JP Morgan Chase: il grande rischio è la liquidità

Secondo Kolanovic (JP Morgan Chase) nella prossima crisi finanziaria avrà un ruolo centrale la liquidità(e la FED ha iniziato a contrarre la liquidità dai mercati finanziari). 

Tra investimenti passivi, trading automatico e intermediari poco disposti a prendere rischi in proprio il rischio è che tutti vorranno vendere e non ci sarà chi è disposto a comprare

Un giorno il grande rally di Wall Street sarà destinato a finire, e quando ci sarà la correzione gli investimenti passivi e il trading automatico giocheranno un ruolo centrale. L'avvertimento arriva da Marko Kolanovic, head del team di quantitative strategist di JP Morgan Morgan Chase nell'ambito di un corposo report dedicato alla crisi del 2008 e alle sue conseguenze curato da 48 esperti della banca. Il capitolo scritto da Kolanovic vuole rispondere alla domanda: 

Come sarà la nuova crisi? 

Secondo lo strategist la giusta definizione è quella di una Great Liquidity Crisis, una grande crisi di liquidità che sarà la conseguenza dello smantellamento delle misure messe in atto per fermare la crisi precedente. Quindi ancora una volta saranno le Banche centrali ad avere un ruolo da protagoniste. Ma a peggiore le cose interverrà il fatto che in questi 10 anni il modo di investire e di gestire il trading è cambiato. Un tema importante sarà quello della liquidità. Ormai gli intermediari intervengono poco sul mercato per fornire liquidità, si limitano a fare incontrare domanda e offerta senza prendere posizioni in proprio. Questo può funzionare finchè le cose vanno bene, ma in caso di turbolenze questo crea dei veri problemi.

"Il timing di questa ipotetica grande crisi di liquidità sarà in gran parte determinato dal ritmo con cio le banche centrali attueranno la normalizzazione, dalle dinamiche del ciclo economico e da eventi esterni, quali la possibile escalation della guerra commerciale intrapresa dall'amministrazione Usa", si legge nell'analisi di Kolanovic. 

Che si sofferma sul fatto che se il detonatore della crisi sarà rappresentato dal ritiro degli stimoli delle banche centrali ci sono dei fattori che finiranno per acuire i ribassi. Quali sono questi fattori?

Kolanovic parte dalla crescita esponenziale dei prodotti indicizzati e degli Etf, che riducono la capacità del mercato di attutire e recuperare dopo forti ribassi. 

Lo strategist stima che 2 mila miliardi di dollari siano passati dai fondi attivi a quelli passivi negli ultimi 10 anni. Da sempre infatti i gestori value, quelli che acquistano titoli trascurati dal mercato o venduti nei momenti di panic selling, avevano infatti un ruolo da calmieratore nei ribassi che Etf o fondi indice non possono avere.

Ma anche la diffusione di fondi che aggiustano i loro portafogli tramite meccanismi automatici in base alla condizioni di mercato sono di fatto programmati per vendere in fase di debolezza. Kolanovic ricorda che se si mettono assieme fondi indicizzati e quantitativi ormai questi rappresentano i due terzi degli asset in gestione al mondo e il 90% del trading giornaliero viene da queste strategie. "Di fatto oggi ci sono grandi gruppi di investitori che prendono decisioni in modo meccanico. Vendono quando compaiono alcuni segnali prefissati e non in base ai fondamentali. Gli indicatori possono essere un aumento del Vix, un cambiamento nella correlazione tra bond e azioni o una pura variazione di prezzo dei titoli. Per esempio se il mercato perde il 2% devono vendere", si legge nel report.

Senza dimenticare che nelle sale operative c'è stato un passaggio dai market maker in carne ed ossa a programmi che gestiscono la liquidità sulla base di indicatori prefissati: anche in questo caso, quindi, il rischio è quello di automatismi di vendita.

Mancheranno poi per gli investitori alternative per compensare le perdite sull'equity a causa dei tassi ancora bassi e del fatto che le banche centrali avranno pochi margini per fare nuovi acquisiti di asset, avendo appena iniziato la normalizzaione dei bilanci.

Kolanovic ricorda anche che molti fondi pensione hanno spostato parte dei loro portafogli dalle azioni al private equity, quindi anche in questo caso mancherà un elemento di stabilizzazione.

