Vale do Rio Doce como destaque da semana

No blog Wall Street Journal a Vale do Rio Doce aparece como vencedora da semana. A empresa poderá ser a maior mineradora do mundo com o acordo com a Xstrata. A empresa seria a maior empresa brasileira multinacional e poderia competir com a BHP Billiton e a Rio Tinto. Dois problemas apontados: o acordo ainda está longe e pode afetar o balanço da empresa.

Avaliando um sítio da Internet

Aqui um exemplo interessante de avaliação de uma página da internet. Esta página é produzida por uma pessoa (Matt Drudge), mas recebe uma grande quantidade de visitas diariamente. Um dos métodos empregados foi estabelecer quanto vale cada visitante numa página de internet nos Estados Unidos. Considerando uma comparação com outros endereços, e usando uma taxa de US$4 por visitante, pode-se chegar a uma estimativa inicial. Uma alternativa é contar a receita produzida por propaganda.

A questão é que uma página como esta é produzida por uma pessoa. Qualquer negociação, lembra a avaliação, deve estabelecer cláusulas de longo prazo para a permanência de Drudge.

Um problema é que não existe uma receita de bolo. Cada setor possui especificidades.

Economia Brasileira

A seguir, uma análise da economia brasileira pela The Economist

This time it will all be different
Jan 17th 2008 | SÃO PAULO
From The Economist print edition
Why Brazil is better placed than it used to be to cope with a world slowdown

BRAZILIANS know about economic and financial crises. The squalls afflicting America and threatening Europe look like a gentle breeze when compared with the frequent and violent blow-ups that litter Brazil's economic history. Much of the problem has been Brazil's vulnerability to shocks imported from around the rest of the globe. So what might happen if the economies in the rich world stumble again this year?
Recent precedents do not look good. Since the introduction of a new currency, the real, in 1994, which serves as the year zero for economic policy, growth has picked up to a reasonable rate three times. Each time, points out Eduardo Giannetti da Fonseca, an economist, people have speculated that Brazil was at last on the road to a bright new future. And each time something has come along to puncture this optimism: in 1998 it was the Asian financial crisis, in 2001 Argentina's bond default and in 2005 a rapid rise in inflation.
Now bullishness is abundant once again. The economy grew at an estimated annualised rate of 6% in the final quarter of last year (which is probably too fast). The Bovespa, Brazil's stockmarket, jumped by 60% in value during 2007. And yet even though recent history counsels caution, there are reasons to believe that the economy should cope better with whatever the world throws at it.
“Brazil has never been so well placed to face a downturn,” says Mailson da Nobrega, finance minister from 1988 to 1990, a period that coincided with an inflation crisis. He now works for Tendencias, a consultancy. Arminio Fraga, who was in charge of the central bank during the Argentine collapse and the bond market's swoon at the prospect of Luiz Inácio Lula da Silva's election as president, cautiously agrees. “A lot has been driven by favourable winds,” says Mr Fraga, who now runs Gavea, an investment fund. “If they stop then we are not in a position to blow up, but it won't be irrelevant.”
What changed? First, domestic demand is strong. Brazil's headline real interest rate is just below 7% which, as Alexandre Bassoli of HSBC bank points out, would tip most countries into recession, but is low by Brazilian standards. The result has been a flowering of credit, which helped domestic demand grow by an annualised rate of almost 7% in the third quarter. It would take a sharp rise in rates to kill this off, and that looks unlikely.
Second, Brazil is fairly well integrated into world markets. It is not overly dependent on America, which accounts for less than a fifth of exports. The remaining four-fifths are reasonably well spread between Europe, Asia and the rest of Latin America. Admittedly, most of what Brazil produces for foreign consumption is in the form of primary goods (from orange juice to footballers), which means that export growth correlates strongly with commodity prices. But exports are not made up of any single commodity (unlike oil-rich Venezuela's, for example). “Even if China buys less Brazilian iron ore, the hope is that Chinese people will keep eating Brazilian protein,” says Jose Mendonca de Barros of MB Associados, a consultancy.
Third, Brazil is less vulnerable to financial shocks than it once was. A large part of this is due to a combination of a central bank that acts independently and transparently, publishing minutes of meetings promptly on its website; and a floating exchange rate, adopted in 1999. Before then, whenever the current account deteriorated, the central bank was forced to hike rates, killing growth.

