The California Public Employees’ Retirement System (CalPERS) has announced that it will eliminate its hedge fund program, known internally as the Absolute Return Strategies (ARS) program, as part of an ongoing effort to reduce complexity and costs in its investment program.
The staff recommendation, supported by the Investment Committee, will exit 24 hedge funds and six hedge fund-of-funds valued at approximately $4 billion.
“We are always examining the portfolio to ensure that we are efficiently and cost-effectively achieving our risk-adjusted return goals,” said Ted Eliopoulos, CalPERS Interim Chief Investment Officer. “Hedge funds are certainly a viable strategy for some, but at the end of the day, when judged against their complexity, cost, and the lack of ability to scale at CalPERS’ size, the ARS program is no longer warranted.”
Following the 2008 global financial crisis, CalPERS began examining ways to ensure it was less susceptible to future large drawdowns. The System restructured its investment operations, improved its internal oversight and control functions, and refocused some of its investment programs. In February 2014, the CalPERS Board adopted a new asset allocation mix that reduces risk to the portfolio, while still being able to achieve its return goal of 7.5 percent. CalPERS earned 18.4 percent during the 2013-14 Fiscal Year and has averaged a 12.5 percent return for the past five years and an 8.4 percent return for the past 20 years.
In September 2013, the CalPERS Board adopted a set of Investment Beliefs to inform the strategic decision making of the System. Investment Belief 7 states that “CalPERS will take risk only where we have a strong belief we will be rewarded for it.” Investment Belief 8 notes that “Costs matter and need to be effectively managed.”
“The Investment Beliefs exist to provide a compass for the System’s work to achieve its strategic goals,” said Henry Jones, CalPERS Board Member and Chair of the Investment Committee. “While the ARS analysis was no simple matter for CalPERS, the Investment Beliefs provide guidance for a straightforward and principled conclusion that fits our needs.”
CalPERS will spend approximately the next year strategically exiting current investments in a manner that best serves the interests of the portfolio. Existing ARS staff will be reassigned within the Investment Office.
“The staff dedicated to our program have worked diligently and we will ensure that their talent can continue to help CalPERS meet its investment objectives,” said Eliopoulos.
CalPERS is the largest public pension fund in the U.S., with approximately $300 billion in assets. CalPERS administers health and retirement benefits on behalf of 3,090 public school, local agency, and state employers. There are more than 1.6 million members in the CalPERS retirement system and more than 1.3 million in its health plans.
Some strategists have argued that we are in a long-term period of low interest rates. The Fed has an incentive to keep interest rates near zero indefinitely. Unemployment and underemployment rates exceed historical norms. The national debt will keep the United States as a net borrower and gives the government reason to minimize its cost of borrowing. The pundits that have been calling for rising interest rates have erred for two years running. The predictions have been dead wrong. Interest rates have declined, not risen. Aren’t we in a new paradigm of permanently low interest rates? Don’t believe it.
The long-term direction of interest rates is up. The current interest rates for the 10-year Treasury and the 30-year Treasury are 2.37% and 3.12%, down approximately 65 basis points and 85 basis points from 3.02% and 3.97% on January 1st. The interest rates of the 5-year Treasury and short Treasury issues have changed little. The temporary declines in long-term interest rates have resulted from a change in perception, partly because of a harsh winter, which caused a seasonal drop in GDP. At the beginning of the year investors feared that the Federal Reserve would raise the Fed Funds rate in early 2015. The consensus expectation has now moved into the third quarter of 2015. The question is not whether interest rates will rise, but when.
Interest rate forecasts from major investment banks all indicate rising interest rates in 2015 and beyond. Economists surveyed by Bloomberg project the 10-year Treasury will reach 3.46% by the fourth quarter of 2015. Strategists at other investment banks agree. In August economists at Nomura and Barclays both predicted a rate increase by June 2015. Their colleagues at Merrill Lynch cited a similar time frame.
