Investire nei mercati emergenti, la riforma finanziaria e come essere un top blogger.

Investire nei mercati emergenti per ridurre il rischio? Ecco un video del Wall Street Journal sull'argomento:




Attenti però che secondo alcuni c'è il rischio di una bolla, per esempio nell'immobiliare in Cina. Se n'era occupato anche l'Economist un paio di mesi fa in un'analisi comparativa della Cina di oggi con il Giappone della bolla immobiliare degli anni Ottanta concludendo che la situazione è molto diversa e tale da non giustificare allarmismi:

a close inspection of pessimists’ three main concerns—overvalued asset prices, overinvestment and excessive bank lending—suggests that China’s economy is more robust than they think. Start with asset markets. Chinese share prices are nowhere near as giddy as Japan’s were in the late 1980s. In 1989 Tokyo’s stockmarket had a price-earnings ratio of almost 70; today’s figure for Shanghai A shares is 28, well below its long-run average of 37. Granted, prices jumped by 80% last year, but markets in other large emerging economies went up even more: Brazil, India and Russia rose by an average of 120% in dollar terms. And Chinese profits have rebounded faster than those elsewhere. In the three months to November, industrial profits were 70% higher than a year before.

China’s property market is certainly hot. Prices of new apartments in Beijing and Shanghai leapt by 50-60% during 2009. Some lavish projects have much in common with those in Dubai—notably “The World”, a luxury development in Tianjin, 120km (75 miles) from Beijing, in which homes will be arranged as a map of the world, along with the world’s biggest indoor ski slope and a seven-star hotel.

Average home prices nationally, however, cannot yet be called a bubble. On January 14th the National Development and Reform Commission reported that average prices in 70 cities had climbed by 8% in the year to December, the fastest pace for 18 months; other measures suggest a bigger rise. But this followed a fall in prices in 2008. By most measures average prices have fallen relative to incomes in the past decade (see chart 1).

The most cited evidence of a bubble—and hence of impending collapse—is the ratio of average home prices to average annual household incomes. This is almost ten in China; in most developed economies it is only four or five. However, Tao Wang, an economist at UBS, argues that this rich-world yardstick is misleading. Chinese homebuyers do not have average incomes but come largely from the richest 20-30% of the urban population. Using this group’s average income, the ratio falls to rich-world levels. In Japan the price-income ratio hit 18 in 1990, obliging some buyers to take out 100-year mortgages.

Potrebbe nascere negli USA il National Institute of Finance, con il compito di cane da guardia contro i rischi di collasso del sistema finanziario...

The proposed agency, which has sometimes been referred to as the National Institute of Finance, is intended to give federal regulators daily updates on the stability of individual firms as well as that of their trading partners, including hedge funds.

By standardizing financial instruments and reporting mechanisms, the agency would give regulators a broader view of the health of participants in the financial markets and the potential for problems to spread. The idea’s supporters say that kind of information was lacking in recent years as the housing bubble burst and troubles spread from firm to firm. (...)

The agency would gather data from the largest firms and from a broad set of market participants, including all United States-based financial institutions, which would be required to report all their financial transactions, regardless of whether the counterparty was based here or abroad. The agency would take steps to safeguard proprietary trading information, while also shining a light onto the so-called shadow banking system of mortgage brokers, subprime lenders and unregulated hedge funds that contributed to the financial crisis.

The financial reform bill approved last year by the House would create a systemic risk council that would collect similar data without establishing an independent agency, a difference that will have to be resolved before a bill is sent to the president.

...anche se la rottura tra Democratici e Repubblicani sul tema della riforma finanziaria mi fa pensare che le cose andranno per le lunghe. Tra i più accesi sostenitori delle riforme c'è Gary G. Gensler, ex di Goldman Sachs che propone di 

... forcing the big banks that sell derivatives to conduct their trades in the open on public exchanges and clear them through central clearinghouses, so that any investor can see the prices that dealers charge their customers. Today, those transactions are bilateral and private.

The banks and their customers might have to post collateral or guarantees to prevent the kinds of panics seen during the financial crisis, in which some investors worried that trading partners might have trouble keeping their side of the contract.

In this way, the clearinghouses would work as circuit breakers in the great web of derivatives trading encircling the globe. Shifting the products, and the risk of default, off the books of the banks and onto these middlemen would ensure that no single bank was too interconnected to fail, the rationale goes.

Anche Goldman Sachs sembra essere d'accordo mentre alcune compagnie non finanziarie, che usano i derivati per la gestione del rischio (e basta?) sono preoccupate di dover sostenere dei costi aggiuntivi: 

Goldman also does not oppose a clearinghouse for trades, he said.

“We’re in favor of central clearing for derivatives,” he said. “We also think that all derivatives that can be traded on an exchange should be, but we don’t think it is a good idea to insist that derivatives can only be traded if they’re on an exchange.”

Some big nonfinancial companies that use the derivatives for hedging are fighting the reforms for their own reasons.

