mercoledì 29 settembre 2010

La manipolazione delle valute e una vecchia proposta di Keynes

L'Economist dedica un articolo all'analisi della manipolazione
dei mercati valutari da parte delle banche centrali di numerosi paesi. L'effetto principale della riunione
della Fed di martedì scorso è stato quello di indebolire considerevolmente
il dollaro mediante l'evocazione di uno scenario di crescita economica debole
e di ripresa del Quantitative Easing. L'Economist giustamente osserva come la
mossa della Fed sia giunta pochi giorni dopo l'imponente intervento della banca
centrale giapponese contro la rivalutazione dello yen. I giapponesi e gli americani non sono però i soli manipolatori dei cambi: all'elenco si aggiunge la Svizzera, il Brasile ma, soprattutto, la Cina.

The most active interveners, however, are in the emerging world.
China is the extreme case. It has built up $2.45 trillion of reserves thanks to
its determination to keep the yuan stable against the dollar. Others have less rigid currencies but still intervene to stem what they regard as excessive upward pressure. Between September 13th and 16th Brazil’s central bank bought dollars at a rate of $1 billion a day.

As the recovery slows, a growing number of people worry about a descent into
competitive depreciation, as countries try to grab a bigger share of global demand at others’ expense, a trend that could fuel protectionism. Optimists, however, argue there may be benefits from today’s fad for currency fiddling. One argument is that intervention may be a backdoor route to reflation. If central banks all print money to prevent their currencies appreciating and don’t mop up or “sterilise” that liquidity by issuing bonds, then their exchange rates might end up the same but the world will have had a monetary boost in the interim.

The truth lies in between. Although most of the intervening governments have the same goal—to stop their domestic currency from rising—their circumstances and motivations vary widely. China’s ongoing determination to fix the yuan is the least defensible and most distortive. Unfortunately, it is also the world’s most effective intervener.

Il rafforzamento dell'euro rende senz'altro più difficle la ripresa economica nei paesi in crisi alla periferia dell'eurozona (Irlanda, Grecia, Spagna e Portogallo, ma non sto pensando solo a loro...).  Secondo il Wall Street Journal

As in the 1930s, competitive devaluations, whether by fair means or foul,
are likely to increase international tensions and risk protectionist responses.
Meanwhile, they will do nothing to address the global imbalances that led to the
crisis or tackle the chief problem facing the advanced economies today:
lack of domestic demand in many countries.

In the short term, the euro zone has the most to lose from rising currency tensions, given the relative hawkishness of the European Central Bank. The euro already has risen 2.3% against the dollar in the last week. But a rising euro could cause further problems for Europe's periphery as well as for the German export engine at the heart of the European recovery.

Longer term, the biggest gainer is likely to be gold, (...) the traditional refuge of those unwilling to put their faith in politicians.

In un mondo sviluppato completamente nel quale la riduzione del debito (pubblico e delle famiglie) è all'ordine del giorno, non sorprendentemente c'è anche chi ripropone l'idea di Keynes di legare i corsi valutari al deficit della bilancia commerciale (speriamo che i miei lettori tedeschi siano distratti...). Ecco come l'Economist descrive lo schema di Keynes:

Keynes set out a scheme for a “clearing union” that he believed had the benefits to trade of a fixed exchange-rate system but without the gold standard’s shortcomings. At its heart was an international clearing bank (ICB) that would settle the balance of transactions that gave rise to trade surpluses or deficits. Residual balances would be settled by member central banks, but each would have an overdraft facility at the ICB equal to the recent average of its country’s exports and imports (its “quota”). The overdraft would afford deficit countries a credit buffer against the abrupt adjustments required under the gold standard.

The scheme would still discipline members with trade deficits.
A country that used up more than a quarter of its limit would be allowed to
depreciate its currency by 5% against the others. Higher overdrafts would incur an interest charge on a rising scale. A country that breached half its overdraft would be required to devalue, to sell some of its gold to the ICB and to prohibit capital exports. A hopelessly lax country would be expelled from the club.

Keynes’s scheme would also require creditors not to hoard their trade surpluses.
Countries in persistent credit with the ICB would be allowed (and then required)
to revalue their currencies. Credits equal to a quarter of the ICB quota would be
liable to a tax of 5%, rising to 10% for credits above half the quota.

This scheme formed the basis of Britain’s position in the negotiations in 1944 at Bretton Woods, which created the post-war system of exchange rates. However, Keynes could not secure American support for “creditor adjustment”. This was in part because America had both the world’s most powerful economy and (like Germany today) a big trade surplus. Britain was an indebted supplicant.

As Robert Skidelsky argues in his biography of Keynes, this also reflected the contrasting views in America and Britain of the collapse of the gold standard. America associated its earlier prosperity with the standard’s stability and the Depression with the system’s breakdown. Britain linked the misery of the 1920s to the gold straitjacket and its subsequent recovery to being freed from it. The belief that more discipline for debtors is the cure for imbalances persists, though in Germany rather than America. Now a deficit country, America thinks surplus countries should adjust too.

martedì 28 settembre 2010

La rabbia degli investitori istituzionali si abbatte sul trading ad alta frequenza

L'intelligent investor di Jason Zweig questa settimana è dedicato alle contestazioni fatte al trading ad alta frequenza da parte dei gestori di fondi di investimento e più in generale da tutti gli investitori con orizzonti temporali di medio-lungo termine. Secondo Zweig

They're mad as hell, and they're not going to take it anymore.
On Oct. 4, mutual-fund executives will convene in Washington at the Investment Company Institute, the trade association for fund managers. People familiar with the situation say a few attendees are determined to push for a plan to restrict high-frequency trading, the rapid market activity that lately has caught the attention of investors large and small.
Using powerful computers and data feeds, high-frequency trading firms typically hold stocks a few minutes and sometimes only a few seconds at a time, churning roughly half of total stock-market volume. Whenever you—and your mutual fund or pension plan—buy or sell a stock, one of these fast-trading firms is likely to be on the other side of the trade. The problem? While some fund leaders have praised high-frequency trading for making markets more efficient, others contend that the profits earned by fast traders may come partly at the expense of ordinary investors. 

Gli ordini degli investitori istituzionali più grandi (fondi di investimento e fondi pensione) sono così grandi che devono necessariamente essere suddivisi in tanti ordini più piccoli per evitare di spostare troppo il prezzo dell'azione interessata. 

So institutions trade in dribs and drabs. A giant buy order would push up a stock; a huge sell order would knock it down. "Would you leave $100 in cash on the street corner and hope nobody takes it, or would you hide it in your pocket?" asks Andrew Brooks, head of U.S. equity trading at T. Rowe Price. "Information about our order flow is valuable, and we need to protect it."
Any institutional order for a couple hundred shares can have thousands or even millions of shares behind it. A fast trader that can infer which orders were placed by a big institution gains an insight into how stock prices may be about to change. Whoever gets there first stands to make a tiny profit on each of those trades.

La richiesta è quella di rendere ancora più anonimi gli ordini, sopprimendo gli  order ID - a kind of tag that, according to several traders, may assist a fast trader in deducing whether a large institution lurks behind a small order. 
Più in generale l'accusa che viene mossa dagli istituzionali è che la struttura attuale del mercato favorisce troppo nettamente chi fa trading ad alta frequenza. L'esempio descritto qui sotto è illustrativo delle distorsioni e delle asimmetrie che in questo momento dominano il trading:

"There are aspects of the market structure which give [fast traders] an unfair advantage," says Manoj Narang, chief executive of Tradeworx, a high-frequency firm in Red Bank, N.J., that trades about 200,000 times a day, turning over roughly 50 million shares. "And those should be changed."
One such practice: 1,000 shares are offered for sale at $20, and someone wants to buy 2,000 shares at $20. The buyer should be able to purchase the 1,000 shares immediately, while the other 1,000 shares should instantly show as the new "best bid" at $20.
Instead, says Mr. Narang, while the 1,000-share purchase goes through right away, the open order to buy another 1,000 is displayed to the entire market at a slight delay. Traders that can place orders faster can jump ahead, putting them in the best position to buy more shares at $20, in hopes of reselling them at a higher price. Mr. Narang says this occurs "at least tens of thousands of times per day."
Whom should the market be designed to serve: Short-term traders or long-term investors? Is it serving both fairly?

