giovedì 30 luglio 2009

Il tradimento del bene rifugio e la paura del trading computerizzato. Aggiornamento al 31 luglio 2009 e buone vacanze

I grafici della variazione annuale dei prezzi delle case in alcune città americane sono
davvero impressionanti: a Phoenix si è passati dal +50% dell'autunno 2005 al -36% del marzo di quest'anno, a Miami nello stesso periodo dal +32% al -29% e a Las Vegas dal +53% del 2004 al -33% di questa primavera. Ma la situazione sembra in via di miglioramento: l'indice dei prezzi degli immobili Case-Shiller per il mese di maggio mostra una diminuzione dei prezzi del17.1% rispetto al maggio 2008. Anche se si tratta di un risultato negativo la discesa dell'indice sta rallentando da 4 mesi, dal picco negativo di -19% di variazione tra gennaio 2009 e gennaio 2008. L'Economist di un paio di settimane fa mette in guardia da un ottimismo eccessivo: scriveva Buttonwood nella colonna del 17 luglio

Property was indeed a great investment at a time when financing was easy and recessions were occasional and mild. But that world has disappeared for a while. Even low interest rates may not help, as the Japanese example has illustrated over the past 20 years.

The naive belief that American house prices could not fall at the national level has been exposed by the current crisis. The belief that property prices must rise over periods of a decade or more may also prove to be false. Figures from Robert Shiller of Yale University show that real American house-prices were lower in 1945 than they were in 1900, for example. In a world of low inflation that means they could easily fall in nominal terms.

What about the argument that the result of this crisis will inevitably be inflation? Surely property would be a good hedge against such an outcome, as rents would be expected to keep pace with higher prices in the long run?

It sounds good in theory, but in practice the result of inflation would probably be a one-off rise in rental yields caused by a sharp fall in property prices. The 1974-1976 inflationary downturn in Britain saw cumulative commercial-property losses of 45%; yields rose from 5.7% to 8.7% between 1973 and 1975. Any increase in inflation would also lead to higher interest rates, causing further problems for leveraged investors. A strong economy is a far better backdrop for property than inflation ever could be.

Per poter sperare in un mercato immobiliare sano occorre in primo luogo vedere segni diffusi, inconfutabili e robusti di ripresa, sia negli USA che in Europa, e non solo un
rallentamento del tasso di contrazione dell'economia. Secondo Obama la recessione
USA è stata più profonda di quanto previsto ma ci sono ragioni per un moderato ottimismo:
potete ascoltare le sue dichiarazioni di venerdì scorso qui.

Tutto bene dunque per il futuro? I mercati dovranno ancora superare diversi ostacoli ma bisogna augurarsi che non si affacci all'orizzonte una nuova crisi, magari originata dal trading computerizzato ad alta frequenza: Il 50% del volume delle transazioni giornalieri sui mercati azionari è dovuto proprio all'HFT (High Frequency Trading) e si teme che oltre a rendere i mercati più liquidi un risultato indesiderato sia l'aumento del rischio sistemico: secondo l'Economist

Many believe that last year’s extreme market volatility was heightened by high-frequency traders. According to Nassim Nicholas Taleb, an author and investor, HFT “magnifies changes and ultimately makes the system weaker”

Ai pericoli dell'HFT è dedicato l'editoriale di Willmott sul New York Times di mercoledì scorso. Willmott si spinge fino ad evocare il fantasma del 19 ottobre 1987:

So, is trading faster than any human can react truly worrisome? The answers that come back from high-frequency proponents, also rather too quickly, are “No, we are adding liquidity to the market” or “It’s perfectly safe and it speeds up price discovery.” (...)

Those responses disturb me. Whenever the reply to a complex question is a stock and unconsidered one, it makes me worry all the more. (...) l want to address the question of whether high-frequency algorithm trading will distort the underlying markets and perhaps the economy.

It has been said that the October 1987 stock market crash was caused in part by something called dynamic portfolio insurance, another approach based on algorithms. (...)

By 1987, however, the problem was the sheer number of people following the strategy and the market share that they collectively controlled. If a fall in the market leads to people selling according to some formula, and if there are enough of these people following the same algorithm, then it will lead to a further fall in the market, and a further wave of selling, and so on — until the Standard & Poor’s 500 index loses over 20 percent of its value in single day: Oct. 19, Black Monday. Dynamic portfolio insurance caused the very thing it was designed to protect against.

This is the sort of feedback that occurs between a popular strategy and the underlying market, with a long-lasting effect on the broader economy. A rise in price begets a rise. (Think bubbles.) And a fall begets a fall. (Think crashes.) Volatility rises and the market is destabilized. All that’s needed is for a large number of people to be following the same type of strategy. And if we’ve learned only one lesson from the recent financial crisis it is that people do like to copy each other when they see a profitable idea. (...)

Thus the problem with the sudden popularity of high-frequency trading is that it may increasingly destabilize the market. Hedge funds won’t necessarily care whether the increased volatility causes stocks to rise or fall, as long as they can get in and out quickly with a profit. But the rest of the economy will care.

Buying stocks used to be about long-term value, doing your research and finding the company that you thought had good prospects. Maybe it had a product that you liked the look of, or perhaps a solid management team. Increasingly such real value is becoming irrelevant. The contest is now between the machines — and they’re playing games with real businesses and real people.

Ecco l'aggiornamento al 31 luglio 2009.

Asset valuta tendenza pendenza tendenza pendenza valore

medio medio breve breve

periodo periodo periodo periodo
1. Ftse EPRA/NAREIT Global USD POS POS POS POS 1396.67
2.. S&P500 USD POS POS POS POS 987.48
2. EuroStoxx EUR POS POS POS POS 243.92
5. Eur/USD N/A POS POS POS NEU 1.4149
6. Euro Government Bond 30yr EUR POS NEU POS POS 172.0474

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