Come sarebbe andata se... simulazioni di asset allocation dal 1972 al 2008. Aggiornamento al 29 gennaio 2010

Una settimana ricca di avvenimenti, ma un calendario di impegni decisamente troppo pieno non mi ha consentito di preparare un post centrato sull'attualità (...no, non mi hanno invitato a Davos per il World Economic Forum ...  però ho partecipato a una tavola rotonda sull'asset allocation quantitativa promossa dall'AIAF a Milano: se siete così curiosi da voler sapere cosa ho detto potete trovate la mia presentazione qui e potete addirittura ascoltarla qui).

Per farmi perdonare vi segnalo un il backtester di assetplay.net: consiglio a tutti di passare un po' di tempo a giocarci...è davvero istruttivo e convincente vedere l'effetto  positivo della diversificazione di portafoglio sui rendimenti (in dollari USA). Per il momento è possibile simulare i rendimenti dal 1972 al 2008. Ecco alcuni risultati

Coffeehouse portfolio

Portfolio Stats

• Average Return   11.06%
• CAGR                   10.44%
• Standard Dev      11.55%
• Correlation US       -0.06

Yearly Returns

• 2008     -20.21%
• 2007     2.63%
• 2006     15.15%
• 2005     6.29%
• 2004     13.83%
• 2003     23.66%
• 2002     -5.5%
• 2001     1.98%
• 2000     7.21%
• 1999     8.55%
• 1998     6.67%
• 1997     17.51%
• 1996     14.17%
• 1995     22.69%
• 1994     -0.32%
• 1993     16.83%
• 1992     10.34%
• 1991     25.89%
• 1990     -5.48%
• 1989     16.75%
• 1988     16.71%
• 1987     1.71%
• 1986     19.16%
• 1985     27.33%
• 1984     9.77%
• 1983     20.65%
• 1982     21.66%
• 1981     6.2%
• 1980     19.43%
• 1979     18.38%
• 1978     10.94%
• 1977     9.82%
• 1976     27.65%
• 1975     29.09%
• 1974     -10.46%
• 1973     -9.18%
• 1972     11.86%

Low Correlation

Portfolio Stats

• Average Return   13.55%
• CAGR                   12.69%
• Standard Dev      13.23%
• Correlation US       -0.13

Yearly Returns
• 2008     -32.19%
• 2007     9.1%
• 2006     17%
• 2005     14.6%
• 2004     20.04%
• 2003     32.7%
• 2002     5.72%
• 2001     3.05%
• 2000     13.3%
• 1999     16.22%
• 1998     -11.71%
• 1997     8.22%
• 1996     18.97%
• 1995     16.19%
• 1994     -0.15%
• 1993     26.54%
• 1992     13.59%
• 1991     30.79%
• 1990     -2.84%
• 1989     25.27%
• 1988     21.84%
• 1987     9.46%
• 1986     18.89%
• 1985     27.87%
• 1984     8.63%
• 1983     24.48%
• 1982     14.9%
• 1981     2.95%
• 1980     18.1%
• 1979     23.14%
• 1978     23.1%
• 1977     20.28%
• 1976     22.6%
• 1975     26.16%
• 1974     -10.71%
• 1973     3.48%
• 1972     21.82%

Ecco quello che si può ottenere con un portafoglio appena più complesso e ben diversificato

Portfolio Allocation

• Large Cap Blend - 5%
• Mid Cap Blend - 5%
• Small Cap Value - 5%
• Micro Cap - 5%
• REIT - 10%
• International Developed - 10%
• Emerging Markets - 10%
• Commodities - 15%
• Long Term Government Bonds - 25%
• 2 Year ST Treasury - 10%

Portfolio Stats

• Average Return   12.09%
• CAGR                 11.55%
• Standard Dev      10.77%
• Correlation TSM     0.81
• Correlation EAFE     0.76

