Eufori og grådighed og har vi lært noget?

Transkript

1 Eufori og grådighed og har vi lært noget? Mogens V. Møller Aarhus Arosgaarden, Fiskergade 41, 2 DK Aarhus C Tel: (+45) Kiel Sell Speicher Wall 55, Kiel Tel: +49 (0)

2 Dagens program Bobler i vor tid Greenspan put eller the great moderation Bankkrise og dens baggrund Banking in the shadows Der kan roligt forskes mere i finansteorien En aktivklasse som kreditobligation med pant 1

3 Mogens V. Møller & Moller & Company A/S Moller & Company A/S Stiftet af Mogens V. Møller i 2005 Bestyrelse: Finansdirektør Knud Hjort, Lego. Direktør, John Skovbjerg, Byggeselskabet Olav de Linde A/S. Adm. direktør Per V. Møller, Rose Poultry A/S. Om virksomheden: Investeringsselskab med aktiviteter indenfor ejendomsinvestering/- rådgivning, finansiel rådgivning og porteføljestyring Fokus områder: Tyske ejendomsinvesteringer og asset management. Etablerede eget datterselskab i Tyskland juni 2006, Moller & Company GmbH. Gennemført ejendomstransaktioner for ca. EUR 400 mio. Mogens V. Møller Beskæftigelse , Danske Bank , Grundfos A/S , Arla Foods amba 2005 Moller & Company A/S Finansdirektør i Arla Foods amba. Siden 1992 direktør i hollandske og tyske ejendomsselskaber i Arla-koncernen. Siden 2003 direktør for K/S Danske Immobilien, der ejer 70 ejendomme og ca lejligheder i Nordtyskland stifter MC Property Fund med 59 ejendomme i Hamborg 2008 stifter og CEO for Prime Office A/S, der noteres på OMX Nasdaq, juni

4 Forretningsområder Moller & Company A/S Real Estate Asset Management Property Management Corporate Finance Energy Investment with focus on yield and risk 3

5 Bonus og indtjening i USA Source: No rhyme or reason, Andrew M. Cuomo 4

6 Den finansielle verden i dag i et helikopter perspektiv << Risiko på aktier Percent Basis point >> "stærke virksomheder" jul okt 06 jan apr jul okt jan 07 apr jul okt jan 08 apr 09 jul -100 Source: Reuters EcoWin 5

7 Kriser in our time 1973 USD forlader guldparitet oliekrise oliekrise 1985 USD Plaza møde (+12,40) 1987 aktiekrak i USA 1989 Japan kollapser 1992 valutakrise og EMS bryder sammen 1998 Rusland standser betalingerne 1998 LTCM kollapser 2001 Nasdaq kollapser 2008 global system krise 6

8 En boble i vor tid USD og guld standard 10 5,0 0 4,5-10 4, >>USD kurs 3,5 3,0-40 Smithsonian aftalen dec. 2,5-50 2,0-60 1, ,0 USD - her m0d DEM USA handelsbalance USA samhandel med Kina Source: Reuters EcoWin 7