Il tema della "best execution" degli ordini sul mercato è discusso anche in questo articolo del New York Times che esamina in particolare il ruolo della S.E.C. e i suoi insuccessi recenti. Secondo il NYTimes

over the last decade, the Securities and Exchange Commission failed badly when it came to requiring stock markets to treat individual investors fairly. Markets that worked for such investors were replaced by ones that could not care less about them.
As Mary L. Schapiro, the S.E.C. chairman, put it, in the old system “the market participants with the best access to the markets” — New York Stock Exchange specialists and Nasdaq market makers — “were subject to significant trading obligations that were designed to promote fair and orderly markets and fair treatment of investors.”
“These traditional obligations,” she added in a speech to the Economic Club of New York this month, “have fallen by the wayside.”
The S.E.C. stood by as newer electronic markets evolved and came to dominate trading. The traders with the best access now have few if any obligations to investors.
Most of the time the new structure works well. But when it does not, individual investors can be the losers because markets cheat them in ways that would have been unthinkable — and probably illegal — only a few years ago.
Now the commission is trying to recover. This week the nation’s stock markets proposed new rules — rules that were agreed to after heavy pressure from the S.E.C. — to force market makers to stop posting ridiculous “stub” quotes. These days, such quotes are put up by market makers that are required to post quotes but do not really want to buy or sell shares. Those rules will do a little. But not much. 

Un problema centrale è dunque come costringere un market maker a svolgere il compito al quale è chiamato.  Lo status di market maker si accompagna a privilegi indiscutibili, ma come troppo spesso accade nel mondo della finanza da molti anni a questa parte, i privilegi non sono bilanciati da obblighi sostanziali. Il flash crash del 6 maggio scorso è un esempio di come queste asimmetrie lungi dal rendere i mercati più liquidi ed efficienti possano generare mostruosità:

There are two principal advantages to being a registered market maker on an exchange. The first is that capital requirements are eased. The second is that such firms can avoid buy-ins — where they are forced to buy stock that they did not deliver when they sold it — for a few days longer than other firms.
There are no real obligations for the role, however, at least in some markets. Instead, it is assumed that liquidity will be provided by traders with fast computers. Most of the time it is. But those traders can withdraw from the market whenever they choose to do so. 
They did that on May 6. For some stocks, the only bid left was a stub quote of one cent, and the computers executed at that price. The sellers were unfortunates who had put in orders to sell at the market price — assuming wrongly that the market would function. Other losers were those who had put in stop-loss orders to sell if a stock fell below a specified price.
In the aftermath, officials canceled trades made at prices at least 60 percent below the previous day’s closing price. But if you sold for half what the share was worth in a real market, you were out of luck. 

No such trades happened at the New York Stock Exchange, which had rules to slow down trading and let someone with a brain look first when trading got out of hand.

Infine c'è sempre il problema della trasparenza, sul quale si continua a dibattere ma non si registrano purtroppo sostanziali passi avanti:

 Another idea from Ms. Schapiro — that ways should be found to make more trades public immediately — would have seemed equally curious. Virtually all trades were already disclosed.
Now, however, there are “dark pools” whose bids and offers are not exposed to the entire market, and some institutions swear they need them to be sure others do not figure out their trading strategies. And there are brokerage firms that “internalize” orders and do not let the rest of us in on what they are doing as they match buyers and sellers.
“They now execute nearly 30 percent of volume,” Ms. Schapiro said of the internalizers and dark pools. “What is the effect of these venues on public price discovery and market stability?
More transparency is needed, and it will take rules to accomplish that.

Il dollaro, la Fed e la corsa all'oro

Riuscirà la Fed a rimettere in moto il sistema del credito negli U.S.A., a rilanciare economia e occupazione e ad allontanare ora e per sempre lo spettro della deflazione? Sono in molti a chiederselo, e lo scetticismo aumenta ogni giorno. A dispetto dei proclami l'effetto principale delle azioni della Fed sembra essere sulle valute, dove si combatte quotidianamente una battaglia che vede ormai schierate le truppe delle tre superpotenze del Pacifico (Cina, Giappone e Stati Uniti). Nella suo commento settimanale all'economia e ai mercati John Mauldin analizza le ultime dichiarazioni della Fed, soffermandosi sulla possibilità che un nuovo round di Quantitative Easing (QE) riesca a rimettere in moto la macchina del credito negli U.S.A., giungendo a conclusioni poco incoraggianti:

If banks are not lending now, with what seems like lots of reserves, then what is to make us think that another $2 trillion in QE will make them feel like they have too much money in their vaults? If it is because they don't have enough capital, then adding liquidity to the system will not help that. If it is because they don't feel they have creditworthy customers, do we really want banks to lower their standards? Isn't that what got us into trouble last time? If it is because businesses don't want to borrow all that much because of the uncertain times, will easy money make that any better? As someone said, "I don't need more credit, I just need more customers."
How much of an impact would $2 trillion in QE give us? Not much, according to former Fed governor Larry Meyer, who, according to Morgan Stanley, "...maintains a large-scale macro-econometric model of the US economy that is widely used in the private sector and in public policy-making circles. These types of models are good for running 'what if?' simulations. Meyer estimates that a $2 trillion asset purchase program would: 1) lower Treasury yields by 50bp; 2) increase GDP growth by 0.3pp in 2011 and 0.4pp in 2012; and 3) lower the unemployment rate by 0.3pp by the end of 2011 and 0.5pp by the end of 2012. However, Meyer admits that these may be 'high-end estimates'.
"Some probability of a resumption of asset purchases is already priced in, and thus a full 50bp response in Treasuries is unlikely. Moreover, a model such as Meyer's is based on normal historical relationships and therefore assumes that the typical transmission mechanisms are working. For example, a drop in Treasury yields would lower borrowing costs for consumers and businesses, helping to stimulate consumption, business investment and housing. But there is good reason to believe that the transmission mechanism is at least partially broken at present, and thus the pass-through benefit to the economy associated with a small decline in Treasury yields (relative to current levels) would likely be infinitesimal." (Morgan Stanley)

Mentre l'effetto diretto del QE sull'economia U.S.A. sembra essere discutibile, l'effetto sul dollaro è lampante, e Mauldin maliziosamente insinua che possa essere questo il vero obiettivo della Fed:

That is not much bang for the buck, so to speak, but it would be pointing a gun with a very big bang at the valuation of the dollar. If QE were attempted on that scale, it would not be good for the dollar. My call for the pound and the euro to go to parity with the dollar would be out the window for some time, and maybe for good.
Now, if the strategy is to lower the dollar, then QE might make some sense; but of course no one would admit to that, not when we are accusing other countries of manipulating their currencies (as in China). No, we would just be fighting deflation. The fact that the dollar dropped would just be a coincidence, a necessary but sad thing in the important fight against deflation. (Please note tongue firmly in cheek. Not you, of course, but some other readers sometimes miss my sarcasm.)

