price upon closing and the current price of the acquired company.

This seeks investment results that are meant to track the price and yield performance of the IQ ARB Merger Arbitrage Index, which invests in global companies where a public announcement of a takeover by an acquirer has already come about.  This is aimed to replicate what was reserved for merger arbitrage funds and will allow retail and individual investors a chance to play in that game.

IndexIQ also noted that the ETF-based approach will offer investors a number of advantages, including intra-day liquidity, portfolio transparency, and low fees.

Despite the notion that the ETF will invest in equities, this index does not really give equity returns.  Seeing as that the majority of announced public mergers do close, this generally tends to offer enhanced returns compared to bonds.  Here is the performance data (in percentages) from IndexIQ:

YTD    1-Year    3-Year  5-Year
19.48    13.75    4.94    10.00… IQ ARB Merger Arbitrage Index
23.34    19.21    -5.51    3.20…. MSCI World Index

Again, this is not just US mergers as it can invest in major developing countries.  It also has guidelines over the certainty of a merger’s chances of closing and is reconstituted and rebalanced monthly.  No single common stock index component may have a weighting greater than 15% at each rebalance and reconstitution date.

What is also interesting here is that the methodology notes that the final common stock index component weights are scaled to 90% to provide for a 10% aggregate allocation of no more than 5% each to at least 2 inverse and/or ultra inverse ETFs.  We will have to see this in action, because that can create tracking errors for at least a part of the ETF.

JON C. OGG

There is some growing technical concern that is coming in the S&P 500 Index, which of course most trade via the SPDR (NYSE: SPY) ETF or the Spyders.  This is one of the older and most liquid ETF instruments with well over 100 million shares traded per day.  INO, one of our affiliates, has just given some key pivot points to watch out for in an audio/video presentation as the S&P and equities whip around.  Last Friday’s reaction to Dubai and the re-news effect of the same yesterday morning was reversed, but this is setting up a more and more critical levels to watch.

The S&P is currently back above 1,100 because of some easing of concerns over what spill-over the Dubai mess will have.  But the S&P broke through 1,090 on the S&P on both Friday and Monday before recovering.  Interestingly enough, the SPY ETF hit lows under $109.00 on the same days before recovering.  This morning’s gap up did not go above the pre-Thanksgiving close and today’s action will be key.

They key pivot that the new technician affiliate at INO is calling for is 1,072, where Adam Hewison said would represent an immediate exit for all long trades in the S&P that have been on the books for months.  If that occurs and holds, the prior pivot of 991 comes into play.  On the SPY ETF, that would imply trading handles of about $107.20 with the possibility of $99.10 coming into play.  One of the issues Adam has is that the internals are looking more bearish even as the market rose, and December is traditionally a tricky month with lighter trading volumes.

We might caution on the low bar being down at 1,072, except that Adam was the one we were relying upon when gold was barely above $900.00 per ounce for his call of a super-band taking gold up to $1,200.00 per ounce and beyond.  Again, that full audio/video can be seen here.

JON C. OGG

Vimos na parte III da série sobre Fundos de Investimentos Imobiliários a correlação entre diversos FII.  Além disto, criamos um Índice FII para servir como um parâmetro representativo para os FII. Devemos lembrar que cada FII teve a mesma participação no Índice.

Concluímos no artigo que a diversificação entre os FII é fundamental para a redução do risco incorrido. Devido à uma baixa correlação entre os diversos FII, conseguimos reduzir a volatilidade entre eles na ordem de mais de 50%, ou seja, a volatilidade foi reduzida além da metade.

A proposta desta parte IV é analisar como o Índice FII irá se comportar perante os demais ativos. Os 8 ativos analisados serão: (1) LFT; (2) LTN; (3) NTN-BP 15; (4) Dólar; (5) Euro; (6) Ouro; (7) Ibov e (8) Smal11.

Com estes ativos conseguimos reunir grande parte dos ativos disponíveis no mercado financeiro representando diversas classes de ativos como: Renda Fixa (Pré e Pós); Ativos Cambias e Renda Variável.

• Vamos à tabela com as correlações:

Clique para Ampliar

Na tabela acima temos os retornos mensais dos ativos em questão. Novamente foi destacado o mês de outubro, período de agravamento da crise. Pior ainda do que o retorno de -24,80% do Ibov temos o SMAL11 com um retorno de -26,83%.

Obs: O SMAL11 é um ETF (Exchange Traded Fund) que começou a ser negociado no dia 28/11/2008. Portanto, os retornos anteriores a este período são do benchmark (referência) que ele segue, o SMLL, índice que tem como objetivo medir o comportamento das empresas de pequeno porte, com baixo valor de mercado.

