Esse est percipi: una ginestra per Frau Merkel. Ecco perchè ci attendono grandi cose. Aggiornamento al 29 marzo 2013

Alla fine il prelievo sui depositi bancari a Cipro si è limitato a quelli oltre i 100mila euro...un prelievo del 37,5%...Le banche hanno riaperto giovedì, il governo ha imposto restrizioni di capitale, e la favola dell'unione monetaria ha subito un ennesimo duro colpo. Certo, Cipro è piccola. Sarà comunque interessante vedere come reagirà l'isola con una contrazione del GDP del 20% in soli 12 mesi e con la disoccupazione che esplode. Di fronte ai grandi del mondo (FMI) e dell'Europa (CE e BCE) ai ciprioti rimane la percezione di immaterialità.
Noi possiamo stare tranquilli: l'Italia non è Cipro. Lo stallo politico si risolverà, comitati di saggi scriveranno il programma del governo prossimo venturo...Ci attendono le tradizionali "magnifiche sorti e progressive" .  La ginestra, si sa è una pianta mediterranea... (dunque cresce anche a Cipro...). Siamo la terza economia dell'Eurozona, e non possiamo certo subire umiliazioni...Anche se...anche se...come osserva Alessandro Fugnoli nel suo commento settimanale ai mercati , in Europa il potere finanziario e monetario viene esercitato con regole che cambiano continuamente senza che mai nessuno ne discuta, se non una trentina di politici e i loro sherpa. Gli articoli 123 e 125 del trattato istitutivo della Bce, ad esempio, dopo essere stati citati per molti anni ogni dieci minuti (sono quelli che vietano il sostegno del debito dei singoli stati e le operazioni di monetizzazione) sono spariti d’incanto una mattina d’agosto senza un referendum o un dibattito parlamentare. Sono spariti nella testa della Merkel e sono di conseguenza usciti dalla scena del mondo. Esse est percipi, diceva Berkeley. Se smetto di pensare a una cosa e sono la Merkel, questa cosa cessa di esistere.

I 
Fuori dall'Europa i mercati si sono rassicurati: una soluzione a una crisi è meglio di nessuna soluzione, l'Europa è maestra nel kicking the can down the road e così l'SP500 ha raggiunto nuove vette storiche, superando quelle del 2007. Complice la debolezza dell'Euro (ma va...) ha guadagnato il 2,1% in una settimana, superato solo dall'indice immobiliare globale (+2,6%). Maglia nera per l'indice Eurostoxx (-1,7%).

Le migliori strategie questa settimane sono state la  asset allocation passiva e la top2 con un progresso dello 0,9%, la peggiore la momentum and mean reversion che ha perso lo 0,8%.

La tabella qui sotto riassume il profilo rischio/rendimento delle cinque strategie ( top2, top3,  tendenza di medio periodo positiva,  momentum and mean reversion e asset allocation passiva) negli ultimi 4 anni:

Nella figura è raffigurato l'andamento di un euro investito nelle cinque strategie dal 3 gennaio 2009 ad oggi.

E' bene ricordare che i rendimenti calcolati non tengono neppure conto dei costi di transazione e del prelievo fiscale. Mi preme comunque sottolineare che le analisi e le simulazioni descritte in questo blog sono da considerarsi sempre e comunque risultati teorici e relativi al passato. Chiunque decidesse di utilizzare le strategie descritte o qualsiasi altra informazione tratta da questo blog per decisioni di investimento se ne assume completamente la responsabilità.

C'è stato un po' di movimento nelle posizioni centrali e di coda della classifica settimanale: il cambio euro/dollaro occupa ora l'ultima posizione al posto delle materie prime, l'indice Eurostoxx la quarta posizione al posto dell'indice immobiliare globale. Le azioni europee hanno la tendenza di breve periodo negativa.  I portafogli della strategie seguite  hanno le composizioni seguenti (tutti i portafogli sono equipesati): 

•  top2: indice SP500 e obbligazioni trentennali dell'eurozona  (invariato);
•  top3: indice SP500, obbligazioni trentennali dell'eurozona e  indice immobiliare globale (che prende il posto dell'indice Eurostoxx);
•  tendenza di medio periodo positiva: indice immobiliare globale, indice Eurostoxx, indice Standard and Poor's 500 e obbligazioni trentennali dell'eurozona  (invariato);
• momentum and mean reversion:   obbligazioni trentennali dell'eurozona e materie prime (al posto del cambio euro-dollaro);
• strategia passiva:  indice immobiliare globale, materie prime,  indice Eurostoxx, indice Standard and Poor's 500 e obbligazioni trentennali dell'eurozona (invariato per costruzione).