9 Hvem husker Japan i 1989? Index Index 8

10 Fastkurs med ubalance i Argentina frem til 2001 USD (millions) 9

11 Jeg har aldrig forstået investeringer i Tyrkiet 10 USD (millions) Percent EUR/TRY

12 I 1998 kom et vink med en vognstang Asset allocation and correlation 11

13 Tre store bobler forleden <<Nasdaq Dow Jones Index Index Ejendomspriser i USA Source: Reuters EcoWin 12

14 Robert Schiller om markeds psykologi Irrational Exuberance, 2001 om Nasdaq og US fast ejendom i 2004 (Shiller index) There are many other psychological theories that have been applied successfully to understanding phenomena in financial markets. Extensive psychological research has documented that people tend to be overconfident in their judgments. People tend to show a wishful thinking bias, believing what they want to believe. People show problems of self control, and know that they may be unable to control themselves in the future. People often make judgments using the representativeness heuristic, that is when judging the probability that a model is true, they base their estimate on the degree to which the data resemble the model, rather than do appropriate probability calculations. People tend to exhibit belief perseverance, hanging onto past beliefs long after they should have abandoned them. People tend to make the error of anchoring, that is, when making difficult quantitative judgments they tend to start from some arbitrary initial estimate, often suggested to them by something in their immediate environment, and then allow that initial estimate to influence their judgments. People tend to show an availability bias, overweighting evidence that comes easily to mind, thereby allowing their decisions to be over-influenced by evidence that is more salient and attention-grabbing. Egne evner og vurderinger overfortolkes Ønsketænkning Manglende selvkontrol Manglende erkendelse af den faktiske situation Bystander effect Lemmingeeffekten 13

15 Irrational Exuberance by Robert Shiller Han konstruerede Shiller ejendomsindekset i

16 Men der var mange der var fremme med det røde kort Shiller, Klugman, Rubini (Dr. Doom), Dr. Otte, Stiglitz, Paulsen (Credit Opportunities), Taleb. The only safe way to use VaR was alongside numerous other analytical tools including the human brain. Jamie Dimon, JP Morgan Chase Tellett: Fools Gold, p

17 Man kender til ekstremer og er forberedt 16

18 Lang historisk er godt og uro må ikke skræmme 17

19 Dagens program Bobler i vor tid Greenspan put eller the great moderation Bankkrise og dens baggrund Banking in the shadows Der kan roligt forskes mere i finansteorien En aktivklasse som kreditobligation med pant 18

20 Greenspan og Ayn Rand 10 8,5 9 8,0 8 7,5 7 7,0 6 6,5 5 6,0 4 5,5 3 5,0 2 4,5 1 4,0 0 3, Unemployment, Rate, Total, SA Policy Rates, Fed Funds Target Rate, USD Source: Reuters EcoWin 19

21 Greenspan put and the Great Moderation Recession Recession <<US Policy rate 9 8 Percent 5 7 Percent Recession >>Arbejdsløsh Source: Reuters EcoWin 20

22 Greenspan put forklaret Asien LTCM Lehmann Black Monday c.o.p 1 obs Source: Reuters EcoWin 21

23 Dagens program Bobler i vor tid Greenspan put eller the great moderation Bankkrise og dens baggrund Banking in the shadows Der kan roligt forskes mere i finansteorien En aktivklasse som kreditobligation med pant 22

24 Et eksempel fra virkeligheden verden 23

25 Herrstatt krisen i 1974 betød dannelsen af BIS Herrstatt s position var på 8,6 mia. USD USD (billions) USD/DEM 24

26 Value-at risk kollapsede i 1998 og i 2008 Porteføljevædien ift markedsfaktorer dmv Sandsynligheds fordeling ds ds VAR α VAR indenfor 1-α konfidens interval Kilde: Wilson [96] s

27 EU s kapitalkravsdirektiv Basell II Danske Bank(Mio DKK) Citigroup( Mio $) Aktiver Risikovægtede aktiver Aktiver Risikovægtede aktiver Egenkapital Basiskapital Egenkapital Basiskapital Soliditet Solvensprocent Soliditet Solvensprocent 3,1% 16,09% 7,31% 15,70% 26

28 Citigroup 10 dage taber man mellem 4 og 20 mia. DKK 27

29 Danske Bank VaR Rapport 10 gange på et år overskrides 99% interval 28

30 We will never have a perfect model of risk by Alan Greenspan Financial Times The most credible explanation of why risk management based on state-of-the-art statistical models can perform so poorly is that the underlying data used to estimate a model s structure are drawn generally from both periods of euphoria and periods of fear, that is, from regimes with importantly different dynamics. Kilde: FT

31 The mother of all crises was born here 22,5 Prime rates i USA gns. 20,0 17,5 15,0 Percent 12,5 10,0 7,5 5,0 2,5 0, Source: Reuters EcoWin 30

32 Kreative personer i specielt investeringsbankerne 31

33 Ejendomme steg med raketfart.. 32

34 Og det var over hele USA Helt frem til

35 Og det har været dagligdag lige siden 34

36 Verdens største pyramidespil 35

37 Dagens program Bobler i vor tid Greenspan put eller the great moderation Bankkrise og dens baggrund Banking in the shadows Der kan roligt forskes mere i finansteorien En aktivklasse som kreditobligation med pant 36

38 Timothy Geithner about the shadow banking market The scale of long-term risky and relatively illiquid assets financed by very short-term liabilities made many of the vehicles and institutions in this parallel financial system vulnerable to a classic type of run, but without the protections such as deposit insurance that the banking system has in place to reduce such risks. The funding and balance sheet pressures on banks were intensified by the rapid breakdown of securitisation and structured finance markets. I believe the severity and complexity of this crisis makes a compelling case for a comprehensive reassessment of how to use regulation to strike an appropriate balance between efficiency and stability. Let me just finish by saying that confidence in any financial system depends in part on confidence in the individuals running the largest private institutions. Regulation cannot produce integrity, foresight or judgment in those responsible for managing these institutions. That's up to the boards and shareholders of those institutions. Source: The economic club in N.Y, 8/

39 Soliditet i investeringsbanker 38

40 Soliditet i forretningsbanker 39

41 Samlede aktiver i US commercial banker USD (thousand billions) Source: Reuters EcoWin 40

42 Obligationsudstedelse på niveau med gæld i bankerne Sker i en række SIV-selskaber Source: SIFMA 41

43 Commercial papersfinansierer en stor del From originate- to hold to originate to distribute 42

44 De mange nye husejere fik problemer 43

45 Så væltede korthuset 44

46 Kurser på nu toxic bonds Lehmann går konkurs Index jan apr jul okt jan 06 apr jul okt jan 07 ABX Home Equity Index, AA Rated, Series 6-1 ABX Home Equity Index, BBB Rated, Series 6-1 ABX Home Equity Index, AAA Rated, Series 6-1 apr jul okt jan 08 apr 09 jul ABX Home Equity Index, A Rated, Series 6-1 Source: Reuters EcoWin 45

47 Rating and subprime i. [W]hat happened was, it was a slippery slope. What happened in 04 and 05 with respect to subordinated tranches is that our competition, Fitch and S&P, went nuts. Everything was investment grade. It didn t really matter. ii. The documents from Standard and Poor s paint a similar picture. In one document, an S&P employee in the structured finance division writes: It could be structured by cows and we would rate it. In another, an employee asserts: Rating agencies continue to create [an] even bigger monster the CDO market. Let s hope we are all wealthy and retired by the time this house of cards falters. iii. Six years ago, Congress pressed the SEC to assert more control over the credit rating agencies. iv. Things began to change in 2001 as the housing market took off a new version of the model was developed using approximately 2.5 million loans with significant performance information. This model was by far the best yet developed, but it was not implemented due to budgetary constraints. Extraordinarily large volumes of transactions requiring ratings put a strain on the analytical staff resources, and requests for more staffing were generally not granted. The model development team continued to collect data, and in late 2003 or early 2004 a 4th version of the model was developed based on approximately 9.5 million loans. These loans covered the full spectrum of new mortgage products, particularly in the Alt-A and fixed/floating payment type categories. To my knowledge, that model has yet to be implemented. Source, IMF, FSR, 2009 Source: Opening Statement of Rep. Henry A. Waxman Chairman, Committee on Oversight and Government Reform Credit Rating Agencies and the Financial Crisis October 22,

48 Her blev en del chokeret 47

49 Compensation and net income for TARP recipients Source: No rhyme or reason, Andrew M. Cuomo 48

50 Bonus og indtjening i USA Source: No rhyme or reason, Andrew M. Cuomo 49

51 Moral hazard vs adverse selection 50

52 Fed vs BoE 51

53 Federal Reserve balance og regningen er sendt videre 2,50 2,25 2,00 AIG 1,75 USD (thousand billions) 1,50 1,25 1,00 Term auction credit Central bank liquidity swap MBS 0,75 CP 0,50 0,25 US Treasuries 0,00 jun aug okt dec 07 feb apr jun aug okt dec 08 feb apr 09 Source: Reuters EcoWin 52