Podemos inferir através da tabela à direita que a correlação do Índice FII é parecida com a correlação apresentada pelo Ibov, entretanto, de forma mais suave.

Embora o período seja muito curto para análise (quase 2 anos) podemos perceber que um mix destes ativos apresentados pode agregar valor à uma carteira através da diversificação entre os ativos com uma correlação que não é forte (com exeção do par Ibov x Smal11).

A correlação média (destacada na direita inferior da imagem) nos mostra que a correlação média entre o Índice FII e os demais ativos foi de 0,09%. Já o Ibov teve uma correlação média com os demais ativos de 7,57%. Os números baixos comprovam a possibilidade de diversificação entre esses ativos.

Para analisarmos a performance dos FII, além da sua volatilidade e correlação com outros ativos em um período mais longo podemos tomar como auxílio o mercado americano, cujos FII são denominados REITs (Real Estate Investment Trust).

• Análise dos REITs

Aqui no Brasil, temos uma capitalização de mercado (market cap) dos FII na ordem de R$3 Bilhões (fonte: Fundo Imobiliário – Clique em Rentabilidades > Capitalização de de Mercado). Nos EUA, através deste site especializado em REITs, podemo ver através deste link que o market cap dos REITs já foi de U$400 Bilhões antes da crise. No final de 2008, o market cap foi de U$176 Bilhões. Um mercado 50x maior do que o nosso.

Infelizmente não temos ainda nenhum ETF (Exchange Traded Fund) para negociar um índice de FII. Entretanto, no mercado americano os investidores podem contar com diversos ETFs, segmentados até mesmo por áreas de atuação desses fundos como: (a) Hospitalar; (b) Residencial; (c) Comercial; (d) Industrial.

Além destes fatores, eles podem contar com opções sobre os ETFs de REITs. O ETF mais famoso por lá é o ICF (iSahres Cohen & Steers Realty Majors) da iShares (a mesma que inaugurou ano passado os ETFs aqui no Brasil).

Após esta introdução sobre os REITs, vamos então as informações que necessitamos para fazer a comparação com o mercado brasileiro: (a) Retorno; (b) Volatilidade; (c) Correlação.

Dando uma olhada no livro Asset Allocation, Balancing Financial Risk, os REITs tiveram o seguinte desempenho no período de 1972 até 2005:

(a) Retorno: 14,40% / (b) Volatilidade: 13,95% / (c) Correlação (com SP500): 0,65 (65%)

A correlação apresentada nos REITs (65%) e nos FII (64,58%) é bem semelhante, o que parece ser um valor razoável para estimativas futuras da correlação entre os FII e o Ibov.

Apenas por curiosidade: No livro, os REITs tiveram uma performance melhor do que o SP500 (14,40% contra 12,09%), além de uma menor volatilidade (13,95% contra 15,71%). Entretanto, atentem que o período analisado foi pré-crise imobiliária.

Os dados do retorno e volatilidade entre os REITs e FII divergem bastante. Entretanto, devemos lembrar que os FII analisados tem menos do que 2 anos de histórico enquanto os REITs possuem mais de 35 anos de histórico.

Visando trazer informações mais completas e detalhadas sobre as estatísticas dos REITs recorri à uma planilha disponível aqui com os retornos mensais desde 1972 até outubro de 2009. Com estes dados posso tirar conclusões melhores sobre o retorno e volatilidade histórica dos REITs.

Na tabela abaixo podemos ver o retorno composto anual no período histórico. A análise está dividida em duas partes: (a) Price : Indica o retorno composto que os REITs tiveram no ano em questão através apenas da valorização das suas cotas nas bolsas (capital apreciation); (b) Yield : Indica o retorno composto dos REITs no ano em questão através apenas das distribuições de aluguéis destes (semelhante ao Dividend Yield das ações).

REITs_Retorno Composto Anual_Price x Yield (1972-2009)

Os anos de 2007 e 2008 foram péssimos para os REITs devido ao estouro da bolha imobiliária. Quem estava posicionado nesta classe de ativos viu seu patrimônio se reduzir em mais da metade neste período. Os dados de 2009 consideram o período de janeiro até outubro, não incluíndo os meses de novembro e dezembro.

• Análise do retorno médio anual e a volatilidade anual histórica dos REITs na tabela abaixo:

REITs_Estatísticas_Price x Yield (1972-2009)

Podemos ver que o retorno médio anual dos REITs foi de 12,26% no período de 1972 até 2009. A volatilidade ficou em 17,22%. Devido aos péssimos anos de 2007 e 2008 o retorno que havíamos visto nos dados do livro citado anteriormente se reduziram bastante (caíram de 14,40% para os atuais 12,26% anuais). A volatilidade aumentou bastante (de 13,95% para os atuais 17,22%).

O mais interessante de se analisar nestes dados é a divisão entre o retorno e volatilidade através do Price (apreciação do valor das cotas) e Yield (distribuições de aluguéis). Percebam que o componente mais importante do retorno dos REITs são as distribuições e não a valorização das cotas destes. Esse dado será importante para o nosso próximo passo na avaliação dos FII aqui no Brasil.

Trataremos na parte V desta série sobre métodos para avaliação do preço dos FII, chegando a um modelo que pode vir a satisfazer as condições de compra e venda de muitos investidores, lembrando sempre que a análise é apenas um guia para o investidor inteligente.

]]> http://blog.finetik.com/2009/11/26/10-common-myths-about-etf-investing/ Thu, 26 Nov 2009 15:51:50 +0000 finetik http://blog.finetik.com/2009/11/26/10-common-myths-about-etf-investing/ http://stockadventures.wordpress.com/2009/11/25/tu233-a-high-energy-day/ Thu, 26 Nov 2009 04:43:25 +0000 allocator http://stockadventures.wordpress.com/2009/11/25/tu233-a-high-energy-day/

On two counts – oil and gas moved my way, and I had 13 Scouts jammed into my living room for “German Night”.

Natural gas had a big day, moving up 40 cents.  The double-long ETF HNU was up 14.5% just todayand I sold a small amount – I have lots left if this is the start of another rally.  I held my nose and went more long crude oil by covering some of the double-long short ETF HOD and buying more of the long ETF HOU.  That worked out as well today, but I’ve got to tell you, I’m really bearish on oil (although that doesn’t necessarily mean I’m right).  I’ll be happier if we can get another profit or two out of the long side and then get more short.

I took a signal to buy DAG, the double-long agricultural commodities ETF, bulking up that position a little as well.

A couple of days ago my natural gas position was down 28%, today it’s down only 6.9%.  And I nicked my last and largest buy a dime off the bottom at $8.60.  I fortuitously piled in right at the bottom the last time around as well in September, and that had a lot to do with the robust recovery of the account.  Another rally like the September one and this gas trade, and the portfolio, will quickly become very profitable.   Now if I could only nick the tops.

As it stands the commodity ETF portfolio has held up very well through NG’s decline from $17 to $8.50.  I am extremely pleased with the adjustments I made to the program a while back, as it’s defensiveness has improved significantly.  If not for the algorithm mistake in the first month (started back in late June), that built up early losses, I’d be ahead by now.  I’ve been doing a lot of testing in the past couple of weeks, and my goal of successfully emulating a market-maker operation is within sight.  I have two main approaches, and variations of each are all very profitable in testing.  However one is a little less profitable but plays much better defence, and is therefore safer.  This is the current C-ETF program with a modified trade-sizing algorithm.  It can survive most of the huge declines like we saw in 2008 and early 2009, but not quite total implosions like the oil collapse of 2008 or the catastrophic losses on the more aggressive leveraged short ETFs.  Therefore diversification (and not starting the long side when oil is at $150 or gold at $1200) is still important.

The new system I’m just simply going to call PRES – Progressive REversal Scaling.  It systematically provides entry and exit set-ups and signals, and trade sizing.  It works best with more volatile stocks and ETFs, and the more sideways/range-bound the action the better.    But it still works with trending markets as long as there is some jiggle to them along the way.

“German Night” was fun.  It was at my house but hosted by Scout Alexander C, who lived in Berlin for a year before his family returned to Canada and he re-joined our troop again last year.  I cooked up some bratwursts on the barbecue that we then planted in mini-buns, to do it the German way, and Alexander’s mother Mary brought absolutely delicious home-made pretzels and potato salad.  Scouter Steve brought root beer (we can’t do the real thing with 11-13 year-olds) and collectively we scrounged enough beer steins to at least make it all look Bavarian.  I also put on some alpine/polka music for a while, and then a travel video on the region where the Mosul and Rhine rivers meet.  Alexander did a very concise and interesting presentation on the history of Germany, and brought all sorts of interesting artifacts and souvenirs, including million-mark notes of the great inflation of the 1920’s, Nazi Reichmarks, and pieces of the Berlin wall.   He even wore lederhosen, but these were apparently problematic in bathroom situations, and Alexander was pretty-much dancing back and forth as he was waiting for his mother to pick him up at the end of the night.

