mercredi, novembre 05, 2008

Markowitz sur la crise du crédit

Le père de la théorie moderne du portefeuille, Harry Markowitz, toujours actif à l'age de 81 ans a commenté la crise du crédit dans le Wall Street Journal dans l'article The Father of Portfolio Theory on the Crisis [ici, abonnement requis], Cette crise remet-elle en cause sa théorie?
He draws a line between his portfolio theory and its later misapplication. "Not all financial engineering is always bad," he says, "but the layers of financially engineered products of recent years, combined with high levels of leverage, have proved to be too much of a good thing." In contrast, classic investment portfolios such as mutual funds and index funds continue to reduce risk.
Comment régler la crise? Accroître la transparence afin que le marché puisse se "rééquilibrer" dans l'appréciation du risque et du rendement.
"Just as with all securities, the fundamental exercise of the analysis and understanding of the trade-off between risk and return has no shortcuts," Mr. Markowitz says. "Arbitrarily assigning expected returns absent an understanding of the risks of the securities is precisely how the economy arrived at this point."

Mr. Markowitz reckons it could take a year before we have the transparency we need. Assessing the value of mortgage-backed securities requires scrutinizing mortgages down to the level of individual ZIP Codes. "The valuation process will take as long as it takes, but it is the primary step toward effectively utilizing the very controversial bailout and avoiding the structural problem of a stagnant economy."
La patience est donc de mise... Pas très attrayant comme solution, mais peut-être très réaliste.

Aucun commentaire: