Documentos de Académico
Documentos de Profesional
Documentos de Cultura
February 2017
100% 6
13 Others Chn Swi 2
5 Aut Can Aus 3
6 Rus
75%
Net 9
Jap
12 Fra 7
50% 13 Ger
25 UK USA 58
25%
15
0%
1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010
US UK Jap Ger Fra Can Aus Net Swi Rus Aut Chn Others
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 3
From past to present: the USAs great transformation
Banks
Health Oil & gas
Banks
Retail
Rail
Other
industrial Other
Rail dominated
Other financial
USA in 1900 Iron, coal indus-
steel Insur-
trial
ance
Utilities Media
Tobacco Utilities
Telegraph Telecoms
Technology Travel & leisure
Other transport Drinks
Other Food Other
Start-1900 Start-2017
80% by weight in industries now small or non-existent
then small or non-existent 67% by weight in industries
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 4
From past to present: the UKs great transformation
Banks Health Mines
Tobacco
Banks
Mines
Insurance
Start-1900 Start-2017
Disruptive technology has been familiar for two centuries
Investing in the new is not the obvious route to riches
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 5
The past: Real returns and dividends, 19002016
10,000
United States 1,000
United Kingdom
513
1,402
1,000
Reinv- 100 Reinv-
ested ested
100
divi- divi-
10
dends
11.9
8.1
dends
10 9.8 3.3
2.7
2.6
1
1
0.10 0.10
1900 10 20 30 40 50 60 70 80 90 2000 10 1900 10 20 30 40 50 60 70 80 90 2000 10
Equities: return 6.4% p.a. Equities: capital gain 2.1% p.a. Equities: return 5.5% p.a. Equities: capital gain 0.8% p.a.
Bonds 2.0% p.a. Bills 0.8% p.a. Bonds 1.8% p.a. Bills 1.0% p.a.
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 6
Long-run asset returns for all countries, 19002016
6 6.4
5.1
4 4.3
0
Aut Ita Bel Fra Ger Prt Spa Jap Eur Nor WxU Ire Swi Net Wld Den Fin UK Can Swe NZ US Aus SAf
-2
-4
Equities Bonds Bills Historical equity risk Historical equity risk
premium vs. bonds = 3.2% premium vs. bills = 4.2%
-6
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 7
US equities were volatile with large real drawdowns
0%
-10%
-20%
-30%
-40%
-50%
-60%
Bonds
-70%
Equities
-80%
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 8
The present: Yields on sovereign bills and bonds (%)
4
Since
In 2016
the 2016
rates hit
low,all-time
rates have
low risen
3
-1
Swi Ger Net Swe Bel Fra Fin Aut Den Ire Spa
Jap Spa Ita Por UK US Can Nor Aus
Ita Jap
But long rates still low. So short rates likely to remain low
Real (after inflation) returns on long bonds still very low
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 9
The race to zero and beyond? Is it over?
Real yield for representative 10-year index-linked bond
-1
-2
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 10
Low real interest rates means a low return world
Real rate of return (%)
10 11.0
9.4 9.8
9.0
7.6
5 5.2 5.2 4.6 5.6
4.2 2.8 4.0
1.4 1.4 2.2
0 0.1
-3.4 -2.2
- 5.4
-5
-10.0
-10 -11
-15
Low 5% Next 15% Next 15% Next 15% Next 15% Next 15% Next 15% Top 5%
Percentiles of real interest rates across 2,317 country -years
Equities next 5 years % p.a. Bonds next 5 years % p.a. Real interest rate boundary %
Real interest rates impact subsequent real equity and bond returns
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 11
Many investors are anticipating a return to normal
15
10
5 4.5
1.9
0
Long-run average
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 12
Many investors are anticipating a return to normal
Average annual % real interest rate (short-term interest rate minus inflation)
4
3.9
3.1 3.2
2
2.2
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 13
Inflation on the rise? Equities, bonds and inflation
Rate of return/inflation (%)
20 19
19.1
10 12.2 12.0 10.9 10.9 7.7
8.0 7.1 4.2
5.3 4.2 5.9
0 0.4
1.7 2.62.7 2.0
-3.5 -4.5
-11.6
-10
-20 -22.7
-30
Low 5% Next 15% Next 15% Next 15% Next 15% Next 15% Next 15% Top 5%
Percentiles of inflation across 2,453 country-years; bond and equity returns in same year
Real bond returns (%) Real equity returns (%) Inflation rate boundary (%)
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 14
Equities have been a poor inflation hedge
Real equity return
150%
100%
50%
Sensitivity to
0%
concurrent
inflation was
-50% 0.52
-100%
-30% 0% 30% 60% 90%year
Inflation in same
UK US Ger Jap Net Fra Ita Swi Aus Can Swe Den Spa Bel Ire SAf Nor NZ Fin
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 15
The future: What equity premium can we expect?
Annualised (% p.a.)
5 0.5
5.1
0.5
4
4.1 0.8
3
3.3
0
Historical equity Real dividend Change in Average Treasury bill Expected equity
real return growth P/D ratio dividend yield return risk premium
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 16
The high return world we grew up in
0
US Jap UK Can Aus Eur Wld US Jap UK Can Aus Eur Wld
Since 1950 Equities Bonds Since 1980
Baby boomers Generation X
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 17
Looking forward from 2017
-2
World World World USA Japan UK Europe Emerging
since since markets
1950 1980 Equities Bonds
Historical high returns Prospective lower returns
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 18
The future
Real interest rates are low, and bond yields are low
expected returns on all assets are lower than past returns
modest rises in inflation are unlikely to impact real returns
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 19
Investors ditching active management (USA, 200716)
Cumulati
ve asset
flow
(USD bn)
400
300
200
100
0
2012 13 14 15 16
22
The smart-beta zoo
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 23
Low-risk investing
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 24
Low risk factors in the USA, 19632016
1,000
247
216
212
100 122
10 9.7
8.8
0.10
Low specific risk 10.9% p.a. Low variance 10.6% p.a. Low beta 10.5% p.a.
High specific risk 4.1% p.a. High variance 4.3% p.a. High beta 9.4% p.a.
10 8.8
0.10
Lowest risk 10.9% p.a. Lower risk 10.7% p.a. Medium risk 12.2% p.a.
Higher risk 11.4% p.a. Highest risk 4.1% p.a.
Based on daily returns. Source: Data from Professor Kenneth French, Dartmouth (website) 26
Specific risk factor in the UK
100
35.9
24.9
10
3.9
0.10
Lowest risk 11.6% p.a. Medium risk 10.3% p.a. Highest risk 4.2% p.a.
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 27
Longer-term (60-month) specific risk estimates in UK
1,000
623
571
282
100
10
Lowest risk 12.0% p.a. Medium risk 11.8% p.a. Highest risk 10.4% p.a.
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 28
Momentum
Wait a month
then buy past winners (and short past losers)
Rebalance periodically
typically after 6, 3 or 1 month(s)
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 29
The momentum premium, 1900*2016
100,000
100,000
10,000
10,000
3,634
1,000 1,000
100 100
61
10 Cumulative difference 10
between winners and
losers 7.4%
1 1 Cumulative difference
between winners and
losers 10.4%
0.10 0.10
1900 10 20 30 40 50 60 70 80 90 2000 10
Winner 17.5% per year Loser 9.5% per year Winner 14.1% per year Loser 3.6% per year
* from 1926 in the US Based on a 6/1/6 momentum strategy Based on a 12/1/1 momentum strategy
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 30
Momentum returns around the world
1.5
1.0
.79
.71
0.5
0.0
-0.5
Jap Chi Rus Spa US Can Aus Swe Prt Fra Aut Avg Ger Neth Ita Bel Swi Fin Ire UK Nor Den NZ SAf
Griffin, Ji & Martin: to end-2000 Full period to end-2016 (updated by Dimson, Marsh & Staunton)
Unusually, the factor premium was larger after the original study
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 31
Other factors: the size premium, 1926*2015
10,000 10,000
6,861
4,690
3,220
1,000
1,000 1,087
100
100
10
10
1
0.10 1
26 30 35 40 45 50 55 60 65 70 75 80 85 90 95 00 05 10 15 1955 60 65 70 75 80 85 90 95 2000 05 10 15
Micro-caps 12.7% per year Small-caps 12.1% per year Micro-caps 17.9% per year Small-caps 15.3% per year
Larger-caps 9.7% per year Mid-caps 13.9% per year Large-caps 12.0% per year
The smallest firms have performed the best, but not consistently
* from 1955 in the UK
Sources: US CRSP capitalization deciles are from Morningstar; UK Small and Mid-caps are Numis indices 32
The size effect around the world
0.8
.45
0.4 .32
0.0
-0.4
Nor Net Fin NZ Ita Den SAf Spa Chi UK Bel Swe Ger US Avg Swi Can Aus Rus Jap Por Ire Aut Fra
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 33
Other factors: the value premium, 1926*2016
10,000
Value Value
4,274 1,000 1,146
3,061
1,000 419
100 100
10
Growth
10
Growth
1
0.10
1
26 30 35 40 45 50 55 60 65 70 75 80 85 90 95 00 05 10 15 1955 60 65 70 75 80 85 90 95 2000 05 10 15
High book-to-market 12.9% p.a. US market 9.8% p.a. High book-to-market 16.0% p.a. UK market 12.1% p.a.
Low book-to-market 9.3% p.a. Low book-to-market 10.3% p.a.
5
2.1 2.5
-5
-10
Ire Fin Den Swi Ita Por NZ US Bel Ger UK Spa Wld Fra SAf Net Swe Can Aus Aut Nor Jap Chi Rus
13,991 158,727
10,000 100,000
7,156
35,966
2,312
1,000 1,451 10,000
6,810
100 1,000
10 100
1 10
0.10 1
End 1900 10 20 30 40 50 60 70 80 90 2000 10
High yield 11.3% p.a. Medium yield 10.4% p.a. High yield 10.8% p.a. UK market 9.4% p.a.
Low yield 9.0% p.a. Zero yield 8.5% p.a. Low yield 7.8% p.a.
High yielders have beaten low yielders; a variant of the value effect
* from 1927 in the USA
15
10
6.2
5 3.9
-5
-10
NZ Ire Bel Swi US Ger UK Ita Den Fin Avg Spa Sin Can HK Net Aus Fra Nor Jap Swe Aut
Longer term Since 2000
Source: All data except UK data is from Professor Kenneth French, Dartmouth (website) 37
Factor performance since the financial crisis
USA 2008 2009 2010 2011 2012 2013 2014 2015 2016 200816
Low vol Size Size Low vol Value Size Low vol Momentum Value Low vol
Highest 90.3 28.5 13.6 40.5 11.5 5.3 11.3 42.3 17.2 6.0
Income Value Momentum Income Size Value Income Low vol Income Size
20.7 8.0 8.5 29.5 7.8 4.7 1.6 13.9 14.8 4.0
Momentum Income Income Momentum Momentum Momentum Value Income Size Income
2.4 17.2 7.1 1.4 0.9 4.5 2.2 2.4 9.6 3.8
Size Low vol Value Size Low vol Income Momentum Size Low vol Value
4.3 33.0 4.5 3.7 1.5 8.2 5.3 9.3 1.8 1.8
Value Momentum Low vol Value Income Low vol Size Value Momentum Momentum
Lowest 6.0 50.6 15.2 12.8 7.6 9.3 6.7 12.0 22.4 6.0
UK
Low vol Size Size Low vol Size Momentum Momentum Low vol Value Momentum
Highest 127.0 24.9 12.4 35.0 17.0 32.4 42.8 23.7 20.2 12.8
Momentum Income Value Income Value Size Size Momentum Income Size
78.8 1.1 3.2 28.3 14.8 15.5 12.1 20.1 15.3 6.5
Income Value Momentum Momentum Momentum Low vol Income Size Size Low vol
15.7 6.9 0.7 20.6 1.7 11.5 1.3 11.1 4.9 5.5
Value Low vol Income Size Income Income Low vol Income Momentum Income
11.8 20.1 13.7 4.9 8.1 0.0 6.2 11.2 18.3 2.1
Size Momentum Low vol Value Low vol Value Value Value Low vol Value
Lowest 17.5 25.4 22.9 10.7 15.7 0.0 10.0 20.9 21.2 3.2
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 38
Smart beta
Source: Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists, Princeton University Press, 2002, and subsequent research 39