Come potranno intervenire le banche centrali? Se il mercato cade del 40% o oltre la Fed dovrà entrare in azione per evitare una recessione e questo potrebbe portare a misure non convenzionali, compreso il possibile acquisto di azioni. Una mossa già fatta dalla banca Centrale del Giappone.

In un'intervista Kolanovic ha precisato che questo scenario non vuol essere una previsione, ma un avvertimento sui rischi che sono in aumento e ha anche detto che le probabilità che una crisi si manifesti sono ancora basse fino alla seconda metà del 2019.

Fonte: qui

Robert Shiller: Look For One Final Surge In Stocks Before The Crash

It seems like only yesterday that Robert Shiller, a Nobel-Prize winning economist (and esteemed member of the Yale School of Management's faculty), was telling anybody who would listen that the US equity market was headed for a vertigo-inducing correction.

But with stocks once again hovering near record highs, it seems that Shiller - the co-creator of the Shiller P/E ratio - has become the latest CNBC stalwart to throw in the towel. While sell-side banks (most recently SocGen) are increasingly focusing on the fallout from the Trump trade war, Shiller has pivoted to an analysis of other Trump economic policies like the Trump tax cuts and his rollbacks of regulation, which, taken together, have provided an unprecedented level of support to corporate America, per Bloomberg.

While he once lambasted President Trump as "totally unbecoming and unfit", Shiller demonstrated a newfound reverence for Trump and his policies during his latest interview (we can only imagine why).

Shiller’s focus instead is on President Donald Trump’s support for corporate America, which he says is driving sentiment and market strength. The S&P 500 Index has climbed almost 9 percent this year, with the total return to investors running at an annual rate of more than 14 percent. It closed Thursday less than 0.5 percent from its August record high.

"It has something to do with our president, who is an exceptionally business-oriented president and who wants to deregulate and favors lower taxes," he said. "That has an effect on the market but it goes beyond the rational, logical effect - it has something to do with our animal spirits. The U.S. is just doing great right now in terms of the strength of the economy and the stock market. That seems to be built around the Trump story at this point in history."

And while the economist raised a stink last year as his vaunted Shiller P/E index surpassed its pre-crisis levels, the Yale professor is now using the tech boom (when companies' near-$0 earnings caused the ratio to blow out to unprecedented levels) as his preferred reference point.

"The stock market could get a lot higher before it comes down. It’s highly priced, but it could get much more highly priced. It’s a risky market now," Shiller told Bloomberg Television on Thursday.

Indeed, while valuations may be stretched by historical standards, by the standards of the tech boom, today's valuations appear far less precarious.

Valuations may be among the most extreme in long-term history, but Shiller highlighted that they’re still well below the heady days of the technology boom at the turn of the century. The cyclically adjusted price-to-earnings ratio, which Shiller popularized to smooth out the effect of earnings over the longer run, currently sits at 33 times earnings. It reached as high as 44 in 2000, just before the dot-com crash.

However, a historical analysis of equity performance during the years leading up to the 1929 crash paints a dimmer picture...

Readers should take all of the above with a grain of salt: last year, Shiller famously declared that he had trimmed his allocation to US equities and instead added to positions in foreign equities. Of course, anybody who has been keeping track of this year's astonishing upside divergence, knows how well that worked out.

Fonte: qui

Erdogan: tutti i risparmi domestici dovrebbero essere convertiti in lire turche

Il presidente della Turchia è tornato a commentare la situazione economica e finanziaria turca dopo il rialzo dei tassi deciso ieri dalla Banca centrale

Tutti i risparmi domestici dovrebbero essere convertiti in lire turche, ha detto il presidente della Turchia, Recep Tayyip Erdogan, tornato a commentare la situa

zione economica e finanziaria turca dopo il rialzo dei tassi deciso ieri dalla Banca centrale. Erdogan ha criticato la decisione della banca centrale: "La mia pazienza ha un limite", ha detto Erdogan, che ha anche affermato che negli ultimi 15 anni l'inflazione non è mai stata in linea con i target della banca. Il presidente turco ha anche invitato i privati e le imprese a tenere duro sul versante della produzione e degli investimenti ed è tornato ad attaccare gli Stati Uniti che, a suo giudizio, sono i responsabili dell'attacco che sta subendo l'economia turca.

Fonte: M.F.

Is South Africa The Next Currency Crisis?

