Il decennio perduto

Finisce l'anno e malgrado lo straordinario rally di borse e materie prime da marzo ad oggi si sprecano gli articoli sul "decennio perduto" con riferimento alla pessima performance delle azioni negli ultimi 10 anni: ecco un'illustrazione grafica usando l'indice Dow Jones

e un'altra che indica l'ampiezza e la durata dei drawdowns dal 1930 ad oggi, tratta da un articolo sul New York Times:

Secondo il NYT:


...skeptics worry that the breathtaking rally — the S.& P. 500 index has surged 66 percent since March — has made stocks too expensive. The 10-year price-to-earnings ratio of the S.& P. 500, a measure of how expensive stocks are relative to profits, was more than 20.3 in late December, up from 13.3 in March. The average for the last 130 years is 16.4, according to calculations by Robert J. Shiller, the Yale economist.
Mr. Ritholtz said that just as investors were overly pessimistic in March, when stocks fell to their lowest level in more than a decade, they have become irrationally optimistic about the recovery.
“History tells us that this will end with a substantial correction,” he said.




La maggior parte degli articoli che ho letto sul "decennio perduto" è senza interesse mentre ho trovato eccellente il breve articolo di James Hamilton sul sito di Nouriel Roubini (forse è necessario registrarsi per poter accedere ai contenuti ma ne vale la pena: molti articoli sono in consultazione gratuita) che si basa sui dati raccolti e messi a disposizione da Robert Shiller sulla sua pagina web, ai quali fa riferimento anche il New York Times nel suo commento. E' impressionante vedere il crollo dei profitti delle società che compongono l'indice S&P500...

Green line: Real value (in 2009 dollars) of earnings on the S&P500, January 1980 to December 2009. Dashed blue line: arithmetic average of green line for the preceding 10 years. Data source: Robert Shiller.

...così come constatare la distruzione di 7 milioni di posti di lavoro in poco più di un anno

Cercando qualche spunto per un po' di ottimismo vi segnalo (grazie a

Bespoke) come la curva dei rendimenti delle obbligazioni del Tesoro USA sia molto ripida (i banchieri riconoscenti ringraziano...):

According to literature from the NY Fed's website, the yield curve is defined as, "the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill." On a historical basis it has been "a valuable forecasting tool...in predicting recessions two to six quarters ahead."

Using the Fed's definition of the yield curve, the chart below shows the historical spread between the yields on the 3-month and 10-year US Treasury (in basis points). As shown in the chart below, the current level of the yield curve is nearly two standard deviations above its historical average. The only other time that the spread got this wide was back in August 1982.

Se volete vedere un esempio di come usare la curva dei tassi di interessi per decidere un asset
allocation potete dare un'occhiata a questo post di Mebane Faber che analizza il rendimento di azioni USA, azioni del resto del mondo, obbligazioni, materie prime, fondi immobiliari e oro nei periodi nei quali la curva è invertita, moderatamente ripida e molto ripida:


...we examine how the 10 year US Govt Bond – 90 Day Tbill rate affects the return of various asset classes.  We selected three modes, but by no means are these optimized or optimal. The table below presents the % of time spent in each mode, as well as the annualized returns for the annualized returns for the asset classes.

Per chi è interessato a fare le proprie analisi da solo segnalo che su Yahoo Finance è possibile
scaricare gratuitamente i tassi a 13 settimane dal 1960, così come quelli a 5 anni e a 10 anni dal 1962, a 30 anni dal 1977.

Non bisogna dimenticare però che il motore della ripresa è nei paesi in via di sviluppo:

l'Economist dedica un articolo allo straordinario anno dei mercati emergenti e alle conseguenze che questo spostamento di baricentro avrà per l'economia mondiale, utilizzando una metafora forse ispirata al libro di Mohamed El Erian di un anno fa:

When the Earth’s tectonic plates grind against one another, they do not always move smoothly; sometimes they slip. A year after the West’s slump began to spread to emerging markets, it has become clear that the recession has been a moment of tectonic slippage, a brief but powerful acceleration in the deep-seated movement of economic power away from rich nations towards emerging markets.

Since 2007, according to Goldman Sachs, the biggest emerging markets—Brazil, Russia, India and China—have accounted for 45% of global growth, almost twice as much as in 2000-06 and three times as much as in the 1990s. It used to be said that although emerging markets were contributing an expanding share of world growth, they could not claim to be the real engine for the global economy because final demand for their exports lay in America. But that argument is weaker now that China has overtaken America as the main market for the goods of the smaller Asian exporters. The recession showed that economic power is leaching away from the West faster than was thought.
Previous recessions have left most developing countries with their reputations for economic management in tatters, and with credibility to regain in capital markets. This time, it is the rich whose reputations have been damaged. The fiscal response of many emerging markets has enhanced their credibility, and they find themselves with an unexpected reputation for fiscal prudence. The debt-to-gdp ratio of the 20 largest emerging markets is only half that of the top 20 rich nations. Over the next few years rich countries’ debt will rise further, so emerging markets’ indebtedness will be only one-third of theirs by 2014. Already there are signs that financial markets are rewarding them for good behaviour. Sovereign-risk spreads have been lower in the biggest emerging markets than in some euro-zone countries; in 2009, Hong Kong did more initial-public offerings than New York or London.
At the start of the crisis, a Mexican minister sighed: “At least this time it’s not our fault.” The comment was laden with sad irony: like everyone else, he expected that Mexico’s innocence would make no difference and that emerging markets would be hammered anyway. But they have not been. So far the story of global recession in emerging markets has had that rarest of themes: virtue rewarded. 

Infine vi invito a leggere  i due articoli di Yves Smith (il primo dei quali ripreso anche sul sito di Roubini) sui CDO sintetici che contestano l'autodifesa di Goldman Sachs dopo le accuse mosse dal New York Times qualche giorno fa. Non sono d'accordo con tutto quello che il Dr. Smith scrive ma il suo stile è appassionato, intelligente e sicuramente sono una lettura interessante. 

Un augurio di felice 2010 a tutti!