Buffett e derivativos

No sábado, a Berkshire Hathaway publicou sua tradicionalíssima carta anual (o site da Berkshire Hathaway, todo em html e provavelmente com a mesma cara de quando foi lançado, é um atestado de quanto os velhinhos Warren Buffett e Charles Munger são adeptos da modernidade. Imagino que eles ainda mandem a carta por fax ou correio para todos os investidores). Um destaque, sobre a posição de derivativos da companhia:

As a first step in updating you about these contracts, I can report that late in 2010, at the instigation of our counterparty, we unwound eight contracts, all of them due between 2021 and 2028. We had originally received $647 million in premiums for these contracts, and the unwinding required us to pay $425 million. Consequently, we realized a gain of $222 million and also had the interest-free and unrestricted use of that $647 million for about three years.

US$ 222 milhões... nada mal para um "fool's game". Mais uma vez o Oráculo de Omaha está rindo melhor. A justificativa?

Both Charlie and I believe that Black-Scholes produces wildly inappropriate values when applied to long-dated options. (...) More tangibly, we put our money where our mouth was by entering into our equity put contracts. By doing so, we implicitly asserted that the Black-Scholes calculations used by our counterparties or their customers were faulty.

Vale a leitura do resto da carta, sobretudo a partir da página 20. Mais uma pérola:

You can be highly successful as an investor without having the slightest ability to value an option. What students should be learning is how to value a business. That’s what investing is all about.

Outro destaque, na atualização do manual do proprietário das ações da Berkshire:

Lest we end on a morbid note, I also want to assure you that I have never felt better. I love running Berkshire, and if enjoying life promotes longevity, Methuselah’s record is in jeopardy.