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Il rallentamento dell'economia USA e più in generale di tutti i paesi sviluppati non deve stupire: siamo nell'era del deleveraging e molti studi hanno mostrato come la ripresa economica sia lenta e anemica per molti anni dopo una crisi bancaria e finanziaria. Un editoriale sul New York Times di oggi si chiede come mai le società americane, ricche di liquidità, non impieghino una parte di essa per promuovere la crescita:

Some 25 million people — more than 16 percent of the work force — are looking for full-time work. Companies are hoarding cash while reporting record profits.
As for the government, President Obama’s idea of job creation is extending unemployment insurance, on the one hand, and painting grandiose pictures of far-off “green jobs,” on the other. He is bereft of ideas for creating jobs in the here and now. Meanwhile, the Republicans insist — despite mounds of evidence to the contrary — that more tax cuts would create jobs. By now, most Americans have lost hope that our current government will come up with a viable jobs program. It won’t.
I am coming more and more to think that with the government essentially paralyzed for the foreseeable future, the only way we’re going to get jobs is by turning to actual job creators: business itself. With all their cash, companies shouldn’t be waiting for Congress to give them tax incentives to hire people. They should be trying to jump-start the economy — and fend off another recession — by making investments, and hiring workers, that will lead to renewed prosperity.


Secondo Nocera una delle ragioni che trattengono le compagnie dall'investire e assumere nuova forza lavoro è il timore che gli altri competitors non facciano altrettanto:

There is, of course, another reason corporate executives might be reluctant to sacrifice short-term profits by putting people to work. What if their competitors didn’t go along? Then they would find themselves at a disadvantage. Useem would tackle that by having a credible group like the Business Roundtable leading the charge, rounding up companies that would agree to start hiring.
But Marc Groz, a financial risk expert I’ve gotten to know, has what I think is a more intriguing approach, which he calls a “contingent commitment facility.” “Everyone is waiting for someone else to go first,” he told me the other day. Using his facility, a company would agree to hire X number of new workers. But the commitment would only become binding if certain conditions were met — such as having other companies in the same industry agree to do likewise. Once that happened, all the companies would have to do what they’d promised.
Groz’s idea is new and fresh and untested. It could fail. In other words, it is exactly the kind of out-of-the-box “job creation” idea that our stymied government no longer has the ability to come up with. The ball’s in business’s court now. 

C'è una curiosa convergenza tra le tesi del liberal Nocera e le proposte avanzate qualche giorno fa da Mark Cuban, impenditore multimiliardario (secondo Forbes è al 459 posto nella classifica mondiale con un net worth di 2,5 miliardi di dollari), proprietario della squadra NBA Dallas Mavericks e   blogger. In un post recente Cuban ha proposto un originale meccanismo di incentivazione per la creazione di nuova occupazione. La sua analisi dell'impasse nel dibattito democratici/repubblicani al riguardo mi sembra perfetta, non sono  in grado di dire se l'idea sia praticabile ma così su due piedi non mi sembra una sciocchezza. Ecco cosa scrive Cuban:

