Estudo - Performance de especuladores

Da Thinkfn

Segue-se uma série de pequenos resumos sobre as conclusões de diversos estudos que tentaram estabelecer a performance de especuladores em futuros (O artigo é apenas parte de um estudo mais vasto cujos dados não possuimos neste momento).

Empirical studies o­n speculators’ performance

Most studies of individual traders’ performances in financial markets are conducted in futures markets. Futures markets are better platforms for such studies for several reasons. First, it is easier to distinguish hedging from speculation in futures markets. A futures contract can o­nly hedge the risk of a position in the underlying commodity or asset, so that a trader without an underlying position is a speculator. In contrast, in stock markets traders may have both hedging and speculative motives. o­ne can partially identify speculators in stock markets by their turnover rates:

Traders who hold positions for a very short period of time (e.g., day traders who do not carry positions overnight) are speculators. Another key difference is that stocks are long-term investments, whereas futures contracts expire after a short period of time. Future contracts also do not have side payments (abstracting from resettlement costs and margin requirements), so that futures speculators o­nly profit from price fluctuations. The short-term feature of futures contracts imply that their values quickly become common knowledge. In contrast, large swings in stock prices may happen for non-fundamental reasons and persist over time. For these reasons, the futures market is more compatible with standard “market microstructure” models.

Blair Steward (1949): The data consists of the trading records of 8922 customers of a large commission firm, active in grain futures between January 1, 1924 and December 31, 1932. Most customers are small public traders. After accounting for commissions, there were 6598 losers with average losses of $1182, and 2184 winners with average profits of $945.

Hieronymous (1977): This study uses records of customers of a major commission house (active in futures markets) in 1969. The sample consists of all accounts identified as speculative. Based o­n after commission payoffs, the number of losers (winners) is 298 (164) with average loss (profit) of $3783 ($2819). Before commissions, the 298 losers (164 winners) have a loss (profit) of $912,433 ($633,398). Regular traders do far better than o­ne-time traders: Regular traders make profits before commissions, while o­ne-time traders lose substantially even before commissions.

Ross (1973, 1975): This study is based o­n records of customers of a large commodity-trading house. Of the 2283 accounts between 1971 and 1972 that are identified as speculative public accounts, there are 1644 losers and 639 winners with after-commission losses of $7,524,225 (profit of $2,303,273). The commissions are about $8,000,000 and hence a net before-commission profit of about $2,800,000 for the speculating public. The study also followed 380 accounts for five years or until account termination (whichever comes first). It found that (i) about 51% of the accounts were active for o­ne year or less; (ii) the intensity of trading increased with the duration of trading; and (iii) the relation between the duration of trade and traders’ performance was monotonically increasing when accounts were grouped based o­n the first year capital.

Hartzmark (1987, 1991): The data come from the CFTC permanent files o­n nine markets from July 1, 1977, to December 31, 1981. The CFTC reports o­n the end-of-day commitments of large traders.7 Of the 4567 large traders, 971 are commercial (hedgers) and 3728 are non-commercial (speculative). Based o­n after commission payoffs, the ratio of losers to winners is 1.2 and 1.16 for commercial and non-commercial large traders, respectively. The average after commission losses (profits) in millions of dollars for losers (winners) in these two groups are 1.418 (3.378), and .515 (.669), respectively. Combining winners and losers, the average net (after commission) profits in millions of dollars are 0.75, and 0.033, respectively. The 1622 non-commercial traders making at least 25 trades earn higher average net (after commission) profits of 0.18 million dollars.

Barber, Lee, Liu, and Odean (2004): They use a comprehensive data set o­n the Taiwan Stock Exchange between 1995-1999. Day trading accounts for 20 percent of trading volume, and 97.5% of all day trading is traced to individual investors. The 900,000 individual investors account for about 90% of the total value of trades, which averages $NT 170 billion per day. About 1% of individual traders are classified as heavy day traders, and this group accounts for over half of all individual day trading and o­ne fourth of individual trading volume. They find that:

1.Day trade intensity is positively correlated with performance. Heavy day traders have strong gross returns (before transaction costs) while less active day traders have negative gross returns.

2. There is a clean monotonic relation between past profitability and subsequent performance. The most profitable traders continue to earn superior net (after commission) profits, while the least profitable traders continue to suffer gross (before commission) losses.

3. About 80 percent of traders o­n a semi-annual period lose money.

4. There is a strong relation between performance and subsequent day-trading activity within each (past six months day-trade intensity) partition. The average investor in the top (bottom) performing group increase (decrease) day trading activity.

5. The gross profits earned by heavy day traders come primarily from the execution of aggressive orders: heavy day traders are not profiting primarily from providing liquidity. Instead, they are able to forecast short-term trends in prices.

In addition, Hadady (2000), p.2, estimates 75% to 90% of speculators in in futures markets lose money; Jones (1999) p.ix, estimates the failure rate of traders in the leveraged (options and futures) markets to be about 90%, and Spence (1999), p.71, claims that “ ...about 83% of all private clients trading the futures and options o­n a speculative basis tend to lose their money”. In stocks markets, Masonson (2001) p.xiii estimates a failure rate of 80% to 90% among public day-traders.