Yearly Returns

• 2008     -21.12%
• 2007     9.76%
• 2006     12.42%
• 2005     12.08%
• 2004     15.79%
• 2003     27.54%
• 2002     6.72%
• 2001     -0.43%
• 2000     11.25%
• 1999     13.01%
• 1998     0.31%
• 1997     10.14%
• 1996     12.64%
• 1995     21.52%
• 1994     -0.8%
• 1993     22.21%
• 1992     9.26%
• 1991     24.89%
• 1990     -2.21%
• 1989     21.75%
• 1988     18.22%
• 1987     7.6%
• 1986     23.76%
• 1985     30.69%
• 1984     8.06%
• 1983     17.7%
• 1982     19.62%
• 1981     0.94%
• 1980     14.72%
• 1979     16.61%
• 1978     17.21%
• 1977     11.82%
• 1976     18.68%
• 1975     24.82%
• 1974     -9.31%
• 1973     0.73%
• 1972     18.81%

Ho provato a calcolare i rendimenti del 2009 da solo:

LargeCap Blend: SPY (SPDRs): +26.3
MidCap Blend: VO (Vanguard Mid Cap ETF): +40.5%
SmallCap Value: VBR (Vanguard Small Cap Value ETF): +31.0%
MicroCap: BRSIX (Bridgeway Ultra-Small Company Market) : +24.1%
REIT: VNQ (Vanguard REIT Index ETF): +28.0%
International Developed: VDMIX (Vanguard Developed Markets Index ): +26.7%
Emerging Markets: VWO (Vanguard Emerging Markets Stock ETF): +76.3%   
Commodities: PCRIX (PIMCO Commodity Real Ret Strat Instl): +35.1%
Long Term Gov. Bonds: VUSTX (Vanguard Long-Term US Treasury): -12.7%
Short Term Treasury: VFISX (Vanguard Short-Term Treasury): +0.6%


Rendimento 2009: +21.3% 
CAGR 1972-2009: +11.79%

Ecco l'aggiornamento al 29 gennaio 2010.

Krugman incita Obama (che lo ascolta) a riformare banche e finanza: e i mercati vanno giù. Aggiornamento al 22 gennaio 2010.

La settimana si apre con un accorato appello di Krugman che in un editoriale sul New York Times critica l'amministrazione Obama per la sua mano troppo leggera con banche e con la riforma finanziaria. Scrive Krugman:

The Obama administration’s troubles are the result not of excessive ambition, but of policy and political misjudgments. The stimulus was too small; policy toward the banks wasn’t tough enough; and Mr. Obama didn’t do what Ronald Reagan, who also faced a poor economy early in his administration, did — namely, shelter himself from criticism with a narrative that placed the blame on previous administrations.


e dopo aver esaminato molto criticamente l'operato dell'amministrazione conclude:

So what comes next?
At this point Mr. Obama probably can’t do much about job creation. He can, however, push hard on financial reform, and seek to put himself back on the right side of public anger by portraying Republicans as the enemies of reform — which they are.
And meanwhile, Democrats have to do whatever it takes to enact a health care bill. Passing such a bill won’t be their political salvation — but not passing a bill would surely be their political doom.


Non so se è tutto merito di Krugman o se il successo repubblicano in Massachussetts ha pesato ma le posizioni di Obama sulle banche si fanno sempre meno accomodanti: ecco cosa scrive il  New York Times 
di venerdì 22: 

The tougher approach to financial regulation that President Obama outlined on Thursday reflected a changed political climate, the rebound in big banks’ fortunes after their taxpayer bailout and a shift in power within the administration away from those who had been seen as most sympathetic to Wall Street.

In calling for new limits on the size of big banks and their ability to make risky bets, Mr. Obama was throwing a public punch at Wall Street for the third time in a week, underscoring the imperative for him and his party to strike a more populist tone, especially after the Republican victory Tuesday in the Massachusetts Senate race.
(...) The new approach (...) was also a victory for Paul A. Volcker, the former Federal Reserve chairman and outside adviser to Mr. Obama.
Until Thursday, when he stood beside the president at the White House announcement of the new policy, Mr. Volcker truly had been on the outside of administration decision-making. And, in frustration, he had been increasingly vocal about the need for the administration to clamp down on what he described as the casinolike operations at the big banks that nearly destroyed the financial system in the first place.
In adopting the tougher line, Mr. Obama set aside a more limited approach to regulation that had been championed since last year by his economic team, led by Treasury Secretary Timothy F. Geithner.
Yet even Mr. Geithner of late has been moving toward a tougher stance on Wall Street, in part out of anger that big banks, having ridden a taxpayer bailout back to comfortable profitability, are now rewarding themselves with big bonuses and fighting harder in Congress against the administration’s initiative to tighten regulation of the financial system. 