54 Dagens program Bobler i vor tid Greenspan put eller the great moderation Bankkrise og dens baggrund Banking in the shadows Der kan roligt forskes mere i finansteorien En aktivklasse som kreditobligation med pant 53

55 Prague in August

56 Sorte svaner og finansteori Miller & Mogdiliani Efficient Market hypothes CAPM - model Korrelation og varians Normal fordeling Pludselige kursspring Risiko er konstant Aktier er bedre end obligationer Information har epidemisk karakteristika 55

57 2007 En verden uden risiko og IMF må snart lukke Source: IMF,

58 IMF Global Stability Map October 2008 I en global verden rammer det hårdt og kontant IMF, Oktober

59 Her er IMF finansielle billede fra april

60 Normalfordelingsantagelsen er gud Normal and lognormale fordelinger følger en kontinuær fordeling Finansielle instrumenter er ikke lognormalt fordelt. Det teoretisk umulige er sket 6 gange siden 1970 Ekstremerne tæller ikke med risikoanalyserne 99% konfidensinterval. Source: Møller,

61 S&P 500 fra 1825 til

62 S&P 500 fra 1825 til

63 Aktier er bedst for det meget lange sigt hvor langt? 62

64 Direkte rente obligationer sammenlignet med udbytte på aktier 63 Dividend Yield in Percent Bond Yields in Percent

65 Good old CAPM model 64

66 Correlation 65

67 De har haft samme lærer DKK aug sep okt nov dec jan 08 ALM BRAND FORMUE B [rebase = 100.0] BI BULL HEDGEFORENING OF [rebase = 100.0] BI HEDGE STABIL OF [rebase = 100.0] FORMEPLEJE PENTA ORD [rebase = 100.0] FORMUE EVOLUTION I ORD [rebase = 100.0] FORMUE EVOLUTION II ORD [rebase = 100.0] KAPITALPLEJE ORD [rebase = 100.0] SPAR NORD FORM [rebase = 100.0] feb mar apr maj jun jul aug 09 Source: Reuters EcoWin 66

68 Valutabevægelser siden 2007 Index 67

69 Currency as transmission channel BNP: problems with funds investing in sub prime JPY Index USD 105 CHF Euro aug sep okt nov dec jan 08 feb mar apr maj 09 Source: Reuters EcoWin 68

70 Hvordan tackler vi de finansielle markeder? 69

71 Nogle budskaber De finansielle markeder går op og ned men ikke nødvendigvis i den rækkefølge Vi overraskes hver gang, men forklaringerne er rene selvfølgeligheder Vær din egen finanschef og lad investeringsrådgiveren referere til dig Få altid en beregning af risiko og maximalt tab Den finansielle teori er stadig meget mangelfuld Modeller virker ikke og normalfordelinger er fandens opfindelse, men al risikostyring bygger på det Vælg selv når I træder ind i spillet, men man behøver ikke deltage i ethvert spil 70

72 Kilder: Hans-Werner Sinn, 2009, Kasino-Kapitalismus, Ullstein Buchverlage GmbH. Hans-Werner Sinn, 2009, Er bank krisen for alvor overstået?, Børsen 16. Juli Paul Krugman, 2008, The return of depression economics, Penguin Group. Robert J. Shiller, 2008, The subprime solution, Princeton University Press. Robert J. Shiller, 1999, Irrational exuberance. Markus Dettmer m.fl., 2009, Schuld og Sühne, Der Spiegel. Nassim Nicholas Taleb, 2007, The black swan, Random House. Nassim Nicholas Taleb, 2004, Fooled by randomness, Texere. Max Otte, 2008, Der Crash kommt. IMF, 2009, Global financial stability report. IMF, 2009, World economic outlook , Global CDO issuance, US ABS Issuance/Outstanding. Andrew M. Cuomo, 2009, No rhyme or reason: The heads I win, tails you lose bank bonus culture. Berkshire Hathaways letters to the stockholders diverse årgange. Allan Greenspan, 2008, We will never have a perfect model of risk, Financial times 18. marts Søren Overgaard Nielsen, 2009, Det forudsigelige menneske, Weekendavisen 21. august Klaus Wivel, 2009, Finanskrisens ground zero, Weekendavisen 21 august