Se non vi sentite pronti a speculare sul mercato valutario, e avete una qualche esposizione ai dollari che volete coprire, l'hedge naturale è sicuramente l'oro, che sembra guadagnare a ogni incertezza del quadro macroeconomico (dollaro, debito sovrano, inflazione, ecc.). Secondo il Wall Street Journal la prossima tappa è quota 1300 (dollari l'oncia):

Gold continued its record run and moved closer to $1,300 an ounce on the Federal Reserve's acknowledgment it was ready to do more to stimulate the U.S. economy.
The dollar weakened sharply after the Fed's Tuesday statement on the view that more purchases of assets such as Treasurys would inject more cash into the economy and devalue the greenback.
The Fed's willingness to, in its words, "provide additional accommodation," widely interpreted as a stance toward a looser money policy, underscores the bank's grim assessment of the economy's health. This, together with other central banks' measures to intervene in markets, has pushed investors into the relative security of gold.
"There appears to be little in the way of factors that could negatively impact the gold market in the coming months," said BNP Paribas analyst Anne-Laure Tremblay. (...)
Many investors have been recently targeting $1,300. September historically is a strong month for the metal, as it is underpinned by high demand from Asia during festival and wedding seasons there.(...)
American Precious Metals Advisors Managing Director Jeffrey Nichols said he sees "no end in sight" for the gold rally, reiterating his view that prices could reach $1,500 by year end, with higher prices likely in the years ahead.
J.P. Morgan Chase fund manager Ian Henderson, who manages $7 billion in natural-resource assets, said he is positive on gold, having increased his fund's exposure to 38% from 32% six months ago.
Mr. Henderson, who said it wouldn't be unrealistic to suggest prices may reach $1,350 before year end, has been gradually increasing his exposure to the metal on the back of both its steady price advance and a more-robust performance by many gold miners.
Calyon Credit Agricole has also raised its three-month outlook, up to a high of $1,350, from a previous forecast of $1,260. But analyst Robin Bhar continues to expect a pullback in prices in the longer term.
"I suppose we have become more bullish in the short-term because of the possibility of quantitative easing," Bhar said. "But beyond that the result of the stimulus should be stronger growth. The middle of next year we should also see a rebound in the dollar and that is definitely going to moderate some of the bullishness in the market."

lunedì 27 settembre 2010

La più lunga recessione dai tempi della grande depressione fa notare come la recessione iniziata nel dicembre 2007 e conclusasi nel giugno 2009 sia stata la più lunga dai tempi della grande depressione, che mantiene solidamente il suo recod di durata (44 mesi!!). 
Il record poco invidiabile della depressione del 1929 viene però messo in discussione da ... Warren Buffett, secondo il quale in termini reali l'economia U.S.A. è ancora alle prese con la recessione.
Il quadro poco edificante dell'economia U.S.A. si è poi arricchito di un ulteriore capitolo, con il salvataggio delle credit unions. Secondo il New York Times

Nearly two years after Wall Street’s giants were rescued by the federal government, regulators on Friday took over three financial institutions that provide the underpinning for hundreds of the nation’s credit unions.(...)
Of the 27 wholesale credit unions operating in the United States, five have been seized by regulators over the last 18 months. The agency announced a plan Friday to separate billions of dollars of the bad assets that have crippled those institutions and then repackage them for sale with a federal guarantee. It also established a set of regulations that will require wholesale credit unions to hold more capital and improve their risk management and governance practices.
It is the latest action by regulators to try to put the financial system on stronger footing, and comes as the nation’s banks and thrifts have shown signs that they are gradually returning to health. Many of the biggest and most troubled institutions, like IndyMac and Washington Mutual, were resolved in the early days of the financial crisis.
The Federal Deposit Insurance Corporation, which insures money deposited in commercial and savings banks, has shuttered more than 295 lenders over the last few years, including two on Friday. The pace of those interventions has been slowing.
The credit union rescue, however, presents a new twist. Credit unions have billed themselves as conservative safe havens that were insulated from risky business like subprime and commercial real estate lending. Now, two years into the worst economic crisis since the Great Depression, it seems that no area of the financial industry managed to escape the effects of the credit bubble.

Il lamento degli stock pickers in un mercato ossessionato dai temi macroeconomici

Il Wall Street Journal ha dedicato un bell'articolo alle difficoltà che i fondi hedge azionari stanno incontrando in un mercato che sembra prestare attenzione soltanto ai temi macroeconomici (debito sovrano, inflazione o deflazione, ecc.). La principale difficoltà che incontrano è l'eccesso di correlazione dei singoli titoli con l'andamento dell'indice, un'indicazione che gli investitori sembrano preferire il market-timing e un approccio top-down all'analisi fondamentale,  allo stock-picking e, più in generale, a un approccio bottom-up nella costruzione di un portafoglio azionario:

More and more investors aren't bothering to pore through corporate reports searching for gems and duds, but are trading big buckets of stocks, bonds and commodities based mainly on macro concerns. As a result, all kinds of stocks—good as well as bad—are moving more in lock step.
"It's unbelievably frustrating," says Mr. Pedowitz, who helps manage $4.5 billion for wealthy clients and has 25 years of investing experience. "It's enough to make you crazy."
That kind of talk has become widespread on Wall Street as stock pickers discover that long-held investment strategies are no longer working very well.
Some data suggest that stock pickers are having a harder time outperforming the market. Each year between 1995 and 2007, for example, on average, 50% of mutual funds focusing on large, fast-growth companies beat the Russell 1000 Growth Index, a benchmark for that category, according to Morningstar Inc. Over the past year, only about 24% of those funds beat that index. (...)
Stock pickers say macro forces began moving stocks in a big way during the 2008 financial crisis, and that has continued this year following the European debt crisis. Traders also are focusing on the potential for a double-dip recession to hit corporate profits; on government deficits; and especially on what central banks will do about stimulus programs that pumped cash into the economy.
A host of other factors is contributing to the macro trend. The rise of exchange-traded funds, which typically track broad market indexes or benchmarks, has made it easier for investors to make broad bets on commodities, bonds and currencies. Such funds now account for 30% of daily stock-trading volume. Individual investors and pension funds have been pulling money out of stocks, leaving shares more vulnerable to trading by hedge funds with short time horizons.
Whether such forces will alter the stock-investing landscape permanently is anyone's guess.
"Stock picking is a dead art form," contends James Bianco of Bianco Research. "Macro themes dominate the market now more than ever."
Some stock pickers say the current macro focus is only temporary, and will generate great investment opportunities simply because companies with different outlooks shouldn't be moving in lock step long-term. Eventually, they say, stocks will move in line with their fundamental values. (...)

"All stocks are moving in the same direction," says Ms. Sweeting. "I've spent three decades in this market, and it's the most macro-obsessed I've seen in a long time."
Among stock funds focusing on large, undervalued stocks, about 18 percentage points separated the best and worst performers between 1995 and 2007, according to Morningstar. (To eliminate outliers, the data excludes the top and bottom 5%.) Over the past year, the gap between the top and bottom performers has narrowed to 10.5 percentage points.
Stock pickers say the market's macro focus has meant that company earnings no longer drive stock prices as they once did. Over the past year, stocks that topped quarterly earnings expectations outperformed the market by just 0.3 percentage point during the week after the earnings were reported, according to Birinyi Associates, a research and money-management firm. By contrast, from May 2002 through August 2009, stocks beat the market by 1.5 percentage points following earnings reports that beat expectations.

Questo clima di un mercato "ossessionato dai dati macroeconomici" alimenta lo sviluppo di una sindrome bipolare, ben oltre il tradizionale carattere un po' maniaco-depressivo di Mr. Market nella descrizione che ne dava già sessanta anni fa Benjamin Graham , il padre del value investing e il maestro di tutti gli stock-pickers, in The Intelligent Investor (da Wikipedia:  Graham's favorite allegory is that of Mr. Market, a fellow who turns up every day at the stock holder's door offering to buy or sell his shares at a different price. Often, the price quoted by Mr. Market seems plausible, but often it is ridiculous. The investor is free to either agree with his quoted price and trade with him, or to ignore him completely. Mr. Market doesn't mind this, and will be back the following day to quote another price. The point is that the investor should not regard the whims of Mr. Market as determining the value of the shares that the investor owns. He should profit from market folly rather than participate in it. The investor is best off concentrating on the real life performance of his companies and receiving dividends, rather than being too concerned with Mr. Market's often irrational behavior). Scrive infatti il WSJ: 

Another frustration for stock pickers is the tendency of investors to pile in and out of stocks based on macro considerations of overall market risk.
On a "risk on" day, the mood of investors is confident and they flood into stocks and other investments perceived as risky, such as junk bonds, emerging markets and commodities. But when it's "risk off," money comes sloshing out of those investments and into so-called safe-haven investments such as U.S. Treasurys, the U.S. dollar or Japanese yen. Shortly before the May 6 "flash crash," for example, a macro concern—the yen's sudden rise against the euro—triggered a wave of stock selling.
Some stock pickers are trying to adjust by folding more macro analysis into their thinking.
"For years I had believed that I didn't need to take a view on the market or the economy because I considered myself a 'bottom-up investor,'" said hedge-fund manager David Einhorn of Greenlight Capital last year. "The lesson that I have learned is that it isn't reasonable to be agnostic about the big picture."
Mr. Einhorn, known for his high-profile bet against Lehman Brothers right before it collapsed, has placed a big macro bet that gold prices will rise because of concerns about the U.S. budget deficit and its damaging effect on the U.S. dollar.


domenica 26 settembre 2010

Aggiornamento al 24 settembre 2010

 La debolezza del dollaro e la continua salita dell'oro verso nuovi massimi sono stati i due fenomeni che hanno maggiormente caratterizzato i mercati questa settimana, almeno fino al rimbalzo delle borse messo a segno venerdì. 
L'euro ha guadagnato il 2.8% sul dollaro, e quasi il 6% in due settimane, mettendo a tacere chi diffidava della forza manifestata recentemente.
Le obbligazioni governative a lungo termine hanno guadagnato il 2.1% e l'indice Eurostoxx l'1.2%. Gli indici di materie prime e l'indice S&P500 hanno registrato netti avanzamenti se valutati in dollari, mentre i risultati sono insoddisfacenti se valutati in euro (-1.3% per l'indice CRB,  -0.7% per l'indice S&P500). L'indice immobiliare ha chiuso la settimana con un modesto ribasso se valutato in dollari,
e perdendo il 2.8% in euro.
In questo post ho descritto quali ETF negoziati a Milano  replicano (in positivo o in negativo) gli indici che sono settimanalmente tracciati qui su Alfaobeta. 

Dall'inizio del 2010 il rendimento (valutato in euro) di un portafoglio ribilanciato settimanalmente e investito nei primi 2 asset (top2) della tabella è stato di circa il 14.4%, se investito nei primi tre asset (top3) il rendimento scende al 9.5%. Nell'intero 2009 le stessa strategie avevano reso rispettivamente il 12.2% e il 2.4%. 
Nella figura è raffigurato l'andamento di un euro investito nelle due strategie dal 3 gennaio 2009 ad oggi.
Il rendimento annuale composto della strategia top2 è del 15.0%, con una volatilità del 12.8%, un massimo drawdown del 7.6% e un indice di Sharpe intorno a 1.2. 
Il rendimento annuale composto della strategia top 3 è del 6.1%, con una volatilità del 12.6%, un massimo drawdown del 15.1% e un indice di Sharpe intorno a 0.5

La strategia che investe nei primi due asset a condizione che la tendenza di medio periodo sia positiva, e in contanti nel caso contrario, ha reso nell'intero 2009 il 13.9%.

E' bene ricordare che i rendimenti calcolati sono teorici in quanto non tengono conto dei costi di transazione e del prelievo fiscale.

Ecco l'aggiornamento al 24 settembre 2010.

Asset valuta tendenza  pendenza  tendenza pendenza   valore

medio medio breve  breve 

periodo periodo periodo periodo
1. Euro Government Bond 30yr EUR POS NEU POS NEU 201.07
2. Eur/USD N/A POS POS POS POS 1.3421
3. Ftse EPRA/NAREIT Global USD POS POS POS NEU 1964.27
5. S&P500 USD POS POS POS NEU 1148.67
6. EuroStoxx EUR POS NEU POS NEU 267.58

sabato 25 settembre 2010

Nuovi airbags per il trading ad alta frequenza?

Il trading algoritmico computerizzato e' responsabile di buona parte degli scambi che avvengono sui mercati regolamentati: ad esempio la settimana 
scorsa  il trading algoritmico ha prodotto circa il 42% dei volumi negoziati ogni giorno a New York (corrispondente a piu' di un miliardo di azioni scambiate giornalmente e complessivamente oltre cinque miliardi di azioni scambiate alla settimana).

Volume in millions of shares for the week ending
Sept. 17, 2010

Morgan Stanley20.1590.91,154.0
Goldman Sachs0.7536.2751.7
Credit Suisse3.8386.3394.7
Deutsche Bank34.9298.0332.9
Barclays Capital.....322.9388.1
SG Americas40.5196.4236.9
Merrill Lynch.....229.3275.8
Wedbush Securities.....190.1190.1
RBC Capital57.388.5145.8
J.P. Morgan.....133.5133.5
BNP Paribas.....109.1109.1
Citigroup Global.....105.3243.3
UBS Securities.....98.698.6
SIG Brokerage61.231.792.9
RBS Securities.....67.867.8
ABN Amro.....48.548.5
Interactive Brokers0.141.341.4
Nomura Securities.....37.837.8
OVERALL TOTAL238.93,796.75,047.8
*Total includes crossing session 2
Source: New York Stock Exchange

In attesa di conoscere il rapporto finale della commissione istituita dalla S.E.C.,  al trading computerizzato ad alta frequenza e alla polverizzazione dei mercati elettronici in numerose piattaforme non armonizzate e' stata da alcuni attribuita la causa del flash crash del 6 maggio scorso. Secondo il Wall Street Journal

Stock-exchange operators and regulators are moving closer toward replacing new circuit breakers for individual stocks with curbs that would limit trading outside of a set range, according to people familiar with the matter.
The U.S. Securities and Exchange Commission has stepped up talks with exchange operators and market participants over establishing in equities markets the "limit-up/limit-down" system already in place for futures trading in the equity market.
The circuit-breaker system briefly halts trading in a specific stock if its price drops or rises by a certain percentage in five minutes. The limit-up/limit-down model would prevent investors from trading beyond the parameters that currently trigger the circuit breakers, but would allow traders to continue buying and selling stocks within those parameters and not freeze trading in that stock altogether.
The changeover could happen in the fourth quarter, after the current circuit-breaker pilot program expires in December, the people familiar with the matter said. Regulators and exchanges are continuing to shape new rules in response to the "flash crash" of May 6, a swift plunge in U.S. stock benchmarks that saw some stocks briefly trade at one cent per share before the market staged a quick recovery. Thousands of trades were canceled and a new system of circuit breakers was soon implemented to curb rapid price swings.
Industry consensus has built around the concept since it was first floated by exchanges and trading firms in June, though many of the key details have yet to be worked out. Regulators have said they are interested in exploring the idea further.
"One method we are examining closely involves establishing limit-up/limit-down style trading parameters under which trades would have to be executed within a range tied to the national best bid and offer," SEC Chairman Mary Schapiro said at the Security Traders Association conference in Washington on Wednesday.
"This approach would prevent aberrant trades from occurring outside specified parameters, while still allowing trading to continue within the established limits," she said.

Asset allocation: il cuggino americano a confronto con quello italiano

Un lettore mi ha chiesto come si potrebbe riprodurre l'asset allocation che ho descritto in questo post utilizzando ETF negoziati a Milano, e come sarebbe andata.
Il portafoglio originario era costituito
Valorizzato in dollari e ribilanciato giornalmente (ma non lo consiglio per non incorrere in inutili spese di transizione, è sufficiente un ribilanciamento semestrale o annuale, oppure quando gli asset si allontano di oltre il 3-5% dall'allocazione ideale) nel periodo 24 ottobre 2007 - 23 settembre 2010 ha reso il 20.5% con un massimo drawdown di -14.4%.

Il clone italiano, con ETF armonizzati negoziati alla borsa di Milano, è così costituito:

Nel periodo 24 ottobre 2007 - 23 settembre 2010 il "cuggino italiano" ha reso il 20.3% con un massimo drawdown di -8% (addirittura meglio, anche grazie all'anticorrelazione tra dollaro e azioni e oro dell'ultimo paio d'anni).

venerdì 24 settembre 2010

Come sopravvivere a un mercato bipolare?

Ho trovato divertente la definizione di "mercato bipolare" in questo articolo del WSJ che giustamente inizia osservando come

The stock and bond markets are swinging daily between optimism and despair. Given all the whipsawing, you might be tempted to write the whole thing off and stay in cash.
But three easily followed indicators can help you make sense of today's chaotic, macro-driven trading environment—and maybe even get out in front of the next big move.
Just how volatile have the markets been? The Dow Jones Industrial Average fell 4.3% last month, the worst August in nine years, as fears of deflation and a double-dip recession spread. In September, better economic data and increased merger activity have propelled the Dow to a 5.8% jump, the biggest since at least 1990 for the month if the market holds on to its gain.
Or consider this: If the Standard & Poor's 500-stock index keeps its 7.5% September gain, it will be the fifth consecutive month with a move of at least 4.5% in either direction, which has happened only three times since the 1930s, according to hedge fund Lakefront Partners: in 1974, 1998 and 2009. 

Stando attenti a non cadere nella tentazione di applicare la "legge dei piccoli numeri" di Kahneman e Tversky, e alla nostra innata tendenza a generalizzare a partire dalla conoscenza di pochi casi fortunati,  ci si può comunque chiedere in tempi così volatili se c'è modo di orientarsi e di utilizzare qualche indicatore macro per decidere se è il tempo di scappare via dalle azioni oppure no. Secondo il WSJ è utile tenere d'occhio l'Institute for Supply Management's Manufacturing Index:

The ISM and the S&P 500 tend to move together. Their so-called correlation is currently 0.911, the highest since touching 0.95 in November 2009. Over the long term, the correlation between the ISM and the year-over-year change in the S&P has jumped from 0.3 in the 1970s to 0.8 now. (A reading of 1 means they always travel in lockstep; a reading of -1 means they always move in opposite directions.)

In the past few years the ISM has helped confirm turns in the market. (...)
"This is a directional indicator for six- to 12-month strategic positioning," says Talley Leger, vice president of U.S. portfolio strategy for Barclays Capital.
The next ISM Manufacturing number is scheduled to be released on Oct. 1.

Oggi i mercati fanno festa, trascinati proprio dai buoni risultati dell'industria manifatturiera.  Per il futuro
staremo a vedere, senza dimenticare che ottobre è uno dei mesi particolarmente pericolosi per gli investimenti azionari, come d'altronde gli altri 11 (Mark Twain docet...)

giovedì 23 settembre 2010

Le obbligazioni blu e le obbligazioni rosse?

L'Economist appena uscito dedica uno degli articoli di apertura all'euro, ai suoi guai e alle sue prospettive future. L'ho trovato davvero ben fatto e vi raccomando di leggerlo. Tra le proposte dell'articolo c'è l'emissione di una serie di obbligazioni con la garanzia esplicita di tutti i paesi dell'eurozona, un'idea forse incoraggiata dalla buona accoglienza da parte delle agenzie di rating dell'European Financial Stability Facility (EFSF), l'organismo creato in primavera con una dotazione di quasi 700 miliardi di euro (di cui 250 promessi dal Fondo Monetario Internazionale) e incaricato di aiutare i paesi dell'eurozona nei guai con i mercati obbligazionari. Lunedì scorso le tre principali agenzie di rating (S&P, Moody's e Fitch) hanno dato il rating più alto (AAA) all'EFSF.

Ecco il passaggio dell'articolo dell'Economist nel quale si propongono gli eurobond (blu) in contrasto con le obbligazioni (rosse) con la garanzia dei singoli paesi:

Euro-zone countries could try to build their own version of the Treasury market through a common bond issue. Analysts at Bruegel have proposed such a scheme, which might also be used to impose fiscal discipline. Countries would be allowed to issue jointly guaranteed (“blue”) bonds but only up to a limit of 60% of their GDP. Additional “red” bonds would be backed only by the standing of the sovereign issuer. Blue bonds would be senior to red ones, which would be subject to an “orderly” restructuring in default.
Such a scheme would be tricky to implement swiftly. Most euro-zone countries’ debts are way above the 60% limit and rising each year (see chart 3). So withdrawing the implicit guarantee on the rest of their bonds would be likely to cause tremors in financial markets. In its favour, the Bruegel idea may be a way to set long-term limits on each country’s debt levels. The requirement to meet the terms of a blue bond issue is likely to be a more powerful disciplinary device than penalties from Brussels for missing a fiscal target.

Uno dei problemi principali di molti paesi dell'eurozona è una perdita di competitività che rende la politica di risanamento dei bilanci un'impresa quasi disperata. Secondo l'Economist:

Broadly, there are three ways for a country to restore competitiveness: devaluation (which reduces wages relative to those in other exporting countries), wage cuts or higher productivity. In the euro area, the first option is out. The other two rely on easing job-market rules so that pay matches workers’ efficiency more closely, and workers can move freely from dying industries and firms to growing ones. Governments also have to tackle the lack of competition in markets for goods and services, notably in non-tradables (eg, utilities), whose prices affect the costs of other firms, including exporters. A bigger push from Brussels to open services to greater cross-border competition might do far more good than more prescriptions about debts and deficits.
Adjustment by cutting wages is quite brutal, especially without the support of an expansionary fiscal policy. An alternative would be for competitive, trade-surplus countries, such as Germany and the Netherlands, to spend more: the combined deficits of the euro zone’s “periphery” are more or less offset by surpluses at the zone’s “core” (see chart 4). John Maynard Keynes believed that in a fixed exchange-rate system, the burden of adjustment to trade imbalances should fall equally on deficit and surplus countries. So he proposed that excess trade surpluses should be taxed (see article). A scheme such as this would not be easy to implement: it would be hard to gauge the point at which the saving surpluses of an ageing country like Germany become harmful. But such a proposal would at least put “creditor adjustment” on the agenda.

L'asset allocation secondo mio cuggino !

La lettura dell'Intelligent Investor di questa settimana mi ha fatto venir voglia di fare qualche piccola simulazione di asset allocation. Jason Zweig racconta le fortune del Sig. Cuggino, manager di un fondo di investimento a basso costo dal nome Permanent Portfolio i cui A.U.M. (asset under management) sono centuplicati in pochi anni. Sembra una storia strabiliante come quelle raccontate da Mio Cuggino nella canzione di Elio e le Storie Tese (vedi video).

Ma c'è una spiegazione molto più semplice: la ragione di questa incredibile raccolta sono  buoni risultati ottenuti dal sig. Cuggino nella sua gestione:

The fund has walloped the stock market by an average of nine percentage points annually over the past five years and 11.2 points annually over the past decade. And it keeps less than a third of its assets in stocks.
Launched in 1982 and based in San Francisco, this eccentric, no-load fund grew out of the ideas of Harry Browne, the author, investment adviser and Libertarian candidate for president. Mr. Browne, who died in 2006, advocated keeping one-quarter of your portfolio in each of four assets: stocks, bonds, gold and cash.
Once a year, if any of the assets fell below 15% or rose above 35%, you would buy or sell as needed to rebalance back to 25%. Otherwise, you would do nothing.
Mr. Browne called this the "permanent portfolio": a basket of assets you could hold undisturbed for a lifetime. He believed it was "bulletproof" and "fail-safe," protected against drastic loss no matter what the future held. (This allocation would have lost 1.3% in 2008, estimates William Bernstein of Efficient Frontier Advisors.)

Ho utilizzato il backtester di per simulare il comportamento (in dollari U.S.A.) di un portafoglio così costituito 

  • Large Cap Blend (TSM) - 25%
  • Commodities - 25%
  • Long Term Government Bonds - 25%
  • Money Market - 25%

ecco i risultati anno per anno:

Yearly Returns
  • 2008     -13.97%
  • 2007     10.8%
  • 2006     4.69%
  • 2005     8.97%
  • 2004     9.25%
  • 2003     16.17%
  • 2002     9.29%
  • 2001     -4.48%
  • 2000     12.7%
  • 1999     9.84%
  • 1998     4%
  • 1997     12.25%
  • 1996     10.79%
  • 1995     23.92%
  • 1994     0.63%
  • 1993     9.17%
  • 1992     6.83%
  • 1991     15.41%
  • 1990     8.21%
  • 1989     20.86%
  • 1988     13.21%
  • 1987     5.7%
  • 1986     10.1%
  • 1985     20.9%
  • 1984     6.57%
  • 1983     10.94%
  • 1982     18.89%
  • 1981     -2.41%
  • 1980     11.53%
  • 1979     16.62%
  • 1978     9.97%
  • 1977     0.81%
  • 1976     10.76%
  • 1975     14.7%
  • 1974     -2.68%
  • 1973     14.03%
  • 1972     16.27%
Portfolio Stats
  • Average Return   9.49%
  • CAGR                 9.22%
  • Standard Dev      7.63%
  • Correlation TSM     0.72
  • Correlation EAFE     0.46

In questo post ho descritto altre simulazioni di portafoglio per il periodo 1972-2008 effettuate utilizzando lo stesso backtester.

Ho poi utilizzato il backtester di etfreplay per vedere come si sarebbe comportato dal 2007 ad oggi impiegando ETF negoziabili sulla borsa di New York (non armonizzati) un portafoglio costituito al 25% dal Vanguard MSCI Total U.S. Stock Market (ticker VTI, azionario U.S.A.), al 25% dal fondo  iShares Barclays Lng-Tm Treasury (15yr) (ticker TLT, obbligazioni del Tesoro U.S.A. con duration quindicinnale), al 25% dal fondo COMEX Gold Trust (ticker IAU, oro) e al 25% dal fondo Barclays Short-Term Treasury (0.4) (ticker SHV, buoni del Tesoro U.S.A. mensili o trimestrali). La valorizzazione del protafoglio è in dollari, ma non cambia molto per un investitore in euro perchè dal 2007 a oggi il cambio euro/dollaro è rimasto pressochè lo stesso, circa 1.3, malgrado le oscillazioni tra 1.1 e 1.6. Il risultato? Ecco qui:

Davvero niente male, un rendimento annualizzato dell'8,3% dal 2007 a oggi pare quasi un sogno ma si sa... me lo ha detto mio cuggino!

mercoledì 22 settembre 2010

Un esercizio inutile

Mentre l'euro strapazza il dollaro  il pensiero va alle inutili prudenze dei commentatori che solo qualche giorno fa mettevano in guardia dalla debolezza ritrovata del dollaro. Sul tema di più ampio respiro delle correlazioni tra il mercato delle valute e gli altri mercati (azioni, obbligazioni, materie prime, ecc.) vi segnalo un articolo dall'ultimo numero di Currency Trader:
Currencies, Curves and Correlations. Searching for long-term predictive relationships between currencies, yield curves and equity markets is an exercise in futility.
Se anche voi siete affascinati dal movimento dei mercati valutari degli ultimi anni troverete questo articolo di un qualche interesse: ve lo riproduco qui sotto, grazie a

Il confronto dividendi obbligazioni in una prospettiva storica

Non sono completamente convinto dalla tesi di questo analista del Motley Fool ma ho ugualmente trovato la lettura dell'articolo interessante. In molti hanno osservato come il dividend yield dei principali indici azionari (nel caso in questione il Dow Jones) sia superiore al rendimento delle obbligazioni governative decennali.
Benchè questa situazione fosse frequente in passato negli U.S.A. non si verificava da oltre mezzo secolo. Secondo alcuni però non si può giungere alla conclusione che le azioni siano a buon mercato, ma semplicemente che una bolla di straordinaria durata si sta lentamente sgonfiando, riportando le valutazioni più vicine a quelle in vigore nel XIX secolo e nella prima metà del XX secolo.

Le cose sono però un po' differenti se si tiene conto che in passato i dividendi erano il principale mezzo impiegato per condividere i profitti con gli azionisti. Ma le cose sono molto cambiate e negli ultimi decenni dividend payouts as a percentage of net income were falling. (...) From 1920-1950, the average S&P 500 company paid out 72% of net income in the form of dividends. From 1950-2010, that number dropped to 51%. From 1990-2007, the average was 45%. Over the past year, it's down to 33%. Today, some of the most profitable and fastest-growing companies (...) pay no dividends at all. The slow-growers (...) are where you find yield. That was unheard of 60 years ago.
More than anything, this explains why stocks consistently out-yielded bonds before 1950. Back then, stocks were essentially just high-yield bonds with variable-rate coupons. Today, companies tend to hoard net income to finance growth, acquisitions, and buybacks. It's inane to compare the two periods without adjusting for that paradigm shift.

L'idea dell'analista del Fool è di normalizzare il divendend yield fissando il payout: la cosa è naturalmente criticabile per varie ragioni, ma ugualmente vi presento le conclusioni dell'articolo:

What happens when you do? Well, if you model the past to assume that S&P companies have always paid out 33% of net income as dividends, like they do today, then prolonged periods of stocks out-yielding bonds become incredibly rare. There would have been only two such periods in modern history: from 1940-1944, and 1947-1955.
And what's neat about these two periods? They were both phenomenal times to buy stocks. In the 10 years after 1944, stocks surged 161%. In the 10 years following 1955, investors were rewarded with a 145% return -- and both figures don't include dividends.
History is pretty clear on this stuff: When stocks out-yield bonds, it's a great time to buy them. Some patience may be required, but the rewards for those patient few are invariably awesome. Today, with the average large-cap stock out-yielding Treasuries, there's little reason to think patient investors won't be rewarded like champions 10 years from now.
Ben Graham gets the last word: "The market price is frequently out of line with the true value. There is, however, an inherent tendency for these disparities to correct themselves."

Se l'analista del Fool vi convince, qui potete dare un'occhiata ad alcune caratteristiche delle 10 azioni dell'indice Dow Jones con il più alto dividend yield.

martedì 21 settembre 2010

Dai neutrini ai flash crash

Il New York Times dedica oggi un articolo a Gregg E. Berman, il funzionario della S.E.C. che dirige la commissione di inchiesta sulle cause del flash crash del 6 maggio scorso. Abbandonati gli studi in fisica subnucleare, dopo una carriera a Wall Street che lo ha visto lavorare in hedge funds - compresi quelli specializzati in trading ad alta frequenza - ed essere impiegato nello sviluppo di piattaforme tecnologiche per il risk management, il Sig. Berman è impiegato alla S.E.C. da circa un anno.