A naive forecast would expect the yield on the 10-year Treasury to at least remain close to 3.46%, if not significantly exceed it, in 2016 and beyond. The reason is that interest rates follow long-term, 25-year to 35-year cycles. We have been in a period of declining interest rates since 1981. Between 1946 and 1981 the yield on the 10-year Treasury rose from 2% to 15%. Between 1920 and 1946 the yield declined from 5% to 2%. As we seem to be at the end of a long-term period of low interest rates, it would be logical to expect interest rates to increase over the next ten years or so.
Within these long-term cycles the Fed manages interest rate policy over the shorter-term economic cycle. The boom-to-bust cycle usually lasts five to seven years. This present recovery is longer than most because of the depth of the 2008-2009 recession and the weakness of the ensuing expansion. Now the economy is finding its legs with GDP growth of4.2% in the second quarter. Once it starts to hike interest rates, the Fed is likely to continue to increase them. This pattern has prevailed throughout its history. No examples exist where the Fed increased interest rates only one time. The probable scenario is for the Fed to increase interest rates for two years or more. Economic necessity requires the Fed to manage inflation and to prevent labor markets and the economy from overheating. The impetus for the Fed to change course from its current zero interest rate policy to a non-zero policy would be a realization that stimulative monetary policy no longer serves the interests of the economy.
After six years of expansion we are close to that inflection point. Forecasts of economic growth and inflation suggest that the Fed will need to be wary. Consensus forecasts show an expanding economy and rising inflation. Economists at Barclays and BNP Paribas forecast that GDP will increase from 2.0% in 2014 to 2.7% and 2.8% respectively in 2015. The median forecasts of GDP growth among 78 economists in a Bloomberg survey are 3.0% in 2015 and 2.9% in 2016. Inflation is likely to increase too. Barclays forecasts the CPI will rise from 1.9% in 2014 to 2.1% in 2015. A strengthening economy and higher costs will put pressure on the Fed to act sooner rather than later.
According to most economists, the recent meeting of the Fed in Jackson Hole marked a turning point in Fed policy. Although her comments were balanced, Janet Yellen’s speech indicated a shift toward policy normalization, an end of the low volatility policy framework, and an emphasis on data dependence. In short, if the economy expands, as most economists expect, the Fed will raise interest rates. The speech also suggests that markets should see increasing volatility in interest rates as the risk of a Fed hike has moved forward in time.
Treasury yields over two-years out have already widened by 10 to 15 basis points in September. I would expect the yield on the 10-year Treasury to keep increasing from now on. Given the recent GDP numbers, the speed at which interest rates will change could surprise people. I could easily envision the 10-year Treasury exceeding 4% by late 2015 and 5% by mid 2016. We have just begun a long, upward march that will continue for the next few years.
What do higher interest rates mean for high yield bonds? Overall, higher interest rates will cause some erosion in value. The effect will depend on what happens to the credit spread – the interest paid to investors for assuming credit risk. If the credit spread narrows, the overall effect may be slight. If it widens, the market could be hit with a double whammy. Historically, the credit spread has narrowed when real interest rates have gone up. This time could be different. Investors in Merrill Lynch’s September 15th Credit Survey expect credit spreads to widen over the next 12 months. That should put pressure on high yield.
Even so, high yield offers a safe harbor versus other fixed income assets. It yields more and reacts less to interest rate movements. Some sectors, however, offer better protection than others. As with investment grade, longer-duration high yield bonds are the most vulnerable. Lower quality bonds are also less interest sensitive than higher quality bonds so that “B” bonds should outperform “BB” bonds. Default rates and inflation should remain muted for the next year or two. The best bet is to target short-duration, lower quality high yield bonds. This sector should remain relatively immune whatever happens to interest rates.
Thomas P. Krasner, CFA – Principal and Portfolio Manager at Concise Capital Management, LP
Foto: JimmyReu, Flickr, Creative Commons. El principio de la segregación de activos en la legislación de Luxemburgo: qué es y cómo afecta a los tomadores de seguros
Ahead of the Association of the Luxembourg Fund Industry’s (ALFI) Global Distribution Conference in Luxembourg on 23 and 24 September, fund industry leaders share their views on the top priorities, opportunities and emerging trends in international fund distribution.
