Donnerstag, 24. Mai 2012

Die Erfolgsgeheimnisse guter Hedgefondsmanager

Barry Ritholtz, Fondsmanager und Blogger ("The Big Picture") hat ein Interview mit Jack Schwager verlinkt, in dem dieser über sein neues Buch "Hedge Fund Market Wizards" spricht. Bei Ritholtz findet sich eine Video-Einbettung, eine MP3-Version gibt es hier:

Besonders gut gefallen mir folgende Tips:
4. The Importance of Doing Nothing
For some traders, the discipline and patience to do nothing when the environment is unfavorable or opportunities are lacking is a crucial element in their success. For example, despite making minimal use of short positions, Kevin Daly, the manager of the Five Corners fund, achieved cumulative gross returns in excess of 800% during a 12-year period when the broad equity markets were essentially flat. In part, he accomplished this feat by having the discipline to remain largely in cash during negative environments, which allowed him to sidestep large drawdowns during two major bear markets. The lesson is that if conditions are not right, or the return/risk is not sufficiently favorable, don’t do anything. Beware of taking dubious trades out of impatience.

5. Volatility and Risk Are Not Synonymous

Low volatility does not imply low risk and high volatility does not imply high risk. Investments subject to sporadic large risks may exhibit low volatility if a risk event is not present in the existing track record. For example, the strategy of selling out-of-the-money options can exhibit low volatility if there are no large, abrupt price moves, but is at risk of asymptotically increasing losses in the event of a sudden, steep selloff. On the other hand, traders such as Jamie Mai, the portfolio manager for Cornwall Capital, will exhibit high volatility because of occasional very large gains-not a factor that most investors would associate with risk or even consider undesirable-but will have strictly curtailed risk because of the asymmetric structure of their trades. So some strategies, such as option selling, can have both low volatility and large, open-ended risk, and some strategies, such as Mai’s, can have both high volatility and constrained risk.
As a related point, investors often make the mistake of equating manager performance in a given year with manager skill. Sometimes, more skilled managers will underperform because they refuse to participate in market bubbles. The best performers during such periods are often the most imprudent rather than the most skilled managers. Martin Taylor, the portfolio manager of the Nevsky Fund, underperformed in 1999 because he thought it was ridiculous to buy tech stocks at their inflated price levels. This same investment decision, however, was instrumental to his large outperformance in subsequent years when these stocks witnessed a prolonged, massive decline. In this sense, past performance can sometimes even be an inverse indicator.
PS:
"Hedgefondsmanager" ist etwa so präzise wie "Auto". Das kann ein Fiat 500 oder ein Lamborghini sein. "Hedgefonds" haben in Deutschland keinen guten Ruf. Ich meine zu Unrecht, zumindest so pauschal. Grundsätzlich tun Hedgefonds das, was sich jeder Anleger wünscht und was auch Berufsschlaumeier wie Finanztest fordern: sie versuchen das Vermögen ihrer Anleger in jeder Marktlage zu mehren und zu schützen (= to hedge). Bekannt (und kritisiert) werden i.d.R. die hochgehebelten Zockerfonds, gegen die ich persönlich nur etwas habe, wenn sie kriminelle Methoden wie zB Naked Short Selling betreiben.

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