10. okt. 2009

Fokusèr på dine beste ideer!

Legger ved en interessant paper som argumenterer for at investorer burde praktisere en konsentrert portefølje basert på sine beste ideer. Konsentrerte porteføljer er forøvrig et av kjennetegnene til verdifond som kan vise til god langsiktig risikojustert avkastning. Nå har riktignok mange verdifond revidert denne praksisen kraftig ettersom konsentrasjonene viste seg å være alt for stor i forkant av krisen. Enkelte fond har nå gått fra porteføljekonsentrasjon på 10x10 til posisjoner på 3-5-10. Der 3% og 5% er det vanlige og 10% investert av porteføljen representerer svært sjeldne og gode muligheter.

Abstract:
«We examine the performance of stocks that represent managers’ “Best Ideas.” We find that the stock that active managers display the most conviction towards ex-ante, outperforms the market, as well as the other stocks in those managers’ portfolios, by approximately one to four percent per quarter depending on the benchmark employed. The results for managers’ other high-conviction investments (e.g. top five stocks) are also strong. The other stocks managers hold do not exhibit significant outperformance. This leads us to two conclusions. First, the U.S. stock market does not appear to be efficiently priced, since even the typical active mutual fund manager is able to identify stocks that outperform by economically and statistically large amounts. Second, consistent with the view of Berk and Green (2004), the organization of the money management industry appears to make it optimal for managers to introduce stocks into their portfolio that are not outperformers.We argue that investors would benefit if managers held more concentrated portfolios

Buffett om diversifisering:
«If it’s your game, diversification doesn’t make sense. It’s crazy to put money into your 20th choice rather than your 1st choice. “Lebron James” analogy. If you have Lebron James on your team, don’t take him out of the game just to make room for someone else. If you have a harem of 40 women, you never really get to know any of them well.»

Seth Klarman om diversifisering:
«It seems to me that, as we know, you diversify most of the diversifiable risk away from a portfolio by owning 20 or 25 positions, and that if one is able to tell a good investment from a bad, one should be able to tell a great investment from a good. So I see no sense in having the same size position with your best idea and your hundredth best idea to round out a 1% idea type of portfolio. When we take a concentrated position, I’d say a dozen times over 26 years, we have had a 10% or so position. It also depends on the definition: Is a position in a type of investment a position or is it only a particular issuer? So a little definitional clarity might also be needed. But in general, in one particular company’s securities, every 2 years or so we have a 10% position. Most of the time, we have 3, and 5, and 6 percent positions as our most favorite ideas. We will take them higher when a cheap position becomes much, much better a bargain or when there’s a catalyst for the realization of underlying value. We favor catalysts because it gives you a much shorter duration on the investment and greater predictability that you will in fact make money on that investment and aren’t subject to the vagaries of the market and the economy and business over a longer period of time. So we would not own a 10% position in a common stock that was just plain cheap unless we had a seat on the board and control, because too many bad things can happen. But we’d own a 10% position in a senior, distressed debt investment where there was a plan in place, where the assets were very safe – either cash or receivables or something where we could count on getting our money back, and where we saw almost no chance of principal loss over a couple of years and a chance of a very high, meaning 20% plus, type of return. So that’s how we think about it. I think when people make mistakes, it often is on both sides of diversification. Occasionally, new managers especially, that aren’t that experienced in the business, will have a 20% position or perhaps even two in one portfolio. And those two might even be correlated – [i.e.] same industry, [or] the same exact kind of bet in two different names. That’s absurdly concentrated; maybe not if you have enormous confidence and it’s your own money, but if you have clients, that’s just not a good idea. But 1% positions also are too small to take advantage of what are usually the relatively few great mispricings that you can find. When you find them, you do need to step in and take advantage.»