And until the next time …

Prosit!
Allocator
a.k.a. George Parkanyi

The Department of Energy has just released this week’s oil inventories data.  While there are gains almost on all counts, this may not be enough.  The key ETFs that react to the news are the Oil Services HOLDRs (NYSE: OIH), the Ultra Oil & Gas ProShares (NYSE: DIG), the United States Oil (NYSE: USO) ETF and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL).   NYMEX WTI Crude is up $0.06 per barrel at $76.08 10:34 AM EST after the news, which is a far lower price than what has been seen into weekly inventory data in recent weeks.

Crude oil inventories rose 1.019 million barrels to 337.808 million barrels; Dow Jones had estimates at +1.5 million barrels, but we were happy with anything over about 800,000 barrels.

Gasoline inventories rose 1.003 million barrels to 210.085 million barrels; Dow Jones was at +500,000 which is very close to what traders had said they were looking to.

Distillates was the one soft spot with a draw down of 529,000 barrels to 166.868 million barrels.  The good news is that refining capacity came right in-line with estimates at 80.25%.  Frankly, we were getting anxious as we never like seeing that under the 80.0% threshold we saw last week.

The Oil Services HOLDRs (NYSE: OIH) is down 0.7% at $118.72, the Ultra Oil & Gas ProShares (NYSE: DIG) is down 0.7% at $35.45, the United States Oil (NYSE: USO) ETF is down 0.35% at $38.45, and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL) is down 0.4% at $25.40.

At least this week had gains on the three top components.  It’s better than what we had seen.

JON C. OGG

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Today’s market-moving headlines, macro trade ideas and more…

• Could sovereign debt be the new subprime?
• Mexico’s Credit Rating Cut by Fitch on Fiscal Outlook
• Utility players
• City of London’s Corporate Governance and Voting Policy for Closed-End Funds
• ETF Investing, With a Twist
• China Wants to Slow Credit Boom
• Citi Research: Nightmare on Commodity Street
• Rand firms as South Africa exits recession
• Gold stocks pricing in $940/oz long-term gold price
• Medtronic Profit Soars 59%, Boosts Forecast
• Now Chinese banks are under-capitalised
• Wave of Debt Payments Facing U.S. Government
• Forecasters See Dollar Decline Next Year
• Case-Shiller: Home Price Recovery Stumbles, Results Worse Than Expected
• A Mad Rush as Gold Bugs Get the Boot

Vanguard has just launched seven new bond exchange traded funds today.  We are seeing very thin trading volume, and that will be the single biggest benchmark used for whether or not these become a success or whether they become just another slate of ‘me-too’ ETF offerings.

Vanguard Short-Term Government Bond Index Fund (NASDAQ: VGSH) tracks the U.S. 1–3 Year Government Float Adjusted Index

Vanguard Intermediate-Term Government Bond Index Fund (NASDAQ: VGIT) tracks the U.S. 3-10 Year Government Float Adjusted Index

Vanguard Long-Term Government Bond Index Fund (NASDAQ: VGLT) tracks the U.S. Long Government Float Adjusted Index

Vanguard Short-Term Corporate Bond Index Fund (NASDAQ: VCSH) tracks the U.S. 1–5 Year Corporate Index

Vanguard Intermediate-Term Corporate Bond Index Fund (NASDAQ: VCIT) tracks the U.S. 5–10 Year Corporate Index.

Vanguard Long-Term Corporate Bond Index Fund (NASDAQ: VCLT) tracks the U.S.Long Corporate Index.

Vanguard Mortgage-Backed Securities Index Fund (NASDAQ: VMBS) tracks the U.S. MBS Float Adjusted Index.

We’d offer more insight here, except that Vanguard has been very late to the ETF party.  This probably also wasn’t exactly the best week to try launching new bond funds as investors and traders are in the office on Monday and Tuesday, but their feet will mostly be out the door on both sides of Thanksgiving this Wednesday and Friday.

JON C. OGG

Silberbarren

Nach Meinung der Rohstoffexperten von GFMS wird der Silberpreis bereits in Kürze die Marke von 20 Dollar pro Unze erreichen – vor allem auf Grund der steigenden Investmentnachfrage. In den ersten zehn Monaten des laufenden Jahres lag der Preis für eine Unze Silber bei durchschnittlich 14,06 USD pro Unze, was einen Rückgang von 12 Prozent gegenüber dem gleichen Zeitraum 2008 darstellt.

Wie die Experten von GFMS ausführen, hat vor allem die Investmentnachfrage den Rückgang anderer Nachfragequellen mehr als ausgeglichen und so die letzten Preisanstiege ermöglicht. Man rechnet für das Gesamtjahr 2009 mit einem durchschnittlichen Silberpreis von rund 14,78 USD je Unze. Allerdings, im ungünstigsten Szenario der Experten, solle der Durchschnittspreis pro Unze Silber im kommenden Jahr unter dem von 2009 liegen, da die Bedingungen für die Investmentnachfrage 2010 weniger gut sein würden.

