Stress tests troppo poco stressanti?

Sono solo 7 le banche europee che non hanno superato gli stress tests, con una necessità di ricapitalizzazione di circa 3.5 miliardi di euro. Qualche giorno fa uno studio di Goldman Sachs aveva previsto che 10 banche fallissero l'esame con una necessità di capitale pari a 38 miliardi di euro.  Per poter superare i test il capitale Tier 1 non doveva scendere al di sotto del 6% degli asset in uno scenario che prevedeva una nuova recessione (moderata) nel 2010 e nel 2011 e una crisi (ma non un default) del debito sovrano, con i tassi di interesse di medio-lungo periodo dei paesi dell'U.E. che aumentano di 30 punti base (un po' pochini forse...).
Le critiche del Wall Street Journal sono chiare:

The low failure rate is hardly surprising, given the easy terms of the test. Admittedly, it is hard to quibble with the macroeconomic assumptions, with the "adverse" scenario more demanding than the market consensus. It was based on a double-dip recession that would see the euro-zone economy shrink by a mathematically unlikely 0.2% this year and grow by just 0.1% next year. But while the stress tests prescribed big increases in default probabilities and loss assumptions, they didn't challenge the banks' current underlying base-case default assumptions, which the market widely suspects are too optimistic.
More importantly, the sovereign shock exercise—which looked at the impact of further volatility in the sovereign-bond market and was the main focus of investor attention in the run-up to the results—was benign to the point of irrelevance. The test was applied only to assets held on trading books and ignored banking books where the bulk of bank sovereign exposures lie. The haircuts applied to sovereign bonds were also very low. Under the adverse scenario, Greece's five-year bonds were assumed to yield 13.64%, equivalent to a 23% haircut on December 2009 prices. Yet Greek five-year bond yields at the height of the sovereign crisis in July hit 17%.
Meanwhile, the hurdle rate was low. It was based on a 6% Tier 1 ratio– hardly onerous given that European banks currently average 10% Tier 1 capital–rather than focusing on higher-quality core Tier 1, as the market would have preferred. The U.S. stress tests in 2009 required banks to exceed 4% core Tier 1 under stressed conditions.
Still, it would be a mistake to write the stress tests off as a waste of time. The most useful aspect of the exercise is the full disclosure of bank European sovereign-bond exposures on both the banking and trading books, which will now be pored over by analysts who will be able to apply their own haircuts. Investors will also welcome the detailed disclosure by the 27 Spanish banks of their wider real-estate exposures, thereby addressing a key concern. The market may yet apply the pressure on individual undercapitalized banks that the regulators ducked.

Secondo il New York Times

(...) questions about the way the tests were conducted left at least some economists and financial analysts wondering whether the results would be enough to calm investors worried about the stability of the continent’s banking system.
The tests found that seven of the region’s 91 largest banks needed to raise more capital to withstand an unexpected decline in economic growth or a sharp deterioration in the perceived safety of government bonds issued by debtor nations like Greece, Portugal and Spain.
Banks that failed were Hypo Real Estate, a company based in Munich that is already owned by the government after a bailout, ATEBank of Greece and five Spanish savings banks.
Several other banks passed but so narrowly that they may face market pressure to increase reserves. That group included Postbank, one of Germany’s biggest publicly traded banks, which is based in Bonn and is 25 percent owned by Deutsche Bank.
Markets reacted to the test results with muted enthusiasm. European and United States stock indexes generally rose less than 1 percent, though bank shares were down. The euro rose early but finished down less than a hundredth of a percentage point against the dollar.
But, as with similar tests of banks in the United States last year, it may take days or weeks to determine whether the tests will end banks’ mistrust of one another’s creditworthiness and encourage interbank lending, which is crucial to the normal functioning of the financial system and ultimately the overall economy.
Some economists said the tests excluded certain possibilities, like the effect of a debt default by Greece or another European country, calling into question its credibility.
“The overall result seems out of line with the tensions we have been observing in the financial system in the last few months,” said Marco Annunziata, chief economist at UniCredit Group, based in Milan. “The tests are unlikely to reassure the market that transparency has been re-established or that pockets of weakness are being rapidly addressed.”
European policy makers said they refused to consider the potential effect of sovereign defaults because they would never allow them to happen.
In a compromise, banks were scheduled to detail their holdings of Greek, Spanish, Portuguese and other sovereign bonds. But a report released by the European bank supervisors did not contain that information, which would resolve intense speculation about which banks were most exposed.
“Investors cannot reverse-engineer the results and apply their own assumptions,” said Nicolas Véron, a visiting fellow at the Peterson Institute for International Economics in Washington. He called the level of detail in the stress test report “disappointing.”
(...)
In a second round due in two weeks, the tests will be expanded to bank subsidiaries, like the East European institutions owned by banks based in Vienna.


Se volete trascorrere il finesettimana approfondendo l'analisi, unendovi a schiere di analisti in tutto il mondo che stanno meticolosamente facendo le pulci al rapporto,  potete scaricare qui l'analisi complessiva dell'esito dei test condotti dal Committee of European Banking Supervisors (CEBS) (su mandato ECOFIN) in coorperazione con la BCE e le autorità di supervisione bancaria dei singoli paesi dell'Unione Europea. Una sintesi nella forma di domande/risposte la trovate qui mentre qui potete scaricare il documento complessivo che include i due precedenti e l'analisi dettagliata delle banche paese per paese (le 5 banche italiane coinvolte - Intesa, Unicredit, MPS, UBI e Banco Popolare - sono trattate alle pagine 108-112). Alla domanda fondamentale sullo stato di salute del sistema bancario europeo i controllori rispondono così

Q15: Is the EU banking sector a sound banking sector?
A: Based on the results of the calculations, the aggregate Tier 1 ratio, used as a common measure of banks’ resilience to shocks, under the adverse scenario would decrease from 10.3% in 2009 to 9.2% by the end of 2011 (compared to the regulatory minimum of 4% and threshold of 6% set up for this exercise).
The aggregate results suggest a rather strong resilience for the EU banking system as a whole and may appear reassuring for the banks in the exercise, but it should be emphasized that this outcome is partly due to the continued reliance on government support for a number of institutions. However, given the uncertainties over the actual path of the macro-economic recovery, the result should not be seen as a reason for complacency.

Ci possono scommettere!

Stress tests....sex bombs....