Brazil has retired its dollar-denominated debt, which has been a source of trouble in earlier financial crises. In the past, when the currency depreciated this debt ballooned, causing further problems. Now that government debt is denominated in reais, a similar move in the exchange rate reduces government liabilities. This was tested in August last year, when the real lost 11% of its value in a couple of weeks, and the government debt effectively shrank. Foreign direct investment is strong, and Brazil now holds more dollars than it owes, a happy development that has led to misguided suggestions of setting up a sovereign wealth fund.
Even so, Brazil is clearly far from immune to what happens in the rest of the world. The economy also seems to be moving into a less benign phase. After years of big surpluses, the current account looks set to run a small deficit this year. Inflation, which had been falling, picked up toward the end of last year to give an annual inflation rate in December of 4.5%. That is right on the central bank's target, and forecasters expect inflation to increase only slightly this year. But markets have been wrong on this before.
Moreover, the economy still suffers from problems that make growth above 5% look like a stretch. Government debt is still too high, Brazil invests too little, and the government takes too much for itself, spending it on things that do little to raise the economy's potential. “The easy part of growth is over,” says Mr da Fonseca. But if Brazil is able to sustain steady growth without being blown off-course by events elsewhere, the country will look very different in ten years' time.

Responsabilidade Social

A The Economist traz uma série de análises sobre a responsabilidade social corporativa (CSR). Em “A stich-in-time” a revista afirma que a CSR representa uma gestão de risco, que envolve limitar o risco de um notícia ruim ou um boicote afetar a marca (e consequentemente o valor) da empresa. Esta questão é tão relevante hoje que existe uma indústria de CSR.

Um problema é que não existe uma receita de bolo. Cada setor possui especificidades.
O gráfico a seguir mostra que a CSR visa essencialmente a reputação (mais da metade das respostas)



As empresas têm descoberto que a CSR é um caminho árduo.

Em “Just good business” aparece a seguinte figura onde se mostra o grau de prioridade da responsabilidade. Há três anos, a CSR era algo moderado. Nos dias de hoje (segunda barra) a prioridade da CSR está entre alta e moderada.



Finalmente, nos próximos três anos a CSR deve oscilar entre muito alta e alta.

Isto não significa, Segundo a The Economist, que a CSR tornou-se subitamente uma grande idéia. Mas a prática hoje nas grandes empresas recomenda não ignorar este conceito. A internet, que multiplica rapidamente uma má notícia, tem sido um complicador.
Isto é bom para as consultorias. E para os consultores. E para os grande autores. Em dezembro de 2006 a Harvard Business Review publicou um artigo de Michael Porter e Mark Kramer sobre o assunto.



No texto “Do it right” analisa-se a relação entre economia e CSR. Particularmente achei este texto um pouco confuso, ao contrário dos textos desta revista.

Outro texto possui o título de “Going Global” Segundo a revista, o que dá certo na Europa pode não ser apropriado para Índia. Estas diferenças podem ser notadas na figura a seguir.



No Brasil o aspecto mais relevante é o meio-ambiente e produtos seguros. Já benefícios para saúde, prioritários para os norte-americanos e alemães, estão em 8º. No nosso país.
O texto cita expressamente o Ethos:

Among the BRICs, Russian companies seem the least interested in the idea of corporate citizenship, but Brazil has a lively CSR scene. Some 1,300 companies are members of Instituto Ethos, a network of businesses committed to social responsibility. “We are developing a unique process in Brazil,” says Ethos's founder, Oded Grajew. Ethos tries to influence public policy and corporate behaviour “to establish a socially responsible market”. A few Brazilian firms—such as Natura, a cosmetics company, and Aracruz, a pulp and paper producer—are widely known for their CSR efforts.

Já o texto “The next question” destaca que pesquisa da The Economist mostrou que somente 4% consideram CSR uma perda de tempo e dinheiro. Ou seja, CSR é uma realidade.

As outras respostas estão na figura a seguir.



Ou seja, CSR é um custo necessário para fazer negócios. Entretanto, uma comparação entre os preços das ações de empresas que buscam a CSR e outras empresas não é muito animadora, conforme pode ser visto na figura.



Dois dos mais conhecidos indices - Dow Jones Sustainability e o FTSE4Good—possuem um desempenho abaixo do Mercado. Isto significa que sustentabilidade não possui relação com desempenho financeiro.

A new, exhaustive academic review of 167 studies over the past 35 years concludes that there is in fact a positive link between companies' social and financial performance—but only a weak one. Firms are not richly rewarded for CSR, it seems, but nor does it typically destroy shareholder value. Might cleverer approaches to CSR in future produce better returns?
“There is no evidence that ESG [environmental, social and corporate governance] or SRI investing on their own add value,” say analysts at Goldman Sachs. But they reckon that by incorporating an ESG perspective into their long-term industry analysis they can beat the market. Their model, called GS SUSTAIN, includes ESG analysis as “a good overall proxy for the management of companies relative to their peers”, hence indicative of their chances of long-term success. But these factors need to be put into the context of companies' financial performance and the circumstances of individual industries. A company's attention to environmental, social and corporate-governance issues is only one factor among others in determining its long-term success.

O texto “The good consumer” lembra uma pesquisa por Michael Hiscox e Nicholas Smyth com produtos com o logotipo de fabricação sob condições humanitárias. O resultado mostrou que não somente as vendas aumentaram, como aumentaram cada vez que o preço aumentou.



Para o varejista britânico M&S, os seus clientes estão divididos em quarto grupos. Dez por cento são apaixonados pelo verde e farão compras conforme esta paixão (vide figura) Ou seja, é uma oportunidade de negócios. Mas, lembra a revista, é um trabalho difícil.
Já o texto “A Change in Climate” destaca a questão da emissão de carbono e outros poluentes. Os exemplos estão centrados nas empresas e seus esforços ambientais.
Finalmente aqui uma breve resumo de algumas questões.

Recessão

Esta é uma maneira interessante de verificar a possibilidade de uma recessão no futuro. Conta-se o número de vezes que a imprensa (New York Times e Washington Post) usou a palavra "recessão" nos textos. Pelo gráfico, publicado na The Economist, autora do índice, teremos uma recessão nos próximos meses.

Sobre o Citi

A seguir uma série de links sobre o Citigroup e seu resultado:

1. Transcrição da apresentação dos resultados

2. O corte de dividendos

3. Pior resultado desde a depressão?

4. Citi corresponde a própria economia

5. Resumo da apresentação

6. Novo FMI: a salvação do exterior (figura)

Fusão e Aquisição

Conforme comentado anteriormente neste blog (aqui) as regras para contabilização de operações de fusão e aquisição devem mudar. Isto tornará menos atrativo este tipo de operação. Aqui um link sobre o tema. E a seguir um texto sobre o assunto:

FASB Makes Changes To Accounting Principles
Ken MacFadyen
14 January 2008 - Mergers & Acquisitions Report

Near the end of last year, the Financial Accounting Standards Board (FASB), altered its view on how companies should account for business combinations, revising Statement No. 141 to be broader in scope and generally more in line with international accounting principles.

Among the changes, the revision forces acquirers to be more thorough in their reporting, spelling out exactly what assets are acquired, what liabilities assumed and any non-controlling interest in the company being bought. Things like acquisition costs, which have typically been balled into the purchase price, now have to be expensed separately.