South Africa, famous for Great White sharks, could be the next focus for currency vigilantes.

2018 has been marked by various emerging market crises. From Turkey to Argentina, confidence has eroded, resulting in bond and currency chaos. There is a growing focus on South Africa, and our analysis suggests that will continue.

Q2 hedge fund letters, conference, scoops etc

When examining whether an emerging market country is at risk of a currency crisis, the economic indicator of choice is Import Cover. This gives a measurement of the amount of a country’s foreign exchange reserves relative to its imports. It is usually expressed in terms of how many months of imports the foreign exchange reserves are able to buy before they run out. An emerging market country with 10 or more months of import cover is considered to be stable. South Africa’s Import Cover is 5.5 months, down from 7.2 months at the end of 2015. According to World Bank data, that’s about the same as Turkey. (For perspective, China’s Import Cover is 16 months.) What this means is that there is increasing pressure on South Africa’s foreign exchange reserves, which not only have to pay for imports but also have to service the country’s external debt. Reserves are also used to defend a currency from attack via intervention, but a country with low reserves has little defense. And once the currency market sharks get a sniff of blood in the water, it can get quite frenzied very quickly.

Thankfully, we do not have to guess about all the different economic variables that could or could not happen. We rely on what we consider to be the best lead indicator – the market price. The chart below shows the amount of South African rand needed to buy one U.S. dollar. The exchange rate hit a low of 11.5078 in February this year, and it currently hovers around 15. Our Elliott wave analysis is pointing to much higher levels in the exchange rate, meaning a depreciating rand. Expect fears of a South African rand crisis to grow.

About Murray Gunn

Murray Gunn is Head of Research for Elliott Wave International’s Global Market Perspective, a monthly summary of the firm’s 25 analysts’ views on every major freely-traded market in the world. After earning his Master of Arts (Honors) degree in Economics from the University of Dundee in Scotland in 1991, Gunn went into fund management. He quickly realized that textbook descriptions don’t apply to real-world markets, which in turn led him to technical analysis and the Elliott Wave Principle. He worked as a fund manager in global bonds, currencies and stocks, including long posts at Standard Life Investments and a five-year stint in the Middle East at the Abu Dhabi Investment Authority. Gunn then joined HSBC as Head of Technical Analysis. He has served on the board of the Society of Technical Analysts and delivered lectures on the Elliott Wave Principle to students at The London School of Economics, Queen Mary University and Kings College London. You can read Gunn’s commentary in Elliott Wave International’s Global Market Perspective, Interest Rates and Currency Pro Services, and on deflation.com.

About Elliott Wave International

Elliott Wave International is the largest independent technical analysis firm in the world. Its award-winning publications provide useful insights and engaging commentary on all major financial asset classes and indexes around the globe. EWI’s unique perspective on market behaviour and cultural trends sets it apart from other financial publications.

The post Is South Africa The Next Currency Crisis? appeared first on ValueWalk.

US Industrial Production Surges Most Since 2010 Amid Burst Of A/C Usage

Today's data deluge continues with the latest Industrial Production data from the Fed, which rose 0.4% MoM in August, beating expectations of a 0.3% print, after July's 0.1% print was revised higher to 0.4%.

Mining output rose 0.7% in August, the same as the prior month; it has advanced more than 14% in the past 12 months, supported by substantial increases in the oil and gas sector.

The biggest contributor to the August increase was the index for utilities, which moved up 1.2% in August, as a rebound for electric utilities - i.e., soaring use of HVACs to offset the sweltering August heat - outweighed a small decline for gas utilities.

However the key group inside the report, manufacturing production i.e. factory output, disappointed, increasing 0.2% in August, below the 0.3% expected, and was 3.1% higher than its year-earlier level. The index for durables rose 1.0% while the indexes for nondurables and for other manufacturing (publishing and logging) declined 0.5% and 0.9%, respectively.

Within durables, the largest increases were recorded by motor vehicles and parts, primary metals, and machinery, while the only sizable decrease was registered by furniture and related products. By contrast, within nondurables, only textile and product mills posted a gain.