Marc Saluzzi, from ALFI, comments: “Our top priorities in terms of opening up new distribution markets are Australia, Brazil, China and Mexico. We believe that they offer – by far – the largest potential for fund centres going forward.”
Pervaiz Panjwani, Citibank International: “With the changes in demographics and the squeeze in public finances, we will see income-generating products and also alternatives being the two megatrends that will rise in the future.”
Georges Bock, KPMG Luxembourg: “If you want to know what the world is going to be, ask your kids. Their present today is virtual. So, in order to reach them, the distribution platform of the future has to be digital.”
Ulrika Hasselgren, Ethix SRI Advisors: “The market for sustainable and responsible investment has matured nicely, with a majority of investors today applying strategies in line with investment belief, time horizon and consideration of relevant environment, social and governance factors. I think that we will see more of this.”
Theresa Hamacher, NICSA: “Fund managers have to make a decision. Do they focus on the investors who have the most assets today? Or investors whose assets are growing most quickly? Or do they try to do both?”
Anouk Agnes, ALFI: «Participation in the ALFI Global Distribution Conference is becoming a megatrend in its self. We see that investment fund professionals see the conference as a must.»
ALFI Global Distribution Conferencewill take place on Tuesday 23rd September and Wednesday 24th September 2014at theCentre de Conferences Kirchberg, Luxembourg.
Ana Botín, executive chairman of Banco Santander, had “a very special tribute to the memory of Emilio Botín" at the Extraordinary Shareholders' General Meeting last Monday. Courtesy photo.. Ana Patricia Botín: “My Ambition Is to Continue This Success Story, to Which I Will Dedicate My Greatest Efforts”
Ana Patricia Botín debutó este lunes como presidenta de Banco Santander, en una intervención ante los accionistas con un recuerdo especial a su padre y anterior presidente del banco, Emilio Botín, fallecido la semana pasada a los 79 años. “En sus cerca de treinta años en la presidencia del banco, colocó al Santander como primera entidad de la eurozona y como uno de los diez primeros bancos del mundo en capitalización bursátil. Lo consiguió con una visión clara: prudente en los riesgos, centrada en el cliente y en la banca comercial, y con agilidad para adelantarse y aprovechar las oportunidades de crecimiento. Hoy, gracias a su visión, el Santander no sólo es más grande, sino más diversificado y más sólido, como lo prueba su resistencia a lo largo de la crisis financiera, siendo una de las tres únicas grandes entidades financieras que ha atravesado la crisis sin pérdidas en un solo trimestre”.
También subrayó que “su apoyo a iniciativas en el ámbito de la educación y la cultura ha sido sobresaliente, convirtiendo al Santander en una entidad de referencia por su compromiso con la universidad y con la sociedad, tanto española como con la de todos los mercados en los que está presente el banco. Mirando a futuro, seguiremos en línea con esta estrategia y trabajaremos para afianzar aún más la cultura Santander, que es la base del crecimiento sostenible. Se trata de una cultura centrada en la banca comercial, en estar cerca de los clientes y ofrecerles el mejor servicio, con la voluntad de contribuir al progreso económico y social. Mi ambición consiste en mantener esta trayectoria de éxito a la que voy a dedicar el mayor de mis esfuerzos”.
A continuación, la presidenta repasó los detalles de la oferta de adquisición de las acciones de la filial de Santander Brasil en manos de accionistas minoritarios. “Esta operación muestra la confianza del grupo en Brasil y en nuestra filial. Brasil es un gran país, con un fuerte potencial de crecimiento, con unas instituciones sólidas, un sector empresarial de calidad y un sistema financiero bien gestionado y supervisado. Todo ello nos hace confiar en el atractivo de la economía brasileña y en que superará el período de desaceleración económica por el que está pasando”. También destacó la confianza del grupo en “la capacidad de Banco Santander Brasil para impulsar sus resultados –que hoy representan el 20% del beneficio atribuido al grupo- rentabilizando adecuadamente nuestra inversión”.
