Le tabelle di Alfaobeta nel 2009. Aggiornamento al 26 febbraio 2010.

Corsi e ricorsi storici.... l'Asia torna ad essere il motore della ricchezza mondiale:



La realtà in quei paesi è così diversa da quella europea o americana che in Cina non ci sono abbastanza lavoratori...secondo il New York Times:
As American workers struggle with near double-digit unemployment, unskilled factory workers here in China’s industrial heartland are being offered signing bonuses.
Factory wages have risen as much as 20 percent in recent months.
Telemarketers are turning away potential customers because recruiters have fully booked them to cold-call people and offer them jobs.
Some manufacturers, already weeks behind schedule because they can’t find enough workers, are closing down production lines and considering raising prices. Such increases would most likely drive up the prices American consumers pay for all sorts of Chinese-made goods.
Rising wages could also lead to greater inflation in China. In the past, inflation has sown social unrest.
The immediate cause of the shortage is that millions of migrant workers who traveled home for the long lunar New Year earlier this month are not returning to the coast. Thanks to a half-trillion-dollar government stimulus program, jobs are being created in the interior.
But many economists say the recent global downturn also obscured a longer-term trend: China has drained its once vast reserves of unemployed workers in rural areas and is running out of fresh laborers for its factories.


Un amico mi ha chiesto come si possono usare le tabelle che alfaobeta aggiorna settimanalmente.
Lungi da me dare consigli: l'idea è semplicemente di seguire l'evoluzione nel tempo di 6 importanti
asset class e di educare ad un approccio quantitativo all'asset allocation (si veda il post ALFA O BETA?: Come sarebbe andata se... simulazioni di asset allocation dal 1972 al 2008. Aggiornamento al 29 gennaio 2010)
Ecco come si sono comportate le 6 asset class nel 2009 (in euro)

S&P500	16.39%
EuroStoxx	19.17%
Ftse EPRA/NAREIT Global	37.58%
CRB	17.83%
Euro Government Bond 30yr	2.50%
Eur/USD	2.82%

ed ecco quello che si sarebbe ottenuto investendo settimanalmente esclusivamente nell'asset indicato nelle
diverse posizioni della tabella settimanale (che ricordo essere costruita facendo attenzione alla forza
relativa su due scale di tempo, una di breve e una di medio periodo),

Posizione in classifica	rendimento	volatilità
1	19.60%	17.38%
2	4.78%	16.89%
3	-17.10%	21.39%
4	14.69%	24.75%
5	44.70%	25.61%
6	40.09%	19.21%

 Infine riporto per confronto i risultati conseguiti da:

• un  portafoglio equipesato nelle 6 asset class e ribilanciato settimanalmente
• un portafoglio equipesato solo in quegli asset con tendenza a medio periodo positiva (pure ribilanciato settimanalmente). Ad esempio questa settimana comprenderebbe tutti gli asset con esclusione dell'euro.

	rendimento	volatilità

equipesato con ribilanciamento settimanale	17.79%	14.27%
solo asset con tendenza medio periodo positiva	11.68%	10.57%

Vi lascio con l'aggiornamento al 26 febbraio.

...U V W...e poi ? La Grecia e l'eurozona

U? chi ha detto che la ripresa è a U? La W non la escluderei ma se si guardano i profitti dello S&P500 quello che si vede è una V e che V! Guardate qui:

La crisi del debito greco continua a turbare i mercati e a indebolire l'euro (e poi giovedì sera ci si è messa anche la Fed con il minirialzo del tasso di sconto) e così il britannico Economist ironizza sull'unione monetaria...

Let the Greeks ruin themselves

Germany has Europe’s deepest pockets, but it does not want to pay to save troubled euro-zone economies

Feb 18th 2010 | BERLIN | From The Economist print edition

Illustration by Peter Schrank

...ma l'ironia non è del tutto gratuita...ecco i fatti...

Il dibattito sull'origine e su come uscire dalla crisi si affolla di voci...ecco l'opinione di Krugman:


For the truth is that lack of fiscal discipline isn’t the whole, or even the main, source of Europe’s troubles — not even in Greece, whose government was indeed irresponsible (and hid its irresponsibility with creative accounting).
No, the real story behind the euromess lies not in the profligacy of politicians but in the arrogance of elites — specifically, the policy elites who pushed Europe into adopting a single currency well before the continent was ready for such an experiment.


Krugman esclude l'ipotesi di un'uscita dall'eurozona della Grecia, che invece viene da più parti suggerita come la soluzione più semplice...


Now what? A breakup of the euro is very nearly unthinkable, as a sheer matter of practicality. As Berkeley’s Barry Eichengreen puts it, an attempt to reintroduce a national currency would trigger “the mother of all financial crises.” So the only way out is forward: to make the euro work, Europe needs to move much further toward political union, so that European nations start to function more like American states.
But that’s not going to happen anytime soon. What we’ll probably see over the next few years is a painful process of muddling through: bailouts accompanied by demands for savage austerity, all against a background of very high unemployment, perpetuated by the grinding deflation I already mentioned.
It’s an ugly picture. But it’s important to understand the nature of Europe’s fatal flaw. Yes, some governments were irresponsible; but the fundamental problem was hubris, the arrogant belief that Europe could make a single currency work despite strong reasons to believe that it wasn’t ready. 