Organizations including the United States Chambers of Commerce have formed the Coalition of Derivatives End-Users, representing about 170 companies including Coca-Cola, Caterpillar and General Electric. The group argues that the changes could make derivatives too expensive for them to use — or tie up capital they should be putting to work in their businesses.

“The question is how much is legitimate hedging by corporations” as opposed to speculative trading, said Don M. Chance, a finance professor at Louisiana State University. “You have to be careful you don’t punish companies that want to use swaps in a productive, safe manner.”

Divertente post di Mebane Faber su come diventare un blogger importante: mi era sfuggito e ve lo segnalo. Il giorno che alfa o beta? raggiungerà il modesto obiettivo delle mille visite mensili organizziamo una festa (virtuale?)...

Macro alphabet soup?

Ancora sull'alphabet soup della recessione: U, V o W? Ecco una sintesi dell'opinione di Nouriel Roubini su RGE Monitor tratta dalla sua newsletter settimanale gratuita: 

A slew of poor economic data over the past two weeks suggests that the U.S. economy is headed for a U-shaped recovery—at best—in 2010. The macro news, (...)  actually suggests a significant downside risk (...). The U.S. faces continued challenges in H2—particularly as historic levels of fiscal stimulus fade—and appears far too close to the tipping point of a double-dip recession.

This is not the conventional wisdom. Heated debate continues to rage in the United States on whether the economic recovery will be V-shaped (with a rapid return to robust growth above potential), U-shaped (slow anemic, sub-par, below trend growth for at least the next two years) or W-shaped (a double-dip recession). The V camp includes distinguished research groups and individuals such as Ed Hyman’s ISI, Larry Meyer’s Macroeconomic Advisors, the research group of JP Morgan, Michael Mussa and others. The U camp includes—among others—Roubini Global Economics, Goldman Sachs’ U.S. economic research group, PIMCO and Ken Rogoff. As early as August 2009, I worried in a Financial Times op-ed about the risk of a double-dip recession even if our RGE benchmark scenario characterizes the risk of a W as still a low probability event (20% probability) as opposed to a 60% probability for a U-shaped recovery. Others concerned about the double-dip risk include also David Rosenberg, Gary Shilling and John Makin.

Ed Hyman and I debated whether the recovery would be U or V-shaped on a February 22 conference call attended by over 2,200 listeners. Since that call, a slew of new U.S. macro data have come out. They have been almost uniformly poor, if not outright awful. (...)

The eurozone (EZ) debt crisis, which RGE discusses in depth in a major new paper, predisposes Europe to a rising double-dip risk, due to the wave of fiscal austerity sweeping the periphery of the EZ. Even if the EZ doesn’t enter a double dip, the growth of domestic demand there will be as or more constrained than in the United States. This, in turn, will be a drag on the potential for U.S. export growth. The U.S. dollar rally on risk aversion reflects this risk. (...)  A similar retrenchment may well lie ahead in the United Kingdom, given rising fiscal sustainability concerns and the threat of a sterling crisis. Europe then will have great difficulty being a source of demand for U.S. exports, and may even provide impetus to faltering global demand growth, contributing to the threat of a wider double dip across high-income countries.

Ho trovato interessante questo post di Bespoke sulle nanotecnologie:

Back in the "good 'ole days" of the mid-2000s, investors were riding a bull market wave and looking for "the next big thing." One of those "next big things" was nanotechnology. Ever since the collapse began in 2007, however, the nanotech craze seems all but forgotten. We can't remember the last time we read or watched something about nanotech. A search of the term on Google News Archives confirms that there has indeed been a decline in nanotech coverage. As shown below, news articles containing the word "nanotechnology" peaked in 2006, and they've been declining steadily ever since. (Interestingly, this year does seem to be on pace to eclipse 2009.)

click to enlarge

Stocks and ETFs relating to nanotech have also lost investor interest. The PowerShares Nanotech ETF (PXN) actually came out right when the nanotech craze was peaking in 2005. As shown below, the ETF never really went anywhere. Even as the overall market was rising from 2005 to late 2007, PXN traded sideways. When the collapse hit, PXN wasn't spared.

Un'occasione per investitori contrarian? .

Tra gli investitori contrarian spicca Michael Burry,  un giovane value investor di grande successo: Vanity Fair gli dedica un lungo articolo molto ben scritto che vi raccomando caldamente di leggere.

Ha funzionato l'asset allocation nel 2008 e nel 2009? Aggiornamento al 5 marzo 2010

Ha funzionato l'asset allocation nel 2008 e nel 2009? Oltre a dare un'occhiata al mio post del 31 gennaio scorso potete seguire in tempo reale l'andamento di 8 portafogli "pigri" creati da Paul Farrell su Marketwatch e ascoltare l'opinione di Roger Ibbotson, autore della Bibbia di tutti i funds managers:

Stocks, Bonds, Bills and Inflation: Historical Returns

Lo stesso Ibbotson discute la relazione (inversa) tra liquidità e rendimenti in un altro video che trovate
qui. Ecco in sintesi la sua tesi...