In questo post trovate le risposte ad alcune delle domande  più frequenti relative alla metodologia che utilizzo per la costruzione della tabella e dei portafogli che aggiorno settimanalmente.
In questo post ho descritto quali ETF negoziati a Milano  replicano (in positivo o in negativo) gli indici che sono settimanalmente tracciati qui su Alfaobeta. Se volete fare delle analisi da soli, in questo post ho spiegato come procurarsi gratuitamente le serie storiche dei prezzi e dei NAV degli ETF mentre qui potete trovare qualche informazione sui costi di transazione nel mercato dei cambi.

Ecco l'aggiornamento al 29 marzo 2013

Bye bye Cipro, avanti il prossimo...

L'editoriale di Pissarides sul Financial Times è sintetico, chiaro, militante e ampiamente condivisibile:

Cyprus finds not all nations are equal - FT.com

Alcuni spunti di riflessione raccomandandovi di leggere per intero l'articolo:

The trouble, according to the troika of the International Monetary Fund, European Commission and European Central Bank, is that this also brought large amounts of bank deposits to Cyprus, blowing up the banking sector to “unsustainable” dimensions. Deposits are about eight times gross national product. This figure, however, is still smaller than Luxembourg’s and not too different fromg that of Malta or Ireland. (...)

The way Cyprus has been treated by its eurozone partners shows that far from the currency bloc acting as a partnership of equals, it is a disjointed group of countries where the national interests of the big nations stand higher than the interests of the whole. Meanwhile, the haphazard decision-making in the eurogroup continues.

Following the Cyprus agreement, the chairman of the group declared that this would be a template for the future. Panic spread in the eurozone, the value of the euro dropped; and then the denial came, on the same day – the remarks were taken “out of context”. Cyprus is a “special case”, apparently. We wait to hear what is special about it.

Decision-making in the eurozone has reached a new low. Regardless of whether the deal for Cyprus is good or bad, observing the way that decisions were made, contradicting one week what was said the week before, designing templates and withdrawing them overnight, pushing Russian investors away from Cyprus one day and wooing them elsewhere in Europe the next, casts serious doubts on the ability of this group to make the decisions to push Europe forward to financial stability and economic growth.

Nicosia is now an eerie place: deserted streets with people glued to their television sets for the latest news. Many foreign journalists carry big cameras in the hotels and opposite parliament. There is total desperation. The smiles have gone. Nothing like this ever happened before. Where do we go next? It is difficult to say. There are the gas reserves off our coast giving some hope, but “they” might take them away too.

A business services industry does not need big banks, I keep saying. We might revive the sector. But what if the foreign companies leave? There are already stories of wealthy Russians getting phone calls from Malta, Latvia and other places to move their business there.

The future is indeed bleak. It is not clear what is coming next and from where.

Preparati nello spirito da Pissarides potete ora leggere questo post su Zero Hedge:

When Will Deposit Haircuts Take Place In Other European Countries?

Visto che il debito greco è stato ristrutturato da poco dovrebbe toccare al Belgio...o alla Slovenia...secondo Zerohedge

The reality however is that all of Europe's banks have a soaring bad-asset overhang, and sooner or later it will have to be resolved.

It is now common knowledge that such resolution will not take place via additional liquidity injections, but through impairment of the various liability classes as per the reverse waterfall of seniority: first equity, then capital and reserves then junior debt, and finally, senior debt and deposits (with secured senior debt last).

The lesson here is: do your homework, and know your bank. If one's deposits are in a bank that has, or is rumored to have, many bad loans, then pull your money and either put it in a safe bank, put it offshore, or just keep it under the mattress.

Because what happened in Cyprus is now, despite all promises to the contrary, the template for what will happen to all the countries to the right of Cyprus on the chart above.

It's only a matter of "when."

Il comma 22 cipriota e la nascita dell'euro del sud

Oggi riaprono le banche a Cipro, con stretti controlli di capitali previsti per una settimana ma che rimarranno certamente in vigore per molti mesi (anni ?)
Osserva il NYTimes che è come il comma 22:

Despite those strictures, the Cypriot authorities are bracing for as much as 10 percent of the 64 billion euros on deposit in the country’s banks to be pulled out on Thursday.

Experts predict a much bigger bank run whenever the controls are eventually lifted or eased further.

“If you don’t impose the controls, the money is going to fly,” said Mujtaba Rahman, a senior analyst at the Eurasia Group. “But when you remove those controls, clearly the money is going to leave anyway. So they’re in a Catch-22.”

