Eufori og grådighed og har vi lært noget?

Eufori og grådighed og har vi lært noget? Mogens V. Møller 24.8.2009 Aarhus Arosgaarden, Fiskergade 41, 2 DK - 8000 Aarhus C Tel: (+45) 87 33 89 89 Kiel Sell Speicher Wall 55, 24103 Kiel Tel: +49 (0) 431 90 66 911 0

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

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 1978-1983, Danske Bank 1983-1988, Grundfos A/S 1988-2004, Arla Foods amba 2005 Moller & Company A/S Finansdirektør 1988-2004 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. 3.400 lejligheder i Nordtyskland. 2007 stifter MC Property Fund med 59 ejendomme i Hamborg 2008 stifter og CEO for Prime Office A/S, der noteres på OMX Nasdaq, juni 2008 2

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

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

Den finansielle verden i dag i et helikopter perspektiv 90 800 80 70 << Risiko på aktier 700 600 60 500 Percent 50 40 400 300 Basis point 30 200 20 10 >> "stærke virksomheder" 100 0 0 jul okt 06 jan apr jul okt jan 07 apr jul okt jan 08 apr 09 jul -100 Source: Reuters EcoWin 5

Kriser in our time 1973 USD forlader guldparitet 1973 1. oliekrise 1979 2. 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

En boble i vor tid USD og guld standard 10 5,0 0 4,5-10 4,0-20 -30 >>USD kurs 3,5 3,0-40 Smithsonian aftalen dec. 2,5-50 2,0-60 1,5-70 50 55 60 65 70 75 80 85 90 95 00 05 10 1,0 USD - her m0d DEM USA handelsbalance USA samhandel med Kina Source: Reuters EcoWin 7

Hvem husker Japan i 1989? Index Index 8

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

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

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

Tre store bobler forleden 5000 250 4500 <<Nasdaq Dow Jones 225 4000 200 3500 175 3000 150 Index 2500 125 Index 2000 1500 1000 500 0 Ejendomspriser i USA 86 88 90 92 94 96 98 00 02 04 06 08 100 75 50 25 0 Source: Reuters EcoWin 12

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

Irrational Exuberance by Robert Shiller Han konstruerede Shiller ejendomsindekset i 2004 14

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.115 15

Man kender til ekstremer og er forberedt 16

Lang historisk er godt og uro må ikke skræmme 17

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 3,5 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 Unemployment, Rate, Total, SA Policy Rates, Fed Funds Target Rate, USD Source: Reuters EcoWin 19

Greenspan put and the Great Moderation 10 12 9 8 Recession Recession 11 10 7 6 <<US Policy rate 9 8 Percent 5 7 Percent 4 3 6 5 2 1 Recession >>Arbejdsløsh 4 3 0 88 90 92 94 96 98 00 02 04 06 08 2 Source: Reuters EcoWin 20

Greenspan put forklaret 15 10 5 0-5 -10 Asien LTCM 9-11-01 Lehmann 15-09-08-15 -20-25 Black Monday 19-10-1987 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 c.o.p 1 obs Source: Reuters EcoWin 21

Et eksempel fra virkeligheden verden 23

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

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. 196 25

EU s kapitalkravsdirektiv Basell II Danske Bank(Mio DKK) Citigroup( Mio $) Aktiver Risikovægtede aktiver Aktiver Risikovægtede aktiver 3.239.551 960.823 1.938.470 996.247 Egenkapital Basiskapital Egenkapital Basiskapital 99.417 154.580 141.630 156.398 Soliditet Solvensprocent Soliditet Solvensprocent 3,1% 16,09% 7,31% 15,70% 26

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

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

We will never have a perfect model of risk by Alan Greenspan Financial Times 18.3.2008 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 18.3.2008 29

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 0,0 32 36 40 44 48 52 56 60 64 68 72 76 80 84 88 92 96 00 04 08 Source: Reuters EcoWin 30