Ecco invece l'opinione di Nouriel Roubini:



Secondo molti la via d'uscita è la creazione di un Fondo Monetario Europeo, al quale possano rivolgersi i paesi dell'area Euro in difficoltà, visto che il ricorso al FMI sembra precluso da ragioni quantomeno di opportunità politica: ecco l'opinione di Giancarlo Corsetti su La Voce: 


Se non si vuole che i paesi dell’area dell’euro si rivolgano al Fondo, uno schema analogo di sostegno finanziario e condizionalità va formalizzato all’interno delle istituzioni europee. Sarebbe singolare richiedere a un paese sovrano di entrare nell’area dell’euro accettando un handicap rispetto ai paesi fuori: da una parte deve contribuire al Fmi, dall’altra non può accedere all’assistenza del Fondo.
Si badi bene: niente di nuovo sotto il sole. Anche se pochi lo ricordano, gli accordi per il Sistema monetario europeo alla fine degli anni Settanta già prevedevano un Fondo monetario europeo (mai realizzato). Con la crisi della Grecia, è evidente che i problemi a cui il Patto deve dare una risposta non possono essere risolti con l’ideologia della prevenzione, ma con istituzioni dotate della credibilità e dell’autorevolezza che discendono dal perseguire strategie efficaci e realistiche.
Anche se la Spagna e il Portogallo sono in condizioni relativamente migliori della Grecia, il contagio può avvenire se i mercati si rendono conto che non esiste accordo politico ancorché istituzionale che dia garanzie di liquidità.
Se un paese europeo non può rivolgersi al Fmi, che cosa può sperare di ottenere dall’Europa? A quale istituzione si può rivolgere? Con quali regole e tempi? Il tema è delicato. Soprattutto perché è nell’interesse dei paesi in crisi cavalcare il timore del contagio e della debolezza europea per ottenere di più --- ben oltre il sostegno finanziario, di fatto a scapito del principio del “no bail out” a fondamento dell’euro. Ed è anche urgente, perché non è affatto detto che si possa contare su una ripresa veloce e vigorosa per ridurre i disavanzi.


Un lettore mi segnala che è possibile ascoltare l'intervento di Robert Skidelsky
di qualche giorno fa sulla lezione di Keynes: lo ringrazio e vi propongo il link qui

Aggiornamento al 19 febbraio 2010

Ecco l'aggiornamento al 19 febbraio.

	Asset	valuta	tendenza	pendenza	tendenza	pendenza	valore
			medio	medio	breve	breve
			periodo	periodo	periodo	periodo
1.	Ftse EPRA/NAREIT Global	USD	POS	NEU	NEG	NEU	1675,47
1.	S&P500	USD	POS	NEU	POS	NEU	1109,17
3.	Euro Government Bond 30yr	EUR	POS	POS	POS	NEG	180,36
3.	CRB	USD	POS	NEU	POS	NEU	277,80
5.	EuroStoxx	EUR	POS	NEG	NEG	NEU	262,31
6.	Eur/USD	N/A	NEG	NEG	NEG	NEU	1,3524

 

Meditate gente, meditate...

Sono reduce da una giornata molto piena, comprensiva di  una lezione sull'ipotesi dei mercati efficienti e di un seminario sull'ottimizzazione di portafoglio, ma ho trovato questo bel post di Aswath Damodaran sul suo blog e non posso fare a meno di segnalarvelo. Vi segnalo anche dello stesso autore una breve introduzione ai Credit Default Swaps, e in generale il suo eccellente blog e la sua homepage, l'unico rischio che correte sfogliandone le pagine e leggendo i suoi appunti è che vi innamoriate anche voi della valutazione...

Il lifting e la Grecia, il debito sovrano, i rischi delle banche.

Il New York Times dedica un articolo molto interessante al ruolo dei derivati nella crisi del debito greco, in particolare a come siano stati usati in passato per mascherare la crescita del debito...un mirabile esempio di lifting contabile:

