lunedì 31 maggio 2010

Gli investitori a caccia di un po' di sicurezza

Il Wall Street Journal osserva come in Europa il mercato interbancario in dollari si sia fondamentalmente paralizzato sulle scadenze superiori a un mese. La situazione sta creando un po' di imbarazzo e sottolinea la necessità di procedere con una certa decisione nell'opera di ristabilimento della fiducia nel sistema bancario europeo: But Europe still needs to act aggressively to restore confidence in its banking system and reduce stress in funding markets.
First, the euro zone needs to approve the €750 billion ($927 billion) bail-out package agreed three weeks ago. Second, individual countries must press ahead with austerity packages and, equally important, initiate the labor-market reforms vital to improving competitiveness. Finally, the European Union should commit to a full stress-test of its banking system and, where necessary, commit to further recapitalizations, as U.S. Treasury Secretary Timothy Geithner recommended this week. That might just bring U.S. investors back on board. 

Intanto sul New York Times di oggi si discute sul rischio che l'Europa finisca in deflazione:

(...) some economists say it has become a driving obsession that has blinded the bank to a potentially bigger threat to Europe: deflation.
The central bank’s doubters grew louder after it made a big show of taking measures to cancel out the supposed inflationary impact of the government bond purchases it began on May 10 to help keep Greece and several other euro zone countries from defaulting on their debts.
“It’s nuts: how can they be concerned about the inflationary impact of this?” said Carl B. Weinberg, chief economist of High Frequency Economics in Valhalla, N.Y. “If I were the head of the E.C.B., I would be printing money to avert the decline in the money supply.”
Many economists regard deflation as more dangerous than inflation, because it prompts consumers to delay purchases as they wait for lower prices, creating a downward spiral of lower demand and production. Deflation is also bad for debtors like Greece, because they may have to pay back money that would be worth more than it was when they borrowed it.
Economists like Mr. Weinberg — and a few policy makers as well — are beginning to worry that a danger of deflation in Europe, similar to the one that strangled Japanese growth for most of the 1990s, is a bigger threat than inflation.
Prices fell in Ireland in April, while inflation was below 1 percent in five other euro zone countries. The problem also extends outside the euro zone.
“We all share some risks and problems in common with Japan circa 1995,” Adam S. Posen, a member of the Bank of England’s monetary policy committee, told an audience at the London School of Economics on May 2.
The United States is also at risk, Mr. Posen said, though he rated the chances of deflation there as low. But just as Japan did in the 1990s, the European Central Bank and the United States Federal Reserve have cut interest rates close to zero while pumping huge amounts of credit into their economies. That means the two central banks would have limited policy tools left with which to combat a collapse in prices and demand.
The downward pressure on prices has its roots in the economic decline that followed the 2008 financial crisis, but Europe’s sovereign debt problems are likely to add extra impetus. Governments, including those of Spain and Germany, are sharply reducing spending to lower their deficits, which will inevitably curb consumer demand and employment, hindering growth.(...)
Spanish core inflation already turned negative in April.
A mild decline in prices in a few euro zone countries can be managed, economists say, but it will add to the risks of deflation. And the central bank will face more difficulty than usual in devising a monetary policy that fits both the ailing countries and the faster-growing economies like Germany and France.(...)
The recent decline of the euro against the dollar could create some inflation. Oil and other commodities are priced in dollars and could become more expensive in euros.
Still, few economists see prices rising. “There is no reason to fear high inflation for the time being,” Simon Junker, a Commerzbank analyst, said in a note.

Vi segnalo tre post di Brad De Long:
  • Come prevedere i rendimenti futuri delle azioni USA?  La conclusione è moderatamente ottimista: It's hard to see there being a large, permanent wedge between average real stock returns on the one hand and average earnings yields on the other. With trend earnings on the DJIA somewhere around 600 and with Treasury rates as low as they are, it's hard to argue that U.S. stocks will be outperformed by other asset classes over any even moderately long horizon. Vorrei dedicare un post all'argomento appena trovo un po' di tempo.
  • La legge di Walras in azione: ma dove sono le obbligazioni sicure?... 
  • ...e infatti gli investitori a caccia di titoli di alta qualità fanno volare le obbligazioni trentennali del Tesoro USA, con rendimenti ormai appena superiori al 4%. Scrive De Long: In late May, the yield to maturity of the 30-year United States Treasury bond was 4.07% per year – down a full half a percentage point since the start of the month. That means that a 30-year Treasury bond had jumped in price by more than 15%. So a marginal investor was willing to pay more than 15% more cash and more than 30% more equities for US Treasury bonds at the end of the month than at the beginning. This signals a remarkable shift in relative demand for high-quality and liquid financial assets – an extraordinary rise in market-wide excess demand for such assets.

    Why does this matter? Because, as economist John Stuart Mill wrote in the first half of the nineteenth century, excess demand for cash (or for some broader range of high-quality and liquid assets) is excess supply of everything else. What economists three generations later were to call Walras’s Law is the principle that any market in which people are planning to buy more than is for sale must be counterbalanced by a market or markets in which people are planning to buy less.
    We have seen this principle in action since the early fall of 2007, as growing excess demand for safe, liquid, high-quality financial assets has carried with it growing excess supply for the goods and services that are the products of ongoing human labor. This is true to such an extent that there is now a 10% gap between the global economy’s current output and what it would be producing if it were in its normal relatively healthy state of near-balance.
    And global financial markets are now telling us that this excess demand for safe, liquid, high-quality financial assets has just gotten bigger.
    To some small degree, a change in investor sentiment has induced the rise in excess demand for such assets. After all, we can assume that the animal spirits of investors and financiers has been further depressed as a psychological reaction to the exuberant belief just a few years ago in the powers of financial engineering.
    But most of the recent shift has come not from an increase in demand for safe, liquid, high-quality financial assets, but from a decrease in supply: six months ago, bonds issued by the governments of southern Europe were regarded as among the high-quality assets in the world economy that one could safely and securely hold; now they are not.

domenica 30 maggio 2010

La fine dell'euro? Atene addio?