Another key component in the revision dictates that acquirers need to recognize and measure the goodwill acquired in a business combination or a gain from a "bargain" purchase. If a "fair value" assessment reveals a bargain price, in which the company was acquired for less than its net asset value, then that gain can immediately be reflected in a company's earnings.

A third point in the revision determines the kind of information acquirers have to disclose so third parties can evaluate the nature and financial impact of a business combination. This kind of addition will likely take the form of footnotes in financial statements and provide insight into how the acquirer arrived at a given number.

The revised FASB statement - scheduled to take effect December 15, 2008 - is also more inclusive than the original and applies to all transactions and events in which one entity obtains control over another. Step acquisitions for example, when a company is acquired over time through successive minority-stake purchases, will require the buyer to re-assess the fair value of the acquired stakes whenever a new purchase is made.

The impetus behind these changes was to align U.S. accounting practices with standards used internationally. According to a story in sister publication Investment Dealers Digest back in September, roughly 100 countries already use the accounting guidelines of International Financial Reporting Standards (IFRS), established by the International Accounting Standards Board (IASB). Moreover, there has been a push for convergence in accounting standards from large multinational organizations, and last July, the Securities and Exchange Commission proposed allowing foreign companies to use the IFRS accounting guidelines when reporting in the U.S. and also published a concept release for public comment to consider allowing U.S. corporations to also adopt IFRS.

Experts see the revision as a move in the right direction. According to Stamos Nicholas, the national leader of business valuation for Deloitte Financial Advisory Services, on top of better aligning global accounting standards, the revision to Statement 141 should also "provide a better reflection of overall transaction economics."

"I don't think this will change how companies pursue transactions, necessarily, but it will certainly impact how buyers structure deals," he notes. "There's going to be more work that has to be done around recording and reporting business combinations. Not only will companies have to put more effort into monitoring transactions, but they will have to be more mindful to the processes and procedures that go into updating a transaction in their financial statements."

Even as Nicholas believes the revision represents an improvement over how businesses currently account for deals, he still anticipates it will take some time before companies fully understand what is expected. Measuring fair value, for example, is not as cut and dried as simply accounting for a business at cost, and when FASB issued SFAS 157 back in September 2006 - clarifying the definition of fair value and how it should be applied to GAAP - there was still some resistance in the private equity community because fair-value assessments seemed less concrete. With that said, as more companies and investors employ fair value, the more consistent it will become.

"There's always refinement that can be done," Nicholas says. "The measurements aim to be more reliable and thorough, but there are a lot of moving parts, and businesses have to be very careful about capturing accurately the holistic view of a given transaction... Fair value is here to stay, but there still needs to be some clarification and more guidance from regulators as to how to implement it in a consistent way."
(c) 2008 Mergers and Acquisitions Report and SourceMedia, Inc. All Rights Reserved.

Projeção

Na construção de uma estrutura de avaliação, uma das etapas mais sensíveis é a projeção do resultado futuro da empresa. O analista precisa determina como o futuro irá afetar os resultados e, conseqüentemente, o valor da empresa.

Existem diversas formas de fazer a projeção. O uso de métodos quantitativos confere a projeção uma certa cientificidade ao resultado, mas isto não garante, de certo modo, que o valor encontrado seja próximo ao valor que será realizado.

Desde a publicação de certos trabalhos ressaltando a qualidade do "mercado", tem-se buscado o uso de técnicas que poderiam substituir a opinião (ou a "sabedoria") da massa.

Existem bons e maus resultados com o uso desta técnica. Recentemente uma pesquisa foi realizada com dados dos funcionários da Google. Esta empresa está usando a "opinião" de empregados, através de contratos de compra e venda referente ao desempenho de um produto da empresa. O resultado deste encontro entre comprador e vendedor reproduziria o mercado de opiniões sobre determinado produto.