It starts out with, everybody's studied, for the last 60 years, that there's a risk/return relationship. What they've ignored, for the most part, something almost as important, is there's a liquidity/return relationship. Essentially, what that means is, the more liquid an asset is, the more you have to pay for it. If you buy a less-liquid asset, you get to buy it at a discount. And that means you get higher returns.
And this applies to all kinds of assets. That applies to, say, very illiquid things, like real estate or private equity. But it also applies to public markets. There's gradations of liquidity. And the most-liquid stocks you have to pay the full price for. The less-liquid stocks you get to buy at discounts.




...certamente! Basta ricordarsi che l'illiquidità porta con sé un ulteriore rischio e che proprio la liquidità è stata un attore importante del panico dell'ottobre 2008.


L'indice Baltic Dry rialza la testa dopo qualche mese di ribassi

Chissà se sarà di buon auspicio...perchè me lo chiedo? Perchè sto leggendo questo articolo:

Predictive Signals and Asset Allocation

Hui Ou-Yang 
Nomura International, Hong Kong
Zhen Wei 
Nomura International, Hong Kong
Haochuan Zhang 
China Life Asset Management Company

August 15, 2009
Abstract:      We find predictive signals for returns on the S&P500 index (SPX) futures and the 2-year US Treasury bond futures. Using these signals, we construct portfolios composed of SPX futures and 2-year UST futures. The signal-guided portfolios yield a Sharpe ratio of 1.34 for the out-of-sample period from July 1993 to July 2009. After controlling for six equity and bond risk factors, the portfolios generate a significant alpha of 14.8% per year. In the last five years and three years, the portfolios generate Sharpe ratios of 1.76 and 2.12 as well as significant alphas of 23.8% and 31.1%, respectively.


Gli autori sostengono che:




 without trading signals to provide guidance on market timing and asset allocation, trading in the equities market can not only be very volatile but also lead to significant losses. Although an investment in bonds provides principal protection, it may not generate high enough returns to satisfy investors’ target rates.2 Therefore, it is crucial to develop signals that can forecast asset returns so as to guide our asset allocation decisions.
In this paper, we develop three trading signals for forecasting the returns in the equity and bond markets. The signals are the credit standard from the Senior Loan Officer Opinion Survey on Bank Lending Practices3, the percentage change in the Baltic Dry Index (BDI), and the change in the 2yr constant maturity swap (CMS) rates.




Staremo a vedere...


Ecco l'aggiornamento al 5 marzo 2010.

Una minibolla nei CDS? E le riforme? Infine: cosa sta succedendo all'euro e alla sterlina (soprattutto alla sterlina)?

La febbre greca si abbassa leggermente e così il costo dell'assicurazione contro il default del debito sovrano

si abbassa un po' ovunque come non mancano di sottolineare gli analisti di Bespoke: ecco come si sono mossi i prezzi dei CDS a 5 anni negli ultimi mesi

Non è semplice capire in che misura è efficiente il mercato dei CDS: se si assume l'efficienza allora è naturale
utilizzare il loro prezzo come proxy della probabilità di default ma ci sono parecchie precauzioni da prendere:
questo articolo del New York Times discute la possibilità di una minibolla nei CDS: 


Last September, the company, the Markit Group of London, introduced the iTraxx SovX Western Europe index, which is based on such swaps and let traders gamble on Greece shortly before the crisis. Such derivatives have assumed an outsize role in Europe’s debt crisis, as traders focus on their daily gyrations.A result, some traders say, is a vicious circle. As banks and others rush into these swaps, the cost of insuring Greece’s debt rises. Alarmed by that bearish signal, bond investors then shun Greek bonds, making it harder for the country to borrow. That, in turn, adds to the anxiety — and the whole thing starts over again.
On trading desks, there is fierce debate over what exactly is behind Greece’s recent troubles. Some traders say swaps have made the problem worse, while others say Greece’s deteriorating finances are to blame.
“This is a country that is issuing paper into a weakening market,” said Ashish Shah, co-head of credit strategy at Barclays Capital, referring to Greece’s need for continual borrowing.
But while some European leaders have blamed financial speculators in general for worsening the crisis, the French finance minister, Christine Lagarde, last week singled out credit-default swaps. Ms. Lagarde said a few players dominated this arena, which she said needed tighter regulation.
Trading in Markit’s sovereign credit derivative index soared this year, helping to drive up the cost of insuring Greek debt, and, in turn, what Athens must pay to borrow money. (...)
European banks including the Swiss giants Credit Suisse and UBS, France’s Société Générale and BNP Paribas and Deutsche Bank of Germany have been among the heaviest buyers of swaps insurance, according to traders and bankers who asked for anonymity because they were not authorized to comment publicly.
That is because those countries are the most exposed. French banks hold $75.4 billion worth of Greek debt, followed by Swiss institutions, at $64 billion, according to the Bank for International Settlements. German banks’ exposure stands at $43.2 billion. (...)
Markit says its index is a tool for traders, rather than a market driver.
In a statement, Markit said its index was started to satisfy market demand, and had improved the ability of traders to hedge their risks. The index and similar products, it added, actually make it easier for buyers and sellers to gauge prices for instruments that are traded among players over the counter, rather than on exchanges.
“These indices have helped bring transparency to the sovereign C.D.S. market,” Markit said. “Prior to their creation, there was no established benchmark index enabling investors to track the performance of segments of the sovereign C.D.S. market.”