As in the American subprime crisis and the implosion of the American International Group, financial derivatives played a role in the run-up of Greek debt. Instruments developed by Goldman Sachs, JPMorgan Chase and a wide range of other banks enabled politicians to mask additional borrowing in Greece, Italy and possibly elsewhere.
In dozens of deals across the Continent, banks provided cash upfront in return for government payments in the future, with those liabilities then left off the books. Greece, for example, traded away the rights to airport fees and lottery proceeds in years to come.
Critics say that such deals, because they are not recorded as loans, mislead investors and regulators about the depth of a country’s liabilities. (...)
For all the benefits of uniting Europe with one currency, the birth of the euro came with an original sin: countries like Italy and Greece entered the monetary union with bigger deficits than the ones permitted under the treaty that created the currency. Rather than raise taxes or reduce spending, however, these governments artificially reduced their deficits with derivatives.
Derivatives do not have to be sinister. The 2001 (Greek) transaction involved a type of derivative known as a swap. One such instrument, called an interest-rate swap, can help companies and countries cope with swings in their borrowing costs by exchanging fixed-rate payments for floating-rate ones, or vice versa. Another kind, a currency swap, can minimize the impact of volatile foreign exchange rates.
But with the help of JPMorgan, Italy was able to do more than that. Despite persistently high deficits, a 1996 derivative helped bring Italy’s budget into line by swapping currency with JPMorgan at a favorable exchange rate, effectively putting more money in the government’s hands. In return, Italy committed to future payments that were not booked as liabilities.(...)
In Greece, the financial wizardry went even further. In what amounted to a garage sale on a national scale, Greek officials essentially mortgaged the country’s airports and highways to raise much-needed money.

Vi segnalo un lungo articolo su Forbes dedicato al debito sovrano:   quasi metà dell'articolo discute come e se scommettere sul default del Giappone (o della Svizzera!?): ancora una volta i problemi non sono limitati ai PIIGS, anzi...

...A FORBES survey of sovereign credit, taking into account trends in spending and revenue, economic freedom and the price of the debt insurance, a.k.a. credit default swaps, ranks the U.S. number 35 in a class of 85, below Germany, the Netherlands and China. The CDS market is priced to imply a 3.1% chance of default over five years on Treasury debt. Other countries are likely to hit the debt wall sooner, and with greater impact. The U.K., for example, is 38 on the list, two notches above Slovenia. One culprit is much higher levels of private banking debt that could land on the British government balance sheet á la Fannie Mae ( FNM - news - people ) and Freddie Mac ( FRE - news - people ) in the U.S. The sovereign debt of the U.K., plus the assets of its five largest banks, exceeds 500% of GDP, compared with 200% in the U.S. Even closer to the edge is Ireland. Sovereign debt is at 41% of GDP. But total banking-system assets are another 800% of GDP (see graph). If those assets sour, the government will almost certainly step in to protect the banking system, as Iceland was forced to do in 2008. Iceland's currency and stock market collapsed soon thereafter, and its president recently blocked a law to repay $5 billion-plus to British and Dutch investors. That move puts at risk a pending bailout package for Iceland from the International Monetary Fund and its application to join the European Union.

La situazione del debito sovrano è al centro dell'analisi settimanale di John Mauldin:  si scopre così che non solo la Grecia è trascorso 105 degli ultimi 200 anni in default ma che il sommerso e l'evasione fiscale sono un fenomeno talmente macroscopico da far assomigliare l'Italia alla Svezia...

A few facts about Greece. Some 30% of its economy is underground, meaning it is not taxed. In a country of 10 million people, only 6 (!!!) people filed tax returns showing in excess of €1 million in income. Yet over 50% of GDP is government spending, and Greece has one of the highest public employee levels as a percentage of population in Europe. And its unions are very powerful. Nearly all of them have gone on strike over this proposal.

A National Suicide Pact

Now, here is where it actually gets worse. If Greece bites the bullet and makes the budget cuts, that means that nominal GDP will decline by (at least) 4-5% over the next 3 years. And tax revenues will also decline, even with tax increases, meaning that it will take even further cuts, over and above the ones contemplated to get to that magic 3% fiscal deficit to GDP that is required by the Maastricht Treaty. Anyone care to vote for depression?


...ecco perchè a casa nostra non possiamo lamentarci troppo della crescita asfittica (o della non-crescita) degli ultimi anni. Mauldin continua la sua analisi estendendola al debito sovrano in generale e conclude:

Whether it is Japan or Portugal or the US or (pick a country), the body of evidence clearly shows that there is a limit to the amount of debt a sovereign country can handle without a crisis developing. That limit is different for each country, but there is a limit that the bond market will impose. And there are many countries in the developed world that are approaching that limit.
We are in the fullness of time approaching the End Game. In country after country, the choices that have been made over the last decades will yield a Greek situation, where there are no good choices. And the longer the hard choices are put off, the more difficult they will become.
For some countries it could mean deflation. For others, it will look like inflation on steroids. Countries with sensible budgets and policies will thrive.
For most of the last two decades, investors have ignored country risk in the developed world. That is no longer a safe option. 

 
Intanto che ci abituiamo a riflettere su cosa sia rimasto di risk-free in questo mondo (Benjamin Franklin l'aveva detto tanto tanto tempo fa...nulla è certo tranne la morte e le tasse...) vi segnalo questo breve video dell'Economist che riassume egregiamente in modo accessibile ad un ampio pubblico alcuni degli ingredienti della crisi finanziaria:

Financial Armageddon? Aggiornamento al 12 febbraio 2010

Se non avete ancora preso le vostre decisioni di investimento per il 2010 e siete interessati all'opinione di un pool di gurus di tutto rispetto potete ascoltare il lungo dibattito Investments: how to earn in 2010? What are the risks? tenutosi a Mosca una settimana fa: ecco in breve i loro punti di vista

Michael Power: Put your money in Singapore dollars until mid-year. Then invest in emerging markets, coal and consumer stocks in emerging markets with current account surpluses. Avoid the West. Avoid banks in the West. Put some money in frontier markets. Chinese growth will continue to be driven by the rise of the middle class.
David North: Buy protection on credit, as markets are overcooked (e.g. CDS on banks). Buy dividend futures, especially in the UK, as cash flows are high. Take the opportunity to bet against rate increases, as they will not happen.
Michael Gomez: Invest in places that will benefit from rebalancing. Buy Asia and Asian currencies, which should appreciate. Avoid the euro and emerging European currencies. Europe is prone to defaults, given weak balance sheets. Invest in strong balance sheets in countries with good monetary policy and inflation targeting, such as Brazil. You can buy 5y bonds there at 13%. Among G7 countries, Germany is in favor. There is a need to differentiate in emerging markets and buy Brazil over Turkey, for example.
Nassim Taleb: Go no-risk with 80% percent and high-risk with the rest. For the speculative component, short the S&P and be long in precious metals; bet on hyperinflation with OTM calls on gold and puts on bonds; short USTs as long as Bernanke and Summers are in office; trade on the breakup of Europe. Russia is stable.
Hugh Hendry: Think of Keynes’ “Economic Consequences of the Peace”. The euro is the new gold, and governments cannot repay. The amount of debt taken on is enormous and still highly risky, as none of the debt has gone. Mr Hendry would not take any risk now. Debt will squeeze the vitality out of economies. Buy the idea that rates will not rise. The policymakers will not be able to create inflation, as monetary policy does not work. People are all long risky assets as a hedge against inflation and short treasuries, which is dangerous. He likes land and agricultural equities in the long term, but they are risky in the short term. The problem with Asia is excess capital and low returns on capital. It makes no sense for the Chinese yuan to be so cheap. China could fail and go from first to last, as its economic model is unsustainable.
Ashot Khachaturyants: Buy Russia, especially oil stocks with exposure to East Siberia. Nanotechnology and project financing are promising.
Marc Faber: The consensus is to buy Asia. Japan is a good idea as a huge economy where the market has been down for over 20 years. When inflation comes, avoid currency and bonds and buy equity and foreign assets. One should buy land as civilization may collapse; farms in Argentina are promising. Water is a real issue, especially in India. Chinese economic growth is likely to slow this year.

Dopo che avrete deciso come investire, e su quali collassi puntare (se ascoltate Taleb) sarete pronti
a prendere in attenta considerazione le profezie di TraderMark su SeekingAlpha:
HFT, Algorithmic Trading, l'ombra di Jim Simons (al quale va la mia ammirazione: leggete qui) che oscura la vita sul pianeta, altro che inverno nucleare...sentite qui e immaginatevi lo S&P500 che perde il 22% in pochi minuti...

For those who have been around a while you know I constantly refer to the "supercomputers at the hedge funds" controlling things or at least being the marginal decider of prices. As a participant in markets for a while now I have to say some of the things we're seeing the past year or so are beyond compare.
My thesis has been the quantitative hedge funds really have changed the nature of the markets and trading. The most successful and famous is Renaissance Technologies, led by Jim Simons. The track record of success there has been fantastic, and it's all computer driven. Success begets copy cat behavior - and a flood of funds trying to replicate the grand chief have been born. Hence when I refer to "algorithms" dominating trading, I am speaking to this bevy of pooled capital, all doing (or trying to do) almost the exact same thing and taking stocks farther (both higher and lower) than makes any logical sense. And this, in my opinion, is simply crowding out people who use fundamentals or logic. The machinations of August 2007 really was the first time this hit me in the face as I was seeing action that were in no way explainable by any reasonable data point. Much of it was "liquidations," i.e. hedge funds over levered, and much like an individual investors gets a margin call - so did they. So they had to sell what they could, not what they wanted to, as many hold esoteric positions that had no market (hedge funds don't just own simply stocks and bonds). So they sold off the liquid parts of their portfolios. And once a selling begins, a waterfall effect hits as technical conditions are triggered in computer after computer throughout New York City (and in fact the world) and you get this cascading effect.

I am of the belief that eventually something will go very wrong in a system like this, on a much larger scale than August 2007 or some of the cascading selloffs in 2008. "They" assure us they provide liquidity. But with some of these computers doing 1000s of trades a second, and so many quants doing the exact same thing - all set to hair trigger off each other - it is very easy to imagine a scenario where October 19, 1987 happens not in hours but in minutes. Hopefully I am very wrong on this, but I certainly don't take any solace in the assurances from either the quants themselves or their regulators (who are either asleep at the wheel or captured), that it can't happen. These are the same groups of people who assured us they had everything under control and all risk was arbitraged away pre-2007. There is no way to assure anything with a disparate electronic ecosystem spread over countless desktops storage facilities.

Sempre sul ruolo dei quants e sul prop trading ecco il sig. Patterson, giornalista del WSJ e autore di
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It:

 
Certo di avervi rovinato il sonno per qualche settimana mi dichiaro soddisfatto e vi lascio con l'immancabile aggiornamento al 12 febbraio.

Chi non risica non rosica, però ...

L'ultimo numero dell'Economist contiene un approfondimento sul rischio e il ruolo che la sua sottovalutazione ha avuto nella crisi finanziaria: qui sotto potete ascoltare un'intervista al curatore dell'approfondimento su questo argomento. Vi consiglio di  seguirla fino in fondo perchè diventa più interessante man mano che ci si avvicina alle conclusioni.






Sempre l'Economist riassumendo gli avvenimenti della settimana sottolinea le voci sull bailout della Grecia e l'exit strategy dal Quantitative Easing proposta da Bernanke:

Global markets had a rocky time amid worries that the loss of confidence in Greece’s ability to tackle its debt crisis alone would spread to other euro-zone countries, particularly Spain and Portugal. Nervous investors awaited news of a possible Greek bail-out, led by Germany. See article

Ben Bernanke outlined the exit strategy the Federal Reserve would take to tighten credit once the economy recovers. He raised the possibility of using the interest rate the Fed pays banks for reserves they maintain at the central bank, which have soared, as a guide to its main operating policy, as the current federal funds rate “could for a time become a less reliable indicator…of conditions in short-term money markets”.

L'ipotesi che è stata avanzata ieri per aiutare la Grecia comprende l'acquisto delle obbligazioni del paese da parte di alcune banche dell'area euro ma anche aiuti dal FMI e anche accordi bilaterali.

La crisi greca e la lentezza dell'intervento da parte degli altri paesi dell'area euro sembra scoraggiare Lettonia ed Estonia nella loro marcia di avvicinamento all'euro. Le cifre sulla crisi in Lettonia sono spaventose:

Enthusiastic for years about adopting the euro, Latvia had undertaken painful austerity measures. Even as the global economy contracted, the government slashed spending. The program included cuts of 50 percent or more in the salaries of public-sector employees and a 40 percent reduction in hospital budgets.

The result, many economists say, has been deepening unemployment and the worst recession of any country in the 27-nation European Union.

Latvia’s gross domestic product has declined by an estimated 24 percent since the recession began — a steeper drop than America’s during the Great Depression. 

La discussione sui bonus alle banche continua... vi segnalo quanto scrive Brad De Long su SeekingAlpha:

I think Wall Street CEOs wealth needs to be tied to their firms: if their firms go broke--or would have gone broke in the absence of government rescue--they should go broke. Bank shareholders ought to be writing compensation contracts that enforce that, as indeed Silicon Valley VCs do.

And since bank shareholders don't write such contracts, the government needs to change the law to force such Silicon Valley compensation schemes onto the banking sector.

That said, I think Jamie Dimon deserves all the money he is getting: JPMorgan Chase (JPM) was a stabilizing speculator in the financial crisis, doing what we want it to do; he showed a great deal of guts in guiding the bank to a position short subprime before the crash, and he should be rewarded.

Concludo segnalandovi (con un mese di ritardo...) le belle interviste agli economisti di Chicago realizzate per il New Yorker da John Cassidy: per cominciare vi consiglio l'intervista a John Cochrane, che ho finalmente avuto il tempo di leggere oggi in treno. La trovo ricca di spunti importanti, specialmente nella discussione dell'ipotesi dei mercati efficienti, probabilmente finirò per usarla anche a lezione.

Un'economia senza rughe?

Ho finalmente avuto il tempo di leggere un eccellente articolo di Satyajit Das sullo stato dell'economia, che secondo Das si è fatta il lifting con la tossina botulinica delle iniezioni di liquidità da parte delle banche centrali: lo raccomando a tutti. La prima parte la trovate qui, la seconda qui. Das è l'autore di Traders, Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives,  un eccellente saggio del 2006 sui derivati e il loro (mis)uso, del quale è appena uscita una nuova edizione aggiornata. Per avere un assaggio delle tesi dell'autore potete leggere questa sua intervista: ACEMAXX-ANALYTICS: Interview: Satyajit Das, Risk Consultant.  Eccovi l'incipit:

Industry lobbyists focus on the use of derivatives to hedge and manage risk promoting investment and capital formation. While derivatives can play this role, derivatives are now used extensively for speculation - "manufacturing" risk and "creating" leverage.
Derivative volumes are inconsistent with "pure" risk transfer. In the credit default swap market (CDS) market, volumes were in excess of four times outstanding underlying bonds and loans. Speculators may facilitate markets but recent experience suggests that in stressful conditions they are users rather than providers of scarce liquidity and amplify systemic risks.
Relatively simple derivative products provide ample scope for risk transfer. Increasingly complex and opaque products are used to increase risk and leverage as well as circumvent investment restrictions, bank capital rules, securities and tax legislation.
Few, self interested industry participants are prepared to admit the unpalatable reality that much of what passes for financial innovation is specifically designed to conceal risk or leverage, obfuscate investors and reduce transparency. The process is entirely deliberate. Efficiency and transparency is not consistent with high profit margins on Wall Street and the City. Financial products need to be opaque and priced inefficiently to produce excessive profits.

Non si può negare che i banchieri abbiano imparato a usare le opzioni in modo impeccabile: ecco un mirabile esempio di dynamic hedging: titola il New York Times di oggi



Irked, Wall St. Hedges Its Bet on Democrats
By DAVID D. KIRKPATRICK
Bankers, unhappy at the president’s proposals for tighter financial regulations, are shifting donations to Republicans.


Scherzi a parte, il tempo passa,  le riforme aspettano e le lobby sono sempre più in allarme...ecco cosa scriveva il Financial Times sul clima che si respirava tra i banchieri convenuti a Davos:

Protesters were handing out leaflets in the streets of Davos at the weekend. But their anger was not directed against world poverty, nuclear power or war; instead they were demanding that banks should put their derivatives business on to exchanges to make the financial system more transparent.
It is a potent reminder of how issues about financial stability dominated the agenda at the World Economic Forum last week. For most of the past decade, banks have used the WEF in Davos as a lavish opportunity to entertain clients. Last week they were fighting to fend off a wave of controls on sectors ranging from bonuses to proprietary trading and derivatives.
International supervisors, led by the Financial Stability Board and the Basel Committee on Banking Supervision, are pondering how and when they should change the levels of capital and liquidity that banks will have to hold in future. Moreover, in recent weeks, politicians – Barack Obama, the US president, Alistair Darling, the UK chancellor, and Nicolas Sarkozy, the French president – have weighed in with measures, short-circuiting the more consultative regulatory response.
Whether the banks could claim victory for their lobbying at Davos remains unclear, partly because the financial industry is fighting on many fronts. One issue that dominated discussion at the WEF wasproprietary trading – and a putative move by the Obama administration to ban the activity at banks that take insured deposits.
Most bankers vociferously opposed the idea.

Ancora sulla Grecia e sull'occupazione negli U.S.A. Aggiornamento al 5 febbraio 2010.

La crisi legata al debito greco e le sue ripercussioni sull'area euro e sul carry trade che ha sostenuto la ripresa degli asset rischiosi nei 9 mesi da marzo a dicembre 2009 sono imputate dai più come colpevoli dell'indebolimento complessivo dei mercati azionari e delle materie prime. I dubbi sui debiti dei PIIGS (Portugal, Italy, Ireland, Greece and Spain) alimentano la speculazione, anche se per il momento l'Italia non sembra essere ancora nel mirino.  Scrive il NYTimes di oggi:

The stakes are high not just for Greece but for the entire euro zone, where efforts to forge a common economic identity are threatened by the financial crisis. Last week, the panic spread to Portugal and Spain, and the cost of insuring their debt against a default soared to record levels as investors bet that, like Greece, governments in those countries won’t be able to rein in bloated budgets.
“The risk of contagion is a real one,” said Scott Thiel, the head of European fixed income at the asset management firm BlackRock in London. “Investor sentiment is now focused on countries like Spain and Portugal, where fundamentals are weakest.” He said that for now, he saw little risk for Italy, given the relative stability of its economy.


Non tutti sostengono che la via obbligata del governo greco siano i tagli e la recessione: un'eccezione notevole è data da Stiglitz, secondo il quale l'Europa dovrebbe intervenire e sostenere il governo greco:

“What we learned in Asia in 1997 was that the advice of cut, cut, cut made recessions worse,” said Mr. Stiglitz. He said he has advised Mr. Papandreou to look for ways to stimulate the economy, such as increasing credit to small businesses, and said he believes Europe should be more aggressive in coming to Greece’s aid.

Nel frattempo anche il debito U.S.A. è sempre più sotto osservazione, e i CDS raggiungono il massimo degli ultimi 9-10 mesi.
Krugman insiste tuttavia che non si tratta di un problema, almeno nel medio-breve termine:

Let’s talk for a moment about budget reality. Contrary to what you often hear, the large deficit the federal government is running right now isn’t the result of runaway spending growth. Instead, well more than half of the deficit was caused by the ongoing economic crisis, which has led to a plunge in tax receipts, required federal bailouts of financial institutions, and been met — appropriately — with temporary measures to stimulate growth and support employment.
The point is that running big deficits in the face of the worst economic slump since the 1930s is actually the right thing to do. If anything, deficits should be bigger than they are because the government should be doing more than it is to create jobs.
True, there is a longer-term budget problem. Even a full economic recovery wouldn’t balance the budget, and it probably wouldn’t even reduce the deficit to a permanently sustainable level. So once the economic crisis is past, the U.S. government will have to increase its revenue and control its costs. And in the long run there’s no way to make the budget math work unless something is done about health care costs.
But there’s no reason to panic about budget prospects for the next few years, or even for the next decade. Consider, for example, what the latest budget proposal from the Obama administration says about interest payments on federal debt; according to the projections, a decade from now they’ll have risen to 3.5 percent of G.D.P. How scary is that? It’s about the same as interest costs under the first President Bush.

I dati sull'occupazione USA di venerdì scorso
indicano un tasso di disoccupazione in calo dal 10% al 9.7%:
la situazione resta però molto grave e in molti pensano che questo miglioramento sia dovuto più alle incertezze legate al calcolo degli occupati, che diventano ancora più gravi al passaggio dell'anno (dicembre-gennaio), che non a un effettivo segnale di ripresa. Il grafico qui accanto, che confronta l'andamento dell'occupazione durante l'ultima recessione con quelle del passato, rende ancora più evidente quanto drammatica sia la crisi  negli U.S.A.


Ecco l'aggiornamento al 5 febbraio 2010.

Per chi fosse curioso, ecco il comportamento delle 6 asset class durante la recente "correzione", cioè dalla chiusura dell'8 gennaio scorso:

Euro Government Bond 30yr	EUR	1.71%
Ftse EPRA/NAREIT Global	USD	-6.55%
S&P500	USD	-6.88%
EuroStoxx	EUR	-11.38%
CRB	USD	-11.08%
Eur/USD	N/A	-4.61%

Il debito greco, i dubbi sull'eurozona, l'elogio della noia di Krugman e quando un grafico vale mille parole

Saluti ai lettori da Parigi! Con qualche giorno di ritardo vi segnalo l'analisi del debito greco sul New York Times di venerdì scors e l'editoriale pubblicato ieri sullo stesso giornale sulle ripercussioni sull'eurozona. Scrive il NYTimes:

The euro is facing the most serious crisis in its 11-year history. Greece, one of 16 European Union members that uses the currency, must raise $76 billion this year — more than $50 billion of it before June 30 — or default. A default would threaten the euro’s global credibility, scare investors away from other struggling European economies and likely reverse Europe’s fragile recovery.

Despite those very real dangers, Europe’s richer nations — most loudly Germany — have been acting as if this is someone else’s problem. Last week, the French newspaper Le Monde reported that Germany and France had begun contingency planning for possible financial assistance. Both governments denied it. We hope the report turns out to be true. Failing to develop a plan to step in if needed would be incredibly shortsighted. (...)

The economic fortunes of all the euro-using countries are too tightly linked to contain the crisis to one of them. And Greece may not be alone for long. Similar financing crises could soon hit Ireland, Spain and Portugal. Market anxieties threaten the currencies of Poland, Hungary and the Czech Republic.



(...) Nor should the entire burden fall on Greece — one of the European Union’s smaller and poorer economies. Any bailout must be accompanied by greater restraints on the fiscal sovereignty that Athens so egregiously abused. Letting Greece fail would be a disaster for all of Europe.

All'analisi delle conseguenze del debito sovrano, sia della Grecia che di altri paesi sviluppati inclusi il Giappone e gli Stati Uniti, è dedicata l'ultimo weekly commentary  di John Mauldin ispirato dalla lettura dell'eccellente
This Time is Different: Eight Centuries of Financial Folly di Reinhart e Rogoff (e che sto leggendo, un gradito regalo del mio amico Antonio; se proprio non volete comprarvelo potete dare un'occhiata a un quasi omonimo articolo degli stessi autori qui). Scrive John Mauldin:

When Russia defaulted on its debt and sent the world into crisis in 1998, they had
total debt of only €51 billion. Greece now has €254 billion and added another €8 billion
this week, and needs to add another €24 billion (or so) later this year. That’s a debt-to-
GDP ratio of over 100%, well above the limit of the treaty, which is 60%.
Greece benefitted from being in the Eurozone by getting very low interest rates,
up until recently. Being in the Eurozone made investors confident. Now that confidence
is eroding daily. And this week’s market action says rates will go higher, without some
fiscal discipline. To help my US readers put this in perspective, let’s assume that Greece
was the size of the US. To get back to Maastricht Treaty levels, they would need to cut
the deficit by 4% of GDP for the next few years. If the US did that, it would mean an
equivalent budget cut of $500 billion dollars. Per year. For three years running.
That would guarantee a very deep recession. Just a 10% suggested pay cut has
Greek government unions already planning strikes. Nevertheless, the government of
Greece recognizes that it simply cannot continue to run such huge deficits. They have
developed a plan that aims to narrow the shortfall from 12.7% of output, more than four
times the EU limit, to 8.7% this year. That reduction will be achieved even though the
economy will contract 0.3%, the plan says. The deficit will shrink to 5.6% next year and
2.8% in 2012.
The market is saying they don’t believe that will happen.

