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Contro la diversificazione del culto del

carico: come l'illusione della
diversificazione potrebbe minare il tuo
futuro finanziario
Durante la seconda guerra mondiale, le forze armate statunitensi iniziarono a
trasportare grandi pacchi di risorse alimentari e altri carichi verso piccole isole
del Pacifico. L'esercito americano ha condiviso parte del carico - indumenti
confezionati, medicine, cibo in scatola e tende - con i residenti dell'isola. Molti
degli abitanti di queste isole non avevano mai incontrato nessuno proveniente
da un paese sviluppato. Amavano l'improvviso accesso a beni che non avevano
nemmeno immaginato.
Quando la guerra finì, le forze militari se ne andarono e le consegne di cibo
cessarono. Gli abitanti nativi dell'isola volevano che le consegne di cibo e merci
riprendessero. Cosa hanno fatto?

Imitavano le strutture visibili che avevano accompagnato il carico. Costruirono

aeroporti decorati e aerei di paglia. Formarono culti che adoravano americani
non specifici con nomi come "John Frum" o "Tom Navy", che identificarono
come l'entità spirituale che avrebbe portato loro di nuovo il carico.

Un aereo di paglia costruito dagli abitanti di una delle isole

Questo ci sembra irrazionale, ma solo perché abbiamo altri modelli e
conoscenze del mondo per spiegare come si è presentato quel carico.

Senza ricordarli consapevolmente, comprendiamo i modi fondamentali in cui

funzionano le cose per far apparire il carico.

Sappiamo che i vestiti e il cibo in scatola non cadono semplicemente dal cielo:
c'è un'intera catena di approvvigionamento che li produce. Non c'è nulla di
intuitivo in questo però. È solo grazie alla nostra conoscenza ed esperienza di
vita che sappiamo che le tecniche degli isolani non avrebbero fatto ritornare il
carico.

Se l’unico modello che hai per ricevere merci è quello in cui un equipaggio di
terra composto da ragazzi con nomi come John Frum e Tom Navy agita i bastoni
accanto a un aereo sulla pista, allora è una decisione ragionevole e razionale
costruire aerei di paglia e imita ciò che hai visto accadere.

Dopo che monumenti e rituali simili furono scoperti su una manciata di isole, il
fenomeno venne chiamato culto del carico. Il culto del carico
(https://en.wikipedia.org/wiki/Cargo_cult) non avviene solo nelle isole isolate
del Pacifico: è ovunque intorno a noi.

Richard Feynman ha caratterizzato gran parte di ciò che passa come scienza
come scienza del culto del carico. Imitano le strutture visibili della scienza reale,
compresa la pubblicazione su riviste scientifiche, ma mancano di qualsiasi base
per una sperimentazione onesta. Si tratta semplicemente di seguire i movimenti
della scienza senza impegnarsi nel vero rigore.

Il termine programmazione del culto del carico descrive software che contiene
elementi che sono stati utilizzati con successo altrove ma che sono
completamente inutili per il compito da svolgere. Un programmatore del culto
del carico guarda il codice utilizzato in qualche applicazione di successo e lo
copia nella propria applicazione, credendo che la presenza del codice renderà
utile la sua applicazione.

Gli imprenditori del culto del carico copiano le tattiche utilizzate da un’altra
startup o azienda di successo senza comprendere il contesto in cui sono state
utilizzate.

Diversificazione del culto del carico

Il Cargo Culting esiste anche negli investimenti. Gli investitori leggono di
diversificazione e spesso costruiscono portafogli che assomigliano a questo.
A prima vista, sembra un portafoglio ben diversificato composto da molte classi
di attività diverse.

Tuttavia, periodi di reale stress nei mercati come la crisi finanziaria globale del
2008 possono rivelare che questi portafogli diversificati non erano poi così
diversificati. In realtà erano tutte scommesse sul fatto che i bei tempi
continuassero.
Fonte: Alternative RCM (https://www.rcmalternatives.com/) . Le performance passate non
sono necessariamente indicative dei risultati futuri.

Il marzo del 2020 aveva caratteristiche simili in cui un portafoglio diversificato

non aveva nessun posto dove nascondersi.
Fonte: Koyfin. Le performance passate non sono necessariamente indicative dei risultati futuri.

Il 2022 è stato un altro anno in cui non c'erano molti posti in cui nascondersi
nelle risorse tradizionali. Come mostra questo grafico che esamina le principali
classi di attività, le materie prime sono state l’unico punto positivo dell’anno.
Secondo la nostra esperienza, l’allocazione tipica alle materie prime nella
maggior parte dei portafogli degli investitori può essere compresa tra l’1 e il 5%.
Questo è troppo poco per fare una differenza significativa a fronte delle perdite
nel restante 95-99% del portafoglio.
Fonte: consulenti composti (https://mutinyfund.us20.list-manage.com/track/click?
u=5d0bb7f5aeafccf7c80b6f810&id=ba70b4434e&e=abf29104c3) . Le performance passate
non sono necessariamente indicative dei risultati futuri

In particolare, i portafogli focalizzati su azioni e obbligazioni hanno sofferto. Il

2022 ha segnato l’anno peggiore dal 1937 per il classico portafoglio 60%
azionario/40% obbligazionario, con un drawdown del -18%. Nel frattempo, le
azioni hanno registrato il loro peggior rendimento annuale dalla crisi finanziaria
globale del 2008 e il quarto peggior rendimento degli ultimi 70 anni.
Fonte: consulenti composti (https://mutinyfund.us20.list-manage.com/track/click?
u=5d0bb7f5aeafccf7c80b6f810&id=ef310b963d&e=abf29104c3) . Le performance passate non sono
necessariamente indicative dei risultati futuri.