Ana Botín recordó que “la operación es financieramente buena tanto para los accionistas de Santander Brasil como para los de la matriz, Banco Santander”. Para los primeros, puesto que reciben una prima del 20% y, además, lo perciben en acciones de Banco Santander. “Esto permitirá a los que acudan a la oferta seguir beneficiándose de las ventajas de la inversión del grupo en Brasil, además de participar de la fortaleza y diversificación de Banco Santander”.
La presidenta señaló que “con este paso afianzamos la diversificación geográfica de Banco Santander, que será clave para consolidar esta nueva fase de crecimiento de nuestros beneficios”.
“Me siento especialmente comprometida con este reto para el que cuento, además, con un gran equipo y el apoyo de un consejo de gran experiencia. Continuar con la trayectoria de éxito de las últimas décadas no será fácil: el nuevo entorno competitivo y el entorno regulatorio son cada vez más exigentes. Sin embargo, tenemos igualmente una gran oportunidad y asumo con gran confianza esta tarea que llevaremos a buen fin porque conozco bien a nuestros equipos, su compromiso con el Santander, su alta cualificación y su dedicación a nuestros clientes. Tengo total confianza en que juntos lograremos hacer del Santander, en cada uno de los mercados en los que operamos, la entidad de referencia para empleados, clientes, accionistas y la sociedad”.
Banksville Partners LLC expands presence in Latin America with the opening of a representative office in Buenos Aires and the addition of experienced international banker Hugo Pezzoni.
«Pezzoni’s experience in structured transactions augments our capabilities to assist clients with strong revenue track-records who operate even in the more volatile of our regional markets,» said Daniel Casal, Banksville’s Senior Managing Director in charge of client origination.
In this new role, Hugo Pezzoni will be a Director and Representative of Banksville Partners, based in Buenos Aires, Argentina. He will assist both Argentine clients and work on important assignments throughout the firm’s Latin American network. Previously, Pezzoni was a senior banker at Rabobank International and JP Morgan Chase & Co. focused on Loan Syndications, Trade Finance, Capital Markets, Restructurings, Credit and Equity Investments.
«We are very pleased to add the breadth of Pezzoni’s financing experience to our team and fill the growing needs of our clients throughout Latin America«, said Banksville’s Hernan Narea, Senior Managing Director and head of structured finance in New York.
Clarien Bank Limited has announced the appointment of Ronaldo Veirano as an independent director to its Board of Directors. Mr. Veirano will be responsible for advising on the Bank’s growth and strategic expansion into Latin America.
Mr. Veirano’s appointment constitutes an important Board addition for Clarien Bank as it develops towards its objective of becoming a preeminent, international financial institution offering an expanded range of products and solutions in corporate and investment banking, wealth and asset management to clients globally.
In his role as the founding partner of Veirano Advogados, in Brazil, Mr. Veirano brings a unique perspective on private wealth and institutional banking opportunities currently present in Latin America.
Mr. Veirano is also a key leader in the promotion of Brazil’s global business development and currently a member of the executive committee of both the Brazil-China Business Council and the United States Business Council.
Mr. Veirano joins three presiding board members, Buford Alexander, Michael Quinn and Gregory Slayton. They add to the long standing management team of local Board Directors, James Macdonald, James Gibbons, Hal Masters and Andrew Parsons. Keith Stock also remains Chairman of the Board representing Clarien Group Limited.
Keith Stock, Chairman of Clarien Bank Limited, said: “With Edmund Gibbons Limited as one of Clarien’s shareholders, the reappointment of James Gibbons to Co-CEO demonstrates the continued commitment to Bermuda by the Gibbons family and indeed to Clarien Bank. I look forward to James’s stewardship as Co-CEO, as he and Ian drive progress and further strengthen the Bank’s relationship with our local, and global community. Mr. Veirano’s highly regarded legal and business expertise will be a huge asset to Clarien and its Board of Directors. Specifically, his specialist knowledge of the Latin American market and his long standing relationships with organizations present in the region will be essential in driving forward strategic growth in the Bank’s private wealth and institutional banking divisions.”
