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QUANTITIVE AND ASSET MANAGEMENT WORKSHOP
I rendimenti attesi delle Asset Class
Fulvio Marchese
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Le proprie CONVINZIONI: attenzione al CONFIRMATION BIAS
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La mission della Consulenza Finanziaria
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Strumenti per decidere
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Ognuno ha il suo “orologio”
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…i suoi “strumenti”
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Le ragioni per essere ottimista diventano scommesse
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Salvo poi…
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Tentare il ”trend following”
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E spesso del Risparmiatore resta ben poco
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Approccio quantitativo
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Ogni asset class ha la sua statistica
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Max Drawdown & Long drawdown
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Recovery period statistici
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A volte lunghi e dolorosi
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Quindi si diversifica!
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Meno volatilità, ma i periodi di drawdown possono essere lunghi
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…eppure era il famoso portafoglio di Antony Robbins
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L’indicatore più usato per stimare i rendimenti attesi azionari
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…abbinato alla statistica
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Lo si può applicare a qualsiasi mercato
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Con interessanti risultati
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Ovviamente senza nessuna certezza
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… e poi bisogna contestualizzare con altri indicatori
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Ad esempio relazione tassi/Pil
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L’attesa di crescita del PIL e relazione col rapporto debito/PIL
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Tutto naturalmente è dinamico Mercato ed indicatori si muovono
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Algoritmo e perimetro di calcolo: Hussman
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Morgan Stanley
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Pimco
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Attendibilità passata: Barings
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Barings: prossimi 10 anni
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Le stime di Callan
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Da oltre 20 anni le stime di Callan sono attendibili
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I prossimi 5 anni per Robeco
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I rendimenti attesi rispetto lo scorso anno
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Il CAPE Schiller mondiale
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Il CAPE Schiller regionale
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A scuola dai più bravi
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Risultati US university
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Dai RENDIMENTI ATTESI ai SEGMENTI DI RISCHIO
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Il protocollo si arricchisce di nuove sensibilità
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Dall’articolo di Investors’
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Qualche risultato, ovviamente non scientificamente replicabile, è stato, comunque, ottenuto
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Thanks!