Personalmente trovo che la posizione di Markit sia sotenibile, pur continuando a pensare che questo sia un
mercato da regolamentare. Più in generale tuttavia non penso che si possa escludere a priori la formazione di bolle anche nei CDS. In questi mesi però la preoccupazione per il debito sovrano mi sembra più giustificata dall'oggettivo aumento del rischio paese creato dalla deterioramento del debito pubblico per combattere la grande contrazione del 2007-2008 (e speriamo che di contrazione si possa conrinuare a parlare e non di depressione). Proprio oggi il New York Times con un editoriale che parte proprio da questo tipo di considerazioni prende una posizione netta sulla regolamentazione dei CDS. Eccone un ampio stralcio:


Here are some of the problems that must be fixed:
NO TRANSPARENCY Derivatives are supposed to reduce and spread risk. In a credit default swap, for instance, a bond investor pays a fee to a counterparty, usually a bank, that agrees to pay the investor if the bond defaults. But because the markets in which they trade are largely unregulated, derivatives can too easily become tools for dangerous risk-taking, vast speculation and dodgy accounting.
A big part of the problem is that derivatives are traded as private one-on-one contracts. That means big profits for banks since clients can’t compare offerings. Private markets also lack the rules that prevail in regulated markets — like capital requirements, record keeping and disclosure — that are essential for regulators and investors to monitor and control risk.
That is why it is so essential to move derivative trades onto fully transparent exchanges. The administration originally embraced that idea, with exceptions only for occasional, unique contracts. But when the Treasury proposed legislation in August, it included huge loopholes, and a derivative reform bill that passed the House in December has many of the same problems. (The Senate has yet to introduce a reform bill.)
Both the administration and the House would exclude from exchange trading the estimated $50 trillion market in foreign exchange swaps — similar to the derivatives Greece used to hide its debt. The rationale for the exclusion never has been clearly explained.
The Treasury proposal and House bill also would exclude transactions that occur between big banks and many of their corporate clients from the exchange trading requirement, ostensibly because those deals are only for minimizing business risks, not for speculation or for window-dressing the books. That’s debatable. But even if true, other derivatives users would almost inevitably find ways to exploit such a broad exemption.
What is clear about the exemptions is that they would help to preserve banks’ profits. What is also clear is that they would defeat the goals of reform: to lower risk, increase transparency and foster efficiency.
LIMITED POWER TO STOP ABUSES When the House put out a draft of new rules in October, it sensibly gave regulators the power to ban abusive derivatives — ones that are not necessarily fraudulent, but potentially damaging to the system. Derivatives investors who stand to make huge profits if a company or country defaults, for example, might try to provoke default — a situation that regulators should be able to prevent. In the final House bill, however, the ban was replaced with a requirement that regulators simply report to Congress if they believe abuses are occurring.
NO STATE REGULATION, EITHER Current law also exempts unregulated derivatives from state antigambling laws. That means that states have no power to police their use for excessive speculation. Treasury and House reform proposals have called for maintaining the federal pre-emption of state antigambling laws. Pre-emption could be tolerable if derivatives were traded on fully regulated exchanges. But as long as many derivative products and transactions are exempted from fully regulated exchange trading, pre-emption of state antigambling laws is a license for, well, gambling.

•

The big banks claim that derivatives are used to hedge risk, not for excessive speculation. The best way to monitor that claim is to execute the transactions on fully regulated exchanges, pass rules and laws to ensure stability, and appoint and empower regulators with independence and good judgment to enforce compliance.
Without effective reform, the derivative-driven financial crisis in the United States that exploded in 2008, and the Greek debt crisis, circa 2010, will be mere way stations on the road to greater calamities.

Il numero in edicola dell'Economist analizza le cause della debolezza della sterlina, ancora più
malmessa dell'euro. Nella sua ultima newsletter Shahin Shojai, del Capco Institute

si interroga su come prevenire le crisi valutarie. L'ho trovata interessante e la riproduco qui con il permesso 

del suo autore.

Can currency crises be prevented?