Mr. Veirano commented: “Clarien Bank is clearly at a very exciting stage in its international growth. With years of experience working with institutional banking and private wealth professionals, I look forward to the opportunities that my position with the Bank’s Board of Directors will help develop, most notably in Latin America. “Over the last two decades there has been a positive change in the LatAm market. The rapid rise of entrepreneurs and ultra-high net worth individuals has resulted in a greater demand for sophisticated wealth management, corporate banking and investment services. Brazil alone presents a particularly strong opportunity. Not only will it be the world’s fourth largest economy by 2030, but at present there are more than 200 high net worth individual’s worth over $500 million dollars residing there.”
In 2008 Mr. Veirano was recognized by the government of Brazil and awarded the prestigious Order of Rio Branco, in acknowledgement of his significant contribution to the promotion of Brazil’s relations with the world.
FIBA WM Forum. Courtesy Photo . Which Are The Trends which Chart The Path for Family Offices?
Una de las principales labores de un family o multi family office es la de asegurar una buena planificación, en gran parte a través de la coordinación de profesionales externos que dan servicio a la familia, pero quizá lo más importante es tener resueltos los problemas de gobernanza para poder establecer los cimientos de un futuro de éxito en la preservación de capital y un camino más suave en la gestión familiar.
Éstos son algunos temas puestos sobre la mesa en el marco de la ponencia “Family Office as a Client”, que se ha celebrado este martes en el marco de FIBA Wealth Management Forum en Miami. La conferencia, moderada por Allison P. Shipley, principal Tax –Personal Financial Services Practice de PwC, contó con la participación de Santiago Ulloa, managing partner de WE Family Office, Annette V. Franqui, managing director de Forrestal Capital, y Drake Jackman, managing director y responsable de LatAm de Northern Trust.
Para Ulloa, a la hora de ponerse a trabajar con una familia pesa más lo que la familia quiere hacer y hacia dónde quiere dirigirse que el tamaño de su riqueza, es decir, prima más su propósito de organización. De ahí, subrayó que lo primero que hay que resolver son los problemas de gobernanza y estructuración legal. Muchas veces los miembros de una misma familia viven en jurisdicciones distintas y en muchas otras ocasiones se enfrentan a una importante falta de organización que lleva a la familia sin rumbo. También, y no menos importante, está la labor de coordinar y dirigir a los distintos proveedores externos que dan servicio a la familia. “La tendencia en este sentido es contratar a los primeros de la clase. Contamos con recursos internos y nosotros coordinamos con los profesionales de fuera”.
En este sentido, Franqui subrayó que un family office también debe asegurarse de que se sigue el plan establecido y trabajar en conjunto con los proveedores de servicios del family office.
Respecto a cuáles son las tendencias que mueven actualmente a la industria, los asistentes coincidieron en el hecho de que muchas de las familias con las que trabajan tienen miembros de una misma familia en jurisdicciones diferentes. De ahí la necesidad de trabajar en cumplir fiscalmente con las distintas jurisdicciones y de estructuración. Otra de las tendencias que se advierten entre los family offices es la del aumento de coinversiones con otras familias, así como que cada vez más la familia busca el control y una mayor formación.
Franqui recalcó que cada vez son más los casos de familias que quieren hacer cosas juntas y explicó que en el caso concreto del sur de La Florida está surgiendo una red de networking que acabará por dar importantes frutos de aquí a 10/15 años debido a familias que han venido afincándose en la zona en los últimos años y que ya se conocen, empiezan a conocerse y ponen sobre la mesa oportunidades de negocio.
Para Ulloa, las familias están buscando inversiones directas porque no todo el mundo está dispuesto a tomar el riesgo de una inversión en private equity. En este sentido, Franqui coincidió en que prima la cercanía y el conocimiento antes que el riesgo. “Sigue habiendo la tendencia de invertir cerca, en lo que uno conoce”, recalcó.