Suscettibile alle critiche dell'Economist e sentitosi spiato da Alfaobeta, l'indice Baltic Dry ha aperto questa settimana interrompendo l'eccezionale serie consecutiva di ribassi e si avvia oggi a chiudere con il terzo giorno consecutivo di rialzi. Anche se una rondine non fa primavera siamo contenti di vedere che l'affossarsi dell'indice si sta prendendo una piccola pausa, così come le borse, trascinate da trimestrali tutto sommato non disprezzabili.

Anche il dollaro si sta prendendo una piccola rivincita sull'euro che lo aveva strapazzato la scorsa settimana:
The euro had advanced to $1.30 from the four-year low just under $1.19 hit in early June, and analysts said the common currency's recent rally may have outpaced the support the euro is likely to glean from the tests.
"How good can this stress test be?" asked Simon Smollet, senior foreign exchange options strategist at Credit Agricole CIB in London. "It's difficult to imagine how much better" the euro can trade against the dollar, no matter what the results of the stress tests.
After initially viewing the tests in a positive light, investors now are wondering how decisive the tests will be in restoring faith in the European financial system.

Lo stress da stress tests domina le attese di questi giorni:  secondo il Wall Street Journal per un investment banker
 a failed stress-test exercise (...) is one that doesn't lead to any lucrative mandates to raise bank equity.
On that basis, the European exercise, whose results are due Friday, looks doomed. Finance ministers from several countries most under scrutiny, including Greece and Spain, have been quick to declare their banking system sound. Any capital raising seems likely to be limited to smaller savings banks that cannot or would not be able to raise public equity and will have to rely on government capital injections instead. 

Ma questi sono tipi tosti: infatti continua il WSJ
 investment bankers are not the type to take "no" for an answer. Unperturbed, some now hope to persuade banks that passed the test to take advantage of any improvement in confidence to bolster their balance sheets. That may be a hard sell, given the European bank sector currently trades on 0.6 times 2010 tangible book value, according to Nomura. No bank would raise capital at a discount to book value if they can avoid it, given the dilution that implies, particularly if they can boost their capital via retained earnings.

e poi: 
With European banks needing to refinance an estimated $3.3 trillion of wholesale funding in the coming years, it is to Libor and the iTraxx senior financials index that investors must look for the true definition of stress-test success. 

Dopodomani conosceremo tutta la verità, per meglio dire conosceremo quella parte della verità che si riterrà utile rendere pubblicamente nota per permettere alle banche europee di tirare un respiro di sollievo dopo mesi di apnea e di voci che si rincorrono.

In questo luglio torrido ho cercato invano un po' di sollievo sull'Econotwist music channel: speravo di trovare un remake di Sexbomb  dedicato agli stresstests....purtroppo non l'ho trovato e vi dovete accontentare di immaginarvelo....Mr Bean mi sembra comunque adatto a interpretare il ruolo dell'ispettore BCE...




Speriamo comunque che l'autunno sia un po' meglio di quello che i timori della primavera e dell'estate sembrano suggerire, e che non si presentino altre swap-portunities....

Gli analisti sono ancora troppo ottimisti...aspettando un ETF per investire in Bangladesh

Se continua così avremo presto ETF che replicano gli indici dei mercati azionari del Bangladesh, di Sri Lanka e del Venezuela (la tabella qui accanto è tratta da seekingalpha e i dati sono aggiornati al 16 luglio)

Sempre su seekingalpha trovate un'analisi dei risultati della prima settimana dell'earnings season appena iniziata (con il supertrimestre di Intel, per esempio): potete leggerla qui. Da questo post ho tratto il grafico che affianca l'andamento dell'indice S&P500 negli ultimi 30 mesi all'andamento delle revisioni (in positivo o in negativo) delle previsioni degli utili da parte degli analisti che ho riportato qui accanto. Gli aggiustamenti al rialzo o al ribasso delle previsioni degli utili da parte degli analisti   finanziari si correlano abbastanza bene con l'andamento dell'indice azionario (ma sembrano seguirne piuttosto che anticparne l'andamento) mentre le previsioni in termini assoluti degli utili sono ancora decisamente troppo bullish. Secondo una ricerca di McKinsey (che potete scaricare qui dopo esservi registrati gratuitamente)

“Exceptions to the long pattern of excessively optimistic forecasts are rare, as a progression of consensus earnings estimates for the S&P 500 shows (Exhibit 1). Only in years such as 2003 to 2006, when strong economic growth generated actual earnings that caught up with earlier predictions, do forecasts actually hit the mark.

This pattern confirms our earlier findings that analysts typically lag behind events in revising their forecasts to reflect new economic conditions. When economic growth accelerates, the size of the forecast error declines; when economic growth slows, it increases. So as economic growth cycles up and down, the actual earnings S&P 500 companies report occasionally coincide with the analysts’ forecasts, as they did, for example, in 1988, from 1994 to 1997, and from 2003 to 2006.

Moreover, analysts have been persistently overoptimistic for the past 25 years, with estimates ranging from 10 to 12 percent a year, compared with actual earnings growth of 6 percent. Over this time frame, actual earnings growth surpassed forecasts in only two instances, both during the earnings recovery following a recession. On average, analysts’ forecasts have been almost 100 percent too high.”  (emphasis added)

L'indice Baltic Dry sprofonda...l'economia mondiale farà lo stesso?

L'indice Baltic Dry continua la sua monòtona e monotòna discesa verso l'abisso, con 37 giorni di contrattazione consecutivi al ribasso! L'Economist preoccupato si interroga su quali scenari di sventura per l'economia mondiale possa essere foriero un tale collasso: 


FOR most of the past two decades the main measure of shipping costs has been used as a guide to what is happening to world trade. So the fact that the Baltic Dry Index—which measures the rates charged for chartering the giant ships that carry coal, iron ore and grain—has fallen by almost 60% in its longest streak of consecutive declines for nine years (34 days running as of July 14th) has won attention.
Add in the fact that China’s imports of iron ore and coal fell in June by 9% and 8% respectively, and the Baltic Dry seems to be signalling trouble ahead. Melissa Kidd of Lombard Street Research notes that the decline in rates has been greatest for the biggest vessels, the sort used to carry iron ore and coal from Australia and Brazil to China, suggesting weaker demand in the world’s most vibrant big economy. Such ships cost $48,000 a day to charter in late May; they are now down to around $18,000 a day.
China’s steelmakers are certainly being squeezed.(...) 


Più modestamente alfaobeta tiene d'occhio il BDI da un po' di tempo anche perchè alcuni autori sostengono che possa anticipare l'andamento di altri indici, compreso l'indice S&P500. Secondo l'Economist questa volta il problema potrebbe essere tuttavia relativamente isolato e legato a un problema di eccesso di offerta, piuttosto che di domanda che si indebolisce oltre misura. Un'offerta inflazionata dalle numerose navi messe in cantiere durante il boom delle materie prime nel 2007-2008 e solo ora pronte e immesse sul mercato dei cargo.


