Una bolla nelle obbligazioni? Ma no, è solo che il destino degli USA è diventare come il Giappone!

Con il tasso di interesse sui Treasury a 10 anni che si attesta intorno al 2.7% la controversia sulla bolla o non bolla nel mercato delle obbligazioni ha perso un po' di smalto rispetto a un paio di settimane fa quando i rendimento si aggirava sotto il 2.5%. Vi segnalo ugualmente un articolo e un post sull'argomento che ho trovato interessanti: 

• Sul Wall Street Journal di lunedì scorso Richard Barley si domanda se il mercato toro ormai trentennale nelle obbligazioni governative non stia volgendo al termine. Secondo Barley potrebbe essere presto per cantare il de profundis per i bonds:
  Sure, there won't be a repeat of the extraordinary capital appreciation of the past 30 years: U.S. 10-year Treasury yields have fallen from nearly 16% in September-October 1981 to just 2.7% today as inflation was quashed and central banks cut rates. More recently, risk aversion has driven yields even lower. As a result, 10-year Treasurys have now outperformed stocks over the last 15 years in the U.S., while corporate bonds have been a better bet than stocks over the last 25 years, according to Deutsche Bank.
  But powerful long-term trends are also helping to fuel the bull market. Aging populations in developed countries are likely to buy more bonds to preserve capital as they head for retirement. The late 1990s U.S. equity bubble coincided with a peak in the share of the U.S. population of high savers aged 35-54, while in Japan the peak arrived in 1990—the high point for stocks in Tokyo, notes Barclays Capital. At the same time, regulators are demanding that financial institutions hold larger buffers of high-quality bonds. Central-bank purchases of bonds for monetary policy purposes are also driving down yields.
  But there are risks around these trends. (...)
  In the near-term, however, bond yields could yet fall further if developed economies follow the Japanese path. And while bonds look rich, developed-market equities don't look cheap (...) The cult of the bond is not dead yet.
  
• James Montier dedica un post alla questione di una bolla nelle obbligazioni intitolato Bond bubble: a sterile debate on semantics. Secondo Montier non è difficile valutare un'obbligazione: in essence bond valuation is a rather simple process (at least one level). I generally view bonds as having three components: the real yield, expected inflation and an inflation risk premium. 
  
  The real yield can be measured in the market thanks to inflation-linked bonds. In the US, a 10 year Tip is trading at just under 1%. Expected inflation can be assessed in a variety of ways. We could use surveys, for instance, the Survey of Professional forecasters shows an expected inflation rate of just under 2.5% p.a. over the next decade. In contrast, the nominal bonds minus the TIP yields implies a figure of more like 1.5% p.a. The inflation swap market is implying a 2% p.a. inflation rate over the next ten years.
  The inflation risk premium (a risk premium to compensate for the uncertainty of future inflation) is generally held to be between 25bps and 50bps. Given the uncertainties surrounding the impact of monetary and fiscal policy I’d argue that using the high end of that range seems reasonable. (...)
  Given this ‘parameter’ uncertainty is would be reasonable to say that ‘fair value’ for 10 year bonds is somewhere in the range of 4-5%. 
  A questo punto è chiaro che siccome il rendimento attuale è ben al di sotto del 3% le obbligazioni decennali del Tesoro U.S.A. non sono particolarmente attraenti, tranne se si è convinti che il destino degli Stati Uniti sia di diventare come il Giappone. Montier si spinge oltre e cerca di stimare la probabilità di uno scenario giapponese che il mercato sta scontando con rendimenti così bassi. Utilizzando la tabellina qui sotto Montier conclude che In essence, the market is implying a 70% probability that the US turns Japanese. 
  
  

  Bond Yield		JM Probabilities	Market implied
  Normal	4.5	0.5	0.2
  Japan	1	0.25	0.7
  Inflation	7.5	0.25	0.1
  Expected Yield		4.4	2.4