Otras de las principales labores del family office es la de “sentarse encima” para tener una fotografía completa de los problemas y necesidades de la familia. “Gestionamos desde lo más sofisticado, como estructurar un private equity, a activos reales como la gestión de las propiedades de real estate”, dijo Franqui.
Por su parte, Jackman de Northern Trust apuntó la importancia de establecer reuniones periódicas entre los miembros de la familia para, entre otras cosas, educarles en los riesgos que toman y aprovechar también para ir educando a la siguiente generación, «a la que hay que alentar a trabajar y ver en que área pueden aportar más valor».
La segunda edición de FIBA Wealth Management Forum 2014 se ha celebrado este lunes y martes en Miami y ha contado con la participación de más de 200 profesionales del sector, que durante dos días de sesiones han podido escuchar de primera mano temas y problemas que atañen a la industria.
The Wealth-X and UBS Billionaire Census 2014, shows that 155 new billionaires were minted this year, pushing the global population to a record 2,325 – a 7% rise from 2013.
The combined wealth of the world’s billionaires increased by 12% to US$7.3 trillion, which is higher than the combined market capitalisation of all the companies that make up the Dow Jones Industrial Average.
The Wealth-X and UBS Billionaire Census 2014 – the only comprehensive, global study on the composition and dynamics of this top tier of the global ultra high net worth (UHNW) population – shows that Europe, with 775 billionaires, is the region with the most billionaires and billionaire wealth (US$2.37 trillion). North America – the region with the most billionaire wealth in 2013 – was overtaken by Europe in terms of billionaire wealth in this year’s census.
Asia, however, boasted the largest billionaire wealth increase, with the region’s billionaires’ fortunes growing by 18.7% over the past year. The region is responsible for 30% of the net increase in global billionaire wealth in 2014. Asia’s billionaire population grew by 10% in 2014, with 52 new entrants into the billionaire club – 33 are from China.
The United States maintains its position as the world’s top billionaire country with a population of 571 billionaires in 2014, followed by China (190) and the United Kingdom (130), which took the third spot from Germany (123) on the Top 40 Billionaire Countries/Territories list.
Below are other key findings from the Wealth-X and UBS Billionaire Census 2014:
Europe is home to more than a third of the world’s billionaire population.
Latin America and the Caribbean is the region that saw the most significant growth in terms of the size of its billionaire population (37.8%) in 2014, but Asia saw the fastest growth in billionaire wealth (18.7%).
The billionaire population in the Middle East shrank by 1.9%, but total billionaire wealth in the region rose by 16.7%.
The size of Africa’s billionaire population decreased by 4.8%, but the region’s billionaire wealth increased by 12.9%.
There was no change in the billionaire population in the Pacific (34 billionaires), but the region’s total billionaire wealth dropped by 2%.
Nearly 35% of the world’s billionaires are concentrated in 20 cities. Billionaires are transnational. They move from city to city, rather than from country to country.
Only 5% of the world’s billionaires are worth more than US$10 billion.
The average billionaire‘s wealth rose by 4.4% this year to just over US$3.1 billion.
The average age of the typical billionaire is 63, one year older than it was in 2013.
There are 2,039 male billionaires in 2014, accounting for 87.7% of the world’s total billionaire wealth of US$7.3 trillion.
There are 286 female billionaires in 2014, accounting for a 12.3% share of global billionaire wealth.
The census – which looks at the global billionaire population from July 2013 to June 2014 – examines this top-tier wealth segment by geographical location, gender, sources of wealth and personal traits.
“Wealth-X is pleased to partner with UBS for a second consecutive year to produce the Wealth-X and UBS Billionaire Census,” Wealth-X CEO Mykolas Rambus said. “Expert commentary from UBS complements Wealth-X’s global intelligence on the world’s billionaire population, producing a report that demonstrates a true collaboration between the global leader in wealth management and the world’s leading UHNW intelligence provider.”
Una de las mejores lecturas que he tenido recientemente es sobre el retorno potencial de los activos. No sobre cuál será su tasa de retorno, pues ése es un número que es incierto en el corto plazo, aunque la mayoría de activos brindan una tasa positiva en el mediano y largo plazo; sino en la forma en que los activos producen sus retornos. Esto a primera vista no se entiende, pero es altamente poderoso: tradicionalmente, los retornos eran simétricos, es decir, seguían una figura estadística en forma de campana, que permitía a los que diseñamos portafolios de inversión contar con cierta estabilidad al hacer los cálculos. En términos sencillos, la campana mostraba que así como era posible que una acción tuviera un retorno del 4%, también podía tener una desvalorización del 4%, con una media (que es donde caían la mayoría de retornos) alrededor del 0%.
Pero desde que empezó la sofisticación financiera, las cosas se complicaron. Muchos activos tienen retornos asimétricos, lo que quiere decir que su probabilidad de ganar o perder no es la misma y los pagos (resultados) son radicalmente diferentes en cada escenario. Piense en la lotería: su probabilidad de ganar es muy baja, pero su retorno es muy grande. Y al contrario: su probabilidad de no ganar es muy alta, aunque su costo es relativamente pequeño.
El problema de los activos de retorno asimétrico es que la probabilidad de ganar es alta pero su retorno es relativamente bajo, pero la de perder es baja con un costo asociado muy alto (en el neto, se llega a que el retorno ajustado por riesgo es muy bajo). Lo más llamativo es que es en momentos en que se necesita mayor estabilidad cuando este tipo de activos se comportan peor, es decir, durante las crisis financieras. Por eso, muchos inversionistas se ven altamente golpeados cuando las cosas van mal, porque aunque son activos que generalmente tienen una correlación baja con bonos o acciones por sus características particulares, la teoría de diversificación no funciona en momentos de estrés.
Así, este tipo de activos parecen algo muy seguro y atractivo, pero esas dos características se ven únicamente cuando los mercados van bien. Cuando van mal, la probabilidad de un alto retorno negativo, que es muy baja, entra en acción, y al ejecutarse las pérdidas son sustanciales para los inversionistas que tienen estos activos. Algunos incluso, pueden llegar a perder todo el capital invertido. Eso, como dije anteriormente, representa un reto muy grande para los que diseñan portafolios de inversión, pues en situaciones normales, los activos benefician el portafolio (dan un retorno relativamente estable con una probabilidad de éxito muy alta y una correlación baja); pero cuando se le hace una prueba de estrés al portafolio, los resultados cambian radicalmente. Muchos de estos activos son ilíquidos y eso complica aún más la ecuación, pues no permite deshacerse de ellos llegado el momento malo.
Infortunadamente, muchos inversionistas se dejan llevar por el folleto de los resultados históricos de estos activos (que siempre muestran la parte bonita), pero no se ponen a pensar en los riesgos potenciales si llega el momento malo. Y si los piensan, muchas veces encontrarán las justificaciones mentales para decirle a su asesor financiero el porqué ese momento malo nunca llegará.
Las opiniones expresadas son responsabilidad única y exclusiva del autor, y no representan la posición de Old Mutual sobre los temas tratados
Foto: Diego Delso. Récord histórico en los futuros sobre el dólar en el mercado mexicano de derivados
Durante agosto, en el MexDer, Mercado Mexicano de Derivados, se registró récord histórico en los futuros sobre el dólar, los montos operados fueron superiores a los que se negociaron en el Chicago Mercantile Exchange (CME), en el contrato equivalente, siendo la primera ocasión en la historia que esto ocurre, informa el Grupo de la Bolsa Mexicana de Valores (BMV).
Asimismo, la BMV subraya que en el mismo lapso, se registraron un mayor número de posiciones abiertas en México que en Chicago. Cabe señalar que en México la operación se compone de clientes institucionales, mientras que en el CME la operación es de corto plazo.