GFMS wies zudem darauf hin, dass die Investmentnachfrage 2009 „erheblich“ angestiegen sei, wobei die Nachfrage nach physischem Metall und Exchange Traded Funs (ETFs) den Anfang des Jahres bestimmt habe, als die Anleger sich in den „sicheren Hafen“ Silber flüchteten, da die Sorge um das Finanzsystem damals am stärksten gewesen sei.

Seit September sei die Nachfrage in allen Bereichen robust gewesen, da Silber von der Stärke des Goldpreises, dem schwachen US-Dollar, der Angst einiger Anleger vor einem Anstieg der Inflation und einem generell steigendem Interesse an Rohstoffanlagen profitiert habe. Die Lagerbestände der Silber-ETFs seien von Januar bis Oktober um 100 Millionen Unzen gestiegen und man gehe davon aus, dass die Investmentnachfrage 2009 wahrscheinlich auf über 207 Millionen Unzen steigen werde.

Die Experten rechnen damit, dass die fundamentalen Daten und die Nachfrageentwicklung, abgesegen von der Investmentnachfrage, im kommenden Jahr den Silberpreis deutlicher stützen werden. Hauptsächlich auf Grund einer Erholung der Industrienachfrage, die 2009 gegenüber dem Vorjahr um 11 Prozent eingebrochen sei.

Dennoch müsste nach Ansicht von GFMS im kommenden Jahr ein Überschuss aus der Minenproduktion und Wiederverwertung im Verhältnis zur Industrienachfrage von Anlegern übernommen werden, die wahrscheinlich 2010 weniger geneigt sein wrüden Silber zu kaufen, da man erwarte, dass die Wirtschaft sich erholen, die kurzfristigen Zinsraten steigen und der Dollar sich stabilisieren werde. Für 2009 erwartet man aber noch einen Anstieg der Münzproduktion von 19 Prozent.

Disclaimer: Die hier angebotenen Artikel stellen keine Kauf- bzw. Verkaufsempfehlungen dar, weder explizit noch implizit sind sie als Zusicherung etwaiger Kursentwicklungen zu verstehen, jedwege Haftung diesbezüglich wird ausgeschlossen. Dies gilt insbesondere für unvollständige oder falsch wiedergegebene Meldungen, falsche Kursangaben und redaktionelle Versehen. Die Artikel und Berichte dienen ausschließlich der Information der Leser und stellen keine wie immer geartete Handlungsaufforderung dar. Zwischen dem Autor und den Lesern dieser Artikel entsteht keinerlei Vertrags- und/oder Beratungsverhältnis.

Na parte II vimos o retorno e a volatilidade dos FII no período de janeiro de 2008 até setembro de 2009. Neste novo artigo estaremos nos aprofundando na análise atavés da observação do comportamento da correlação dos FII.

Começaremos então analisando os dados mensais dos FII e do Ibovespa para uma comparação inicial:

Dados Estatísticos dos FII

Clique para Ampliar

Na tabela acima podemos ver que os retornos mensais de cada FII, além do retorno do ibovespa. Foram calculados os retornos anuais (12 meses), a volatilidade anual (12 meses) e a correlação média anual com o ibovespa. O mês de outubro foi destacado, período em que a bolsa teve rendimento de -24,80%.

Neste mesmo período, dos 11 FII analisados 5 tiveram retornos negativos com média de -4,84%. Os demais 6 FII performaram positivamente com média de 1,59%.

A correlação dos FII apresenta um padrão em torno dos +0,50 (50%) em relação ao Ibovespa. O FII com menor correlação em relação ao Ibovespa foi o FFCI11, com uma correlação de +0,0676 (6,76%) indicando grande oportunidade de diversificação. O fundo com maior correlação neste período foi o EURO11 com +0,6381 (63,81%), o que não chega a ser uma correlação alta (acima de +0,70 ou 70%).

A novidade nesta tabela é o Índice FII. Tomei a liberdade de criar este índice para servir como um referência para o segmento dos Fundos Imobiliáios. O índice conseidera pesos iguais em todos os FII da tabela e seu retorno mensal nada mais é do que a média mensal de todos os FII analisados.

O retorno (anualizado) do Índice FII é de 28,40%. Sua volatilidade é 8,33%. Se você achou essa volatilidade (medida através do desvio-padrão dos retornos mensais) normal é melhor olhar com mais atenção. Todos os FII individuais tem volatilidade acima de 10% (alguns com volatilidade de até 30%).

Como pode então um índice composto pela média ter uma volatilidade menor do que a média dos FII individuais?

Para responder essa pergunta necessitamos olhar a correlação entre cada FII, para descobrir o porquê desta volatilidade tão baixa se comparada aos FII isoladamente.

Tabela de Correlações entre os FII

Clique para Ampliar

Nesta tabela temos as correlações de cada FII em relação aos seus pares. Notem que é possível observarmos correlações negativas entre alguns FII (pintadas com a cor vinho). As menores correlações podem ser vistas na tabela abaixo.

Menores Correlações entre os FII

Voltando a tabela das correlações entre todos os FII da análise podemos ver na parte inferior a correlação média para cada FII. Vou explicar a origem destes números. Ele nada mais é do que a média das correlações do fundo em questão com os outros fundos. Por exemplo, o fundo BBFI11B possui uma correlação média com os outros FII na ordem de 25,80%, pois a média das correlações é 25,80%.

Este tipo de referência nos auxilia a encontrar os FII com a correlação mais baixa (relativamente) com os outros FII. Logo, os fundos com menor correlação relativa são: (1) FFCI11 (3,21%); (2) HCRI11B (4,77%) e (3) FPAB11 (6,09%).

Analisando a correlação média de cada FII podemos perceber que esta é baixa, se situando em torno de 15%. Sabemos que quanto menor a correlação entre os ativos, melhor é o efeito da diversificação entre os ativos, gerando uma menor volatilidade entre eles.

Agora ficou claro o porquê da redução tão grande da volatilidade ao se criar o Índice FII. A tabela abaixo nos mostra o quanto a volatilidade pode ser reduzida através da baixa correlação entre os FII.

Comparação entre o Índice FII e a Média dos FII

Notem que a redução da volatilidade foi de  -10,58% (em termos nominais, ou seja, Índice FII – Média FII). Em termos relativos (Índice FII / Média FII) tivemos uma redução de -55,97% da volatilidade.

Portanto, através da correlação fraca (em torno de 15%) entre os FII, podemos reduzir a volatilidade em mais da metade a volatilidade média dos FII.

Caso o conceito não tenha sido totalmente compreendido, dê uma olhada neste artigo que escrevi sobre a correlação de ativos através de exemplos práticos.

Conclusões:

(1) A diversificação entre os FII é de extrema importância já que permite reduzir drasticamente o risco esperado de uma carteira composta com vários FII.

(2) A correlação do Índice FII fica em torno de 0,60 (60%) com o Ibovespa, indicado possibilidade de diversificação (acima de 0,70 ou 70% os efeitos da diversificação começam a ficar comprometidos).

(3) Em momentos de estresse no mercado (como o mês de outubro de 2008) em que a bolsa teve um retorno de -24,80%, o Índice FII teve um retorno de -1,33%, mostrando os benefícios de uma correlação que não é forte com o Ibovespa.

(4) O retorno anual do Índice FII no período analisado foi de 28,40% para uma volatilidade de apenas 8,33%. Isso indica uma relação entre retorno / risco de quase 3 vezes. Embora estes números tenham sido uma maravilha até o período presente, eu não acredito que eles possam se repetir de forma tão exuberada no futuro (considerando o longo prazo).

(5) Infelizmente alocar em vários (no exemplo 11 FII) incorreria em um alto custo (maiores corretagens). Portanto, o jeito é diversificar de forma moderada para não comprometer o retorno da carteira através do excesso de diversificação.

Outra solução é exigirmos a criação de um Fundo de Índice que sintetize todo o mercado dos Fundos de Investimentos Imobiliários, semelhante ao usado na análise. Um ETF (Exchange Traded Fund) seria excelente para solucionar os problemas analisados. Eu já enviei meu e-mail com a solicitação para a iShares, e você?

Na parte IV iremos analisar a correlação do Índice FII com outros ativos além de analisar aspectos dos FII nos EUA, conhecidos como REITs (Real Estate Investment Trusts).

Baker Hughes, Inc. (NYSE: BHI) has released its data on the weekly rig counts and most are up. We are watching the key ETF products react via the Oil Services HOLDRs (NYSE: OIH), the Ultra Oil & Gas ProShares (NYSE: DIG), the United States Oil (NYSE: USO) ETF and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL) react to this news.  It will be interesting to see if this continues after the recent pause in oil.

• U.S. Rig Count is up 12 from last week at 1113; down 828 year over year.
• Canadian Rig Count is up 30 from last week at 293; down 107 year over year.
• The US Offshore rig count is 36, down 1 from last week; down 26 year over year.