Il rapporto della commissione da lui diretta, che prevede anche la collaborazione di rappresentanti della Commodity Futures Trading Commission, sarà reso noto entro due settimane.
Le aspettative, leggendo tra le righe dell'articolo del Times, sono molto alte, e la curiosità di Alfaobeta è stata stuzzicata al massimo. Ecco qui qualche anticipazione:

Mr. Berman, 44, will not say exactly what will be in the report, but he says that it will not simply restate what regulators have already said — that markets were volatile because of worries over the debt crisis in Europe, causing some computerized trading programs to stop trading, and finally causing computers on other exchanges to misread the pullback as a rapid bidding down of stock prices.
Instead, he says, the report will zero in on a specific sequence of events that preceded the crash. He says it will tell a clear story about what happened in the markets on that stomach-churning day, beyond simply pointing a finger at the perils of the kind of high-speed computer trading that dominates today’s markets.
“The report will clearly demonstrate how market conditions and events prior to the flash crash led to the extreme price moves,” he said.
When pressed, he added, notably, that he had found no evidence of a deliberate attempt by anybody to disrupt markets. (...)
Mr. Berman acknowledges that his team’s explanation will involve a number of things happening at once. It may strike many people as painfully complex, but that is an undeniable result of the byzantine nature of today’s disparate electronic markets and the many players who take part in them.
The report’s conclusions will involve “market participants doing very different things and for very, very different reasons,” he said.
Central to all of this is the fact that stock trading is no longer centralized but instead takes place on dozens of exchanges, all with varying policies and procedures. For example, the New York Stock Exchange has circuit breakers that prevent stocks from rising or falling so quickly that they disrupt the broader market.
Trading was slowed on several listings on that exchange on May 6, while other markets kept trading lower. That lack of coordination created confusion during the flash crash. Since then, the S.E.C. has extended circuit breakers for individual stocks across all markets. 

A questo punto è lecito porsi la domanda: ma al di là dei presupposti ideologici, qualcuno è in grado di dimostrare come la proliferazione dei mercati elettronici sui quali è possibile scambiare uno stesso titolo abbia effettivamente aumentato la liquidità e l'efficienza dei mercati? Che per qualche agente questa parcellizzazione del mercato sia stata profittevole non c'è dubbio, mi sembra meno chiaro che i vantaggi siano condivisibili da parte di tutti.

Domande simili sull'utilità del trading ad altissima frequenza sono dibattute con un certa frequenza dai più autorevoli commentatori sui principali quotidiani finanziari che si interrogano sempre più frequentemente sull'utilità di certi sviluppi tecnologici dei mercati.

Ancora sull'inchiesta della S.E.C.:

The investigation has had two prongs. One strategy has been to collect all kinds of market data from May 6 and analyze it for patterns.(...)
The second line of investigation has involved “many dozens” of interviews with people involved in the markets on May 6, including market makers, the exchanges, high-frequency traders, banks and fund managers, to ask what they did on May 6 and why.
More than one interviewee was surprised to find Mr. Berman and 10 more S.E.C. officials on one conference call to discuss the crash — their number was a sign of how badly the commission, after a few difficult years, wants to get this investigation right.
“Many market participants told us, ‘We’re not quite sure what happened over all, but this is what my firm saw and the actions we took,’ ” Mr. Berman said. “It was like ‘C.S.I.’ We wanted to interview everyone around.”
Mr. Berman said the level of detail gleaned from his investigation will help provide the explanation for what occurred on May 6, even if it may not delivery the simple answer that many people would like.
“This level of fact proved to be very, very telling,” he said. “We started to build up a complete picture.”

Come la Polonia

Leggete questo articolo sul La Voce dedicato al rapporto dell'Unione Europea sulla competitività delle diverse regioni di Europa. Nessuna delle 20 regioni italiane riesce ad andare oltre la quarta delle sei fasce di competitività. I valori dell'indice
I valori dell’indice di competitività regionale (RCI) variano fra zero e cento, e nella quarta banda (che  corrisponde a valori fra il 49.5 e il 66, cioà appena sopra la media europea)  riescono a collocarsi solo Lombardia, Piemonte, Emilia Romagna, Toscana, Veneto, Lazio e Liguria. 

Tra l'altro è anche divertente scoprire che a parità del potere d'acquisto la regione con il più alto valore di GDP per abitante rimane comunque ben al di sotto del valore corrispondente alla media europea (Lombardia, 43.8). Insomma non solo siamo poco competitivi ma siamo anche molto molto lontani dalla media europea in termini di prodotto interno lordo per abitante, quando si tiene conto del potere d'acquisto. Meditate gente, meditate...

Da un check-up all'economia U.S.A. qualche raccomandazione ai politici

L'Economist di questa settimana dedica un approfondimento allo stato di salute dell'economia U.S.A.: l'articolo di apertura è moderatamente ottimista:

The most wrenching recession since the 1930s ended a year ago. But the recovery—none too powerful to begin with—slowed sharply earlier this year. (...) Fears grew over the summer that if this deceleration continued, America’s economy would slip back into recession.
Fortunately, those worries now seem exaggerated. Part of the weakness of second-quarter GDP was probably because of a temporary surge in imports from China. The latest statistics, from reasonably good retail sales in August to falling claims for unemployment benefits, point to an economy that, though still weak, is not slumping further. And history suggests that although nascent recoveries often wobble for a quarter or two, they rarely relapse into recession. For now, it is most likely that America’s economy will crawl along with growth at perhaps 2.5%: above stall speed, but far too slow to make much difference to the jobless rate (see article).
Why, given that America usually rebounds from recession, are the prospects so bleak? Because most past recessions have been caused by tight monetary policy. When policy is loosened, demand rebounds. This recession was the result of a financial crisis. Recoveries after financial crises are normally weak and slow as banking systems are repaired and balance-sheets rebuilt. Typically, this period of debt reduction lasts around seven years, which means America would emerge from it in 2014. By some measures, households are reducing their debt burdens unusually fast, but even optimistic seers do not think the process is much more than half over. 

Secondo l'Economist il principale rischio per l'economia U.S.A. viene dall'apparente incapacità della politica di accettare alcuni dati di fatto e di organizzare una risposta coerente con gli strumenti che la politica fiscale e monetaria mette a disposizione. Sono d'accordo: seguo ogni giorno il dibattito su questi temi sui due principali quotidiani americani, tradizionalmente agli antipodi dal punto di vista delle posizioni politiche (il New York Times, liberal-democratico, e il Wall Street Journal, conservatore-repubblicano) e l'impressione è a volte sconfortante (e se lo dice un italiano...).  Sono quindi d'accordo con le conclusioni dell'articolo del settimanale britannico

Americans are used to great distances. The sooner they, and their politicians, accept that the road to recovery will be a long one, the faster they will get there. 

In questo articolo l'Economist approfondisce l'analisi concentrandosi sul rapporto tra il debito (delle famiglie e del Tesoro U.S.A.) e la debolezza della ripresa, attribuita alla distruzione del sistema bancario e finanziario provocata dalla crisi che, insieme al deleveraging (riduzione del debito) delle famiglie, contribuisce a deprimere i consumi e a ritardare la ripresa dell'occupazione:

Since the recovery began, the economy has grown at a rate of less than 3%. That is faster than its long-term potential, of about 2.5%, but America has woken from past deep recessions at rates of 6-8%. Job creation has thus been too feeble to bring down the unemployment rate, which at 9.6% is much as it was at the start of the recovery. “Progress has been painfully slow,” acknowledged Barack Obama on September 8th—not what a president likes saying less than two months before an election.
What makes this recovery different is that it follows a recession brought on by a financial crisis. A growing body of research has found that such recoveries tend to be slower than those after “normal” recessions. Prakash Kannan, an economist at the IMF, examined 83 recessions in 21 rich countries since 1970. In the first two years after normal recessions growth averaged 3.7%. After the 13 caused by crises, growth averaged 2.4%. America has been doing slightly better than this (see chart 1).
The Federal Reserve brought on most post-war recessions by raising interest rates to squeeze out inflation. When the Fed cut rates, demand revived. Financial crises interfere with the transmission of lower rates to private borrowers. People can’t or won’t borrow because the value of their collateral—in particular, houses—has fallen. Banks are less able to lend because their capital has been depleted by bad loans, or less willing because customers can’t meet tighter underwriting standards.
“Where we are in the economy shouldn’t be surprising,” says Vikram Pandit, chief executive of Citigroup. Mr Pandit sees only two sure things ahead: that American consumers will continue to cut their debt (deleverage, in financial argot) and that emerging markets will grow quickly. At Citi, transaction-service revenues, such as foreign-exchange and cash management for multinationals, are growing healthily while revenue from American consumer loans is shrinking.

