mercoledì 3 marzo 2010

Ancora sulla Grecia e gli scricchiolii dell'euro. Due video sugli alchimisti di Wall Street.

John Mauldin dedica gran parte della sua newsletter settimanale ad un'analisi della crisi greca. Ecco la sua difesa degli hedge funds dall'accusa di cospirare contro l'euro: 

The Euro and a Conspiracy of Hedge Funds
The lead story in this morning's Wall Street Journal is that hedge funds are holding "idea meetings" and deciding that shorting the euro is a good bet. Der Spiegel called them "secret meetings," as if somehow a cabal of hedge funds is conspiring to push the euro down. A few points for the writers of Der Spiegel:
  • There is no secret about the problems with the euro. Let's see, when the head of Germany's leading debt-management agency warned this week that the euro would collapse if any member defaulted on its debt, was he part of a secret conspiracy? If he is right, do you want to bet that Greece will behave, and go long the euro?
  • The currency market is a $2 trillion dollar a DAY market. That's over $50 trillion a month. Even with 20:1 leverage, $50 billion in hedge funds shorting the euro is a drop in the bucket, and I seriously doubt anywhere close to that much is at risk. George Soros won his bet against the pound sterling because the pound was fundamentally flawed and overvalued, and he put his money where his mouth was.
  • If a hedge fund is betting against the euro, someone has to be on the other side of that trade. Are those guys (on the other side) conspiring in secret to drive the euro up and the dollar down? Are they in "secret" meetings to take advantage of the poor, dumb, misinformed hedge funds? Who are they? The world needs to know who is conspiring against the dollar and other currencies! Whatever. One side will be wrong. Fundamentals will out.
  • I get invited to "idea dinners" from time to time. They are indeed private, but they don't rise to the level of "secret." I do very little trading, but these meetings help to hone my ideas, and I hope that helps make this letter a better source for you.
The Journal wrote that these hedge-fund managers expect the euro to go to parity with the dollar, as if that is some novel idea. I made that prediction in 2002 when the euro was at $.88, suggesting that it would rise to $1.50 and then fall back to parity by the middle of the next decade. Maybe it will get there a little faster than I thought. Stay tuned, and I do NOT suggest making 20:1 bets on currency moves. A lot of those hedge funds will lose a lot of money if the market moves against them.

Da consumato professionista mescola argomenti ottimi con argomenti meno buoni (ad esempio le considerazioni sulla leva sono risibili e trascurano le nonlinearità). Sono però totalmente d'accordo con lui con le considerazioni su Soros e la sterlina e sul fatto che la sopravvalutazione dell'euro (almeno quando viene scambiato a 1.5$) non è un mistero per nessuno.

Sempre Mauldin propone una semplice (forse troppo semplice) ma interessante analisi della struttura dei tassi a 10 anni delle obbligazioni governative dei paesi dell'area euro a cura di GaveKal dalla quale si è portati a concludere che:

Thus, for all of the complaints about market manipulation, it seems that the hierarchy of spreads over German Bunds has followed, since the beginning of this year, a pretty rational walk. Actual debt levels and short-term pressure on government accounts have systematically explained more than 85% of yield spreads. When a liquidity risk premium is applied, the explaining power of our model rises to above 95%. A very interesting predictability which leads us to the following conclusions:
  1. The hierarchy of sovereign spreads on Euro financial markets closely follows the logic of the Stability and Growth Pact (SGP). The European bond markets are thus remarkably consistent and sending a clear and powerful message to the governments of the euro zone to stick to the agreed rules or suffer the consequences.
  2. As of today, there seems to be no additional risk premium related to the possible dislocation of the Eurozone. Clearly, this possibility would have such devastating effect on world financial markets that investors cannot even think of it (even if many talk about it).
  3. Based on the fitted curve we can identify a few markets that potentially deserve either a lower or a higher spread than the one currently prevailing. Of course, one should not build too much on small deviations to the fitted curve, but one sovereign bond market looks particularly expensive, namely Belgium. The OLO market should normally trade with yield significantly above that of Austria, or even Italy (see The Italian Job). The credentials for the management of the Belgian debt crisis of 1993 may play a role in the overvaluation of the OLO market. But with Belgian public debt now rising again (it should pass the 100% mark next year) and with the Belgian banking system in deep crisis, we see little reason to hold any OLO in bond portfolios. Rather, we would advise to sell OLOs against a basket of Austrian and Italian bonds. Aside from Belgium, France and Ireland are the two markets that currently look vulnerable.

4- The Return of Country Risk

As mentioned above, it is hard to foresee how the current situation in Europe will play out, but the one thing we can be sure of is that the crisis is an important turning point for European investors in that it marks the return of country risk. Indeed, regardless of what the European Union may do to help Greece through its current crisis, the new reality is that Greece's funding costs (along with those of other European nations) will, from now on, increasingly be a reflection of Greek fundamentals rather than German fundamentals. This must mean that, like a phoenix rising from the ashes, country risk in Europe is all of a sudden back from the dead. It also means that discerning which countries are set to experience a rise in financing costs, and which countries enjoy a pull-back will once again be a driver of relative stock market performance. In that regards, we hope that our reader will find the equation we offered above both interesting and useful.

L'equazione alla quale viene fatto riferimento nel testo è il risultato di una semplicissima regressione
lineare su tre fattori:

since the beginning of the year, we find that, on average, 10-year bond yields in the Euro area have been organized according to the following pattern:

Yield = 4.31+ 0.0201*(excess debt)+0.4723*(EDP adjustment)-0.564*(liquidity)

Attenzione che la serie impiegata è davvero molto corta, ecco perchè ho enfatizzato in rosso il caveat iniziale.

Vi segnalo infine due video sul ruolo avuto dai Quants nella crisi finanziaria: il primo è di Andrew LoResearchChannel - Are Mathematical Models the Cause for Financial Crisis in the Global Economy e potete scaricarlo dal sito della National Science Foundation a questo link

Il secondo video è un documentario (teoricamente in olandese ma tutte le interviste, cioè oltre il 90% del contenuto, sono in inglese) Quants - the Alchemists of Wall Street  con interviste a Paul Wilmott, Emanuel Derman, Matthew Goldstein e Mike Osinski. Tra gli spunti interessanti di questo documentario mi ha colpito la descrizione che Willmott fa al 19esimo minuto di strategie note come "raccogliere monetine davanti al rullo compressore" cui piano piano fai profitti
esponendoti a un rischio estremo (inciampare mentre raccogli la monetina di fronte al rullo compressore che avanza piano piano ma inesorabilmente...).  Sarei davvero contento di scoprire che tra i miei 25 lettori c'è qualcuno attivo nel mondo Hedge e  conoscere la sua opinione sui commenti di  WIllmott e in particolare a proposito della sua affermazione seguente:

"I think it is fantastic that people that people who take risk should be compensated for taking risk. But only if they are
taking risk themselves...taking risk with other people's money you should not be compensated for... I am sorry...I do not know if that fits with economic theory but taking risk with other people's money does not get rewarded"

1 commento:

giovanni.gambino ha detto...

Eccellente Post!