There are growing doubts, however, about what the Baltic Dry is actually signalling. The confusion is whether the index is saying more about the supply of ships than the demand for their cargoes. The index spiked dramatically in 2008 as China’s imports of hard commodities soared at a time when the supply of ships was constrained and port congestion added to demand for capacity (see chart). The financial crisis soon set the index back on a steadier path but not before this period of dramatic growth in demand from China had prompted a surge of orders for bulk carriers, especially the very largest ones that are used on the China trade routes.
These ships take around three years to come onstream. Despite the cancellation of some orders the flow of new ships is now in full flow: in the first half of this year the global fleet increased by 23% as new vessels came into service at the rate of 16 a month. There are now 23 such vessels arriving each month, adding to oversupply.
Other freight indicators are less negative than the Baltic Dry. Container-shipping rates are holding pretty steady as companies decide to accept a lull in traffic rather than cut rates to stimulate demand. And according to the International Air Transport Association air freight is booming, up by 34% year-on-year in May. But air freight measures trade in high-value finished goods, whereas bulk ships reflect demand for the raw materials of which they are made. If there is more to its decline than supply-side distortions, the Baltic Dry could yet be a grim warning of what is to come.

Per un'altra analisi sul crollo dle Baltic Dry, un po' più pessimista di quella dell'Economist, potete dare un'occhiata qui. La figura qui accanto è tratta proprio dal sito moneymorning.com

Investire nell'agricoltura? Aggiornamento al 16 luglio 2010.

Il Wall Street Journal si interroga sul futuro dell'agricoltura e delle  opportunità di investimento in questo settore. Secondo il WSJ

With an estimated 9.2 billion mouths to feed by 2050, up from 6.8 billion now, and growing demand from wealthier emerging-market consumers for a high-protein diet, the challenge of feeding the world looks daunting. In theory, that should provide a huge secular boost to agribusiness stocks over the coming years. But it will still require investors to have an appetite for risk.

Growing demand for food isn't in doubt. In 2008, there were already 915 million undernourished people around the globe, according to the United Nations' Food and Agriculture Organization. Prices for basic crops like maize, rice and wheat soared between 2006 and 2008, reaching their highest levels in 30 years and triggering riots in some countries. Prices have since fallen back as a result of the financial crisis, but the focus is firmly on food security.

Changes in diet in the developing world also will put pressure on agricultural production. If Chinese consumers were to match the diet of their Korean counterparts, global meat consumption would rise 9%, according to BlackRock, which is launching a new world agriculture fund.

The fund manager believes once such shifts in diet start, they prove irreversible, implying greater grain production to feed livestock, and greater use of technology to boost crop yields. At the same time, planned increases in biofuel production will reduce the amount of land available for food.

(...) While the Global Agribusiness fund run by DWS, Deutsche Asset Management's mutual fund arm, has returned 12.5% since its launch in September 2006 and handily beaten the Standard & Poor's 500-stock index and the MSCI World indexes, it has seen higher volatility. So far this year, agribusiness stocks are underperforming broader indices. But investment in agriculture is unlikely to be about reaping a quick harvest: over the longer term, the returns may look tastier.

Qui potete scaricare un corposo report sullo stesso argomento prodotto da Deutsche Bank un anno fa e qui il piano d'azione della World Bank per lo sviluppo del settore agricolo nel triennio 2010-2012.

Qui sotto trovate l'aggiornamento al 16 luglio 2010. Merita attenzione il sensibile ritracciamento del dollaro che ha perso questa settimana quasi il 3%. Segnali contrastanti dal mercato azionario U.S.A., decisamente negativa la seduta con cui ha chiuso la settimana venerdì. Qui trovate un'analisi approfondita dell'indice S&P500 da parte degli analisti di Goldman Sachs. Qui invece trovate un'analisi della situazione macroeconomica in Europa, aggiornata a giovedì scorso. La prossima settimana si chiuderà con la pubblicazione venerdì 23 dei risultati degli stress tests delle banche europee...staremo a vedere...

La deflazione è in arrivo? Buona e cattiva economia comportamentale. Rilassatevi: arrivano gli stress-tests

Dalle note della riunone di giugno dei membri della banca centrale U.S.A. emerge una buona dose di  preoccupazione per la deflazione prossima ventura :

The Federal Reserve disclosed on Wednesday that its chief policy makers were divided on whether the weak economy faced a new, potentially dangerous threat in the form of deflation. (...)

On Wednesday, the Fed lowered its estimate of economic growth for this year, to a range of 3 to 3.5 percent, from the 3.2 percent to 3.7 percent forecast in April. Inflation has been running well below the Fed’s unofficial target of nearly 2 percent, so much so that a few officials fear that the United States is at risk of the kind of deflationary spiral that has hobbled the Japanese economy for the better part of two decades.

The Fed’s chairman, Ben S. Bernanke, has not embraced that view, but even those who disagree with it say the Fed, whose modern institutional culture was built around fighting inflation, now confronts a distinctly different problem of high joblessness.

“If federal fiscal policy is approaching its political or economic limits, some believe that the Federal Reserve should do more, including expansion of its balance sheet,” Kevin M. Warsh, a Fed governor who is close to Mr. Bernanke, said in a recent speech to the Atlanta Rotary Club. “In my view, any judgment to expand the balance sheet further,” by acquiring mortgage bonds and debt, “should be subject to strict scrutiny.”

The central bank has already held interest rates lower for longer than at any time since the Great Depression, keeping the benchmark short-term interest rate near zero since December 2008. Since the start of the financial crisis, the Fed has more than doubled its balance sheet, to $2.3 trillion, by buying mortgage bonds and Treasury debt to keep long-term interest rates low.

But, as Mr. Bernanke pointed out in a speech in 2002, when he was a Fed governor, a central bank that has run out of ordinary tools to prop up the economy, like lowering short-term interest rates, still has other options to prevent deflation.

By resuming its purchases of assets or by being more explicit about its intentions to keep interest rates low, the Fed could lower inflation expectations and long-term interest rates. That could further stimulate borrowing and spending by companies and individuals.

The minutes released Wednesday from the June 22-23 meeting of the Federal Open Market Committee, the Fed’s crucial policy body, cited the threat of deflation in the United States for the first time in a year.

“A few participants cited some risk of deflation,” the minutes noted. “Other participants, however, thought that inflation was unlikely to fall appreciably further, given the stability of inflation expectations in recent years and very accommodative monetary policy.”

The minutes, which are carefully worded to avoid the appearance of discord, nonetheless made clear a growing divergence in views.

“Several participants noted that a continuation of lower-than-expected inflation and high unemployment could eventually lead to a downward movement in inflation expectations that would reinforce disinflationary pressure,” the minutes stated. “By contrast, a few participants noted the possibility that a potentially unsustainable fiscal position and the size of the Federal Reserve’s balance sheet could boost inflation expectations and actual inflation over time.”

Secondo il Wall Street Journal i dubbi della Fed sulle prospettive future dell'economia U.S.A. e sul possibile affacciarsi della deflazione sono alla base dell'indebolimento del dollaro degli ultmi giorni: 

"The market got the picture that the Fed was less optimistic than it had been," Mr. Turner said. "That's really kind of undermined the dollar." (...)

Some analysts are skeptical of the euro's rally, noting as the euro gains, investors with anti-euro bets have been forced to unwind their positions, squeezing the common currency higher, especially in thin summer markets.

"The euro appears to be benefiting from a retrenchment in expectations for the U.S.," said Steven Englander, head of G10 strategy at Citigroup in New York. "Nevertheless, the policy response to mitigate the fallout from the sovereign-debt crisis still presents a short-term hurdle for the euro," he said.

Vi raccomando inoltre di leggere: 

• un breve op-ed sui limiti dell'economia comportamentale (non sono sicuro di condividere la tesi degli autori ma è indubbio che è un argomento molto di moda e che a volte si parla a sproposito di finanza comportamentale per coprire cattive scelte di investimento da parte di gestori).
• l'analisi dell'Economist degli stress-tests delle banche europee i cui risultati saranno resi pubblici la prossima settimana. Secondo l'Economist: whereas America’s tests were run in military style, Europe’s efforts have been chaotic—more akin to a rowdy negotiation about cod quotas than the recapitalisation of the world’s biggest banking system. With just days to go regulators must redouble their efforts to make the tests work.
  
  
  Stress tests are certainly needed. Banks and transparency are not always a good combination. When a carmaker admits it has a hole in its balance-sheet, its factories are still there a week later; when a bank does so it usually suffers a devastating run. This is why regulators sometimes like to deal with dud banks in secret. But when there is already a widespread loss of confidence, sunlight is the only treatment left. That happened in Japan in 2002-03, when zombie banks were at last prodded to own up to their bad debts, and in America last year.
  Europe has reached a similar point. Some banks have been locked out of international borrowing markets, reflecting worries that they could be brought down by the woes of southern Europe and the suspicion that they are sitting on sour loans from the boom years. The fear of contagion has raised debt costs for other banks. Unless faith is restored, the continent’s banking system, heavily reliant on wholesale borrowing, faces a funding crunch. That would force banks to lean even more heavily on central banks and governments to roll over their debts. It could also bring on a double-dip recession.
  
  

La riforma finanziaria USA è tra noi. Un accordo tra Goldman Sachs e la S.E.C.

Il Senato americano ha approvato ieri sera la riforma del sistema finanziario, che
ora dovrà essere firmata dal presidente Obama per diventare legge. La superlegge è un  provvedimento di 2.300 pagine e impone nuove regole al settore bancario, istituisce una nuova procedura per liquidare aziende in crisi e crea una nuova agenzia per la protezione dei consumatori. Secondo il New York Times



The result is a catalog of repairs and additions to the rusted infrastructure  of a regulatory system that has failed to keep up with the expanding scope and  complexity of modern finance.
The bill subjects more financial companies to federal oversight,  regulates many derivatives contracts, and creates a panel to detect risks to the financial system along with a consumer protection regulator. 
It leaves a vast number of details for regulators to work out,  inevitably setting off another round of battles that could last for years.
Over the last half-century, as traders and lenders increasingly drove the  nation’s economic growth, politicians of both parties scrambled to get out  of the way, passing a series of landmark bills that allowed financial companies  to become larger, less transparent and more profitable.
Usury laws were set aside. Banks were allowed to expand across state lines,  sell insurance, trade securities. The government watched and did nothing as the  bulk of financial activity moved into a parallel universe of private investment  funds, unregulated lenders and black markets like derivatives trading.
That era of hands-off optimism was gaveled to an end on Thursday as the Senate gave  final approval to a bill that reasserts the importance of federal supervision of  financial transactions.
“The financial industry is central to our nation’s ability to grow, to prosper,  to compete and to innovate. This reform will foster that innovation, not hamper it,”  Mr. Obama said Thursday. “Unless your business model depends on cutting corners  or bilking your customers, you have nothing to fear.”
The White House said Mr. Obama would sign the legislation next week.(...)

The bill expands federal banking and securities regulation from its focus on banks and  public markets, subjecting a wider range of financial companies to government oversight,  and imposing regulation for the first time on “black markets” like the enormous trade  in credit derivatives.
It creates a council of federal regulators, led by the Treasury secretary,  to coordinate the detection of risks to the financial system, and it provides new powers  to constrain and even dismantle troubled companies.
It also creates a powerful new regulator, appointed by the president, to protect consumers  of financial products, which will be housed in the Federal Reserve. The first visible result  may come in about two years, the deadline for the consumer regulator to create a simplified  disclosure form for mortgage loans. (...)


“This is a framework that has the potential to be as modern as the markets, but its  efficacy will certainly depend upon the judgments that regulators make,” said Lawrence H.  Summers, the president’s chief economic adviser.
The legislation, for example, requires many derivatives to be traded through  clearinghouses, a form of insurance for the traders, and it requires traders to disclose pricing data to encourage competition. But regulators will decide which derivatives,  and how long traders can wait to disclose pricing information.

Per una sintesi dei contenuti della legge di riforma vi consiglio questo link mentre qui potete dare un voto (con il sistema in uso nelle università americane: A,B,C,D oppure F per la bocciatura senza appello) alla legge: la sua popolarità tra il lettori del Wall Street Journal è bassissima, mentre vi sto scrivendo hanno votato 6932 lettori con il 67% di bocciature (F) e il 15% di sufficienze risicate (D). La legge è piaciuta molto (A) solo al 4% dei lettori. Nouriel Roubini le ha dato C+ e Bill Gross D+ . Sempre sul WSJ trovate qui l'articolo dedicato all'approvazione della legge, naturalmente di tenore abbastanza diverso da quello apparso sul NYTimes. Eccone qui un breve estratto

Now, the legislation hands off to 10 regulatory agencies the discretion to write hundreds of new rules governing finance. Rather than the bill itself, it will be this process—accompanied by a lobbying blitz from banks—that will determine the precise contours of this new landscape, how strict the new regulations will be and whether they succeed in their purpose. The decisions will be made by officials from new agencies, obscure agencies and, in some cases, agencies like the Federal Reserve that faced criticism in the run-up to the crisis.

The Commodity Futures Trading Commission has designated 30 "team leaders" to begin implementing its expansive new authority over derivatives, and has asked for $45 million for new staff. The Federal Reserve, Federal Deposit Insurance Corp. and Securities and Exchange Commission are also in the thick of the implementation.

J.P. Morgan Chase, one of the biggest U.S. banks by assets, has assigned more than 100 teams to examine the legislation.

Sempre di ieri la notizia dell'accordo exrtragiudiziale tra la S.E.C. e Goldman Sachs per l'affaire Abacus:  

The civil suit brought by the S.E.C. focused on a single mortgage security that Goldman created in 2007, just as cracks appeared in the housing market. That security, called Abacus 2007-AC1, enabled a prominent hedge fund manager, John A. Paulson, to place a bet against mortgage bonds. The commission contended that Goldman misled investors, who were making a positive bet on housing, because Goldman did not disclose Mr. Paulson’s involvement in creating the deal. Mr. Paulson has not been accused of wrongdoing. Though Goldman did not formally admit to the S.E.C.’s allegations, it agreed to a judicial order barring it from committing intentional fraud in the future under federal securities laws. In addition, Goldman acknowledged that the marketing materials for Abacus “contained incomplete information” and that it was “a mistake” not to have disclosed Mr. Paulson’s role. As part of the agreement, the bank also said it “regrets that the marketing materials did not contain that disclosure.”

Il mercato può forzare la mano di chiunque, anche dell'importantissima banca americana: infatti 

“We believe that this settlement is the right outcome for our firm, our shareholders and our clients,” Goldman said in a written statement on Thursday.

When the commission filed its case in April, Goldman took a notably defensive stance. The bank had apparently been surprised that investigators did not warn its executives about the case and give them a chance to settle at that time.

Yet Goldman began holding settlement talks with the S.E.C. immediately after the complaint was filed. As the weeks and months dragged on, Goldman executives heard concerns from clients and former executives.

Goldman was bound to face another round of questions from analysts next week, when the bank is scheduled to report its earnings.

The settlement removes a significant problem looming over Goldman, but it could still face other legal problems. (...)

Under the proposed settlement, Goldman would pay back the $15 million in profit it made from the Abacus deal and also pay a civil penalty of $535 million. The money would be given to the two banks that had losses on the deal — $150 million to IKB Deutsche Industriebank and $100 million to the Royal Bank of Scotland Group — with the rest, $300 million, going to the United States Treasury as a fine.

Viva i secchioni!

A volte (non molto spesso tuttavia) capita di leggere articoli che diminuiscono un po' la sensazione di estraneità e così facendo producono un'utile iniezione di ottimismo...è questo l'effetto che ho sentito leggendo la descrizione di un'economia dei secchioni di David Brooks sul New York Times di qualche giorno fa. Vi raccomando caldamente di leggerlo. Se tenete conto del mio background accademico - l'articolo di Brooks spiega benissimo le ragioni della mia simpatia per l'universo degli hedge funds. Eccovi l'incipit:

If you go to business conferences, you know that at lunch it is definitely better to be seated next to a prince than a grind. Princes, who can be male or female, are senior executives at major corporations.

They are almost always charming, smart and impressive. They’ve read interesting books. They’ve got well-rehearsed takes on the global situation. They can drop impressive names as they tell you about their visits to the White House, Moscow or Beijing. If you’re having lunch or dinner with a prince, you’re going to have a good time.

Grinds, on the other hand, tend to have started their own company or their own hedge fund. They’re often too awkward to work in a large organization and too intense to work for anybody but themselves.

Over lunch, they can be socially inert. You try to draw them out by probing for one or two subjects of interest to them. But as often as not, you find yourself playing conversational ping-pong with a master of the monosyllabic response.

 Ma al di là delle considerazioni personali il punto fondamentale è perfettamente sintetizzato da Brooks:

Since the princes are nicer and more impressive, it is easy to be seduced into the belief that they also are more trustworthy. This is false. During the last few years, for example, the princes at Citigroup, Bear Stearns, Goldman Sachs and Lehman Brothers behaved with incredible stupidity while the hedge fund loners often behaved with impressive restraint. (...)

In finance, as in other realms of business life, social polish doesn’t always go with capitalist success. Often it is the most narrow, intense, awkward people who start the best companies, employ the most people and create the most value.

Sadly, this recovery has been great for princes and horrible for grinds. The people who work at the big corporations are critical of the Obama administration, but the fact is they are doing very well. The big companies are posting excellent earnings. They’re sitting on mountains of cash.

The aspiring grinds, meanwhile, are dead in the water. Small businesses are not growing. They are not hiring. They are struggling to stay alive.

Princes can thrive in a period of slow, steady growth, but grinds need a certain sort of psychological atmosphere. They need a wide-open economy with plenty of creative destruction. They need an atmosphere of general confidence, so bankers will feel secure enough to lend them money, so big companies will feel brave enough to acquire their start-ups, so they themselves will feel the time is ripe to take on their world and show their brilliance to all of humanity.

The princes can thrive while the government intervenes in the private sector. They’ve got the lobbyists and the connections. The grinds, needless to say, don’t.

Disoccupazione, deflazione e la fuga dalle azioni. Perfetto per un investitore contrarian...o forse no?

Dopo una giornata torrida (sia per le temperature sia per il troppo lavoro) calarsi nelle vesti del blogger per qualche minuto è rilassante...iniziamo dal Prof. Krugman, che ho un po' trascurato in questi ultimi tempi. Le sue invocazioni in difesa dei (troppi) disoccupati U.S.A. non mancano nè di polemica nè di sostanza:

One main reason there aren’t enough jobs right now is weak consumer demand. Helping the unemployed, by putting money in the pockets of people who badly need it, helps support consumer spending. That’s why the Congressional Budget Office rates aid to the unemployed as a highly cost-effective form of economic stimulus. And unlike, say, large infrastructure projects, aid to the unemployed creates jobs quickly — while allowing that aid to lapse, which is what is happening right now, is a recipe for even weaker job growth, not in the distant future but over the next few months.
But won’t extending unemployment benefits worsen the budget deficit? Yes, slightly — but as I and others have been arguing at length, penny-pinching in the midst of a severely depressed economy is no way to deal with our long-run budget problems. And penny-pinching at the expense of the unemployed is cruel as well as misguided. 

Una settimana dopo si dedica all'altro grande incubo che sembra affliggere l'economia U.S.A: lo spettro della deflazione prossima ventura, ricordando a un suo ex-collega, ora governatore della Fed, un suo celebre discorso che gli valse il soprannome di Helicopter Ben: 

But here we are, visibly sliding toward deflation — and the Fed is standing pat.
What should it be doing? Conventional monetary policy, in which the Fed drives down short-term interest rates by buying short-term U.S. government debt, has reached its limit: those short-term rates are already near zero, and can’t go significantly lower. (Investors won’t buy bonds that yield negative interest, since they can always hoard cash instead.) But the message of Mr. Bernanke’s 2002 speech was that there are other things the Fed can do. It can buy longer-term government debt. It can buy private-sector debt. It can try to move expectations by announcing that it will keep short-term rates low for a long time. It can raise its long-run inflation target, to help convince the private sector that borrowing is a good idea and hoarding cash a mistake.
Nobody knows how well any one of these actions would work. The point, however, is that there are things the Fed could and should be doing, but isn’t. Why not?
After all, Fed officials, like most observers, have a fairly grim view of the economy’s prospects. Not grim enough, in my view: Fed presidents, who make forecasts every time the committee that sets interest rates meets, aren’t taking the trend toward deflation sufficiently seriously. Nonetheless, even their projections show high unemployment and below-target inflation persisting at least through late 2012.
So why not try to do something about it? The closest thing I’ve seen to an explanation is a recent speech by Kevin Warsh of the Fed’s Board of Governors, in which he declared that doing what Mr. Bernanke recommended back in 2002 risked undermining the Fed’s “institutional credibility.” But how, exactly, does it serve the Fed’s credibility when it fails to confront high unemployment, while consistently missing its own inflation targets? How credible is the Bank of Japan after presiding over 15 years of deflation?
Whatever is going on, the Fed needs to rethink its priorities, fast. Mr. Bernanke’s “it” isn’t a hypothetical possibility, it’s on the verge of happening. And the Fed should be doing all it can to stop it. 

Che succede se gli danno ascolto (e sottolineo il SE)? Che le previsioni dei T-bonds decennali al 2% non sono più fantascienza...e comprarli oggi non è più necessariamente un'idea sciocca, almeno se si pensa che tutto ciò possa avvenire senza che il dollaro riprenda la sua discesa.

Intanto gli analisti si interrogano se con la correzione dell'ultimo trimestre le azioni siano tornate a buon mercato oppure no: quando si scende dal terreno degli indici a quello dei singoli titoli la domanda non ha molto senso se non si inquadra in una valutazione del rischio. A proposito mi sto divertendo nel leggere un classico del value investing. Se volete sentire dalla viva voce del suo autore Bruce Greenwald cos'è il value investing potete ascoltarlo qui sotto:

La giornata finisce qui e la cosa mi rende ottimista... così vi saluto con un articolo che vi invito a leggere in chiave... contrarian! Dal Wall Street Journal:  il pianto dei piccoli investitori che fuggono dai mercati azionari con ritmi record...non era mai accaduto che il bilancio degli investimenti in azioni U.S.A. dei risparmiatori americani fosse negativo per tre anni consecutivi (forse 4 se il 2010 non riesce a invertire la rotta). Ancora qualche altro articolo così e magari una bella prima pagina del NYTimes o di BusinessWeek che annuncia la fine delle azioni e potremmo sperare nell'inizio di un altro mercato toro secolare....forse....

Tagli o stimoli? Austeri o spendaccioni? Mah...

Il tormentone del 2010? Tagliare i deficit o sostenere l'occupazione! Ne parla oggi
il Wall Street Journal che tuttavia vede il dibattito focalizzarsi sul binomio austerità/crescita, e influenzare le decisioni del comitato di Basilea sull'adeguatezza del capitale delle banche. Ne discutono David Brooks e Gail Collins in questo articolo sul New York Times
Se invece volete concentrarvi sul problema del debito,

qui potete assistere a un duetto sul tema tra Brad De Long e Michael Kinsley.

Dalle colonne del Wall Street Journal Mohamed El-Erian analizza la disoccupazione U.S.A. Secondo  El-Erian l'occupazione è diventata un indicatore economico che anticipa il mercato:
Almost half of unemployed Americans have been without a job for over six months. The average duration of unemployment, which hit a post-World War II record many months ago,
continues to go up. Last month it clocked in at 35 weeks. Unemployment is particularly
severe among the young: A quarter of Americans between 16 and 19 years old in the labor market
are without a job.
The longer it takes to understand and address these issues, the more likely the U.S.
will get stuck in a protracted low growth/high unemployment trap. In addition to considering
the welfare cost of substantial joblessness, policy makers should keep in mind the following
four facts:

First, persistently high unemployment erodes the skills of any labor force, especially when
joblessness is a big problem among the young. This reduces future productivity and growth potential.

Second, a high rate of joblessness puts pressure on inadequate social safety nets like the
unemployment benefit system. It also exacerbates the strain on government budgets already
stretched at both the federal and state levels.

Third, stubbornly high unemployment makes those who are employed more cautious.
By spending less, they aggravate the economic slowdown.

And finally, high unemployment has historically induced companies and countries to become
more inwardly oriented. Many firms have already moved to a "self-insurance" mode,
including holding large cash balances rather than investing in equipment and hiring people.

Put all of this together, and you begin to get a sense of the importance of the employment
reports. They are more than indicators of what has happened; they also shed light on what
will likely happen going forward. (...)

The U.S. is in the midst of major internal and external realignments for which parts
of the labor force are unprepared. Internally, the economy is adapting to an
environment of lower credit, general deleveraging, higher regulation and future tax
increases. Externally, it is adjusting to the impact of emerging economies like China,
and the fact that certain European countries are facing increasingly unsustainable
debts and deficits.

To remain successful, firms have no choice but to adapt. (...)
Instead of simply debating the case for further government stimulus, policy makers
should also come up with a comprehensive strategy that focuses on improving
human capital, particularly through a greater emphasis on education and training;
expanding infrastructure and technology investments, in part by creating a more
friendly tax system; encouraging a bigger translation of scientific advances
into economy-wide productivity gains; and better protecting the most vulnerable
segments of society.

By presenting a multiyear policy proposal, lawmakers will help companies and
individuals navigate what is currently a highly fluid and uncertain outlook.
The longer this is delayed, the greater the damage that will result from today's
tragic employment picture.

Volete una mia previsione? Si taglieranno i deficit e si sosterrà l'occupazione, le banche potranno ricapitalizzarsi in 10 anni o più continuando a distribuire bonus a destra e a manca, ma purtroppo non funzionerà nè l'una nè l'altra cosa, specialmente in Europa. Volete sapere perchè? Ma vi sembrano domande da fare? In che mondo vivete...!

Dow a 1000? Aggiornamento al 9 luglio 2010

Sul supplemento Plus del Sole 24 Ore oggi in edicola Mario Platero, corrispondente da New York, uno dei giornalisti italiani che stimo di più, prende in giro senza mezzi termini i profeti del Dow Jones a 1000, magari fondati sulla teoria delle onde di Elliott. Beh, a quanto pare, la previsione ha veramente fatto rumore negli U.S.A. tanto che se ne occupa sul Wall Street Journal di oggi Jason Zweig.Il profeta di cotanta sventura è il Sig. Pretcher, della newsletter Elliott Wave International. Scrive il WSJ:

Mr. Prechter is a technical analyst who studies the past price performance of the markets for clues to the future. He also believes that investors move in and out of the market on predictable waves of optimism and pessimism. "Because the mania [the bull markets of 1982 to 1999 and 2003 to 2007] was so terrific," he told me this week, "it will be followed by a negative trend in social mood that will lead to a complete retracement." That would put the Dow back to its levels in 1982, below 1000.
"In a deflationary environment, the last thing you want is to own any financial asset," Mr. Prechter added. "If you stay out of stocks, real estate, gold and other commodities, which will all come down together, then you can preserve your purchasing power [in cash] for the next great buying opportunity." He wouldn't tell me what, if anything, he is selling short; he said only that he is "cash laden" with Treasury bills and Swiss money-market instruments.
But wouldn't it be highly unusual for stocks to stagnate for 11 years and then collapse by 90%? "Definitely," Mr. Prechter told me. "It's very rare." But, he points out, it is also very rare for the stock market to fall 50% and end up overvalued, as he says it is now. Still, he says, "I'm taking a big risk" making such a forecast.
Or is he? An extreme forecast doesn't merely grab your attention; ironically, it may strike you as even more convincing than a moderate prediction. A classic psychological experiment at the University of Michigan showed that 54% of people preferred an extreme prediction about stock prices to a more-temperate one. They apparently believed that a forecaster must have high confidence and a solid rationale in order to justify making a dramatic prediction.
 Giustamente a questo punto Jason Zweig si interroga sull'attendibilità di questo tipo di predizioni e, da buon contrarian, fa un'osservazione interessante sulla tempistica delle previsioni "estreme" :
So, while Dow 1000 may or may not be a good forecast, it isn't bad marketing for newsletters that cost $19 a month, as Mr. Prechter's do. Extreme predictions tend to be popular at market turning points: Back in early 2000, a bullish book called "Dow 36,000" hit the best-seller lists—right before the bull market went into the abattoir. Nowadays, you can buy a used copy for one penny online, if you don't mind paying $3.99 for shipping.
...sic transit gloria mundi!

Se il caldo vi rende inclini al pessimismo qui sotto trovate le opinioni di 23 doomsayers (profeti di sventura)
che tratteggiano scenari che potrebbero avvicinarci al target del Sig. Pretcher




Ecco l'aggiornamento al 9 luglio 2010.  

Piccolo era bello, lo è ancora? Un po' di ottimismo.

Ken French mantiene una pagina web di dati sul mercato azionario U.S.A. che aggiorna con frequenza mensile.
Insieme a rendere disponibili i rendimenti di vari portafogli che costruisce con criteri di capitalizzazione, fondamentali e tecnici (momento e mean reversion) offre una tabella riassuntiva in cui si confrontano rendimenti di small e large caps, così come di value e growth stocks. La sovraperformance delle società a piccola capitalizzazione negli ultimi 12 mesi è considerevole (non così nell'ultima settimana) così come quella delle azioni value: 

Current Benchmark Returns

May 2010 Last 3 Months Last 12 Months Fama/French Benchmark Factors Rm-Rf SMB HML -7.86 0.32 -1.79 0.03 6.43 2.01 22.98 15.42 13.68 Fama/French Benchmark Portfolios Small Value Small Neutral Small Growth Big Value Big Neutral Big Growth -9.05 -7.81 -6.01 -8.16 -8.05 -7.63 7.85 4.69 6.74 1.79 -0.69 -1.13 49.70 34.28 32.78 31.59 17.77 21.15

Sono in molti a interrogarsi se le large caps non siano ormai sottovalutate rispetto alle small caps. Se ne occupa questo articolo di Morningstar che peraltro in poche righe introduce gli ETF scambiati a New York che investono in questo tipo di portafogli. A Milano sono scambiati degli ETF armonizzati che pure replicano gli indici Dow Jones Industrial Average, lo S&P500 e il Russell 1000 (per le large caps) e il Russell 2000 (per le small caps). Il difetto di questi ultimi sono i volumi un po' bassi e gli spread un po' troppo alti.

Per quanto riguarda invece le azioni value, ci sono investitori che le trovano ancora sottovalutate:

(...) Mr. Black, founder and chief investment officer of Delphi Management, sails through boom-and-bust cycles by adhering to investment principles made famous by Benjamin Graham and Warren Buffett. The key is to pick stocks with earnings growth, strong cash flow and low price/earnings multiples. "Right now, the market is fundamentally cheap," Mr. Black said. "The problem is the fear factor is overwhelming the fundamentals. … I'm not a harbinger of doom [but] I'm not Pollyanna, either."
Case in point: The Standard & Poor's 500 is trading at about 13 to 14 times earnings even though companies' earnings are up 30% year over year.
"That's terrific—we are not getting a V-shaped [recovery] in [gross domestic product], but we are getting a V-shaped recovery in earnings," Mr. Black said. Plus, he said, while emerging-market growth may slow a bit, China and India are still growing at a rapid rate.
He said he doesn't see the U.S. economy heading into a double-dip recession and expects the stock market to be up over the next six months. But given huge macroeconomic headwinds namely in the form of a burgeoning U.S. deficit, the jobless recovery and Greek debt crisis, stock picking is critical, Mr. Black said.

Hussmann su recessione e mercato azionario

Hussmann spiega meglio il suo pessimismo sull'economia U.S.A. e sui mercati azionari, che considera sopravvalutati:



Sempre dal sito di Morningstar, Hussmann si è anche sbilanciato in una previsione del rendimento annualizzato di lungo termine (10 anni) delle azioni U.S.A.:

Ryan Leggio: Let's talk a little bit about where we currently are in the market. The S&P as we're talking today is right around 1050. The dividend yield of the S&P is slightly under 2%. The 10-year treasury is hovering right around 3% and the 30-year treasury is hovering right around 4%. And given these market conditions, can you let readers know what specifically your outlook is for the S&P generally over the next ten years now?

John Hussman: Right. We have a standard calculation that we frequently update on the website, where we look at the implied long-term return in stocks and that's basically driven by applying a reasonable range of multiples to normalized earnings, and we've talked before about this.

Normalized earnings historically have grown about the same rate as nominal GDP, if you look peak-to-peak across economic cycles. It's a little over 6% annually for the S&P 500 and you can take that back to the 50s or 40s or even 30s.

So using that basic approach, we are looking at a long-term 10-year return for the S&P 500 and total return including dividends approaching 7% right now.

Leggio: Great. So 7% not as great as the 9% or 10% that investors usually expect, but I also wanted to touch then on for comparison purposes, your expectations in March 2009 was approaching 10% or 11% using the same methodology, is that correct?

Hussman: Yeah. At the very bottom, we even got passed 11%. We got a little closer to 12%, but it was extremely brief. At major secular lows like we've seen in say '74 or 1982 or a little after 1950, we saw that numbers go as high as 15.5 or 16 for 10-year expected returns. So we didn't get to what one would consider generational undervaluation, but stocks were briefly undervalued at the 2009 level certainly.

Due visualizzazioni interessanti: il rischio di default del debito sovrano e la disoccupazione negli U.S.A.

Grazie a una segnalazione del mio amico Antonio Conati Barbaro vi propongo due visualizzazioni grafiche dal sito http://www.businessinsider.com/ . La prima è dedicata al rischio default del debito sovrano, indotta dal mercato dei CDS, e alla sua evoluzione negli ultimi mesi

La seconda invece è dedicata alla (triste) situazione del mercato del lavoro negli U.S.A.

Il rapporto prezzo/utili ciclicamente normalizzato (à la Shiller). Comprare i farmaceutici?

Il commento settimanale di Buttonwood sui mercati è sicuramente una delle letture più interessanti e stimolanti dell'Economist. Non è inusuale leggervi delle call chiare, ma questa settimana la raccomandazione di investire in aziende farmaceutiche mi ha sorpreso. L'analisi inizia considerando come i rendimenti negativi dei mercati azionari nell'ultimo decennio non possono da soli essere sufficienti per garantire che il prossimo decennio sia positivo. Inoltre dal punto di vista delle valutazioni del mercato il rapporto prezzo/utili dell'indice S&P500 calcolato secondo la metodologia di Shiller (il cosiddetto cyclically adjusted price earnings ratio), che media gli utili sugli ultimi 10 anni in termini reali, è ancora ben al di sopra della media storica (circa 20 contro una media storica di 15, calcolata su 130 anni).  Una sopravvalutazione di questa portata potrebbe essere giustificata se le prospettive di crescita dell'economia U.S.A. (o quantomeno dei profitti delle società, che non è esattamente la stessa cosa) fossero decisamente molto buone. Tuttavia
there may still be some segments of the stockmarket that perform well. According to Dhaval Joshi of RAB Capital, pharmaceutical firms’ dividends have grown at an average of 12% a year over the past 40 years, five percentage points above general dividend growth rates and eight percentage points above inflation. Total dividend income from the industry has fallen very rarely, even in recessions. That remarkable performance reflects a rising share of health-care spending within GDP, particularly in America, where a wealthier and greying population places a high value on access to health care.
Pharmaceutical shares have underperformed the global market this year. The industry’s giants trade on a discounted price-earnings multiple, reflecting fears that the days of blockbuster drugs are over. Globally the sector yields 3%, higher than the yield on inflation-linked Treasury bonds, despite its history of offering real income growth. Reliable sources of dividend income are becoming scarce (shareholders were let down first by the banks, then by BP). So it is surprising that pharmaceutical stocks are so little cherished.


In un ottica di più breve termine potete anche considerare l'analisi trimestrale sulle valutazioni dei settori azionari U.S.A. svolta dagli analisti di Morningstar secondo i quali il rapporto tra il prezzo e il fair value dei diversi settori azionari U.S.A. indica come il settore al momento più sottovalutato sia proprio l'health care
(che comprende i farmaceutici ma non solo). Attenzione però: le valutazioni di Morningstar sono tipicamente con una prospettiva tattica - dai 6 mesi ai 2 anni - mentre l'analisi di Buttonwood è certamente in un ottica di medio-lungo periodo (5-10 anni).

Median Price/Fair Value Ratios
Business Services	0.90
Consumer Goods	0.97
Consumer Services	0.97
Energy	0.96
Financial Services	0.93
Hardware	1.07
Health Care	0.89
Industrial Materials	0.93
Media	0.99
Software	1.09
Telecom	0.95
Utilities	0.99
All	0.95

Se volete approfondire la metodologia di Shiller e l'uso del rapporto P/E cyclically adjusted (CAPE) per la valutazione del mercato potete partire dall'eccellente articolo su Wikipedia. Shiller mette a disposizione i dati per il calcolo del CAPE in un foglio excel che potete scaricare qui. Un'altra metodologia spesso utilizzata per la valutazione dei mercati azionari e il rapporto q di Tobin, definito come il rapporto tra il valore delle società secondo il mercato azionari e il valore netto delle società utilizzando il costo di sostituzione. Andrew Smithers proponge di utilizzare questo rapporto escludendo il debito dal rapporto.

Storicamente la valutazione in termini di rapporto-q ha prodotto risultati molto simili a quelli del CAPE, e pure sembra indicare una sopravvalutazione del mercato USA intorno al 40%. Il grafico qui sopra, tratto dal sito web di Smithers&Co, confronta la valutazione del mercato USA fornita dal CAPE con quella ottenuta con il  q-ratio dal 1900 ad oggi. Qui accanto trovate invece il grafico del rendimento medio annualizzato nei 20 anni successivi in funzione del rapporto CAPE alla data di investimento (tratto da Wikipedia). La buona notizia: con un rapporto di circa 20 la probabilità stimata di rendimenti negativi (tra qui e il 2020) è quasi nulla!