Shahin Shojai, Global Head of Strategic Research, Capco 

In the past few days, both the Euro and Sterling have come under tremendous pressure from the investment community. Both have lost ground on the dollar, a currency that only 5 months ago was deemed unfit for purpose. Back then, in my commentary entitled “Why so much talk about the demise of the dollar when there are much more important issues to worry about?” I suggested that the talk about dollar’s demise was way over exaggerated and that it would be literally impossible to replace it as the currency of choice for pricing most commodities by a basket of currencies, due to the practical issues of conversions, and certainly the Chinese Yuan. I also suggested that if any currency was to replace the dollar it would have been the overpriced Euro, and even that was nothing more than a dream, and that the world had much more important things to worry about than finding a replacement for the dollar.
Well, 5 months have passed and we see that as most people felt even during the booming years of the Euro-zone, it is very hard to manage an economic union with so many self-interests and no political union. The Euro-zone is not even remotely similar to the U.S. I have yet to meet an American that considers him/self a Californian or Texan, more than American. But, just ask how the French feel about their brethren in Belgium or even Spain. This is a union of nations that don’t always like each other, and when given the chance look for ways to take as much money from each other as they can. If you don’t believe me just look at the discussions that took place a couple of years ago on the common agricultural policy, and the French position. So, what took place in Greece is no surprise to anyone. What is of surprise is the reaction of the governments to the attack on the Euro. While, most believe that the Euro is overvalued, they still do not want to allow market forces, irrespective of whether the motivation is greed on the part of hedge funds or simply a need for a correction, to take their course. All are looking for ways to stop hedge funds from shorting Greek government debt and are forcing them to divert their attention onto the Euro, with the hope that with the aid of some kind of legislation they can stop them from pushing the Euro down further.
The truth of the matter is that, as my mentor the late Franco Modigliani used to say, the easiest way to avoid a run on a currency is for there to be perfect collaboration between that currency’s central bank and the central banks of the currencies that are being bought. This is what stopped George Soros from repeating what he did to the Pound to the French Franc. The unwavering willingness of the Bundesbank to accept Francs and hold them in return for Deutschemarks. If you don’t have such an agreement then there is no way of stopping such trends. Now, everyone is feeling that the Euro should fall because of a myriad of reasons that were completely ignored only a few weeks ago. And, it really does not matter if there is any logic to the action. All that matters is that it has now become a trend that few can afford to ignore. The same is true for Sterling. God knows who came up with the notion that there could be a hung parliament in the U.K., it certainly was not the Conservatives or the Labour party. If it was the Liberal democrats, then this is the first time that anyone outside their party has listened to them for the past 100 years. But, the fact is that in financial markets people look for explanations of what happens, which is then used by others to justify why they are following the herd. It is not the reasons that cause the markets to take certain actions, it’s the other way round.
Consequently, now that the world is feeling that the Euro and Sterling should fall, we have an opposite situation to a speculative bubble. Everyone wants in. And unless the Fed agrees to do what Bundesbank did for the Franc for the Euro, it will continue to fall until the markets decide otherwise and then the journalists and economists look for explanations of why it has now reversed. In the meantime, there is a lot of money to be made from selling the Euro and Sterling, irrespective of the threats from the FSA or the European Central Bank and governments. Circuit breakers do not work under any circumstance. They just create pent up energy that moves elsewhere, where it can transact. Given the size of the world’s FX market, and its liquidity, there is very little that such threats can do to stop the Euro and Sterling from falling.
The interesting part of this whole story is that had someone offered the European governments the opportunity to depreciate the Euro by 10% they would have happily said yes. But, now that they know it is the non-Euro-zone hedge funds, based in the U.S. and U.K., which could benefit from this exact similar action they are crying foul. Of course, they are also worried since they cannot control how much the currency could end up depreciating.
I am more than confident that this trend will continue, for the simple fact that the U.K.’s debt situation is much worse than many think, and that the Greek problems are simply the tip of the iceberg and once everyone realizes just how bad the situation is in Spain, Portugal, Italy and Ireland they will want to get out of the Euro as fast as possible.
As for the strengthening dollar, well I am sure that is the last thing that President Obama would have wished for. A strong dollar could slow down some of the recovery that we are witnessing. It would certainly make it harder to export U.S. goods and more attractive to import foreign goods, resulting in a further downward pressure on the U.S. inflation figures at a time they need some inflation, apart from the obvious balance of trade issues that the U.S. has. 2009 was a pretty bad year for many of his domestic agenda, but he was still living through a honeymoon period with Europe. Somehow I suspect that the Greek tragedy might turn it into the kind of honeymoon he was hoping to avoid.

Ancora sulla Grecia e gli scricchiolii dell'euro. Due video sugli alchimisti di Wall Street.