At 1:07 PM EST NYMEX WTI Crude is trading down $0.62 at $76.84 per barrel.  The Oil Services HOLDRs (NYSE: OIH) is down 2.6% at $116.65, the Ultra Oil & Gas ProShares (NYSE: DIG) is off by 3% at $33.90, the United States Oil (NYSE: USO) ETF is down only 1% at $39.23 and the iPath S&P GSCI Crude Oil Total Return Index ETN (NYSE: OIL) is down 1.1% at $25.94.

JON C. OGG
NOVEMBER 20, 2009

Lately I’ve been doing on a lot of analysis and testing of reversal systems using progressive scaling approaches.  Basically this translates to averaging down safely and then averaging out of the position into the rise.   The more wiggles the market does, the more profitable this becomes.   You can vary price increments and trade size, and different combinations produce different returns.  With enough samples, you can optimize these parameters to get a “good enough” rate of return in relation to a certain drawdown risk.    The results with more volatile instruments like leveraged ETFs are pretty kick-ass, as long as you don’t start averaging down after steep runups.  (Best are markets that are already beaten up but still have a volatile character.  Natural gas is absolutely in the sweet-spot right now, and I think ags are too.)  My C-ETF program is one implementation of this approach.   And the reason why I went down this path is because I asked myself the questions “why is it that specialist firms, who are always on the other side of a trend as market-makers, are so profitable”, and “can I emulate that?”

Anyway, today at lunch I was looking at the market action, and the triple-short emerging markets ETF (EDZ) had made a nice bounce right after I bought a relatively big bite of it two days ago.  (The S&P500 was down 15 points today.)  All of my short equity ETFs are scraping along the bottom after the big post-March rally.  They could go lower of course but they’re in the right general area for a decent pullback in the equity markets.  (This is the profile I just mentioned for the kind of market that you would want to start a progressive reversal system on – one that’s been on the wrong end of big move for a long time.)  And then it hit me. Make them my wild-card securities in the REAP portfolios, and slowly trade out of the jam like EDZ seems to be doing.  When I checked their charts, there were quite a few opportunities to sell down the positions (on rallies) even as the market was rising.  REAP was not nimble enough to catch many of those – this is.  So that’s how I think I can get out gracefully, and if the market pulls back a couple of hundred points, even profitably.

EDZ actually signalled today, so I was able to sell off a little bit (exactly the kind of action I’ve just been talking about).  And, I got to buy a nice chunk of natural gas, to bring that position almost to the same size it was at the last low in September.  If I have to, I’ll scale the whole C-ETF account into natural gas, and it would have to go a heck of a lot lower to suck up all those resources.  I think gas is in a real sweet-spot, and in fact the ETF rallied to $8.93 after I bought in at $8.60.  That’s not to pat myself on the back (with a 35% drawdown since 2007 I’m still a long way from that), just the illustrate the volatility and potential of this particular market.

The light-bulb went on today, but if you hear a loud “pop” ….. 

C heers,
Allocator
a.k.a. George Parkanyi

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Today’s market-moving headlines, macro trade ideas and more…

• How Does the ‘09 Rally Stack Up Against ‘82 Bull Market?
• Albert Edwards On Gold Mania, And Why Gold Is Very, Very Cheap
• John Paulson Making Big New Bet on Gold
• Société Générale tells clients how to prepare for ‘global collapse’
• Shut up, Lloyd Blankfein!
• The Asia Pacific Fund October Monthly Update
• The Greater China Fund October Monthly Update
• The Taiwan Greater China Fund Announces Commencement of Semi-Annual repurchase Offer
• A yuan-sided argument
• Smarter Shoppers vs. Smarter Sellers
• Goldman Expects Labor Data to Drive Markets
• Lumber Futures Spike As Demand For Commodities Hits Fever Pitch
• VIX of the VIX
• The World’s Largest Shopping Mall
• BofA Merrill cuts ‘10 global semiconductor growth view
• Wells Fargo to Buy Back $1.3 Billion in Auction Debt
• Roach: China’s Market Will Crumble
• Warning to Closed-End Fund Director–Mr. Andrew Donohue keynote address at IDC Conference
• Senior Secured Floating Rate Bonds (SSFR): The Best Investments to Own When Interest Rates Rise
• Brazil sparks wider currency control fears

A bull market can be broken down into three distinct phases. Phase 1 is when long sighted investors start to acquire an out of favor and undervalued asset. Phase 2 is after the asset in question has provided some meaningful return and attracted other investors the asset’s price begins to advance further. The value that the long sighted investors saw is starting to be recognized and the asset price is now gaining momentum. Phase 3 is the dumb money chasing the smart money. Fearing that they are missing their chance to invest in the hottest asset unsophisticated investors, trying to ride the asset’s gaining momentum, will bid up the price of the asset into the stratosphere. The asset has become overvalued.