La domanda che in molti si pongono è quanto tempo occorrerà aspettare prima che si torni a livelli più tonici di attività economica. Forse dai 4 ai 7 anni, anche se c'è chi è moderatamente più ottimista, sperando che non vi siano nuovi shock (esogeni ? oppure semplici errori della politica fiscale e di bilancio come una prematura politica di austerità? ) che fanno precitipare l'economia in una nuova recessione

How long will deleveraging take? In a recent paper Carmen Reinhart of the University of Maryland and her husband Vincent Reinhart of the American Enterprise Institute looked at 15 crises since 1977. They estimate that on average deleveraging lasted seven years, during which growth was a percentage point lower than in the decade before a crisis. If America follows this pattern, its GDP will grow by 2.4% for the next four to seven years. Because that roughly equals potential, job creation should only just match population growth: the unemployment rate won’t fall.
Few economists are that gloomy. Most think a prolonged period of easy monetary policy and a slow release of pent-up demand for durable goods and homes can yield growth of at least 3%. Some also think that deleveraging is ahead of schedule. Richard Berner of Morgan Stanley predicts that, thanks in part to falling interest rates, debt service will be back to a “sustainable” 11-12% of disposable income later this year. Peter Hooper and Torsten Slok of Deutsche Bank reckon that if saving stays at about 6% of income, write-offs remain near today’s elevated level and household income rises by 4.5% a year, household debt will fall from 126% of disposable income now to around 85%, where it was in the early 1990s, by 2013 (see chart 3).
These calculations will be wrong if incomes stumble or consumers seek to save more than expected. The IMF notes that saving rates in Finland, Norway and Sweden ultimately rose by five to ten percentage points after housing busts in the late 1980s. America’s saving rate has gone up by four points so far.
More cheerfully, the Reinharts find that once economies start to grow after a crisis they tend not to slide back into recession without suffering some new shock. Spain, whose banking crisis began in 1977, was dragged back by global monetary tightening in the early 1980s. Countries recovering from the East Asian crisis of 1997-98 were hit by avian flu, the bursting of the American tech bubble and the economic effects of the terrorist attacks of September 11th 2001. Japan is a special case. It was shoved back into recession partly by its own policies: an ill-timed tax increase in 1997 and the (temporary) ending of the Bank of Japan’s zero-interest-rate policy in 2000.

lunedì 20 settembre 2010

I rischi delle obbligazioni: una lezione dalla storia

Continua la discussione sulle prospettive future delle obbligazioni: il Wall Street Journal oggi ripercorre tre decenni di storia americana per mostrare come anche le obbligazioni del Tesoro U.S.A. possano avere oscillazioni di prezzo tali da impedire agli investitori di dormire sonni tranquilli. Il mini rally delle azioni dalla fine di agosto ad oggi ha già prodotto un aumento dei tassi dei buoni decennali e trentennali, producendo perdite rispettivamente di oltre il 2% e del 7% a chi detiene questi titoli in portafoglio. Ma la storia è ricca di ammonimenti peggiori: basta dare un'occhiata a questa (divertente) visualizzazione che mostra come i buoni decennali del Tesoro U.S.A. abbiano perso anche il 10% in poco più di un anno!

Secondo il WSJ occorre un po' di cautela:

"In order to embrace buying Treasurys now you have to believe U.S. inflation is permanently impaired and growth will be dismal for an extended period," says Tad Rivelle, chief investment officer of fixed income at TCW. "Knock the underpinning from either and it's hard to justify Treasurys at these levels." (...)
Even in a benign scenario, a return to 4% yields in the 10-year is a possibility, according to William Larkin, portfolio manager for fixed income at Cabot Money Management Inc. in Salem, Mass. That would result in losses of 6.8% on 10-year bonds and more than 10% for the 30-year. "If data keep coming in positive, that would be reasonable in the next six months," Mr. Larkin says. "People forget that we weren't there that long ago."
On Friday, the 10-year yield stood at 2.746%.
Brian Rehling, the St. Louis-based chief fixed-income strategist at Wells Fargo Advisors, is looking for an even larger rise in yields over the next two years.
Mr. Rehling says the 10-year yield could rise to 4.5% in 24 months, generating an 8.2% loss from late August levels. The 30-year yield could jump to 5.3% in the same time, generating a loss of as much as 18.3%.
"As the economy recovers, people will be willing to take risks again," Mr. Rehling says. "That could drive rates higher."
The worst-case scenario: a spike that sends yields near double-digit levels.
It's not out of the realm of possibility, Mr. Rehling says. If the U.S. is to experience another rate shock, it's likely to result from worries about its ability to pay its debt. The dollar's role as a reserve currency makes such a shock unlikely but not impossible. But if the global economy recovers enough that investors decide to dump Treasurys in favor of riskier assets, yields could spike above 6%, Mr. Rehling says.
The damage? Investors in 10-year Treasurys would lose around 20% if yields rise to, say, 7% over the next two years. Thirty-year Treasurys would lose about 34% if the yield rises to 7.5%. 

Qui potete leggere un'analisi del mercato delle obbligazioni societarie, in particolare dei junk bonds e delle loro prospettive di medio termine. Intanto prosegue il dibattito sulla "bolla nelle obbligazioni": secondo alcuni non c'è una bolla ma la diminuzione dei rendimenti è solamente un effetto della legge della domanda e dell'offerta, unita alla lentezza della ripresa dell'economia U.S.A.:
investors competing for the limited supply of debt are driving bond yields down.
"It's more accurate to say that we're still disgorging the last credit bubble than that we're starting a new one," says Harvard economics professor Kenneth Rogoff, who has studied financial crises with Carmen Reinhart of the University of Maryland and notes that new credit bubbles don't typically form immediately in the aftermath of old ones.
Despite nearly two years of heavy borrowing by the federal government and nonfinancial corporations, the total amount of debt outstanding in the U.S. is still nearly $700 billion lower than it was at its peak in the first quarter of 2009, according to Federal Reserve data released Friday. Above, the Federal Reserve Building in Washington, D.C.

Il WSJ osserva come non si tratti di un fenomeno nuovo: 

While most analysts don't think the bond market is in a bubble, they are seeing a repeat of some of the behavior from the last run-up. "In 2001-2003, clients were desperate for yield and were willing to invest in stuff you could tell was risky because it promised a higher return," says George Feiger, CEO of Contango Capital Advisors. "You see the same pressure today."
That explains why companies have been able to issue $172 billion in new high-yield debt so far this year, already an annual record, according to data provider Dealogic. Junk-bond prices returned to par last week for the first time since 2007, after falling to less than 55 cents on the dollar at the height of the credit crisis, according to Martin Fridson, global credit strategist at BNP Paribas.
Yields on these bonds have tumbled from a 2008 high of nearly 20 percentage points over Treasurys to a spread of just 6.2 percentage points, according to Barclays Capital indexes. At the height of the previous credit frenzy, however, such spreads fell to just above two percentage points, and junk spreads are still nearly a full percentage point above their lows for the year, set in late April.
That suggests to bond bulls that the junk-bond rally could run further. Bond bears argue that junk bonds could suffer no matter what the economy does. If it weakens, defaults could increase. And if the economy strengthens, interest rates could rise and because spreads are so tight, junk bonds could see losses.
Investment-grade bonds are priced more richly. Yields are 1.8 percentage points above Treasurys, according to Barclays indexes, one percentage point wider than at the height of the previous credit bubble.