Kreative personer i specielt investeringsbankerne 31

Ejendomme steg med raketfart.. 32

Og det var over hele USA Helt frem til 2006 33

Og det har været dagligdag lige siden 34

Verdens største pyramidespil 35

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, 8/2008 37

Soliditet i investeringsbanker 38

Soliditet i forretningsbanker 39

Samlede aktiver i US commercial banker 10 9 8 7 USD (thousand billions) 6 5 4 3 2 1 0 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 Source: Reuters EcoWin 40

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

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

De mange nye husejere fik problemer 43

Så væltede korthuset 44

Kurser på nu toxic bonds 110 100 15.9.2008 Lehmann går konkurs 90 80 70 Index 60 50 40 30 20 10 0 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

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, 2008 46

Her blev en del chokeret 47

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

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

Moral hazard vs adverse selection 50

Fed vs BoE 51

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

Prague in August 2002 54

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

2007 En verden uden risiko og IMF må snart lukke Source: IMF, 2007 56

IMF Global Stability Map October 2008 I en global verden rammer det hårdt og kontant IMF, Oktober 2008 57

Her er IMF finansielle billede fra april 2009 58

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, 1999 59

S&P 500 fra 1825 til 2007 60

S&P 500 fra 1825 til 2007 2008 61

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

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

Good old CAPM model 64

Correlation 65

De har haft samme lærer 110 100 90 80 70 DKK 60 50 40 30 20 10 0 aug sep okt nov dec jan 08 ALM BRAND FORMUE B [rebase 15-08-2008 = 100.0] BI BULL HEDGEFORENING OF [rebase 15-08-2008 = 100.0] BI HEDGE STABIL OF [rebase 15-08-2008 = 100.0] FORMEPLEJE PENTA ORD [rebase 15-08-2008 = 100.0] FORMUE EVOLUTION I ORD [rebase 15-08-2008 = 100.0] FORMUE EVOLUTION II ORD [rebase 15-08-2008 = 100.0] KAPITALPLEJE ORD [rebase 15-08-2008 = 100.0] SPAR NORD FORM [rebase 15-08-2008 = 100.0] feb mar apr maj jun jul aug 09 Source: Reuters EcoWin 66

Valutabevægelser siden 2007 Index 67

Currency as transmission channel 140 135 BNP: 9.8.2008 problems with funds investing in sub prime JPY 130 125 120 Index 115 110 USD 105 CHF 100 95 Euro 90 85 aug sep okt nov dec jan 08 feb mar apr maj 09 Source: Reuters EcoWin 68

Hvordan tackler vi de finansielle markeder? 69

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

Kilder: Hans-Werner Sinn, 2009, Kasino-Kapitalismus, Ullstein Buchverlage GmbH. Hans-Werner Sinn, 2009, Er bank krisen for alvor overstået?, Børsen 16. Juli 2009. 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. www.sifma.com, 2009, 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 2008. Søren Overgaard Nielsen, 2009, Det forudsigelige menneske, Weekendavisen 21. august 2009. Klaus Wivel, 2009, Finanskrisens ground zero, Weekendavisen 21 august 2009. 71

Back up 72

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

60% fast og 40 % variabel - forsikring koster 74

Forbrugertillid i USA Index 150 140 130 120 110 100 90 80 70 60 50 40 30 20 100 is a neutral view 68 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 Source: Reuters EcoWin 75

Forbrugertillid i Tyskland 17,5 Forbrugertillid Venstre akse: 0 er en neutral vurdering af forbrugerklimaet. Højre akse: 100 er en neutral vurdering af forbrugertilliden. 110 15,0 105 12,5 100 10,0 95 Net balance 7,5 5,0 90 85 Index 2,5 80 0,0 75-2,5 70-5,0 01 02 03 04 05 06 07 08 09 65 Tyskland, Forbrugertillid (ICON), (hs) Tyskland, Forbrugerklima (GFK), (vs) Source: Reuters EcoWin 76

Privatforbrug dykker i DK målt i dankort transaktioner 77

IFO og DAX indeks 78 Percent Index

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

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 -1-3 -5-7 -9 Japan 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 Source: Reuters EcoWin 80

Unemployment in selected countries Percent 81

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

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

Weapons of mass destruction and counter part risk Tallenes størrelse på daglig endsige årlig basis ligger uden for enhver form for relevans Kilde: BIS, 2007 84