I think the first problem to solve is creating jobs.
The Republican/ Tea-Party approach to job creation is to cut taxes. The theory being that more money in the pocket of individuals will cause people to spend more money in the economy thereby creating more jobs. Nope. Not happening. Why ? Because individuals have too much debt. Any money they get goes to pay credit cards, student loans and for the smart and fortunate into savings.
Individuals now have debt = to about 119pct of income vs historical levels  of .17pct in the 40s, 55pct in the 50s , 65pct in the 60s and a high of 133pct in 2007). It didn’t create enough jobs to have an impact and it won’t in this environment. They also think the same applied to  corporations will translate into more jobs. Nope. That is not the case. Big companies in particular are not cash poor. Whether its re-patriation of cash in foreign countries or lower tax rates, neither lead to the creation of new jobs in this economy.  It just leads to more cash in the bank.
So the Democrats are right, we should borrow more money. The Dems are wrong that the government knows how to spend the money. The Republicans/Tea Party are right that we have a spending problem. The Republicans/Tea Party are wrong that cutting taxes will result in more jobs.
So IMHO, creating  jobs isn’t about the government spending money on jobs /projects, nor is it about cutting taxes. It’s about taking a page from the technology and common sense world.
How is this for a revolutionary thought: Companies that would create jobs if they had more cash know who they are. Right ? If you own a company and are thinking to yourself “Self, if I could borrow or get an investment into my company I could hire X more people to grow the company/meet demand/release a new product/whatever”  So rather than guessing and hoping what might happen, why don’t we let companies self identify themselves ?
And not only should they self-identify themselves as companies, they should be able to bid on Government Loans or even actual equity investments. Call me crazy, but I think we should be playing a game of “I Can Name that Tune in X Notes” re-named and reformatted as “I Can Create X Jobs for Y Amount of Money”
Seriously. Call me crazy (and Im sure many of you will), but there is no reason why we can’t quickly create a federal website that allows existing companies to say to the Federal Government how much money they need and how many jobs they can create for that money and for what duration are they committing to maintain those jobs for the money.
Of course you will have to set some minimum parameters in order to prevent the dreamers, crazies and who knows whats from clogging up the system. I would set those minimums including: The company must be in business for at least 10 years. They must be have at least 100 full time employees. They must do 100mm in revenues.  And of course they must be up to date on their taxes and Im sure there are other things to think of as well.
I’m sure I have pissed off everyone who doesn’t qualify. Sorry.
The reality is that for this to work the universe of companies has to be small enough so that the system put in place is not overwhelmed. The companies must be big enough to be able to respond to any required due diligence information.  If this is made to work, the qualifications could be reduced to expand the universe of eligible companies.
Who would be the decision makers ? I would set up multiple 5 person regional committees across the country.  I’m not quite sure who would pick the members, or what their exact qualifications should be,  but I can tell you what I would set as a requirement. People would only be eligible to be on the committee if they had not made a political contribution of any kind directly to a politician or to a PAC of any sort in the last 5 years.  This can not be a politically dominated decision process.
The committees would then look at the submissions, starting with the ones that promised the most jobs at the least cost.  Then they would do their due diligence about the company and request and make a decision. Yes or No. Equity or Debt. Terms of repayment or ownership (exit or return of capital on par with other equity partners) Then on to the next.  Funding would come from short term treasury borrowings.   As long as the program had submissions and those submissions resulted in positive returns, the program would continue.
Oh, and one more important element. Transparency. You apply and get your money, the amount of money you got and the jobs you committed to and for how long will be published publicly. Visibility has a way of keeping people honest.
I know this is just a rough idea, but I wanted to put it out there for consideration. Rather than having Dems and Republicans fight ideological battles about job creation, lets get direct. Lets just ask companies to tell us how many jobs they would create and how much they need and see what it all adds up to and go from there
What do you think ?

Qui sotto potete vedere una recente intervista a Cuban tratta dal sito del Wall Street Journal: il personaggio è divertente e ci sono molti spunti interessanti sulla gestione di portafoglio ("buy and hold is a crock of $%#!" and diversification is for idiots) e su come la legislatura attuale relativa alla proprietà intellettuale e ai brevetti stia soffocando la creatività.

Cosa unisce la crisi finanziaria con la rivolta di Londra?

E' il tema affrontato da George Friedman in questo video Agenda: With George Friedman on a Crisis of Political Economy

L'analista americano non usa mezze parole e sostiene a chiare lettere che c'è un legame tra la crisi di legittimità delle elites finanziarie e politiche e la rivolta di Londra. Ho evidenziato in rosso alcune frasi particolarmente esplicite: 

In fact, the riots in London are kind of symptomatic of this, of the fact that some elements of society have lost such respect for the elites that they’re prepared to take extreme action. (...)
Normally, just because you cut benefits, you don’t have these kind of riots. And many of these rioters were not rioting because they were planning on going to university and weren’t going to get an opportunity to do so. You had a great deal of criminality in this and that criminality is interesting because when criminality starts to look legitimate to large numbers of people, that’s when you have a social crisis. I think it’s a mistake to look at what happened in London simply in terms of “well there were social cuts and so that’s why there was a rising.” That rising couldn’t have occurred if the elites themselves hadn’t appeared to be so corrupted, so compromised, and even one could say, so incompetent. That was the real issue that we faced there and I think if you simply say that if you do social cuts then people will riot, that’s not empirically true. It’s when you wind up in a situation where you no longer know who’s in charge nor do you care, that opportunities are created for the criminal class. Far more interesting, the rioters have been the people in London, some of them, who have justified the riots. I’m not saying that as a moral category, justified or not. What’s interesting is that it is not a universal condemnation.

Secondo Friedman l'origine della delegittimazione delle elites è chiara: 

You have to look at the more fundamental issue. People who were supposed to be experts in finance did inexcusably stupid things and also in the process, profited handsomely. People in the political system who were supposed to hold these people accountable and prevent them from doing these things, failed to do it. I think in most countries we expect our politicians to steal a little money here and there on expense accounts, we expect bickering in Congress — we expect these things. But when the fundamental thing that legitimizes an elite, the financial elite’s ability to manage money prudently, is violated in two ways. First, that they clearly can’t do it. And secondly that they profit from it anyway. And when the politicians’ obligation to stabilize the system and not let people get away with this doesn’t happen, you have serious problems. So I think the problem really starts with the systemic failure of two major elites, not on minor things, not on trivial corruption, but on the fundamental thing that they were hired for. And the fact that they don’t seem to regard themselves as particularly having failed. I mean, this is what creates a crisis I think.

(...) So we have a crisis I think, not in corruption, but of sheer incompetence and indifference to incompetence, and that is something that is not necessarily unmanageable, but it’s certainly not a question of getting better regulations.

Aggiornamento al 12 agosto 2011

Cosa è capitato questa settimana?  Le borse in picchiata poi in risalita e poi in picchiata di nuovo per finire con un piccolo rally di due giorni: a guardare i grafici sembra più di assistere a una coreografia delle frecce tricolori piuttosto che a una settimana di borsa. Per la prima volta nei suoi 115 anni di storia l'indice Dow Jones ha avuto movimenti (al ribasso o al rialzo) di oltre 400 punti per quattro giorni consecutivi: non era accaduto neppure nell'ottobre 2008! Se però si guardano le cose da un altro punto di vista, e si considera la media settimanale dello spread massimo-minimo giornaliero per l'indice S&P500, il picco raggiunto questa settimana è del 5.3% contro il quasi 10% dell'ottobre 2008. La cattiva notizia è che la volatilità ha lunga memoria e ci vorrà ancora un po' di tempo perchè le acque si calmino.


Secondo il WSJ i mercati hanno sfiduciato i politici in Europa così come negli U.S.A.:

The panic in 2008 represented a crisis in markets. What's happening now seems to be a crisis in government. In 2008, the world's richest countries embarked on a series of unprecedented interventions to stop financial markets from seizing. Today, the tables are reversed: Financial markets have lost confidence in politicians' ability to master their problems. In 2008, countries united in response. This year has been marked by tensions and misunderstanding, including those between the U.S. and Europe over the continent's response to its debt crisis.

"What we are seeing in the financial markets reflects to a large extent the inability of governments to put their fiscal house in order and even to cooperate among themselves," said Domenico Lombardi, a former executive board member at the World Bank and the International Monetary Fund.

Added Neel Kashkari, a former Bush administration Treasury official: "Washington has told markets: 'You are on your own now.'"

Fondamentalmente dello stesso avviso anche l'Economist che correttamente da molte settimane punta il dito contro gli atteggiamenti irresponsabili dei politici su ambedue le sponde dell'Atlantico.