L'attacco vince le partite, ma la difesa vince i

campionati
Riteniamo che tutte le attività finanziarie possano essere viste come offensive
o difensive e che l’equilibrio tra attacco e difesa consenta di incrementare la
ricchezza nel modo più efficace durante tutti i cicli economici.
Secondo la nostra esperienza: i portafogli della maggior parte degli investitori
sono quasi tutti offensivi. Raggruppiamo qualsiasi asset a lungo termine in
termini di PIL che beneficia della crescita economica nel segmento offensivo.
Azioni, obbligazioni, immobili, private equity e capitale di rischio rientrano tutti in
questa categoria. Questi asset sono generalmente correlati alle azioni e alla
crescita economica generale.

Si tratta di asset che funzionano bene per la maggior parte del tempo, ma
quando funzionano male, possono avere performance davvero pessime, come
abbiamo visto nelle crisi precedenti.
Un portafoglio tradizionale incentrato su azioni e obbligazioni, con alcuni PE, VC
e beni immobili sparsi ai margini, si è rivelato non così diversificato come molti
avrebbero pensato.

We consider these portfolios cargo cult diversification. Looked at on the

surface, they seem diversified. They are going through the motions of
diversification. But, when you really dig under the hood, they are all just bets on
the good times continuing.

While these sorts of offensive assets all have their role in a portfolio, to
compound wealth over the long run while minimizing drawdowns, we believe
investors should combine offensive assets with defensive assets such as gold,
long volatility, tail risk, and trend following.

They are assets that may not perform great most of the time, but they should be
at their best when offensive assets are at their worst.

We have a simple investment philosophy: Offenses win games, but defense

wins championships. Offense can work great in the short term for a single game
or single game, but you need defense to win consistently in the long run. In the
same way, we believe offensive assets can put up big gains in years like 2021,
but need to be combined with defensive assets to most effectively compound
wealth in the long run.

Why? Because it’s the addition of uncorrelated and negatively correlated

defensive assets that make the most impact on risk-adjusted returns even
though they don’t offer the highest returns.

The Three Little Zigs, Zogs, and Zags.

Let’s take a simple, toy example for illustrative purposes only. Let’s say you have
the ability to buy two assets out of a possible three choices: Zig, Zog and Zag.
The first two assets, Zig and Zog have the highest returns so they seem like the
obvious choices, right? Zag has a long run return of about zero so it seems like
the least attractive option, right?

However, there’s one wrinkle here: Zig and Zog are highly correlated with one
another. They track one another and the business cycle. Both do well when
markets are up and poorly when markets are down.
Even though Zag has an expected return of zero, it goes up in periods where Zig
and Zog go down. Its most substantial gains are when the other two assets are
in crisis.

If you can only buy one asset, Zig is the obvious answer. It has the highest total
return.

But, if you can buy two, what is the best overall portfolio?

If you are rebalancing between the assets, the Zig+Zag portfolio gives you
similar returns for less risk.1 (https://mutinyfund.com/cargo-cult/#easy-
footnote-bottom-1-2518)
Because Zag is negatively correlated to both Zig, a portfolio that rebalances
between them creates a much smoother return stream – similar returns with
much lower volatility and drawdowns.

This is a result of the power of anti-correlation and rebalancing. In periods where

Zig is going up and Zag is going down, some of the profits from Zig are being
rebalanced into Zag. At first glance, this seems weird – why would you sell the
thing going up to buy the thing going down?
Because when the cycle turns and Zig starts to go down, Zag is more “fully
funded” so that its gains will come at the best possible time. As Zig is falling, an
investor with this portfolio would be able to buy more of Zig using the profits
from Zag.

In other words, the anti-correlation of Zag is worth more to the excess risk-
adjusted return of the portfolio than Zog’s superior expected value. Zag has
the worst returns on a standalone basis. But, it provides returns at the right time
to offset losses in the more offensive Zig.

If you want to increase your risk-adjusted return, you are better off adding
modest leverage to the balanced Zig+Zag portfolio rather than using a portfolio
than the all offensive Zig+Zog.
By adjusting the Zig+Zag portfolio and Zig+Zog to the same risk level, Zig+Zag
outperforms because of the power of anti-correlation and rebalancing. For any
investor that cares about their risk-adjusted returns, Zig+Zag would be a better
portfolio.

And as time goes on, it gets better and better.

And better…
As compounding takes its toll, what started as a small gap – turns into a chasm.

Portfolio Thinking
Most investors think about the expected value of a single asset. They say “I like
this stock and that stock”. They look at each individual piece on its own: “which
of these investments is going to do the best?”
Thinking about the portfolio holistically shows that you can add low returning but
negatively correlated or uncorrelated individual assets to create a superior risk-
adjusted return.

Using the principles of diversification, smart investors should be thinking “I

should put some of my money in the investment that I think is going to do the
best and then also put some in investments that I think won’t do as well but are
uncorrelated or anti-correlated because if I rebalance between them, I improve
the overall performance of the portfolio.”

Most investor portfolios today are concentrated in offensive assets like stocks,
bonds, and real estate.

We believe that true diversification, the kind that achieves superior long-term
risk-adjusted returns, requires making significant allocations to defensive
assets. Everything else is cargo culting.

Footnotes
1. Shown over the first 100 periods in this simulation.

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