Dois pesquisadores tiveram acesso a estas informações e encontraram algumas conclusões interessantes:

=> os mercados são bons na projeção de quantos usuários o sistema de e-mail a empresa teria ao final de cada período
=> os empregados tendem ao otimismo quanto a esta informação
=> quando as ações da empresa no mercado de capitais estão em alta, os empregados são mais otimistas
=> A existência de afinidade/vínculo entre as pessoas termina por influenciar a projeção.

Fonte: Aqui e aqui

A questão é que o uso do mercado para previsão depende de certas características (diversidade, agregação e incentivos) que nem sempre estão presentes no que queremos medir. Recentemente, o uso do "mercado" sofreu uma derrota na previsão eleitoral dos Estados Unidos. Nesta situação, duas das condições não foram observadas, o que torna difícil afirmar que esta não é uma boa técnica tendo em vista este revés.

As multinacionais dos emergentes

A The Economist da semana traz duas reportagens sobre as multinacionais dos países emergentes (The Challengers). O texto procura entender a razão da expansão destas empresas, usando diversos exemplos conhecidos: Tata, Cemex, Mittal e também empresas brasileiras.

O texto lembra o caso da Embraer que "tornou-se a terceira maior empresa fabricante de aviões do mundo, com especialização em jatos regionais. Metade das vendas da Sadia e Perdigão, duas empresas brasileiras de alimentos, o que equivale a cerca de 6 bilhões de dólares, são exportações."

Para explicar este fato, a The Economist usa a consultoria BCG.

"Seus mercados domésticos oferecem diversas vantagens. O crescimento rápido dá as empresas escala e poupa dinheiro para investir no estrangeiro. Os custos são baixos. As dificuldades de operar em um mercado emergente pode tornar os gestores adaptáveis e flexíveis. Finalmente, liberalização gradual dos seus mercados domésticos - como ocorreu na Índia desde o início da década de 1990, deixou-lhes expostas à concorrência das multinacionais. A ameaça à sua posição dominante doméstica tem incentivado seus gestores em aprimorar suas habilidades, tendo-os expostos às melhores práticas internacionais e impulsionando a buscar o crescimento no exterior para compensar a quota de mercado perdida em casa."

Segundo a BCG são cinco estratégias usadas pelas empresas emergentes.

1) Tornar uma marca local em global - o texto cita o caso da empresa chinesa Hisense
2) Transformar a engenharia local em excelência em termos de inovação global. O caso citado é o da Embraer:

"Apoiada pelo governo brasileiro e mais tarde, em grande parte, privatizada, a Embraer ultrapassou da canadense Bombardier e tornou-se líder mundial de fabricação de jatos regionais. (...) Em 2006, mais de 95% dos R$3,8 bilhões de vendas ocorreram fora do Brasil. É um dos maiores exportadores do Brasil, combinando baixo custo de fabricação com P&D avançada. Além disso, a Embraer possui uma joint venture com a China Aviation Industry Corporation II. "

3) Tornar-se líder numa estreita categoria de produto
4) Tirar partido dos recursos naturais domésticos - O exemplo são as brasileiras Sadia e Perdigão


Elas têm construído vendas em todo o mundo para tirar o máximo proveito dos abundantes recursos para a produção de suínos, aves e grãos no Brasil, complementado pela crescente condições ideais e baixos custos trabalhistas. Outra empresa brasileira, Vale, tem explorado as enormes e baratas fontes de minério de ferro para se tornar um dos principais fornecedores do mundo.

5) Novo modelo de negócios - é o caso da Cemex

Em outro texto (aqui) a revista chama a atenção para o fato de que a teoria econômica não considera a possibilidade de países pobres exportarem capital para países desenvolvidos.

P.S. O Rio de Janeiro possui 100 mulheres para cada 86,4 machos. Esta desproporção pode ter várias explicações. A violência seria uma delas? Esta questão intrigante é objeto de artigo na The Economist

Fusões e Aquisições

Os laudos de processos de fusões e aquisições no ano de 2007 foi novamente dominado pelas instituições financeiras norte-americanas, conforme pode ser visualizado na figura. Pelo número de o destaque ficou para Citigroup, Goldman Sachs, UBS e Rotschild. Em valor, os acordos promovidos pela Goldman Sachs chegaram a quase 1,2 trilhões de dólares, seguido pelo Morgan Stanley e o Citigroup.

Fonte: Aqui

Contabiilização de fusão e aquisição

As regras internacionais de contabilização de fusão e aquisição estão mudando. Um acordo entre o Iasb, órgão de contabilidade internacional cujas normas são adotadas na Comunidade Européia e em mais de cem países, e o Fasb, dos Estados Unidos, permitiu a edição da primeira norma conjunta.

Uma das alterações foi a contabilização dos custos relacionados com a operação, que não deverão ser ativados, podendo afetar o resultado. Anteriormente, estes custos eram considerado como parte do valor da compra e incluídos no ativo.

Under the new accounting rules, these fees will be considered an expense as incurred and have to be written off against profits. The move could seriously cut into the profits of companies engaged in major transactions, with bills for advisers sometimes running to hundreds of millions of dollars. Moreover, as deal costs are expensed when they are incurred, the appearance of significant spikes in such expenses could raise questions about potential acquisitions that are still confidential.

Under both regimes, the changes begin taking effect for financials in fiscal 2009.

However, the change is designed to make company financial statement more transparent so investors have a better idea of how funds are parceled out.

Additionally, both sets of standards require that acquirers recognize contingent liabilities (a current obligation that results from a future event, such as a lawsuit settlement) at the acquisition date, and that changes in the value of the liabilities after the acquisition date are recognized in accordance with existing rules governing contingent considerations.

Another change will be in so-called step, or partial, acquisitions. These occur when a company that holds stock in a target company acquires additional shares to take control of the target. Similar to FASB's new merger rules, (FAS 141R) IFRS 3 does not require companies to fair-value every asset and liability at each stage of a step acquisition to calculate goodwill. Instead, goodwill is now measured as the difference (at the acquisition date) between the combined value of the existing holding in the target and the value of shares transferred, and net assets acquired.

But differences between the two sets of rules still remain. While the international standard allows an acquiring company to measure minority interest in a target company either at fair value or at its proportionate share of the target's identifiable net assets, the domestic standard requires minority interests to be measured at fair value.

The two boards also have different definitions of control as it pertains to business combinations. A transaction defined under IFRS as a business combination may not be considered one under FAS. The IASB board expects to address the discrepancy sometime this year.

Another difference the IASB will take on this year is the definition of fair value. IFRS 3 bases fair value on the exchange value of an asset or liability, while U.S. GAAP defines fair value as an exit value. In addition, there is a split between the two boards regarding the threshold for recognizing contingent liabilities. IFRS 3 requires recognition of a liability if it can be reliably measured, while FAS 141R requires management to be more than 51% sure that the contingency is likely. (...)

Merger accounting standards converge - Donna Block - The Deal

Qual o impacto para avaliação de empresas?

Veja o que diz o Financial Times:

New accounting rules are set to hit profits at acquisitive companies around the world, and could put a damper on the urge for future deals.

Violinos como investimento

Kathryn Graddy e Philip Margolis pesquisaram se um violino Stradivarius é um bom investimento.

Apesar não ser um ativo com mercado regular, a raridade do produto e sua qualidade tornam possível fazer um acompanhamento do mercado e verificar o retorno de investir no ativo. Analisando os preços praticados entre 1850 a 2006 os pesquisadores encontraram um retorno médio de 3,3% ao ano.

Este valor é menor que retornos de outros investimentos, inclusive em arte. E este retorno não inclui as comissões, que são mais elevadas. Seria então ruim investir em violinos? Para os autores não necessariamente. A teoria de Markowitz explica um pouco esta contradição: a correlação é inversa em relação a alguns investimentos. Isto significa que o violino pode ser interessante para diversificar investimento.

