Tema: Anomalías de mercado

Las anomalías del mercado las podemos clasificar dentro de la siguiente categorías:

Low beta: Berezin noted that investment theory — namely, the capital asset pricing model (CAPM) — tells us that high-beta stocks offer higher expected returns because they carry more risk. History shows, however, that high-beta stocks have not outperformed the broader market. Berezin blamed the incentive structure in place for most active managers, particularly hedge fund managers. It’s become a “heads I win, tails you lose” proposition that encourages excessive risk taking. Fund managers buy high-beta stocks, pushing up their prices well beyond fair value and reducing their expected returns. As a result, low-beta stocks outperform.

Small cap: In the US, small-cap stocks have outperformed their large-cap peers by an average of 2.7% per year since 1926. Among the most widely acknowledged anomalies, small-cap outperformance has been attributed to the dearth of analyst coverage, thin trading volumes, and acquisitions.


Value: Berezin took issue with arguments that tie the value premium to the notion that value stocks are more risky, pointing out that these stocks tend to do best in weak markets. He thinks value stocks are too often mislabeled as “distressed” companies. He explains the value premium as a simple case of the market “getting things wrong.”

Wall Street research: According to Berezin, forecasting earnings with any degree of precision is “a mug’s game.” In other words, it’s futile, and the data support this conclusion. Beyond one year, there is little to no correlation between earnings estimates and actual earnings. And while the evidence suggests that buy-and-sell recommendations from Wall Street analysts typically don’t add value, Berezin found some exceptions. When an analyst issues a “sell” recommendation on a small-cap stock, it pays to listen. Similarly, stocks that have been recently upgraded tend to outperform those that have recently been downgraded.

Insider ownership: The data suggest that insider activity is worth paying attention to, and Berezin added that combining short interest produces an even stronger signal for investors. The best returns are from “companies whose insiders are buying and short interest is decreasing.”


Momentum: There is a sweet spot when it comes to momentum. It seems to work best when viewed over a 12-month period. Reversals are typically seen in short-term (one-month) and long-term (five-year) periods.


Volume: The old trading adage that a stock experiencing high turnover has “healthy volume” is misleading. In fact, low-volume stocks — occasionally undiscovered “jewels” — tend to outperform high-volume stocks.




Resultado de la gestión de Francisco García Paramés:




Como veis ahora comprendéis porque Paramés obtuvo esos resultados tan buenos en su fondo:

Compraba: Small Caps, baja Beta (descorrelacionados con los índices), value, información de las transacciones internas....

No hay milagros en las finanzas, sino gente que sabe de anomalías de los mercados y se aprovecha de ellas.

Un Saludo.