Currently, I would classify Gold’s recent rally as still in phase 2 with phase 3 waiting just around the corner. My argument is purely anecdotal.

The long sighted investors bought into gold as early as 1999. Gold was around $300 an ounce and was as out of favor as could be. It seemed everyone wanted to be in stocks, especially tech stocks. Since 1999 gold quietly tripled in price. This strong performance has attracted a lot of recent attention and then add onto this the global fiscal malfeasance and the barbaric relic has become very appealing to investors now. Noted hedge fund managers, John Paulson and David Einhorn, are buying up bullion for their funds as well as talking up their book to anyone who will listen. New ETFs have been launched to help satiate demand for investments in the gold miners and gold: GDXJ, GLD, GDX, etc. The value in gold back in 1999 is quickly being recognized and the increased demand is pushing the price of gold up further attracting more and more speculators inducing the melt up that follows in the third phase of a bull market.

Phase 3 is lurking around the corner for this gold bull market. Some central banks are changing from net sellers to net buyers of gold. India bought 200 tons of Gold from the IMF in what appears to me as a move out of fear. Fear that they will pay a higher price down the road and fear that China was going to buy the gold from the IMF. Quickly hopping on the gold buying band wagon, the tiny island of Mauritius recently bought 2 tons of gold from the IMF. If other nations fear that they will have to pay a higher price for gold down the road then a bidding war may ensue.

The unsophisticated investors are becoming more and more concerned with the idea that they do not own enough gold in their portfolios. I had a chat with a woman who wanted to sell all her liquid assets and use the proceeds to buy as much gold as she could. This lady had no idea where to buy it, how to buy it, how to store it, or even what form it came in. This is my unsophisticated anecdotal way of sensing that the switch from phase 2 to a mania induced phase 3 melt up is close at hand.

“The End is Nigh”

Phase 3-mania-melt ups can be very profitable as prices usually move quite spectacularly. Phase 3 moves should not be viewed as investments but speculation, they are to be rented not to be owned. I would not recommend buying bullion or coins for speculation. If I was looking to preserve wealth than I would buy the hard stuff but if I was looking to speculate on a bubble I would not use them. Coins and bullion are relatively illiquid, contain large bid/ask spreads, cost money to vault, or if the gold is buried in your backyard it will cost money for the guns and ammo needed to protect your gold.

I would look to use liquid instruments like ETFs, options on ETFs, and futures to speculate on gold’s phase 3 melt up.

For further reading about current demand trends for gold follow this link to read the World Gold Council’s latest demand report or head over to Zero Hedge for their discussion on the report.

Marcus Licinius Crassus

Our special guest this evening, Dr. Micheal Coffman suggested  a couple of websites for more information;

www.NOCapandTrade.us

and this very informative site;

http://www.globalwarmingclassroom.info/

Dr. Coffman also has a program to help get the information and science about the other side to global warming into middle and high schools.   Your contribution will help this effort and you will get this DVD free!

Global Warming Emerging Science and Understanding

also you may be interested in Sovereignty International.  Dr. Coffman is the Executive Director of Sovereignty International where you can find education on Agenda 21, Global Governance, Land Use and more.

Thank you Dr. Coffman for all of your hard work and for being such an interesting and informative guest!

We spoke to Sherry Clark, the founder of The Liberty Voice and her story is an inspirational one.

Sherry’s desire to share information that the mainstream will not cover spoke about how she handed out DVD’s and flyers before she hit on the idea of a newspaper.  She shared with us why she believes the newspaper is the best format for reaching the most Americans.

Sherry you sold me on the idea-too bad my plate is full.  I am hoping that Holland takes up the challenge-he would do a great job!

Thank you Sherry for all you do.  Your spirit is and enthusiasm is infectious!

http://www.thelibertyvoice.com/

Each month, The Liberty Voice is distributed at no charge to thousands of readers around the country.

READ the current print copy online

At present all costs are covered by a few dedicated individuals.

Become a subscriber and help support independent media!

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Ms. Clark has a collection of her writings published at OpEdNews

UPCOMING EVENTS

James Lane informed us about the END THE FED rallies that will be held in OKC as well as nationwide on Nov. 22.  Rally for sound money and holding the Federal Reserve accountable!

Then, there are activist trainings coming up, with the first being held this Saturday Nov. 21st in Yukon Oklahoma;

contact the OCA  by email info@oklahomaconstitutionalalliance.org

and see their online calendar of events at;

http://oklahomaconstitutionalalliance.org/