73 Back up 72

74 Lån i CHF Percent Euro rente CHF rente Renteforskel Euro og CHF CHF/DKK CHF/DKK 73

75 60% fast og 40 % variabel - forsikring koster 74

76 Forbrugertillid i USA Index is a neutral view Source: Reuters EcoWin 75

77 Forbrugertillid i Tyskland 17,5 Forbrugertillid Venstre akse: 0 er en neutral vurdering af forbrugerklimaet. Højre akse: 100 er en neutral vurdering af forbrugertilliden , , ,0 95 Net balance 7,5 5, Index 2,5 80 0,0 75-2,5 70-5, Tyskland, Forbrugertillid (ICON), (hs) Tyskland, Forbrugerklima (GFK), (vs) Source: Reuters EcoWin 76

78 Privatforbrug dykker i DK målt i dankort transaktioner 77

79 IFO og DAX indeks 78 Percent Index

80 Investment funds Global stock performance 100 invested in global stock portfolios up to 10Y 79

81 Udvikling i de større økonomier 10,0 7,5 5,0 UK Percent 2,5 0,0-2,5 USA Tyskland -5,0-7,5 3 1 Percent Japan Source: Reuters EcoWin 80

82 Unemployment in selected countries Percent 81

83 John Maynard Keynes summoned it up in 1937 John Maynard Keynes took pains to distinguish between risk, where probabilities or frequencies could be calculated, and uncertainty, where there is no scientific basis on which to form any probability estimates. Keynes went on, in an article published in 1937, to spell out exactly how we tend to behave in the face of such ignorance. It explains a great deal of recent behaviour in financial markets. Keynes argued that uncertainty affects our behaviour in three ways: (1) We assume that the present is a much more serviceable guide to the future than a candid examination of past experience would show it to have been hitherto. In other words we largely ignore the prospect of future changes about the actual character of which we know nothing. (2) We assume that the existing state of opinion as expressed in prices and the character of existing output is based on a correct summing up of future prospects, so that we can accept it as such unless and until something new and relevant comes into the picture. (3) Knowing that our own individual judgement is worthless, we endeavour to fall back on the judgement of the rest of the world which is perhaps better informed. That is, we endeavour to conform to the behaviour of the majority or the average. The psychology of a society of individuals each of whom is endeavouring to copy the others leads to what we may strictly term a conventional judgement. 82

84 Buffett og Munger om finansteori OMAHA, Neb. A theme that keeps cropping up from Warren Buffett and Charlie Munger at the Berskire Hathaway meeting is their complete disdain for modern portfolio theory and the use of higher-order mathematics in finance. Mr. Buffett said he was once asked by a student from the University of Chicago, a hub of modern portfolio theory, What are we learning that s most wrong? To which Charlie Munger quipped, How do you handle that in one session? Mr. Buffett on complex calculations used to value purchases: If you need to use a computer or a calculator to make the calculation, you shouldn t buy it. Mr. Munger on the same theme: Some of the worst business decisions I ve ever seen are those with future projections and discounts back. Mr. Buffett on the persistence of bad ideas in finance: The famous physicist Max Planck was talking about the resistance of the human mind, even the bright human mind, to new ideas. And he said science advances one funeral at a time, and I think there s a lot of truth to that and it s certainly been true in finance. 83

85 Weapons of mass destruction and counter part risk Tallenes størrelse på daglig endsige årlig basis ligger uden for enhver form for relevans Kilde: BIS,

86 85