Observe que mesmo sendo um ativo, potencialmente sujeito a depreciação, a qualidade do produto impede que a contabilidade reconheça o "desgate ou obsolescência".

Warren Buffett com problemas?

Testing the waters

From The Economist print edition - 3/jan/2008
America's most admired investor dips a toe in a troubled market

“BE FEARFUL when others are greedy and be greedy when others are fearful.” Thus wrote Warren Buffett in the 2006 annual report of Berkshire Hathaway, his holding company. True to his maxim, in the last week of December Mr Buffett splashed out $4.5 billion for a majority stake in Marmon Holdings, an industrial conglomerate, and €300m ($441m) for a reinsurer owned by ING Group of the Netherlands. But his most intriguing investment, announced on December 28th, was his smallest: $105m to fund Berkshire Hathaway Assurance Corporation (BHAC), a start-up that will insure bonds issued by American states, cities and counties to finance schools, roads, hospitals and other public projects.

There are good reasons to be scared stiff about the bond-insurance business, an arcane but important part of the American financial system that has underwritten roughly half of the $2.6 trillion-worth of municipal bonds outstanding. Bond insurers win business because their pristine credit ratings signal to investors that they have deep enough pockets to pay claims if borrowers default. But those top-notch ratings are now hanging by a thread. Keen to diversify, the insurers jumped onto the housing bandwagon, underwriting billions of dollars of private mortgage-backed securities. Now they face the prospect of huge claims from investors whose subprime-laced assets have soured.
Some hedge-fund managers have been giving warning for years that the insurers' mortgage-related risks would one day overwhelm their flimsy capital bases. Rating agencies are belatedly reaching the same conclusion. On December 19th Standard and Poor's slashed its rating of ACA Financial Guaranty Corporation, a small insurer, to junk grade. The industry's bigger fry have also been told to shore up their capital fast or face downgrades. If that happens, the credit ratings of bonds underwritten by the insurers will fall, driving down their value and further crimping the lending capacity of bondholding banks. Borrowing costs for states, cities and counties will also rise.

There had been speculation that Mr Buffett would ride to the rescue by buying a struggling insurer. After all, he has repeatedly said that he is looking for “elephants”, $5 billion-20 billion deals that would soak up the cash that pours out of Berkshire's other businesses. And the firm has a history of snapping up insurance assets such as GEICO, now one of America's biggest car insurers, and General Re, a big reinsurer. Instead Berkshire has given birth to a mouse. Rob Haines of CreditSights, a research firm, estimates that, with a conservative leverage ratio, BHAC's capital will let it underwrite some $10 billion of business; MBIA and Ambac Assurance, two of the biggest firms in the industry, insure several times that amount each year.

Mr Buffett's caution is understandable. He still bears the scars from an ill-fated derivatives venture at General Re. (He may also be dragged into a separate fraud trial involving General Re, which is due to start on January 7th.) Bond insurers are now staring into their own abyss of liabilities, a legacy of lousy risk management. “When Buffett acquires, he wants successful companies with good management, and none of the bond insurers qualify on those counts at the moment,” says Donald Light, a senior analyst at Celent, a research firm. Better, then, to start with a clean sheet at BHAC, which will handle only municipal business and plans to charge a premium for use of its unblemished AAA-rating. If business is brisk, more of Berkshire's cash can be funnelled to the new firm, whose licence was approved by New York state's insurance regulator in double-quick time.

The regulator's alacrity is understandable: it reckons that Mr Buffett's move will be seen as a vote of confidence in a worryingly fragile market. The unspoken hope is that it will encourage other investors to overcome their fears. Few are as well-placed as Mr Buffett to do so, however. Reckless greed got the bond-insurance market into trouble; Mr Buffett's more refined gluttony can only do so much to get the industry out of it.

E Deus criou Alfa

And God created alpha

The Economist, 3/1/200
A looming challenge for the fund-management industry

A LOT of people would like to earn hedge-fund returns. But they are nervous about paying the fees that hedge-fund managers like to charge, and about the risks those managers take.

That creates a great opportunity for those fund managers who can bridge the gap by creating vehicles that might be described as hedge funds “lite”. Doing so has raised a host of interesting issues, among them how to measure the skill, or alpha, of fund managers, and what an index is really for.


The “lite” version of the hedge-fund industry includes products known as “130-30” funds, which allow managers the limited use of hedge-fund techniques, such as going short (betting on falling prices) and leverage (using borrowed money to enhance returns). The name stems from the structure of the product; if the fund has $100m of assets, it will buy $130m of shares, funding the difference by selling $30m of short positions.

Provided the manager has the ability to choose the right stocks to buy and sell, the product should yield superior risk-adjusted returns. And theory suggests that giving the manager the chance to short stocks allows him greater scope to put his skills into effect.

Another popular approach has been to replicate hedge-fund strategies as closely as possible. This can be done in one of two ways. Where a hedge fund has a well known strategy, such as merger arbitrage, the replicator can follow a simple rule—buying the shares of every target company in bid situations, for example, and shorting the shares of the predator. Alternatively, replicators have attempted to deconstruct the sources of the hedge-fund industry's returns, finding, for example, that they are driven by the performance of the American stockmarket or by movements in bond yields. By working out the right combination of these factors, hedge-fund clones are able to offer the industry's advantages at low cost.

Now these various techniques are being combined. A recent paper*, by Andrew Lo of the Massachusetts Institute of Technology and Pankaj Patel of Credit Suisse, constructs a 130-30 index. Such a benchmark would allow investors not only to see whether the 130-30 manager they hired is performing well, but also to create low-cost, quasi-hedge funds of their own.

Messrs Lo and Patel use many factors to assess stocks, ranging from those based on valuation (the ratio of the share price to sales) to business prospects (rising profits) and price patterns such as momentum (shares that have performed well over the previous six months tend to keep doing well). The index consists of long positions in the stocks with the best scores and short positions in the stocks with the worst.

Testing this system over the period 1996-2007 produces returns that beat the S&P500 index by more than a percentage point a year with similar volatility. Of course it is always possible, by massaging the data sufficiently, to come up with a way of retrospectively beating the market. On the other hand, investors have no guarantee that traditional fund managers (who also use past performance as a sales tool) will perform as well in the future.

Purists would say that the Lo-Patel approach is not really an index, but a stock-picking strategy masquerading as a benchmark. An index should be passive, not active, critics argue; it should also be measuring market performance, rather than trying to beat it. But investors are likely to be relaxed about such intellectual niceties if the technique provides attractive returns. The deeper question is what such approaches tell us about “active” managers, who charge high fees.

Many of those managers run portfolios with the help of models similar to that devised by Messrs Lo and Patel. They claim that the excess returns they generate are the result of alpha, or skill. But if those returns can be reproduced by a set of mechanical rules, is skill really involved?

Fund-management skill is becoming rather like the 19th-century concept of a “God of the gaps”. Once humans attributed the weather or earthquakes to divine intervention; then they discovered high-pressure systems and plate tectonics. The number of events that required a heavenly explanation (the gaps) grew ever smaller.

Skill, or alpha, is fast becoming a residual: the explanation that remains when all other factors have been discounted. That is not yet a crisis for the industry, mainly because it is still so hard for clients to distinguish skill from luck. But for any thoughtful fund-management executive, it ought to be a long-term worry.

Mercado

Em 2007, o mercado acionário brasileiro foi o 5o. do mundo, conforme a The Economist. Valorização um pouco acima de 40%.

Canal de Tempo por 5 bilhões

Um canal de tempo deverá ser negociado por 5 bilhões. Duas possíveis razões para este preço absurdo: a existência de poucos canais a cabo independentes; e o fato de ser um bom ponto de venda para anunciantes. Geralmente o Weather (e seu endereço Weather.com) é muito visitado, em especial por viajantes. Clique aqui e aqui

Links

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