John Mauldin dedica gran parte della sua newsletter settimanale ad un'analisi della crisi greca. Ecco la sua difesa degli hedge funds dall'accusa di cospirare contro l'euro: 

The Euro and a Conspiracy of Hedge Funds

The lead story in this morning's Wall Street Journal is that hedge funds are holding "idea meetings" and deciding that shorting the euro is a good bet. Der Spiegel called them "secret meetings," as if somehow a cabal of hedge funds is conspiring to push the euro down. A few points for the writers of Der Spiegel:

• There is no secret about the problems with the euro. Let's see, when the head of Germany's leading debt-management agency warned this week that the euro would collapse if any member defaulted on its debt, was he part of a secret conspiracy? If he is right, do you want to bet that Greece will behave, and go long the euro?
• The currency market is a $2 trillion dollar a DAY market. That's over $50 trillion a month. Even with 20:1 leverage, $50 billion in hedge funds shorting the euro is a drop in the bucket, and I seriously doubt anywhere close to that much is at risk. George Soros won his bet against the pound sterling because the pound was fundamentally flawed and overvalued, and he put his money where his mouth was.
• If a hedge fund is betting against the euro, someone has to be on the other side of that trade. Are those guys (on the other side) conspiring in secret to drive the euro up and the dollar down? Are they in "secret" meetings to take advantage of the poor, dumb, misinformed hedge funds? Who are they? The world needs to know who is conspiring against the dollar and other currencies! Whatever. One side will be wrong. Fundamentals will out.
• I get invited to "idea dinners" from time to time. They are indeed private, but they don't rise to the level of "secret." I do very little trading, but these meetings help to hone my ideas, and I hope that helps make this letter a better source for you.

The Journal wrote that these hedge-fund managers expect the euro to go to parity with the dollar, as if that is some novel idea. I made that prediction in 2002 when the euro was at $.88, suggesting that it would rise to $1.50 and then fall back to parity by the middle of the next decade. Maybe it will get there a little faster than I thought. Stay tuned, and I do NOT suggest making 20:1 bets on currency moves. A lot of those hedge funds will lose a lot of money if the market moves against them.

Da consumato professionista mescola argomenti ottimi con argomenti meno buoni (ad esempio le considerazioni sulla leva sono risibili e trascurano le nonlinearità). Sono però totalmente d'accordo con lui con le considerazioni su Soros e la sterlina e sul fatto che la sopravvalutazione dell'euro (almeno quando viene scambiato a 1.5$) non è un mistero per nessuno.

Sempre Mauldin propone una semplice (forse troppo semplice) ma interessante analisi della struttura dei tassi a 10 anni delle obbligazioni governative dei paesi dell'area euro a cura di GaveKal dalla quale si è portati a concludere che:


Thus, for all of the complaints about market manipulation, it seems that the hierarchy of spreads over German Bunds has followed, since the beginning of this year, a pretty rational walk. Actual debt levels and short-term pressure on government accounts have systematically explained more than 85% of yield spreads. When a liquidity risk premium is applied, the explaining power of our model rises to above 95%. A very interesting predictability which leads us to the following conclusions:

1. The hierarchy of sovereign spreads on Euro financial markets closely follows the logic of the Stability and Growth Pact (SGP). The European bond markets are thus remarkably consistent and sending a clear and powerful message to the governments of the euro zone to stick to the agreed rules or suffer the consequences.
2. As of today, there seems to be no additional risk premium related to the possible dislocation of the Eurozone. Clearly, this possibility would have such devastating effect on world financial markets that investors cannot even think of it (even if many talk about it).
3. Based on the fitted curve we can identify a few markets that potentially deserve either a lower or a higher spread than the one currently prevailing. Of course, one should not build too much on small deviations to the fitted curve, but one sovereign bond market looks particularly expensive, namely Belgium. The OLO market should normally trade with yield significantly above that of Austria, or even Italy (see The Italian Job). The credentials for the management of the Belgian debt crisis of 1993 may play a role in the overvaluation of the OLO market. But with Belgian public debt now rising again (it should pass the 100% mark next year) and with the Belgian banking system in deep crisis, we see little reason to hold any OLO in bond portfolios. Rather, we would advise to sell OLOs against a basket of Austrian and Italian bonds. Aside from Belgium, France and Ireland are the two markets that currently look vulnerable.

4- The Return of Country Risk

As mentioned above, it is hard to foresee how the current situation in Europe will play out, but the one thing we can be sure of is that the crisis is an important turning point for European investors in that it marks the return of country risk. Indeed, regardless of what the European Union may do to help Greece through its current crisis, the new reality is that Greece's funding costs (along with those of other European nations) will, from now on, increasingly be a reflection of Greek fundamentals rather than German fundamentals. This must mean that, like a phoenix rising from the ashes, country risk in Europe is all of a sudden back from the dead. It also means that discerning which countries are set to experience a rise in financing costs, and which countries enjoy a pull-back will once again be a driver of relative stock market performance. In that regards, we hope that our reader will find the equation we offered above both interesting and useful.


L'equazione alla quale viene fatto riferimento nel testo è il risultato di una semplicissima regressione
lineare su tre fattori:


since the beginning of the year, we find that, on average, 10-year bond yields in the Euro area have been organized according to the following pattern:


Yield = 4.31+ 0.0201*(excess debt)+0.4723*(EDP adjustment)-0.564*(liquidity)


Attenzione che la serie impiegata è davvero molto corta, ecco perchè ho enfatizzato in rosso il caveat iniziale.