Sui rating del debito sovrano il WSJ fa le pulci a Standard and Poors

out of the 15 government defaults S&P has tracked since 1975 … the firm rated 12 of the countries single-B or higher one year before the event. Yet S&P says historically a single-B rating has had just a 2% average chance of default within a year. Put another way, S&P drastically underestimated one-year default risk in 80% of those cases.” S&P isn’t alone, though. “Of the 13 governments rated by Moody’s Investors Service within one year of a default, 11 were rated B or higher.

La settimana ha visto tutti gli asset più rischiosi chiudere in negativo, mentre hanno segnato un progresso di oltre il 2% le obbligazioni trentennali dell'eurozona:

Euro Government Bond 30yr	2,42%
CRB	0,16%
Eur/USD	-0,24%
S&P500	-1,48%
EuroStoxx	-1,50%
Ftse EPRA/NAREIT Global	-2,92%

La  strategia top2 suddivide il capitale equipesando   l'indice Euro Government Bond 30yr e il cambio euro/dollaro. La top3 suddivide il capitale in tre parti eguali: per 2/3 investe come la top2 mentre un terzo del capitale è mantenuto in liquidità.

In questo post trovate le risposte ad alcune delle domande  più frequenti relative alla metodologia che utilizzo per la costruzione della tabella e dei portafogli che aggiorno settimanalmente.

In questo post ho descritto quali ETF negoziati a Milano  replicano (in positivo o in negativo) gli indici che sono settimanalmente tracciati qui su Alfaobeta. Se volete fare delle analisi da soli, in questo post ho spiegato come procurarsi gratuitamente le serie storiche dei prezzi e dei NAV degli ETF mentre qui potete trovare qualche informazione sui costi di transazione nel mercato dei cambi.

Dall'inizio del 2011 il rendimento (valutato in euro) di un portafoglio che ogni settimana investe nei primi 2 asset (top2) della tabella è pari al -13.6%, se investito nei primi tre asset (top3) il rendimento è stato del  -6.4%. Questa settimana la top2 ha guadagnato l'1.1% e la top3 lo 0.7%.

Nell'intero 2009 le stessa strategie avevano reso rispettivamente il 12.2% e il 2.4% e nel 2010 il 22.4% e il 18.2%.

Da quattro settimane ho aggiunto al grafico la strategia che settimanalmente investe il capitale dividendolo in parti uguali negli asset che hanno una tendenza di medio periodo positiva: dalla scorsa settimana questa strategia ha gli stessi asset in portafoglio della top2 e ha dunque segnato un progresso dell'1.1%. Nel 2010 ha avuto un rendimento pari al 12.1% e da inizio 2009 ad oggi ha reso il 20.8%, con un massimo drawdown inferiore al 7%. La volatilità è ben inferiore al 10%.  Il rendimento dal primo gennaio 2011 a oggi è stato pari al -3.5%.

Questi risultati negativi vanno tuttavia confrontati con i rendimenti degli asset che seguiamo settimanalmente da inzio anno ad oggi (in euro): 

Eur/USD	6,76%
Euro Government Bond 30yr	3,00%
CRB	-8,10%
Ftse EPRA/NAREIT Global	-8,57%
S&P500	-12,20%
EuroStoxx	-16,44%

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

La tabella qui sotto riassume il profilo rischio/rendimento delle tre strategie negli ultimi 31 mesi:

strategia	rendimento dall'1.1.2009	volatilità	massimo drawdown dall'1.1.2009	indice di Sharpe	indice CALMAR (rendimento/drawdown)
top2	6,93%	12,37%	16,31%	0,4593	0,4248
top3	4,78%	11,97%	15,09%	0,2953	0,3171
medio termine positivo	7,50%	10,33%	6,88%	0,6054	1,0911

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

Ecco l'aggiornamento al 12 agosto 2011.