Fino al due giugno potete partecipare al sondaggio/dibattito sul futuro dell'euro promosso dall'Economist: la tesi del settimanale inglese è che alcuni paesi lasceranno l'euro entro 10 anni. Naturalmente gran parte della discussione si concentra sulla possibilità o meno che la Grecia superi la crisi in cui si trova senza abbandonare la moneta unica. L'abbandono dell'euro potrebbe permetterle una svalutazione competitiva, ma i sostenitori della permanenza dell'euro osservano che il debito si rivaluterebbe (essendo stato emesso in euro) tranne nel caso di un default che sarebbe meglio gestibile restando all'interno della moneta unica. Il merito del dibattito è di rendere assolutamente trasparente come la scelta sia "tra la padella e la brace". Voi cosa ne pensate?

Se volete un assaggio di come viene vista la crisi della zona euro dagli investitori americani potete leggere la lettera di John Mauldin di questa settimana. Ecco come si pronuncia sulla crisi greca e sulle ripercussioni nella zona euro e per le banche europee:

We all know that Greek government deficits are somewhere around 14%. But their trade deficit is running north of 10%. (By comparison, the US trade deficit is now about 4%.)
Going back to the equation, if Greece wants to reduce its fiscal deficit by 11% over the next three years, then either private debt must increase or the trade deficit must drop sharply. That's the accounting rules.
But here's the problem. Greece cannot devalue its currency. It is (for now) stuck with the euro. So, how can they make their products more competitive? How do they grow their way out of their problems? How do they become more productive relative to the rest of Europe and the world?
Barring some new productivity boost in olive oil and produce production, there is no easy way. Since the beginning of the euro, Germany has become some 30% more productive than Greece. Very roughly, that means it cost 30% more to produce the same amount of goods. That is why Greece imports $64 billion and exports $21 billion.
What needs to happen for Greece to become more competitive? Labor costs must fall by a lot. And not by just 10 or 15%. But if labor costs drop (deflation) then that means that taxes also drop. The government takes in less and GDP drops. The perverse situation is that the debt to GDP ratio gets worse even as they enact their austerity measures.
In short, Greek life styles are on the line. They are going to fall. They have no choice. They are going to willingly have to put themselves into a severe recession or more realistically a depression.
Just as British incomes relative to their competitors will fall, Greek labor costs must fall as well. But the problem for Greeks is that the costs they bear are still in euros.
It becomes a most vicious spiral. The more cuts they make, the less income there is to tax, which means less government revenue which means more cuts which mean, etc.
And the solution is to borrow more money they cannot at the end of the day hope to pay. All that is happening is that the day of reckoning is delayed in the hope for some miracle.
What are their choices? They can simply default on the debt. Stop making any payments. That means they cannot borrow any money, but it would go along way toward balancing the government budget. Government employees would need to take large pay cuts and there would be other large cuts in services. It would be a depression, but you work your way out of it. You are still in the euro and need to figure out how to become more competitive.
Or, you could take the austerity, downsize your labor costs and borrow more money which means even larger debt service in a few years. Private citizens can go into more debt. (Remember, we have to have our balance!) This is also a depression.
Finally, you could leave the euro and devalue like Britain is going to do. Very ugly scenario, as contracts are in euros. The legal bills would go forever.
There are no good choices for the Greeks. No easy way. And then you wonder why people worry about contagion to Portugal and Spain?
I see that hand asking a question. Since the euro is falling won't that make Greece more competitive? The answer is yes and no. Yes, relative to the dollar and a lot of emerging market currencies. No to the rest of Europe, which are their main trade partners. A falling euro just makes economic export power Germany and the other northern countries even more competitive.
Europe as a whole has a small trade surplus. But the bulk of it comes from a few countries. For Greece to reduce their trade deficit is a very large life style change.
Germany is basically saying you should be like us. And everyone wants to be. Just not everyone can.
Every country cannot run a trade surplus. Someone has to buy. But the prescription that politicians want is for fiscal austerity and trade surpluses, at least for European countries. But if the PIIGS reduce their trade deficits, that will not be good for Germany.
Yet politicians want to believe that somehow we all can run surpluses, at least in their country. We can balance the budgets. We can reduce our debts. We all want to believe in that mythical Lake Woebegone, where all the kids are above average. Sadly, it just isn't possible for everyone to have a happy ending.
And this brings us to a last quick point, which some day will be its own letter. Every country wants it currency to be valued "fairly" which means lower than its competitors. With both Europe and Britain on their way to parity with the US dollar, what will be the reaction of Asia and especially China?
As Ollie said to Stan (Laurel and Hardy), "Here's another nice mess you've gotten me into!" A nice mess indeed.
Should the US Bail Out European Banks?
The obvious answer to the above question, at least on this side of the Atlantic, is no. But that is the plan being foisted on US tax-payers by the International Monetary Fund. The IMF wants to create a $250 billion dollar bailout fund for Greece, Portugal, et al that the US will contribute roughly 20% to. This fund will loan money and that IMG debt will be subordinate (junior!) to regular Greek debt, so when Greece does default, and they will, the IMF is the last in line to get paid.
Where will the money go? It will buy mostly Greek rollover debt from European banks getting out of their Greek debt. It is a back door bailout for German and French banks. The US Senate voted 94-0 that the US should not fund any such debt if the Treasury cannot certify the probability of getting repayment. If the Obama administration allows this funding to go through, the hue and cry will be large. It is bad enough that we have to pay for Freddie and Fannie (already $400 billion and counting!). Not meaning to be churlish, but the French and Germans can bail out their own banks.