Vi segnalo infine due video sul ruolo avuto dai Quants nella crisi finanziaria: il primo è di Andrew Lo: ResearchChannel - Are Mathematical Models the Cause for Financial Crisis in the Global Economy e potete scaricarlo dal sito della National Science Foundation a questo link

Il secondo video è un documentario (teoricamente in olandese ma tutte le interviste, cioè oltre il 90% del contenuto, sono in inglese) Quants - the Alchemists of Wall Street  con interviste a Paul Wilmott, Emanuel Derman, Matthew Goldstein e Mike Osinski. Tra gli spunti interessanti di questo documentario mi ha colpito la descrizione che Willmott fa al 19esimo minuto di strategie note come "raccogliere monetine davanti al rullo compressore"...in cui piano piano fai profitti
esponendoti a un rischio estremo (inciampare mentre raccogli la monetina di fronte al rullo compressore che avanza piano piano ma inesorabilmente...).  Sarei davvero contento di scoprire che tra i miei 25 lettori c'è qualcuno attivo nel mondo Hedge e  conoscere la sua opinione sui commenti di  WIllmott e in particolare a proposito della sua affermazione seguente:

"I think it is fantastic that people that people who take risk should be compensated for taking risk. But only if they are
taking risk themselves...taking risk with other people's money you should not be compensated for... I am sorry...I do not know if that fits with economic theory but taking risk with other people's money does not get rewarded"

L'innovazione finanziaria aiuta la crescita economica? I rendimenti delle borse e la demografia.

Fino a mercoledì 3 marzo potete intervenire sul dibattito aperto dall'Economist: This house believes that financial innovation boosts economic growth. L'oppositore è addirittura Joseph Stiglitz che scrive:

A good financial system is essential for a well-functioning economy. A good financial system allocates capital to its most productive use, and manages risk in ways that enable higher risk activities to be undertaken for higher return. By reducing risks faced by individuals and firms, e.g. through insurance products, a good financial system contributes to greater security and societal well-being, in ways that may not even be fully reflected in GDP statistics.
Another responsibility of the financial system is to run the payments mechanism, without which a modern economy could not function.
A good financial system does all of this efficiently, that is, at low transactions costs. It is essential to realise that, for the most part, the financial system is not an end in itself, but a means to an end, and the measure of the success of the financial system must therefore relate to its success in accomplishing these broader societal functions. Innovations in the financial system that help it perform these tasks better and at lower cost almost surely lead to increased societal well-being, and to the extent that our GDP measures capture these benefits, in higher measured growth. There are some financial innovations, such as the venture capital firms, that have facilitated the flow of funds to new enterprises. Few are questioning the virtue of these innovations.
The question about financial innovation is, however, somewhat different: it is whether most of the innovations that have been widely touted, such as credit default swaps, have in fact enhanced economic performance. What is evident is that they contributed to the current economic crises, and added greatly to the burden on taxpayers. The AIG bailout alone—linked directly to these innovations—cost taxpayers almost $180 billion, a sum that is hard to fathom. There is also ample evidence that they have been useful in accounting, regulatory and tax arbitrage, activities that may enhance the profits of the companies employing them, but not necessarily the efficiency of the economy. They have helped governments and firms hide their financial doings from taxpayers and investors. And those benefiting from such deception have been willing to pay amply for it, with large profits to the innovators, even if society as a whole loses.
Paul Volcker put the matter clearly when he said, "I wish that somebody would give me some shred of neutral evidence about the relationship between financial innovation recently and the growth of the economy."
I agree.(...)

We should not be surprised that the so-called innovation did not yield the real growth benefits promised. The financial sector is rife with incentives (at both the organisational and individual levels) for excessive risk-taking and short-sighted behaviour. There are major misalignments between private rewards and social returns. There are pervasive externalities and agency problems. 

e conclude:


The right kind of innovation obviously would help the financial sector fulfil its core functions; and if the financial sector fulfilled those functions better, and at lower cost, almost surely it would contribute to growth and societal well-being. But, for the most part, that is not the kind of innovation that we have had.
Regulatory reform is important not just to ensure that the economy does not have another crisis. Better regulations, including regulations that help align private rewards and social returns, could and probably would direct the sector's creativity in ways that lead to more socially productive innovation.

La difesa dell'innovazione finanziaria è affidata a Ross Levine che scrive:

Finance is powerful. As the last few years demonstrate, financial innovations can be used as tools of economic destruction. But the last few centuries demonstrate that financial innovation is crucial, indeed indispensable, for sustained economic growth and prosperity.
Financial systems provide vital services: they evaluate, screen and allocate capital, monitor the use of that capital, and facilitate transactions and risk management. If financial systems provide these services well, capital flows to the most promising firms, promoting and sustaining economic growth. Financial innovation—the creation of new securities, markets and institutions—can improve financial services and thereby accelerate economic growth.
Moreover, financial and technological innovations are inextricably bound together and evolve together, suggesting that financial innovation is essential for improving the wealth of nations. As described by Adam Smith, the very essence of economic growth involves increased specialisation and the use of more sophisticated technologies. The increased complexity makes it more difficult for the existing financial system to evaluate new enterprises or manage their novel risks. Thus, economic progress itself makes any existing financial system obsolete. Without a commensurate modernisation of the financial system, the quality of financial services falls, slowing economic growth.

e conclude:

Financial innovation, like all innovation, has risks, which have been unmistakably demonstrated by the current crisis. While government policies and regulators deserve ample blame for permitting, and even triggering, financial abuses, newly engineered financial products are undoubtedly woven into the tapestry of this crisis and past ones as well. The misuse of new products is not limited to finance, however. Information technology eases identity theft. Webcams facilitate child pornography. And, drugs are dangerously abused. But just as we should not conclude that medical research does not promote human health because of drug abuse, we should not conclude that financial innovation does not promote economic growth because of the devastatingly costly crisis through which we are now suffering.
Financial innovation is critical if we are to enjoy rapid rates of economic progress in the coming century, but innovation, change and growth can threaten stability. Improvements in financial regulation can reduce the risks of financial crises without curtailing sustained economic growth. In finance, as in medical research, encouraging the healthy application of human creativity requires some regulatory guideposts.

A me sembra che gli argomenti di Stiglitz siano un po' più circostanziati e meno ideologici, anche se non ne condivido l'enfasi sul sociale, forse perchè reso diffidente dall'(ab)-uso costante che ne vedo fare in Italia e in Europa. In generale il punto di vista di Levine è condivisibile ma le conclusioni sono deboli e non mi sembrano andare al cuore della questione.

L'ultima colonna di Buttonwood analizza l'impatto dei cambiamenti demografici sulle valutazioni degli asset e conclude:

Are these preferences for asset classes driven by some underlying factor, rather as John Maynard Keynes argued that practical men were often slaves to the writings of some “defunct economist”? Tim Bond of Barclays Capital argues that demography may be to blame. The key “saving age” is the cohort of 35-54 year-olds. As they prepare for retirement, they pile into the asset class du jour. Mr Bond shows that since the second world war there has been a close correlation between American equity valuations and the proportion of 35-54 year-olds in the population. That the “noughties” proved to be a dismal decade for equities was hardly surprising. The number of retirees (who run down their portfolios) was rising relative to the number of savers.
The bad news is that the demographic maths imply that equity valuations will continue to fall until the middle of this decade. The news is even worse for government bonds. A similar model suggests that yields in both America and Britain are heading for 10% by 2020.
So demography drives investment fashion, and fashion determines valuations. In turn the long-term return is crucially dependent on the starting valuation. American equities now offer a dividend yield of just 2%, less than half the long-term average. Investors should remember that salutary statistic whenever they are tempted to get too bullish.

Qualche tempo fa avevo letto sull'argomento un post di Carlo Favero su noiseFromAmeriKa con toni un po' meno depressi:  siccome sono diventato un inguaribile ottimista ve ne propongo le conclusioni

Cosa spiega la (cor)relazione tra la demografia e le flutuazioni dei rendimenti azionari?
Geanakoplos, Magill and Quinzii (2004, GMQ) offrono un potenziale risposta a questa domanda considerando un modello a generazioni sovrapposte in cui la struttura demografica riflette l'andamento delle nascite negli US, che sono state caratterizzate da periodi ventennali alternati di crescita e contrazione. GMQ studiano l'equilibrio di un'economia di scambio ciclica in cui si alternano tre generazioni: gli agenti prendono a prestito quando sono giovani, investono nella loro mezza età e vivono dei proventi dei loro investimentti da vecchi. In questa economia il rapporto dividendo/prezzo, cioè il rendimento di lungo periodo nell’investimento azionario, è proporzionale a MY 
[MY (middle-to-young), cioè il rapporto tra la popolazione tra i 40 e i 49 anni (Middle) e quella tra i 20 ed i 29 anni (Young) negli Stati Uniti] . Un livello alto di MY spinge in alto i prezzi azionari perchè prevalgono nell’economia i flussi di investimento nel mercato azionario. In un lavoro recente Favero, Gozluklu and Tamoni (2009, FGT) analizzano le implicazioni empiriche del modello GMQ identificando econometricamente un equilibrio di lungo periodo per il rapporto dividendi/prezzi coerente con gli andamenti delle variabili riportate nella Figura 3. FGT illustrano come la media che si evolve lentamente nel tempo a cui tende il rapporto diviidendi-prezzi sia determinata da MY assieme ad un trend che coglie lo sviluppo della tecnologia. A conseguenza di questo fatto i trend demografici risultano molto significativi per la previsione dei rendimenti azionari nel medio-lungo periodo. Gli stessi trend demografici portano ad indicare, come si evince dalla Figura 3, un rendimento annuale reale medio attorno all’8 per cento per il mercato azionario nei prossimi venti anni.

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: