viernes, 5 de enero de 2007

El mito de la diversificación (I)

Mayor Diversificación = Menor Riesgo. Esta es una de las mayores mentiras que la industria de la inversión ha conseguido introducir en las cabezas de la mayoría de los inversores.

En primer lugar, el riesgo es algo estrictamente subjetivo. Sí, ya lo sé, pero lo siento, no me vale el rollo de las desviaciones típicas, varianzas, cuasivarianzas, o cualquier otra medida estadística que imagines. Lamentablemente el estándar de riesgo que maneja el mercado no es igual que mi concepto de riesgo, del mismo modo que mi concepto de riesgo no es igual que el tuyo. Cada uno tenemos distintas formas de enfocar la vida y el cómo nos enfrentamos al riesgo es una actitud más vital que financiera. Por eso siempre me han hecho mucha gracia las conversaciones del tipo…

- Sí mire, quería que me recomendara unas acciones para este año, que veo que la Bolsa esta subiendo mucho.
- ¿Pero cuál es su perfil de riesgo señora? – exclama el analista de turno casi ofendido. – ¿Tiene usted un perfil arriesgado, moderado, conservador…?
- Ah! Moderado, moderado… - contesta la buena señora dubitativa-
- Pues para estos perfiles estamos recomendando tomar posiciones en tal, tal y tal valor.

Pero vamos a ver, ¿cómo es posible categorizar en tres palabras – arriesgado, moderado, conservador - a todos y cada uno de los inversores? Creedme, sé por experiencia que muchos de los analistas y gestores de patrimonios que aparecen en los medios no tienen el menor deseo de dar este tipo de recomendaciones, es más, no tienen el menor deseo de aparecer en los medios pero, desgraciadamente, el que paga manda y al fin y al cabo es más fácil equiparar conceptos (arriesgado = betas altas + ratios agresivos + volatilidades altas; conservador = betas bajas + ratios sobrios + volatilidades bajas; moderado = (arriesgado + conservador)/2), que terminar por volver loco al personal.

En segundo lugar, la diversificación no es más que un “truco” para enmascarar la mediocridad de los gestores. Me explico; supongamos que en todo el mundo sólo existieran los 35 valores del Ibex. Cuantos más valores de esos 35 incluyéramos en nuestra cartera, más se aproximaría el resultado y el riesgo asumido de ésta a los del índice (suponiendo que todos los valores ponderaran en igual cuantía en el índice). Sin embargo, aquel gestor que esté dispuesto a realizar una selección de valores más concreta, tendrá la oportunidad de conseguir que su gestión aporte valor. La mayoría de gestores optan por la primera fórmula porque no nos engañemos, ¿a quién le interesa aportar valor cuando está en juego su puesto de trabajo? Pensemos ahora en las Gestoras de Fondos de Inversión. Las Gestoras importantes tienen una cantidad abrumadora de fondos y de este modo, se aseguran siempre aparecer al final de año en los ranking de los mejores fondos, o que les otorguen tales o cuales premios ya que tendrán alguno de sus fondos dentro de la categoría que mejor se haya comportado en el año. No nos engañemos, la mayor parte de los gestores son replicadores de índices y hay muy pocos a los que les pagan por aportar alfa. Al fin y al cabo el objetivo de las Gestoras suele ser que no se les escape demasiado el índice de turno.

En definitiva, si atendemos a los usos de la industria, nos encontraremos con carteras con multiplicidad de valores, cuyo riesgo habremos medido a través de medidores históricos (betas, volatilidades, etc.) y con resultados finales sesgados hacia la media del mercado. Sinceramente, para eso compra un ETF del Ibex 35 y olvídate de gestionar.

¿Cuál es mi propuesta para evitar estos problemas? En el siguiente post la desarrollaré.

22 comentarios:

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Jejeje, tocas un tema muy interesante. En mi blog publiqué dos artículos, también referidos tanto a las marrullerías de gestores (apartado "La teoría del mercado eficiente"), como a Fondos que invierten en IBEX, a ver si para la segunda parte puedes añadir algo a esto...

s2

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