Se pensate che siano solo gli americani a essere pessimisti potete leggere l'ultimo editoriale di Martin Wolf: dopo la cicala e la formica di un paio di giorni fa è il momento di Father and son: 

What triggered this aftershock was the revelation that Greece had lied about its fiscal position, followed by the inability of the eurozone to respond: Germans were outraged at the idea that they should rescue irresponsible profligates; others thought the Germans inflexible bullies. So the Europeans made the same mistake as the Americans had made when responding to financial worries: they let the crisis get ahead of them.”
“But they bailed out Greece,” said the boy. “So why all the turbulence?”
“The big point is that investors are not altogether stupid: they know these are temporary patches; they know Greek indebtedness is going to worsen; they know that other countries in peripheral Europe will find it hard to grow out of their plight; they know that solidarity among eurozone member countries is fraying; they knowGermans are very angry; and they know that inadequately capitalised banks are vulnerable to sovereign risks. All this makes the euro seem a worse bet. So it has fallen in value.”
“I understand that,” replied Bobby. “But won’t that help the eurozone?”
“Yes,” agreed his father. “But it will worsen prospects elsewhere – in the UK and US, for example. And then there’s the worry that these countries have huge fiscal difficulties, too. The markets don’t seem to mind now. But they might change their view. Worse, they don’t know what to fear: will it end up in deflation, default, inflation, financial shocks, or all of these? Markets are unpredictable, like children.”
Bobby decided not to respond to this teasing. “So,” he asked thoughtfully, “what’s going to happen next?”
“If I knew that, I wouldn’t be a mere economic journalist,” his father said.
Bobby smiled: a familiar remark.
His father did not notice. “Maybe, the momentum gained by the US and the big emerging markets, especially China, will let the world ride through the shocks. The OECD calls the outlook ‘moderately encouraging’.
“Alternatively, you could argue that the massive fiscal deficits are unsustainable and that attempts to rein them in, in the eurozone and UK, are going to cause renewed recession and political strife. We have also barely begun reducing private debts, which will take years. The banks are far too big and have too many doubtful assets on their books. Meanwhile, emerging countries are too small and weak to be locomotives for the world. Some people worry that China is overheating or suffering from huge asset price bubbles, too, though I disagree. And then there is geopolitical uncertainty over North Korea and Iran. In short, markets are volatile because of all the uncertainty out there.”
Bobby was beginning to find this familiar: his father tended to see the gloomy side. But he could be wrong, as his mother enjoyed pointing out.
“Anyway,” concluded his father, “these aftershocks are likely to go on for years, with fiscal worries undermining confidence in the financial sector and back again. It will affect you, too: western governments are going to be short of money for decades. It’s going to be miserable. But you can learn Chinese and go east.”
Bobby groaned. It sounded like hard work. But he went off quietly to bed. What nightmares disturbed him?
Infine non mi sono sorpreso troppo scoprendo che c'è chi contesta lo status di guru raggiunto da Nouriel Roubini  ma io continuo a trovarlo uno degli economisti più interessanti da leggere e da ascoltare.

sabato 29 maggio 2010

Quando la notte è più scura l'alba è vicina? Aggiornamento al 28 maggio 2010

L'AAII (American Association of Individual Investors) da molti anni svolge un sondaggio settimanale sulle prospettive future del mercato azionario: i soci sono invitati a scegliere una delle tre possibilità (bullish, neutral, bearish) e i risultati sono riportati sul sito web dell'associazione. Il livello di pessimismo registrato durante l'ultima settimana è particolarmente alto: secondo Charles Rotblut, il direttore del giornale dell'AAII  Bearish sentiment, expectations that stocks will fall over the next six months, surged 17.2 percentage points to 50.9%. This is the highest level of pessimism recorded in the survey since November 5, 2009. The historical average is 30%. (...) The level of pessimism is high from a historical perspective. Bearish sentiment has only been at 50% or higher 58 times since the survey started in 1987. Though unusually high levels of bearish sentiment have corresponded with market bottoms, there have been 10 periods when an initial rise in bearish sentiment above 50% has been followed by at least a second reading above 50% within a four-week period.

Intanto il Libor raggiunge nuovi massimi: 

La performance dei mercati azionari da inizio anno ad oggi non è stata certamente esaltante... Tenendo conto che gli investimenti in liquidità rendono poco o nulla non è facile ottenere rendimenti positivi in questo periodo. Spicca dunque la performance dell'asset allocation che seguiamo settimanalmente: un portafoglio equipesato nei due asset che occupano le prime due posizioni nella tabella settimanale avrebbe reso il 5.3% in questi cinque mesi. Rendimento che sale al 7.4% includendo l'asset che occupa la terza posizione.

Il quadro riepilogativoa al momento attuale  non sembra significativamente migliore di una settimana fa anche se c'è qualche timido segno di miglioramento: ecco l'aggiornamento al 28 maggio 2010.

Quando l'indice è fondamentale

Dopo un decennio di borsa come quello che ci siamo appena lasciati alle spalle non è sorprendente che il dibattito sulle strategie di investimento passive diventi sempre più vivace: in questo articolo viene esposta la tesi di Robert Arnott a favore della sostituzione degli indici ponderati sulla capitalizzazione con indici ponderati sui fondamentali (profitti, fatturato, dividendi, ecc) :

Arnott's Big Idea is a concept he calls "fundamental indexing." It's a system that allocates money to stocks based on the economic footprint of the underlying companies rather than by the more common method of market capitalization. As we'll see, it's a near-revolutionary challenge to the accepted wisdom about passive investing. And it has already won over a range of large institutional clients, from the national pension fund of France to CalPERS, the $200 billion retirement fund for California's public employees. (...) Over the past five years Arnott's flagship index, the FTSE RAFI US 1000, offered as a mutual fund (SFLNX) by retail giant Charles Schwab and an ETF (PRF) by Invesco PowerShares, has delivered returns of 4.3% a year through tumultuous markets, beating the S&P 500 (SPX) by 2.4 percentage points annually. And his $21 billion All Asset funds, which invest in a wide variety of securities from around the globe and which Arnott personally manages for Pimco, have garnered 8.6% average annual returns since 2002, vs. 7.5% for the MSCI world equity index -- and have done it with much less volatility.
Those extra percentage points of return look especially enticing right now, for a basic reason: The odds are that the investments of U.S. retirement savers won't live up to their expectations. Most academics agree that with current low bond and dividend yields -- a mere 3.2% and 1.8%, respectively -- traditional portfolios will produce lackluster longterm returns. Arnott argues convincingly that investors employing the standard mix of around 60% stocks and 40% bonds will be stuck with returns in the 5% range for years to come. For the majority of people that figure won't come close to satisfying their income requirements when they reach retirement age in 2030 or 2040. But Arnott swears that the power of fundamental indexing can lift the annual return to around 6.5% for a blend of stocks and bonds.
(...) Arnott quickly concluded that companies weighted by size, using almost any criteria, consistently outperformed capweighted indexes. For his index he settled on a formula that takes the average of four yardsticks: sales, cash flow, book value, and dividends. When companies pay no dividends, RAFI simply averages the other three. Over a 42-year span he found that a hypothetical index weighted by those four measures returned 2.1% more per year than cap-weighted funds. The advantage has been borne out since Arnott launched his indexes in late 2004. And a host of empirical studies by other researchers have proven that fundamental funds consistently beat cap-weighted competitors -- typically by about 2% annually.
Why do fundamental indexes fare far better? The principal reason is that they are regularly rebalancing their holdings by selling expensive stocks and buying cheap ones, relentlessly exploiting what's known as the "value effect." It's well established, both in academic studies and through decades of fund performance, that "value stocks," companies with low price/earnings multiples and low price/book ratios, perform better over time than expensive growth stocks that boast high P/Es. "The market does a good job choosing which companies will grow and which will shrink," says Arnott. "The problem is that investors pay too much for hot, glamorous growth stocks and set the bar too high." In the fundamental index, the rebalancing goes strictly by formula: When a company's market cap jumps faster than its sales or profits, the fund sells just enough of it so that its investment once again reflects not its price but its scale in the economy.
Arnott's critics claim that he's simply repackaging the value effect and calling it something revolutionary. "This is just old wine in new bottles," charges Cliff Asness, chief of hedge fund AQR Capital. "But I like the product." Arnott agrees that the value factor accounts for a lot of his outperformance but maintains his formula for systematically rebalancing into cheap stocks makes his fund far different, and far more original, than a cap-weighted value fund. "We're constantly trading against the market's most extreme bets," says Arnott.
L'articolo prosegue con un'analisi della performance degli indici fondamentali negli ultimi 3 anni, con notevoli alti e bassi. Per una discussione dettagliata di questi indici potete leggere questo articolo della rivista AIAF scritto da un autore di cui mi fido... 
Infine qui sotto potete ascoltare dalla viva voce di Arnott come funzionano gli indici fondamentali per i portafogli di obbligazioni

venerdì 28 maggio 2010

Un buon esempio di rischio politico?

Secondo l'OCSE le prospettive di crescita dell'economia mondiale sono considerevolmente migliorate: infatti economies will grow by 2.7% this year, an increase of 0.8 percentage points from what it thought likely in November last year. (...) the Greek economy to contract by 3.7% this year, (...) The only other OECD economies that will shrink this year are Iceland and Ireland (not shown) and Spain. The euro area will grow much more slowly than America, Australia, Canada or Japan, each of which should see GDP rise by at least 3%.

L'Economist dedica l'apertura proprio alle prospettive di crescita e alla paura di un ritorno della recessione che le previsioni OCSE sembrano allontanare ma che vengono alimentate dall'azione dei governi: 

IT’S not quite a Lehman moment, but financial markets are more anxious today than at any time since the global recovery took hold almost a year ago. The MSCI index of global stocks has fallen by over 15% since mid-April. Treasury yields have tumbled as investors have fled to the relative safety of American government bonds. The three-month inter-bank borrowing rate is at a ten-month high. Gone is the exuberance that greeted the return to growth (see article). Investors are on edge.
What lies behind these jitters? New nervousness about geopolitical risk, with tensions rising in the Korean peninsula, has not helped. But that comes on top of two wider worries.
One is about the underlying health of the world economy. Fears are growing that the global recovery will falter as Europe’s debt crisis spreads, China’s property bubble bursts and America’s stimulus-fuelled rebound peters out. The other concerns government policy. From America’s overhaul of financial regulation to Germany’s restrictions on short-selling, politicians are changing the rules in unpredictable ways (see article). And the scale of sovereign debts has left governments with less room to counter any new downturn; indeed, many of them are being forced into austerity.
The danger is that these fears reinforce each other in a pernicious reversal of the dynamics of 2008-09. Then, co-ordinated government action on a grand scale stopped the global financial crisis from turning into a depression. Now, thanks to incompetence and impotence, governments may become the problem that will drag the world economy down.

Don’t panic

That is far from inevitable. Fears about the fragility of the global recovery are exaggerated. Led by big emerging economies, the world’s output is probably growing at an annual rate of more than 5%, far swifter than most seers expected.
This pace will, and should, slow, not least because the big emerging economies need to tackle rising inflation and possible asset bubbles. (...) America’s growth may also slow as firms stop rebuilding their stocks and the government’s stimulus tapers off. But the world’s biggest economy does not seem on the verge of a second recession. (...) Growth prospects look grimmest in Europe. Yet even there the likely immediate outcome of the euro zone’s crisis is the enfeeblement of an already weak recovery, rather than a sudden slump. The region’s profligate economies will struggle for longer as austerity kicks in. But waning confidence will be mitigated by the boost that exports receive from the euro’s plunge.
Look only at those probable short-term prospects and it is hard to see why financial markets are suddenly in such a lather. The reason is that the risks of a far worse outcome have risen, and those risks lie mainly with governments.
(...) The world is nervous for good reason. Although the fundamentals are reasonably good, the judgment of politicians is often unreasonably bad. Right now that is what poses the biggest risk to the world economy.
Sempre dall'Economist vi segnalo tre articoli sulla riforma finanziaria (sia negli Stati Uniti sia le negoziazioni preliminari alla definizione di Basilea 3): 

mercoledì 26 maggio 2010

Formiche, cicale ma soprattutto abbasso il GDP!

Mentre la borsa di New York si avvia a chiudere leggermente in calo, dopo una giornata dall'avvio spumeggiante, con una progressione inversa a quella di ieri, vi propongo qualche buona lettura per la serata:
  • un lungo articolo sul New York Times di qualche giorno fa analizza l'ossessione USA per il net worth. Sono contento di non essere indebitato...
  • sempre sul New York Times magazine di un paio di settimane fa trovate un articolo divertente sulle alternative al G.D.P. come misura del progresso economico di una nazione. Capisco il problema ma il sospetto che la popolarità di questa tematica sia indissolubilmente legata alla crescita sempre più anemica dei paesi ricchi mi rimane...scrive il NYTimes:
(...)All the same, it has been a difficult few years for G.D.P. For decades, academics and gadflies have been critical of the measure, suggesting that it is an inaccurate and misleading gauge of prosperity. What has changed more recently is that G.D.P. has been actively challenged by a variety of world leaders, especially in Europe, as well as by a number of international groups, like the Organization for Economic Cooperation and Development. The G.D.P., according to arguments I heard from economists as far afield as Italy, France and Canada, has not only failed to capture the well-being of a 21st-century society but has also skewed global political objectives toward the single-minded pursuit of economic growth. “The economists messed everything up,” Alex Michalos, a former chancellor at the University of Northern British Columbia, told me recently when I was in Toronto to hear his presentation on the Canadian Index of Well-Being. The index is making its debut this year as a counterweight to the monolithic gross domestic product numbers. “The main barrier to getting progress has been that statistical agencies around the world are run by economists and statisticians,” Michalos said. “And they are not people who are comfortable with human beings.” The fundamental national measure they employ, he added, tells us a good deal about the economy but almost nothing about the specific things in our lives that really matter. (...)
  • si parla spesso del window dressing in finanza, sia per i fondi che per i bilanci delle banche: secondo il Wall Street Journal le maestre in questo campo sono...
  • man mano che gli indici scendono (come abbiamo visto domenica sono in caduta libera quasi tutti gli asset tranne le obbligazioni governative a lungo termine) si moltiplicano i consigli su come approffittarne...
  • le formiche tedesche, cinesi e giapponesi (giapponesi?? e il debito pubblico??) devono sopportare le cicale greche ma anche spagnole, portoghesi, irlandesi, inglesi e persino americane. Quelle tedesche fanno amicizia con le cicale europee, le convincono a promettere di comportarsi come le formiche, nasce l'euro e poi finisce male. Volete i dettagli? Sapere chi ha riscritto in questo modo la celeberrima favola di Esopo (un greco, mica per caso non vi pare)? La risposta? Click!
  • infine una nota di ottimismo per i fautori dell'analisi tecnica: le azioni sono talmente ipervendute (con il prezzo almeno una deviazione standard al di sotto della media mobile a 50 giorni) che la "correzione" potrebbe essere vicina alla fine (o a una pausetta...). Qui trovate un'ulteriore analisi della condizione presente del mercato da un punto di vista leggermente diverso. Ma non esaltatevi troppo: Wall Street ha appena ribasso!

lunedì 24 maggio 2010

Qualche lettura serale e la punta dell'iceberg

Per assoluta mancanza di tempo mi limito a segnalarvi degli articoli ai quali ho gettato un'occhiata o che spero di riuscire a leggere più tardi questa sera (o domattina in treno):

  • Seth Klarman sui mercati: l'oro è troppo caro per essere un buon investimento, cash is king? Sentite quello che ha da dire sullo zeitgeist: "We didn't get the value out of this crisis that we should have," Mr. Klarman told the audience. "For our parents or grandparents, it was awful to have had a Great Depression. But it was in some ways helpful to carry a Depression mentality throughout their later lives, because it meant they were thrifty with their money and prudent in their investment decisions." He added: "All we got out of this crisis was a Really Bad Couple of Weeks mentality."
  • L'opinione di Thomas Kaplan sull'oro è invece che sia ancora un ottimo investimento, altrochè: "I've reached a point where I feel the only asset I have confidence in is gold," Mr. Kaplan said in an interview at Tigris's midtown Manhattan headquarters.
  • I lobbysti al lavoro sulla legge di riforma finanziaria...
  • ...e pare che abbiano fatto il loro lavoro come si deve perchè dopotutto l'importanza di banche, assicurazioni, brokers, etc. non dovrebbe essere diminuita dalla riforma finanziaria USA, ...giusto una limatina al ROE?
  • Mohamed El-Erian ha probabilmente ragione a lamentarsi dei weekend rovinati dall'ansia delle numerose domande senza risposta di queste ultime settimane: First, is the Greek problem being treated for what it is (namely, a solvency problem) as opposed to what people wish it to be (a liquidity problem)?Second, are appropriate circuit breakers being put in place to limit the collateral damage for European growth and the global economy more broadly?
    And finally, how much have we done to prevent violent market selloffs that aren't driven by economic fundamentals but are motivated by investor overleverage and market illiquidity?
    I fear that markets may not get sufficiently reassuring answers any time soon to these questions. 

Sapete bene quanto io abbia a cuore il vostro buonumore: eccovi dunque per finire in bellezza un bel video di Nouriel Roubini sulla Grande morale? I problemi della Grecia sono solo la punta di un iceberg...

domenica 23 maggio 2010

venerdì 21 maggio 2010

USA=Giappone? Forse. Trichet=Bernanke? MI pare di no ma le critiche piovono su entrambi

Ahi ahi...forse gli USA non sono la Grecia ma assomiglia sempre di più al...Giappone...Ne parla oggi Krugman sul New York Times e vi assicuro che non è una buona notizia perchè il Giappone è un autentico paradosso vivente dal punto di vista economico-finanziario. Scrive Krugman

Despite a chorus of voices claiming otherwise, we aren’t Greece. We are, however, looking more and more like Japan.
For the past few months, much commentary on the economy — some of it posing as reporting — has had one central theme: policy makers are doing too much. Governments need to stop spending, we’re told.(...)
And what about near-record unemployment, with long-term unemployment worse than at any time since the 1930s? What about the fact that the employment gains of the past few months, although welcome, have, so far, brought back fewer than 500,000 of the more than 8 million jobs lost in the wake of the financial crisis? Hey, worrying about the unemployed is just so 2009.
But the truth is that policy makers aren’t doing too much; they’re doing too little. Recent data don’t suggest that America is heading for a Greece-style collapse of investor confidence. Instead, they suggest that we may be heading for a Japan-style lost decade, trapped in a prolonged era of high unemployment and slow growth.
(...) As of Thursday, the 10-year rate was below 3.3 percent. I wish I could say that falling interest rates reflect a surge of optimism about U.S. federal finances. What they actually reflect, however, is a surge of pessimism about the prospects for economic recovery, pessimism that has sent investors fleeing out of anything that looks risky — hence, the plunge in the stock market — into the perceived safety of U.S. government debt. What’s behind this new pessimism? It partly reflects the troubles in Europe, which have less to do with government debt than you’ve heard; the real problem is that by creating the euro, Europe’s leaders imposed a single currency on economies that weren’t ready for such a move. But there are also warning signs at home, most recently Wednesday’s report on consumer prices, which showed a key measure of inflation falling below 1 percent, bringing it to a 44-year low.
This isn’t really surprising: you expect inflation to fall in the face of mass unemployment and excess capacity. But it is nonetheless really bad news. Low inflation, or worse yet deflation, tends to perpetuate an economic slump, because it encourages people to hoard cash rather than spend, which keeps the economy depressed, which leads to more deflation. That vicious circle isn’t hypothetical: just ask the Japanese, who entered a deflationary trap in the 1990s and, despite occasional episodes of growth, still can’t get out. And it could happen here.
So what we should really be asking right now isn’t whether we’re about to turn into Greece. We should, instead, be asking what we’re doing to avoid turning Japanese. And the answer is, nothing.

Sempre dal New York Times vi segnalo un lungo articolo dedicato al governatore della BCE Trichet e alle critiche che la sua decisione di comprare obbligazioni governative. Le accuse a Trichet non sono molto diverse (anche se di spettro più limitato) di quelle che sono state fatte a Bernanke:

(...) A few days before, on May 6, Mr. Trichet had told reporters that the bank was not even considering buying bonds from the weakest governments of the shaken euro zone. On May 7, markets tumbled.
But a few hours after the leaders adjourned — at 3:15 a.m. on May 10, and by all accounts under severe pressure from President Nicolas Sarkozy of France and other European leaders — Mr. Trichet and the bank board members reversed themselves.
Mr. Trichet’s market-shaking change was controversial enough. But many analysts thought that he had badly misread the markets — and Europe’s politics — in the first place, and that he and the bank, which controls the euro, were too far behind the curve.
In Germany, with its historic dread of inflation, the intervention in bond markets was met with something approaching outrage. One member of Parliament called on Mr. Trichet to resign.
Axel A. Weber, president of Germany’s Bundesbank and a member of the European Central Bank’s Governing Council, distanced himself from the bond purchases in a rare display of internal discord. It was particularly impolite, given Mr. Weber’s ambition, supported by Chancellor Angela Merkel, to succeed Mr. Trichet after his term expires in 2011.
Jürgen von Hagen, an economist at the University of Bonn and seasoned central bank watcher, sounded almost betrayed by Mr. Trichet, who had made controlling inflation his watchword; as governor of the Bank of France in the 1990s, he made his name standing up to free-spending French politicians.
“I think he’s been a good president, particularly throughout the financial crisis,” Mr. von Hagen said before adding, “What we have seen in the last six weeks is terribly disappointing.”
Mr. Trichet has plenty of supporters, even among the inflation-wary Germans. Joschka Fischer, a former foreign minister, came to Mr. Trichet’s defense, praising him for acting intelligently in a crisis.
“We Germans, we love principles,” he said. “Principles are fine, but in the moment of crisis even George W. Bush transformed himself into an American Lenin and nearly nationalized banking.
“When the house is on fire, you don’t think of principles, but containing the fire. That’s the situation we’re in now.”
Whatever the merits of the argument, one thing is clear to outsiders: Mr. Trichet’s willingness to bend or break the rules and buy government bonds — aimed at halting a potentially catastrophic sell-off — served as final confirmation that the central bank had stepped once and for all beyond its narrow founding mission solely as a bulwark against inflation.
The European Central Bank now seems to have been pushed into the much larger role of guardian of financial stability in the 16 countries that belong to the euro area, with implications for all the 27 nations of the European Union.(...)

In entrambi i casi è bene ricordarsi del contesto nel quale delle decisioni controverse sono state prese: ecco un ripassino da un'altra colonna del NYTimes

Carmen M. Reinhart, an economist at the University of Maryland, College Park, said that a restructuring — or a partial default — by Greece seemed probable but was “no panacea.” While other European conditions may not require a restructuring of government debts, she said, “there is a pressing need to facilitate a restructuring of private debts, notably those of financial institutions.”
At most, the newest financing package buys time for other heavily indebted countries in Europe to impose austerity measures and restructure private debts, but “it does not change Greece’s, nor anyone else’s, levels of outstanding debts and their even more worrisome profile in the period ahead,” Ms. Reinhart said.
Peter Morici, a professor at the University of Maryland’s Smith School of Business, predicted that a default by Greece would result in much higher borrowing costs for Portugal, Spain and potentially other countries. “Crisis could easily spread from Europe to the United States, much as the recent U.S. mortgage and broader financial crisis spread to Europe,” Professor Morici said.
Mr. Tarullo laid out how that contagion could spread. If sovereign debt problems were to broadly affect Europe, American banks could face large losses on their overall credit exposures, as asset values declined and loan delinquencies mounted. Money market mutual funds that hold commercial paper and certificates of deposit issued by European banks also would be hurt. The result could be a further contraction in bank lending.
“Although we view such a development as unlikely, the swoon in global financial markets earlier this month suggests that it is not out of the question,” Mr. Tarullo said. 

E la riforma finanziaria USA? Ne parla lungamente il New York Times oggi sul quale trovate peraltro una tabella sintetica molto ben fatta che ne riepiloga i contenuti.

Il collasso delle materie prime, la regolamentazione finanziaria in Europa e negli USA

Oltre al flash crash del 6 maggio e alla "correzione" che i mercati azionari stanno attraversando si addensano le nubi sulle materie prime: secondo Barron's
WITH ALL THE ATTENTION FOCUSED on the so-called flash crash of May 6, there's been a nearly silent crash in commodities.
From copper to crude oil to corn, prices have been tumbling for the better part of a month.(...)
The commodities decline has been overshadowed by news of the European debt crisis, the oil-spill disaster in the Gulf of Mexico and the flash crash which caused a thousand points of fright in the Dow Jones Industrials a couple of weeks ago. But the slide in commodities has been picking up speed in the last week and, anomalously, has come against the backdrop of soaring gold, which hit a record price in dollars of $1,249 an ounce last week.
The proximate factor driving down commodities has been the rise in the dollar. "A strong dollar, all things being equal, equates to a weak commodity market. It has always been thus; it shall always be thus," writes Dennis Gartman, editor of the Gartman Letter, which is the first read in the morning for traders and investors around the globe.
In particular, Dr. Copper is looking sickly. "The metal with a PhD in economics," so named for its sensitivity to the global economy, is down more than 20% in the past month. headlined its chart of the day "Now This Is a Deflationary Collapse," which seemed no exaggeration as copper plunged 6.4% Monday.
Copper's slide joined other disquieting signs of slower global growth. Monday, the Shanghai Composite Index plunged over 5%, putting China's stock market into bear territory at more than 20% below its peak last year. (...) Traditionally, rising gold prices have pointed to higher commodity prices. Similarly, rising gold also has been associated to an increase in bond yields as well as a falling dollar.
In the last month, those historic relationships have been turned on their ear.(...)
That simplistic explanation leaves out the broader subtext of the debt deflation resulting from the austerity measures being enacted in Europe along with the impact of the multiple monetary tightening measures in China. In the U.S., meanwhile, the maximum effect from last year's fiscal and monetary stimuli may have been felt; tax hikes loom for next year and the Fed continues to mull how to shrink its balance sheet.
In the context of the deflationary impulses now being felt in the world's economy, the flight from commodities such as copper makes sense -- even as investors seek the haven of gold.

Il vento della deflazione rischia di affossare ulteriormente le borse. D'altronde il Wall Street Journal osserva ieri che l'inflazione USA è ai minimi da 44 anni, attestandosi allo 0.9% se si escludono l'energia e gli alimentari. Scrive il WSJ che
Europe, too, is grappling with weak or falling prices. That trend could exacerbate debt problems by affecting sales tax and other revenues governments need to close gaping budget deficits.
Spain, Ireland and Portugal all have reported drops in prices excluding food and energy, while annual core inflation in the 16-member euro zone slid to a record low of 0.8% in April.
Asian countries are experiencing much higher inflation rates. One reason is that by effectively tethering their currencies to the U.S. dollar, China and other major exporters expose their economies to the influence of U.S. interest-rate policy.(...)  Uncertainty about how effective China's inflation fighting methods will be has sent its stock market into the doldrums. The Shanghai Composite is down 21% this year as investors worry that the government will flub the effort to contain prices by overshooting or undershooting.
"There is risk of stagflation, lower growth rate with higher consumer prices later this year," said Jeremiah Feng, fund manager for HSBC Jintrust Fund Management Co., a mutual-fund company that caters to mainland investors.
Elsewhere in Asia, policy makers for the most part have taken only tentative steps to change the loose monetary policy implemented during the depths of the global financial crisis.
Australia has been the most aggressive, raising interest rates six times since October.
Malaysia and Singapore also have taken policy actions. Yet several prominent Asian economies, including Indonesia, South Korea and Taiwan, are operating with crisis-level interest rates while growth has bounced back to precrisis levels.

Vi segnalo due articoli interessanti sull'Economist appena uscito:

il primo analizza le proposte europee di regolamentazione di hedge funds e dei fondi di private equity: 
sulla regolamentazione degli investimenti "alternativi"  l'Economist ha numerose riserve:

But some of the AIFM proposals still look too draconian.
The parliamentary draft dangles the possibility of a “passport” that would enable authorised third-country funds to sell their wares throughout the EU. But it comes at a high price. Funds would not just have to satisfy the EU about the quality of their home regimes in areas such as money-laundering and tax, but their home supervisors would also have to ensure that funds comply with EU rules—a bit of regulatory over-reach that will not go down well in places like America. Worse still, the parliamentary draft appears to ban EU investors from placing money with offshore funds that do not meet European rules.
The second big area of contention concerns custodian banks—financial institutions that are responsible for keeping investors’ assets safe. Stung by the losses that European investors suffered at the hands of Bernie Madoff, perpetrator of the world’s biggest financial fraud, legislators want to increase custodians’ liability for the assets they look after. Pension funds and other investors fear they will be charged a higher premium by custodians as a resul.

il secondo il mercato delle obbligazioni governative:

The compression of bond yields over the past decade was another manifestation of the mispricing of risk as investors sought higher returns. “Many investors thought they were buying German bunds with a bit of free yield,” says one fund manager. “Now they realise they had bought a lot more of the lira and a lot less of the Deutschmark than they thought.” However, repricing is deeply destabilising. Most large holders of government debt are risk-averse. A fall in price is more likely to prompt a stampede than a calm appraisal of valuations.
That leaves the ECB in a quandary. In buying bonds of distressed countries it is, in effect, opening the emergency exits of a crowded theatre. Its hope is that in doing so it will make everyone feel safer and thus less likely to bolt at the first wisp of smoke. Yet the risk it faces is that in making an exit easier, more people will leave.(...)
A second dilemma is how far the ECB should allow interest rates to increase on the government bonds of countries such as Spain. Holding down borrowing costs will help make its fiscal adjustment easier, which should attract private capital. Yet unless yields widen there is little incentive for investors to hold its debt.
Germany’s bans on naked short-selling seem only to have heightened skittishness about owning European assets, as investors fret that hedging will get harder and rules tougher. The problem facing the euro zone is not speculative shorting of its countries’ bonds, but rather the reluctance of investors to buy them in the first place. Berating the markets that fund it is a very odd tack for any government to take.

I commenti negativi sulla mossa tedesca di vietare lo short selling sono numerosi: eccone qui uno, due e tre.

Infine ieri il Senato USA ha approvato un disegno di legge di riforma finanziaria piuttosto ampio: è un tema sul quale torneremo certamente in futuro, nel frattempo vi consiglio di leggere i contenuti sul Wall Street Journal

giovedì 20 maggio 2010

Ancora sul flash crash

Aggiornamenti sull'analisi e le conseguenze del flash crash del 6 maggio:
  • Dal New York Times: la S.E.C. ha deciso di estendere i  circuit breakers a tutti i mercati, sperando che questo renda più improbabile il quasi-collasso del 6 maggio scorso. The circuit breakers will pause trading in those stocks for five minutes if the price moves by 10 percent or more in a five-minute period. The trial run will begin after a 10-day comment period and will last through Dec. 10, the commission said. The circuit breakers will apply both to rising and falling stock prices. But in a separate report, the S.E.C. and the Commodity Futures Trading Commission said that they had not been able to pinpoint the cause of the sharp market decline that shook investors and markets two weeks ago.(...)
    Generally, the agencies said, the drop was caused by traders stepping back from the market and refusing to buy or sell, in both the stock and futures markets. The government found that there was also a heavy reliance by investors on automated orders to sell at the market price once stock prices had declined by a certain amount. Further, there were different rules on different exchanges about when trading is automatically slowed or stopped.
    The agencies said they had found no evidence that the market decline was caused by so-called fat finger trading errors, or by computer hacking or terrorist activity. They added, however, “we cannot completely rule out these possibilities.” (...) the proposed individual circuit breakers announced Tuesday apply only to stocks in the S.& P. 500.
    The S.E.C. also said it intended to further review the role of the so called self-help mechanism, under which one exchange can refuse to route orders to another if it perceives that orders are not being filled quickly enough. That type of rerouting, around the most liquid markets and to markets where fewer investors were trading, was believed by the agencies to have exacerbated the decline on May 6. For example, as trading slowed on the Big Board because of circuit breakers, orders were routed around the exchange to smaller markets where prices quickly plunged. 
  • Dal Wall Street Journal si mette in guardia sul rischio che i provvedimenti presi aumentino la volatilità anzichè diminuirla:
    Where would investors turn if stocks stopped trading?
    The answer may come soon, with U.S. regulators Tuesday announcing requirements for a five-minute trading halt on any stock that moves more than 10% within any five-minute period. Eventually, the rules also will apply to exchange-traded funds.(...)
    The sacrifice: Investors could lose liquidity in many shares when markets get rough. Credit Suisse's Portfolio Strategy Group estimates the regulations would have prompted on average about 40 daily halts among S&P 500 stocks in October 2008.
    The potential for such a freeze might lead more investors to consider stock-index futures. The S&P 500 futures contract continued trading May 6 when hundreds of stocks would have been halted under the new rules. More demand for futures could make such markets deeper, boosting revenue for exchange operator CME Group.
    But if many stocks stop trading, futures markets could face strain as liquidity-deprived investors turn there to sell. The result may be a futures-market plunge, pulling other stocks lower.(...)
    Unless rules are coordinated more closely across stock and derivatives exchanges, halts may merely divert volatility to instruments that continue trading. While circuit breakers should help, halting volatile individual stocks might not be enough to rule out another big swoon.

Due video dal Wall Street Journal e i rimedi alla crisi dell'eurozona

Analizzando il comportamento dei prezzi delle materie prime c'è chi vede un rallentamento dell'economia mondiale

Intanto per evitare il ripetersi del flash crash del 6 maggio si armonizzano i circuit breakers:

In questo articolo sul Wall Street Journal  John Cochrane discute i possibili rimedi della crisi dell'euro innescata dai timori di default sul debito della Grecia. Secondo Cochrane il megabailout non funzionerà e l'unica soluzione possibile è l'austerità fiscale (e dosi massicce di deflazione)

Last week the Greek bailout ballooned into a gargantuan 750 billion euro (nearly $1 trillion) debt stabilization fund, including a $39 billion line of credit from the International Monetary Fund. This coincided with the European Central Bank (ECB) announcement that it would immediately begin purchasing junk-rated Greek debt.
It won't work. The problem isn't liquidity, psychology or speculators. Germany and France simply cannot borrow or tax enough to cover Europe's debts and looming deficits. So, barring a fiscal and growth miracle, we will either see sovereign defaults (larger and more chaotic for having been postponed) or the ECB will have to print euros to buy worthless debt, leading to widespread inflation. Since inflation lowers the value of promises to state workers and pensioners, and also is easy to blame on others, it will be an especially tempting escape.
Notice who is missing: Greek bondholders are not being asked to miss a single interest payment, reschedule a cent of debt, suffer any write-down, take a forced rollover or conversion of short to long-term debt, or any of the other messy ways insolvent sovereigns deal with empty coffers. Those who bought credit default swaps lose once again.(...)
Greece got in to trouble when it tried to sell new debt to repay its maturing short-term debt, just as Bear Stearns and Lehman Brothers did. If Greece had sold long-term debt, there would be no sudden crisis. In all the talk of restructuring euro finances, nobody is talking about forcing governments to borrow long-term, nor of managing the crisis by forcing short-term debtholders to accept new long-term debt rather than cash.
Letting someone lose money on sovereign debt is the acid test for the euro. If not now, when? It won't happen in good times, nor to a smaller country. The sooner the EU commits, and other countries and their lenders come to terms with the fact that they will not be bailed out, the better.
The current course—ever-larger and less-credible bailout promises, angry German voters who may vitiate those promises, vague additional fiscal supervision (i.e. more of what just failed miserably)—is not the answer.
The only way to solve the underlying euro-zone fiscal mess (and our own) is to slash government spending and to focus on growth. Countries only pay off debts by growing out of them. And no, growth does not come from spending, especially on generous pensions and padded government payrolls. Greece's spending over 50% of GDP did not result in robust growth and full coffers. At least the looming worldwide sovereign debt crisis is heaving "fiscal stimulus" on the ash heap of bad ideas.