e le osservazioni del Times sul risentimento contro le banche diffuso negli USA sono molto simili a quanto scriveva una settimana fa Mario Platero su Plus :


The administration’s new tack suggests just how much big banks have miscalculated Americans’ intensified resentment against the bailout — anger stoked by persistent high unemployment, banks’ stinginess in lending to small business and the revival of Wall Street’s bonus culture.
(...) 

Until now, the president has had a low profile on the banking bill, though the House debated its version most of last year before passing it in December.
Some Democrats complain that the White House was too absorbed by the health care issue, but they acknowledge the banking issue was widely seen as an insider’s game over arcane issues like derivatives trading that have little resonance with the public.
Now that has changed. As Thursday’s call for new bank limits showed, the president personally is taking the lead as First Populist.
“Never again,” he said, “will the American taxpayer be held hostage by a bank that is too big to fail.”


Avevamo già parlato mesi fa dell'idea di Volker di reintrodurre una variante dello Glass-Stegall act : in un altro articolo il NYT riconosce ampiamente il ruolo importante svolto dell'anziano ex-governatore della Fed nel convincere l'amministrazione ad assumere una posizione molto più rigida sulle banche:

Mr. Obama said the banks had nearly wrecked the economy by taking “huge, reckless risks in pursuit of quick profits and massive bonuses.”
The administration wants to ban bank holding companies from owning, investing in or sponsoring hedge funds or private equity funds and from engaging in proprietary trading, or trading on their own accounts, as opposed to the money of their customers.
Mr. Obama called the ban the Volcker Rule, in recognition of the former Federal Reserve chairman, Paul A. Volcker, who has championed the proposal. Big losses by banks in the trading of financial securities, especially mortgage-backed assets, precipitated the credit crisis in 2008 and the federal bailout.
It was not clear, however, how proprietary trading activities would be defined.
Officials said that banks would not be permitted to use their own capital for “trading unrelated to serving customers.” Such a restriction would most likely compel banks that own hedge funds and private equity funds to dispose of them over time. Officials said, however, that executing trades on a client’s behalf and using bank capital to make a market or to hedge a client’s risk would be permissible.
(...)
Mr. Obama also is seeking to limit consolidation in the financial sector, by placing curbs on the market share of liabilities at the largest firms.(...)
The Obama administration said the new proposals were in the “spirit of Glass-Steagall” — a reference to the Depression-era law that separated commercial and investment banking, which was repealed in 1999.
Economists have debated whether the repeal of that act contributed to the crisis. The two big investment banks that imploded, Bear Stearns and Lehman Brothers, were not commercial banks, and Goldman Sachs and Morgan Stanley converted to bank holding companies only after the system started to come unglued.
(...) The House bill passed last month would consolidate oversight, require stronger capital cushions for the largest banks and impose regulation of some derivatives. In many ways, the new White House proposal amplifies provisions in that bill that would have left regulators discretion over proprietary trading and excessive liability.

Forse è per via di queste posizioni più dure dell'amministrazione USA, forse è a causa di voci sulle difficoltà nella riconferma di Bernanke al posto di governatore della Fed, oppure è solo per colpa del caso ma rimane il fatto che i mercati azionari hanno perso oltre il 5% in tre giorni cancellando il buon inizio di settimana. Delle sei asset class che seguimamo settimanalmente solo il dollaro si è salvato riprendendo la sua corsa sull'euro (-2.0%) e trascinandosi dietro le obbligazioni a lungo termine (+0.4%). Tutti gli altri asset sono andati giù: lo SP500 ha perso il 3.9%, l'eurostoxx il 3.3%, le materie prime il 2.1% in dollari e oltre il 4% in euro, i fondi immobiliari il 3% in dollari e il 5% in euro. 

Ecco l'aggiornamento al 22 gennaio.

Le banche USA tra bonus e tasse; il debito dei paesi sviluppati. Aggiornamento al 15 gennaio 2010

Il presidente U.S.A. Barack Obama ha proposto una "tassa di responsabilità per la crisi finanziaria" per costringere le grandi banche e le altre istituzioni finanziarie a restituire ai contribuenti il denaro ricevuto per il loro salvataggio durante la crisi. Secondo il presidente:

“Like clockwork, the banks and politicians who curry their favor are already trying to stop this fee from going into effect,” he said, using his weekly radio and Internet addresses to promote the plan he announced this past week.
“The very same firms reaping billions of dollars in profits, and reportedly handing out more money in bonuses and compensation than ever before in history, are now pleading poverty. It’s a sight to see.”
If banks can afford to pay out all those bonuses, he said, then they can repay taxpayers, too.
“We’re not going to let Wall Street take the money and run. We’re going to pass this fee into law,”

La tassa proposta si applicherebbe alle istituzioni finanziarie con oltre 50 miliardi in assets e la sua applicazione avrebbe inizio con il secondo semestre 2010. Nel calcolo non verrebbero compresi i depositi bancari ma solamente quegli asset che sono impiegati in operazioni finanziarie rischiose (per la precisione all'imponibile contribuirebbero solo le covered liabilities, determinate sottraendo agli asset totali il capitale Tier 1.)
L'imposta dovrebbe fruttare circa 90 miliardi di dollari in circa 10 anni di applicazione, ma la sua durata potrebbe essere estesa se le perdite del fondo di bailout  non fossero recuperate entro il prossimo decennio.

Secondo il New York Times

Six of the biggest American banks are on track to pay $150 billion in total executive compensation for 2009, slightly less than the record $164 billion in 2007 before the financial crisis struck,

mentre le più recenti stime le perdite sostenute dai contribuenti attraverso il piano TARP (il Troubled Asset Relief Programme, il fondo per il salvataggio delle grandi imprese allestito all'apice della crisi finanziaria) ammonteranno a circa 117 miliardi di dollari.
Se così fosse, il costo netto  per i contribuenti USA si limiterà a meno dell'1% del GDP,ben al di sotto degli oltre 1100 miliardi ottenuti sommando al piano TARP originario (700 miliardi) gli oltre 400 miliardi previsti per assicurare la solvibilità di Fannie Mae e Freddie Mac.

Per i dettagli del piano
bisognerà però attendere l'approvazione della legge finanziaria per l'anno
fiscale 2011, prevista per i primi di febbraio. La parola definitiva spetterà quindi al Congresso.



Di questa legge parla su Plus (il settimanale di finanza e risparmio del Sole 24 Ore) il corrispondente da New York Mario Platero nel suo commento (che condivido ampiamente) intitolato Banche sciocche sui bonus. Scrive Platero:  

Quando qualcuno sui giornali esprimeva dubbi sulla trasparenza morale di questa accumulazione di ricchezza, le banche strillavano: siamo stati bravi, abbiamo assunto dei rischi, abbiamo avuto ragione, l'America premia chi ha successo. Vero, l'America premia chi ha successo ma non chi ne approffitta: e qui le banche non solo hanno avuto aiuti dal governo federale, ma hanno ricevuto garanzie da parte della Fed e una diminuzione dei tassi di interesse su livelli reali negativi. L'idea era che potessero in questo modo far circolare liquidità, attraverso prestiti e finanziamenti. Invece hanno soprattutto finanziato se stesse.

Sempre a proposito delle banche e delle audizioni che sono in corso alla Camera dei Rappresentanti, scrive Paul Krugman nel suo ultimo editoriale sul New York Times:

The official Financial Crisis Inquiry Commission — the group that aims to hold a modern version of the Pecora hearings of the 1930s, whose investigations set the stage for New Deal bank regulation — began taking testimony on Wednesday. In its first panel, the commission grilled four major financial-industry honchos. What did we learn?
Well, if you were hoping for a Perry Mason moment — a scene in which the witness blurts out: “Yes! I admit it! I did it! And I’m glad!” — the hearing was disappointing. What you got, instead, was witnesses blurting out: “Yes! I admit it! I’m clueless!”O.K., not in so many words. But the bankers’ testimony showed a stunning failure, even now, to grasp the nature and extent of the current crisis. And that’s important: It tells us that as Congress and the administration try to reform the financial system, they should ignore advice coming from the supposed wise men of Wall Street, who have no wisdom to offer.
Consider what has happened so far: The U.S. economy is still grappling with the consequences of the worst financial crisis since the Great Depression; trillions of dollars of potential income have been lost; the lives of millions have been damaged, in some cases irreparably, by mass unemployment; millions more have seen their savings wiped out; hundreds of thousands, perhaps millions, will lose essential health care because of the combination of job losses and draconian cutbacks by cash-strapped state governments.
And this disaster was entirely self-inflicted. This isn’t like the stagflation of the 1970s, which had a lot to do with soaring oil prices, which were, in turn, the result of political instability in the Middle East. This time we’re in trouble entirely thanks to the dysfunctional nature of our own financial system. Everyone understands this — everyone, it seems, except the financiers themselves. (...)

there was nothing accidental about the crisis. From the late 1970s on, the American financial system, freed by deregulation and a political climate in which greed was presumed to be good, spun ever further out of control. There were ever-greater rewards — bonuses beyond the dreams of avarice — for bankers who could generate big short-term profits. And the way to raise those profits was to pile up ever more debt, both by pushing loans on the public and by taking on ever-higher leverage within the financial industry. Sooner or later, this runaway system was bound to crash. And if we don’t make fundamental changes, it will happen all over again.


Un altro argomento di attualità è l'aumento del debito sovrano dei paesi sviluppati (Regno Unito in prima fila)
causato dalla crisi finanziaria. Sul sito di Nouriel Roubini trovate un'interessante analisi del problema intitolata
Sovereign Debt: The Developed World’s Next Big Problem?: scrive Arpitha Bykere: 

In 2009, downgrades and debt auction failures in countries like the UK, Greece, Ireland and Spain were a stark reminder that unless advanced economies begin to put their fiscal houses in order, investors and rating agencies will likely turn from friends to foes. The severe recession, combined with a financial crisis during 2008-09, worsened the fiscal positions of developed countries due to stimulus spending, lower tax revenues and support to the financial sector. (...) Going forward, a weak economic recovery and an aging population is likely to increase the debt burden of many advanced economies, including the U.S., UK, Japan and several eurozone countries. In 2008-09, the stance of these governments to do “whatever it takes” to backstop their financial systems and keep their economies afloat soothed investor concerns. But if countries remain biased toward continuing with loose fiscal and monetary policies to support growth rather than focusing on fiscal consolidation, investors will become increasingly concerned about fiscal sustainability and gradually move out of debt markets they have long considered “safe havens.”
Most central banks will withdraw liquidity starting in 2010, but government financing needs will remain high thereafter. Monetization and increased debt issuances by governments in the developed world will raise inflation expectations. These governments will have to offer higher real yields or investors will move to more attractive emerging markets. Some countries will continue to witness increased credit default swaps. Higher yields and interest cost on debt will also hurt economic growth—by crowding out private consumption and investment, and reducing government’s productive spending. (...)
The UK, Spain, Greece and Ireland will face sovereign risk pressures, especially if their fiscal imbalances are not addressed immediately. (...) The U.S. and Japan might be among the last to face investor aversion—the dollar is the global reserve currency and the U.S. has the deepest and most liquid debt markets, while Japan is a net creditor and largely finances its debt domestically. But investors will turn increasingly cautious even about these countries if the necessary fiscal reforms are delayed.

Intanto  tutti si interrogano se il rally delle borse possa continuare nel 2010 (e ci sono buone ragioni per dubitarne). Specialmente dopo una settimana a dir poco scialba caratterizzata da un indebolimento degli asset rischiosi (azioni e materia prime). Volendo concludere il commento di questa settimana con una nota ottimistica vi segnalo l'analisi di chartoftheday relativa alla durata dei rally dell'indice Dow Jones dal 1900. Se siete tra quelli che pensano che la statistica venga prima di ogni altra considerazione potreste trovarla rincuorante.

Infine vi segnalo come l'asset allocation quantitativa si faccia strada anche nel supplemento settimanale Plus del Sole 24 Ore: a partire dal numero in edicola nelle pagine con le classifiche delle azioni dello Stoxx 600 si confronteranno delle strategie di stock picking quantitative, un'idea proposta da un gruppo di lavoro AIAF  promosso da yours truly.

Ecco l'aggiornamento al 15 gennaio 2010.

Bolla o non bolla? E le riforme? Aggiornamento all'8 gennaio 2010

E' iniziata una nuova bolla o no? Sono in molti a chiederselo da qualche mese. Già il 26 novembre scorso scriveva Buttonwood :


THE hunt for the next bubble is well advanced. Gold, which has repeatedly hit record nominal peaks, is a plausible candidate. Like a dotcom stock, it seems to lack any valuation constraints.
Another option is emerging markets. Equities in developing markets have already enjoyed a phenomenal rally this year,(...) But what about emerging-market debt?
The credit crunch has shown that emerging markets have not only become the main drivers of global growth but have also replaced developed countries as exemplars of fiscal probity. (Dubai is not technically an emerging market.) The bail-out of the banks, an unexpectedly sharp recession and a collapse in tax revenues have pushed some developed countries into deficits of more than 10% of GDP, figures not seen outside world wars.
The contrast is now striking. Matt King, a strategist at Citigroup, cites IMF figures showing that the debt-to-GDP ratio of the leading 20 developed nations is already twice that of the top 20 emerging markets. By 2014 it will be three times as high.
(...)
The bullish argument for emerging-market bonds is based not just on the state of government finances but on the outlook for foreign-exchange markets. The American government may talk about the desirability of a strong dollar but it seems to have no intention of doing anything about it. Governments in Japan and the euro zone are hardly applauding the resulting strength of the euro and yen. By contrast, argues Mr King, some emerging countries may find their currencies appreciating, no matter what policy they follow.
What if they give in to Western political pressure and allow a modest currency rise? Then investors will speculate that further appreciation is likely. Alternatively countries may choose to intervene in the foreign-exchange markets to prevent their currencies from rising. But the effect of such a policy will be to increase their foreign-exchange reserves (as they sell their own currencies and buy dollars or euros). That will make the country’s fundamentals look even more attractive and encourage even greater investment.

In addition, importing loose monetary policy from America (as countries try to peg their currencies to the dollar) may create asset bubbles within emerging markets. Those will attract speculative inflows. And if developing countries try to restrict those bubbles by raising interest rates, that will only make their currencies even more attractive as yield-hungry investors pile in.




Il numero in edicola dell'Economist torna proprio sull'argomento senza mezzi termini, dedicando la copertina proprio alla sopravalutazione di molti asset causata dagli ingenti stimoli governativi e dai bassissimi tassi di interesse un po' ovunque e particolarmente negli Usa, in Europa e in Giappone:

THE effect of free money is remarkable. A year ago investors were panicking and there was talk of another Depression. Now the MSCI world index of global share prices is more than 70% higher than its low in March 2009. That’s largely thanks to interest rates of 1% or less in America, Japan, Britain and the euro zone, which have persuaded investors to take their money out of cash and to buy risky assets.

For all the panic last year, asset values never quite reached the lows that marked other bear-market bottoms, and now the rally has made several markets look pricey again. In the American housing market, where the crisis started, homes are priced at around fair value on the basis of rental yields, but they are overvalued by almost 30% in Britain and by 50% in Australia, Hong Kong and Spain.

Stockmarkets are still shy of their record peaks in most countries. The American market is around 25% below the level it reached in 2007. But it is still nearly 50% overvalued on the best long-term measure, which adjusts profits to allow for the economic cycle, and is on a par with two of the four great valuation peaks in the 20th century, in 1901 and 1966.

Central banks see these market rallies as a welcome side- effect of their policies. In 2008, falling markets caused a vicious circle of debt defaults and fire sales by investors, pushing asset prices down even further. The market rebound was necessary to stabilise economies last year, but now there is a danger that bubbles are being created (see article).

I mercati nel frattempo continuano a far festa: persino venerdì scorso, dopo dei numeri

sull'occupazione USA per niente incoraggianti che hanno fatto cadere le borse europee dello 0.5% o più in pochi secondi, si sono ripresi e Dax, Ftse100, Dow Jones, Nasdaq e S&P500 hanno chiuso la giornata con incrementi percentuali. Le borse durante la  prima settimana di gennaio sono avanzate del 2-3% continuando a sognare...





Ma la disoccupazione è davvero un problema negli USA, un problema che peraltro

potrebbe peggiorare seriamente se come alcuni sostengono la recessione non fosse finita ma ci trovassimo semplicemente nell'occhio del ciclone. Se volete approfondire gli scenari possibili per l'occupazione e l'economia USA vi raccomando l'ultima lettera di John Mauldin, giustamente preoccupato sia dalla disoccupazione sia dalla mancanza di una risposta adeguata alla crisi finanziaria (ho evidenziato le considerazioni finali che condivido ampiamente):


But if you think unemployment is high now, you will really not like what happens if we dip back into recession. It could go a lot higher. They are truly risking a great deal if they decide to pursue this experiment.
Thus, I am faced with a great deal of uncertainty as I look into the future with my forecasts - and we will get into the bulk of the actual forecasts next week. I almost titled this letter "The Year of Waiting," because there are so many important developments we are waiting on. Will they actually raise taxes in such a soft economy, or will cooler heads prevail and the increases be postponed, or at least phased in over 4-5 years? What will the health-care bill look like? There are so many things that could significantly change any predictions.
As I have written for years, the stock market drops an average of over 40% during a recession. If we go into a recession in 2011, it is highly unlikely that there will be an exception to the bear market rule. But this market seemingly wants to go higher. Smart people like my partner Steve Blumenthal argue with me that the technicals say we could go a lot higher in the short term. And he may very well be (and probably is) right.
This is a trader's market. It is not time to buy and hold large indexes or high-beta stocks and expect to be made whole over the next ten years. Hope is not a strategy. But waiting for the "shoe to drop" is frustrating, I know. However, that is the situation we find ourselves in.
We will go into this next week, but the current environment is quite different than 1982, when the last bull market started. Rates were falling; they are now likely to rise over time. Taxes were going down. Valuations were at historical lows, not high and rising. Inflation was coming down. And on and on. The current environment is not one in which bull markets are born.

Whither the Fed?

The futures market is pricing in rate hikes from the Fed beginning this fall. I highly doubt a politicized Fed will hike rates with unemployment over 10%, ahead of a November election. We are going to have a very easy monetary policy for longer than most observers think.
The Fed has painted itself into a very tough corner. Raising rates in a high-unemployment environment is risky. Bernanke knows what happened in 1937 and does not want a repeat. But by keeping rates too low for too long, they risk an asset bubble or two. And the federal fiscal deficit of over $1.5 trillion is not making their situation any easier.
The Fed has announced it is ending many of their various and sundry programs in the first quarter. They have essentially been the mortgage market. What will happen to rates? I think that is one of the reasons why Geithner has essentially lifted any limit on explicit guarantees for Fannie and Freddie. It will be seen as higher-paying government debt. It will also cost you, Mr. and Ms. Taxpayer, hundreds of billions in increased deficits, as they are telling those entities to eat the losses from large numbers of loan modifications. This is outrageous on so many levels. Congress should at least have to approve this.
It's getting close to my eight pages, so let me end by saying that, as we face the next crisis - and we will (there is always another crisis) - we will find we have not fixed the causes of the last one. We still have banks too big to fail, we have not put the credit default swaps on an exchange, we have not reinstated Glass-Steagall, Barney Frank's bill (which was not the one that came out of committee) now makes it exceedingly more difficult to short stocks, we keep in power the same people who missed the problems the last time, and the list of bad policies bought (typo intended) to you by bank lobbyists grows ever longer. If the current bill looks like it was written by the bank lobby, that's because it was. But it means we will have to face the same problems all over again. But that is another story for another day. Next week we look at the dollar and other currencies, gold, commodities, bonds, emerging markets, and more.


Ecco l'aggiornamento all'8 gennaio.

Il cambio yuan/dollaro e il protezionismo di Krugman. Le valutazioni dei mercati immobiliari. Aggiornamento all'1 gennaio 2010.

BUM!

Paul Krugman invoca il protezionismo per difendersi dalla politica cinese del cambio! Ecco cosa scrive su New York Times di oggi

Second, there’s the claim that protectionism is always a bad thing, in any circumstances. If that’s what you believe, however, you learned Econ 101 from the wrong people — because when unemployment is high and the government can’t restore full employment, the usual rules don’t apply.
Let me quote from a classic paper by the late Paul Samuelson, who more or less created modern economics: “With employment less than full ... all the debunked mercantilistic arguments” — that is, claims that nations who subsidize their exports effectively steal jobs from other countries — “turn out to be valid.” He then went on argue that persistently misaligned exchange rates create “genuine problems for free-trade apologetics.” The best answer to these problems is getting exchange rates back to where they ought to be. But that’s exactly what China is refusing to let happen.
The bottom line is that Chinese mercantilism is a growing problem, and the victims of that mercantilism have little to lose from a trade confrontation. So I’d urge China’s government to reconsider its stubbornness. Otherwise, the very mild protectionism it’s currently complaining about will be the start of something much bigger.

...accidenti! Il problema è il cambio fissato tra il dollaro e il renminbi: dopo una svalutazione di circa il 15% in 3 anni, dall'estate del 2008 il cambio è costante a circa 6.8 yuan per dollaro. Date un'occhiata al grafico su google finance


All'estremo opposto delle posizioni di Krugman, sul tema della crescita USA abbiamo invece quello che mi pare un mirabile esempio di faciloneria economica: ah se fosse tutto così semplice come sostiene il signor Karlgaard...ascoltatelo e decidete da soli se vi sembra convincente oppure no.




Sull'ultimo numero dell'Economist c'è un'interessante analisi del mercato immobiliare: 
il titolo mi pare abbastanza significativo

House prices are still far above their fair value in many countries—though no longer in America

L'idea dell'Economist per valutare il fair value dei mercati è di considerare il rapporto tra il prezzo delle case e gli affitti, in analogia con il rapporto prezzo/utili per le azioni.  Scrive l'Economist:

Shares are deemed pricey when the p/e ratio is above its long-run average. Similarly,  homebuyers are likely to be overpaying for property when the price-to-rents ratio is higher than normal. By that yardstick house prices seem low in only a handful of countries in our survey, as the final column in the table shows. One is Japan, where steadily falling property prices mean the price-to-rents ratio is 34% below its average since 1975. Switzerland’s ratio is also less than its long-run average. Germany looks cheap as well, and since our valuation benchmark goes back only to 1996 and so misses out a period when German house prices were frothier, may be cheaper still. (...)

No valuation measure is perfect. One flaw with the price-to-rents gauge is that it takes no account of shifts in real interest rates. (...)
Partly for this reason, fair-value gauges can also be sensitive to how far back the figures go for each country. Ireland may look less overvalued than Spain because the available data go back only to 1990 and omit a period of less bouncy markets. If the average price-to-rents ratio is calculated from 1990 onwards, Spain’s market is overvalued by 24%, rather than the 55% shown in the table (based on figures from 1975). That would make both markets similarly overpriced.
In spite of these blemishes, the price-to-rents gauge is a useful check on how puffed-up property markets are. A housing boom turns into a bubble when prices are driven up by expectations of future price gains. Scarcity of supply or population shifts are often used to rationalise high house prices, but such fundamentals should push up rents, too. That house prices in America are back in line with rents suggests the worst of its correction is over (although a further downward leg is possible since past housing busts have pushed prices below their fair value and there is a large stock of unsold houses to clear). Europe’s housing correction, however, seems far from over.

Sempre sul sito dell'Economist
trovate qui i dati relativi ai mercati immobiliari in 20 paesi, inclusa l'Italia, dal 2000 ad oggi, grazie ai quali potete produrre dei grafici simili a quello riportato qui accanto.






Infine, ecco l'aggiornamento settimanale alla data del 1 gennaio 2010.