Ma se Atene piange....Sparta non ride..: proprio ieri
 il presidente Obama ha presentato un budget da quasi 4000 miliardi di dollari:

President Obama declared in presenting his new 10-year budget proposal on Monday that “our fiscal situation remains unacceptable,” but he insisted that the country pursue his ambitious domestic agenda despite facing swollen budget deficits for the foreseeable future.

“Just as it would be a terrible mistake to borrow against our children’s future to pay our way today, it would be equally wrong to neglect their future by failing to invest in areas that will determine our economic success in this new century,” Mr. Obama said at the White House.
The budget projects that the deficit will peak at nearly $1.6 trillion in the current fiscal year, a post-World War II record, and then decline but remain at economically troublesome levels over the remainder of the decade. In the coming fiscal year 2011, which begins in October, the projected shortfall would be under $1.3 trillion.


e il dollaro, continuando la sua correlazione negativa con i mercati azionari, si è leggermente indebolito perdendo quasi l'1% in due giorni.

Continuano le rivelazioni sulla crisi finanziaria:   si scopre così (possibile che si davvero una scoperta?) che l'A.I.G. non faceva scommesse con i C.D.S solo a Londra: 

Ever since the American International Group nearly collapsed, the conventional wisdom has been that the exotic derivatives that drove it to the brink were the product of a lone, unregulated subsidiary in London. The Federal Reserve chairman, Ben S. Bernanke, called the London branch “a hedge fund, basically, attached to a large and stable insurance company.”
But the suggestion that A.I.G.’s core insurance business did not dabble in derivatives is not quite true. One of its biggest insurance units, incorporated in Delaware, was also dealing in the derivatives known as credit-default swaps, according to regulatory filings with the state.
Though the Delaware division had a much smaller portfolio of those swaps than the London unit, and its portfolio did not pose a similar risk to the world financial system, the very presence of the swaps in a regulated insurance company points to a weakness in insurance oversight.
There is a continuing dispute over whether such swaps are insurance products or something else; who, if anyone, should regulate them; and whether insurers should have to set aside reserves to secure the promises that swap contracts make. A.I.G.’s insurance business did not set aside such reserves.
Efforts afoot now in Washington to strengthen financial regulation tend to focus on banking, with insurance, which is regulated by the states, almost an afterthought. (...)
“We have a desperate need for federal regulation and federal disclosure by the insurance companies,” Mr. Whalen (co-founder of Institutional Risk Analytics, a research firm) said. “But even after A.I.G., we still don’t have a proposal for federal regulation, or even enhanced disclosure, and that’s the dirty secret here.”
Credit-default swaps, in essence, work like bond insurance, in which the issuer promises to make a bondholder whole in case of problems like a default. But the swaps differ from conventional insurance in important ways. There are no required reserves, for instance. And any institution can buy the swaps — not just bondholders.
That has led critics to liken the use of swaps to buying insurance on a neighbor’s house, in hopes of a payday when he has a fire. A.I.G.’s London branch used these swaps in huge volume, causing a disaster when the purchasers all descended at once, demanding payments, and A.I.G. ran out of money.(...)
“I don’t think an insurance commissioner should tread on the toes of the banking industry,” said Karen Weldin Stewart, the commissioner in Delaware. “This started out as a bank product.”
Her special deputy for examinations, John Tinsley, explained the reasoning. “In insurance, you’re putting together a pool,” he said. Each customer would be charged a premium based on the total risk of the pool.
A credit-default swap cannot be insurance, Mr. Tinsley said, because it does not involve a pool. There is just one seller and one buyer for every contract.
“It’s an investment product,” he said. “It’s closer to buying an option.”
Not everyone agrees. Eric R. Dinallo, New York State’s insurance superintendent when A.I.G. imploded, said he believed credit-default swaps were insurance and should be regulated as such.


Continua così il dibattito sulla regolamentazione delle banche e in generale dei prodotti finanziari... Paul Krugman elogia il modello canadese di banche "noiose": molte delle sue considerazioni mi trovano istintivamente d'accordo, mi ricordano un po' i discorsi di Taleb di banch come utlilities




A chi non piacerebbe conoscere il futuro? (Umanissima debolezza che però tende a sottovalutare il rischio di sorprese spiacevoli e a sopravvalutare le proprie capacità di sottrarsene). Gli economisti bravi, a volte accusati di essere stregoni o cartomanti da uomini politici, più che predire il futuro cercano di dare strumenti di analisi: per questo vi raccomando l'eccellente collezione di grafici che Brad De Long ha raccolto su SeekingAlpha. Se temete l'inflazione date un'occhiata a questo grafico:

 

e poi al tristissimo 

che cancella quasi 30 anni di progressi...coraggio America!