La differenza con le Sturmtruppen è che oggi sappiamo benissimo chi è l'essere superiore che ha creato il comma 22 (e con esso l'euro del sud)...ed è tedesco... "supreme state(wo)manship"? Mah...

Da Sarajevo a Nicosia...100 anni dopo

Il commento sulla crisi cipriota di Tony Barber sul Financial Times di oggi sottolinea la gravità delle implicazioni per l'Europa intera di una pessima miope gestione della situazione: ecco come conclude

But the latest crisis draws in Britain, Greece, Israel, the US and Turkey, not to mention Germany as the eurozone’s indispensable decision maker. Nearby a civil war rages in Syria and political turbulence disturbs Egypt and Iraq. Cyprus is not even immune to international tensions over Iran. The island’s economic emergency intensified in July 2011 when a cache of Iranian weapons, seized by the US navy and stored at a Cypriot base, exploded and knocked out half the island’s electricity supply. Incoming hours and days, much more will beat stake than the solvency of Cyprus’s banks or its eurozone membership. For example, any financial rescue tied to future revenues from Cyprus’s newly discovered gas reserves, tentatively valued at up to $80bn, will give rise to hotly contested claims tot he assets. Among the claimants would be the Turkish Cypriots, backed byTurkey, whose military presence in northern Cyprus serves as a permanent reminder of thei island’s political fragility. Such a dispute would suck in Greece, traditional patron of the Greek Cypriots, and Israel, their partner in energy development. The US, whose Sixth Fleet makes it the pre-eminent Mediterranean naval power,would be drawn in, and so would Britain with its two sovereign military bases in Cyprus. Preventing these entanglements from getting out of control will require supreme statesmanship from everyone involved. Perhaps the thought that next year marks the 100th anniversary of the shooting of the Archduke Franz Ferdinand will concentrate minds.

Mi auguro che abbia ragione...per parte mia sono scettico...non mi pare che ci sia in giro molta "supreme statesmanship"...

Il telescopio usato al contrario

In poche righe Mauldin riassume perfettamente le perplessità e la rabbia che si prova nel vedere come l'UE e la BCE stiano gestendo (ah ah...) la crisi cipriota

Can Someone Figure Out Cyprus?

The story changes every few hours. It is not clear what the Cypriot parliament will do. They could quite possibly simply say no, or change any number of things. The whole thing is patently ham-handed. It illustrates what I mean when I keep saying that the EU is making up the rules as they go along. Why take money from widows and then exempt the branches of Greek banks? (I hear the reasoning, but I don’t understand it.) It is all about protecting banks and institutions and not the defenseless. I find the whole thing rather outrageous in the way that it looks through the wrong end of the telescope.

And dear gods, why risk creating a situation that encourages depositors in banks to question the ownership of their money? If the deposits of the citizens of a member country of the EU are not safe from bureaucrats, at least up to €100,000, then why should they trust any bank? And why in Hades is the IMF appearing to dictate that depositors will lose money? And why do Turkish depositors in non-Greek banks lose when Greek depositors in Greek banks don’t? Cyprus is complicated enough without poking that nationalistic anthill.

Cyprus is also a problem in itself. It is the size of a small city, not a country. My friend Frank Trotter of Everbank noted today that the agricultural subsidies Texas gets from the US government total more than the entire GDP of Cyprus. Would anyone blink if the banks in San Bernadino County went bankrupt? Cyprus’s banking system is around 8 times the size of the country’s GDP, so asking the country to back the deposits of its banks is ludicrous. Perhaps as much as half the deposit total is from outside the country (encouraged by the banking system and regulators), and it is widely assumed that Cyprus launders a great deal of Russian-oligarch and Russian-mafia money. Which of course does not sit well with Germany, especially in advance of its upcoming election. Try telling the good burghers of Bavaria that they should pay to bail out Russian oligarchs. Frau Merkel has made it clear she will not.

The EU contends that Greece was a one-off situation and no one else will get bailed out, at least not on sovereign debt. We will see.

While the bailout money needed is about the size of the entire economy (€17 billion), that is chump change to maintain the system. The banks are in large part bankrupt because they bought too much Greek debt and were forced to take haircuts on that debt. If the ECB bailed out Greek banks and depositors (which they did), then why is Cyprus a special case, demanding that some small depositors and not others lose money? Then again, if the banks go down, which they could easily do without a bailout, depositors stand to lose a great deal more, as Cyprus as a country can no longer access the bond market.

Does Europe want Russia to step in at the price of Russia’s getting a Mediterranean port? Is saddling one set of people with a tax and letting others off the hook even legal in Europe? There seems to be some debate.

This mess occurred because there is no clear eurozone banking policy or general deposit insurance, both of which were promised in the wake of the last such crisis and then soundly rejected by Germany (Merkel), which does not want to pay for the banking sins of other countries.

I fear that whatever I write will be both obsolete and wrong before I can even hit the send button, so I will forbear. We will revisit Cyprus when we can make some informed observations. But let me point out that I wrote a few weeks ago that the real challenge to the euro is, first, France (another country whose banks are far too large to be bailed out in a crisis) and, second, that the voters of more than one country are simply getting fed up. The way European leaders are handling the Cyprus situation does not inspire confidence.

L'insostenibile leva finanziaria delle banche e i guai di Cipro

Martin Wolf sul Financial Times analizza l'origine dei guai di Cipro e ne trae qualche lezione di più ampio respiro:

The calamity that has struck the island threatens wider damage

Acamel, it is said, is a horse designed by a committee. This is unfair to camels, which are well-adapted to their harsh environment. The same, alas, cannot be said of eurozone rescue programmes. The proposed Cyprus intervention, rejected on Tuesday by the Nicosia parliament, will not help the eurozone make a smooth exit from its wave of crises. Indeed, the imbroglio should serve as a lesson in how not to deal with financial and sovereign debt problems. (...)

The case of Cyprus is an extreme example: beyond a small amount of equity stood only some €2.7bn in unsecured bonds (€2.5bn junior and €200m senior) protecting €68bn in deposits. Rightly or not, the other, including interbank loans were deemed untouchable. (See chart.) This structure gives the authorities not just in Cyprus, but virtually everywhere, a terrible dilemma: either rescue all institutions, thereby validating the riskiest business models and, at worst, putting the solvency of governments in danger; or refuse to rescue them and so risk causing a depression at home and panic abroad, particularly within the tightly integrated eurozone.

The eurozone must either make the industry far more robust, by hugely increasing equity capital, or consolidate fiscal capacity and tighten regulation, to ensure adequate eurozone-wide oversight and fiscal support. What is frightening is not that tiny Cyprus got into trouble, but that it is a source of wider danger. Banking is dangerous everywhere. But it still threatens the eurozone’s survival. This has to change – and very soon.

Siamo tutti ciprioti!

La discussione in corso in queste ore a Cipro avrà conseguenze durevoli sul futuro dell'Europa e dell'euro. Secondo un editoriale del NYTimes di oggi 


A European plan could force Cyprus to tax bank depositors as a condition of a bailout in a way that would unfairly punish savers and could do lasting damage to confidence in banks in other euro-zone countries in financial crisis. The country’s leaders have a chance to change the agreement and should do so. (...)

Any tax on smaller accounts would set a terrible precedent. Savers in other troubled economies like Italy, Spain and Greece are now justifiably worried that their deposits may someday also be stripped of protection.

European leaders have said that taking money from Cypriot bank deposits is a singular event, but this assurance will ring hollow in light of their poor track record in dealing with the euro crisis. The plan has now given savers in Spain, Italy and other countries incentive to withdraw money from their national banks or move it out of the country if they have offshore accounts.

(Anche Wolfgang Munchau sul Financial Times ieri sosteneva la razionalità di un bank run nei PIIGS dopo quanto prospettato ai ciprioti...) Il NYTimes conclude senza mezzi termini

Cypriot officials created this catastrophe by relying on a lightly regulated banking industry to drive up its growth rate while encouraging foreigners to use the island as a tax haven. European officials also deserve blame for not requiring more capital in euro-zone banks and for not anticipating the consequences of lowering the value of Greek bonds. They should not add to those mistakes with a punitive package that is disastrously counterproductive.


Mi sembra condivisibile l'amarezza espressa oggi da Emma Bonino, ex commissario europeo

"Se andiamo avanti così ci sono tutti gli elementi antiEuro per determinare la prossima campagna elettorale". Emma Bonino, ex commissario europeo, parla così dell'impatto della vicenda di Cipro e in generale della gestione della crisi da parte di Bruxelles sulle politiche nazionali. "Si può e si potrà certamente continuare a dire che tutto questo è da irresponsabili, ma a me pare irresponsabile soprattutto il fatto che chi ne ha potere e poteri non si renda conto che persistere in questo modo testardo e a corto termine in questo tipo di politica e di assenza di democrazia, provoca uno sbriciolamento dell'attenzione al progetto europeo. E ogni giorno c'è un messaggio in questo senso". "Se il messaggio che arriva è questo - prosegue Bonino - è molto difficile chiedere ai cittadini o a un'europeista convinta come me di avere fiducia nell'Europa. Stanno provocando lo sbriciolamento del progetto e un grande sentimento contro questa Europa".