Some more details:

• Aug. consumer energy products posted a rise of 0.6% m/m after rising 0.2% in July, the Fed said
• Aug. commercial energy products posted a rise of 0.9% m/m after falling 1.1% in July, the Fed said
• The capacity utilization rate for petroleum and coal products fell to 78.9% from 79.2%

In any case, the overall data was quite solid, and YoY Industrial Production rose at the fastest pace since December 2010. Fonte: qui

LA GRANDE FUGA DAI BTP: GIU’ LE RICHIESTE DALL' ESTERO

I DATI DI BANKITALIA: A GIUGNO L’AMMONTARE DEI TITOLI DI STATO DETENUTI DAGLI INVESTITORI STRANIERI ERA PARI A 664 MLD, OLTRE 30 MILIARDI IN MENO RISPETTO AL MESE PRECEDENTE 

“LE PAROLE POSSONO CREARE DANNO”, HA RICORDATO DRAGHI…

Andrea Ducci per il Corriere della Sera

Le parole possono creare danno. A ricordarlo è stato il presidente della Bce, Mario Draghi, lamentando l' eccesso di disinvoltura delle dichiarazioni politiche e i loro effetti sui mercati. Il riscontro arriva dai dati certificati da Bankitalia nell' analisi del fabbisogno e del debito pubblico italiano relativi al mese di giugno. Alla vigilia dell' estate lo stock di titoli di Stato in mano agli investitori stranieri è diminuito.

Le cifre riassumono l' andamento dei mesi successivi alle elezioni del 4 marzo, all' indomani del successo elettorale di Lega e M5S. Nel mese di giugno il totale di titoli di Stato detenuti da investitori esteri è risultato pari a 664,3 miliardi di euro, oltre 30 miliardi in meno rispetto ai 698,5 miliardi del mese precedente. Va aggiunto che nel mese di aprile lo stock in mani estere valeva 772,1 miliardi, mentre a marzo era pari a 712,6 miliardi.

DRAGHI

Un graduale raffreddamento, insomma, da parte di chi all' estero dovrebbe continuare a sottoscrivere le emissioni del Tesoro. L'ammontare del debito pubblico aggiornato al mese di luglio è invece aumentato di 18,4 miliardi rispetto al mese di giugno, raggiungendo quota 2.341,6 miliardi di euro (nuovo record).

Per effetto della diminuzione degli investitori esteri il dato aggiornato stima pari a circa il 28,3% la quota di titoli di Stato detenuti da soggetti stranieri.

All' interno della percentuale va considerato che una parte è comunque riconducibile a soggetti italiani che acquistano debito tramite veicoli, fondi e gestioni con sede all' estero. Un' analisi della tendenza evidenziata da Bankitalia è fornita da un report di Unicredit, che definisce il trend «uno dei maggiori deflussi mensili dalla crisi del 2011.

BTP

Questo importo è stato anche il doppio rispetto alla variazione del saldo Target-2 di giugno (16 miliardi di euro)».

Unicredit segnala un' ulteriore dinamica nel mese di luglio, quando «le vendite da parte di investitori stranieri sono probabilmente diminuite, o addirittura invertite un po', il che sarebbe coerente con il restringimento degli spread osservato». Per la cronaca ieri lo spread, il differenziale tra titoli decennali italiani e tedeschi, è rimasto sostanzialmente stabile attestandosi a quota 236 punti base.Sul fronte dei Btp (Buoni del Tesoro poliennali) l' analisi di Bankitalia registra nel mese di agosto un aumento dei rendimenti a scadenza lordi dei titoli a 10 e 30 anni rispettivamente di 52 e 20 punti base.

CONTE DI MAIO SALVINI

A certificare l' aggiornamento sull' inflazione relativa al mese di agosto è Istat, che segnala un' accelerazione dei prezzi al consumo. Il dato indicato dall' Istituto di Statistica evidenzia un' inflazione in aumento dell' 1,6% su base annua, (una crescita inferiore alla stima dell' 1,7%). Su base mensile la progressione è dello 0,4% rispetto al mese precedente. Ad aumentare sono in particolare i prezzi dei beni di largo consumo. Il carrello della spesa segna +2,7%, a salire sono anche i prezzi dei beni per la cura della casa e della persona (+2,2%). Un contributo al quarto aumento consecutivo dell' inflazione arriva dal balzo dei servizi nel settore dei trasporti. In calo i prezzi dei beni energetici (da +7,9% a +7,7%) e dei beni alimentari non lavorati (da +3,6% a +3,1%). Secondo Istat l' inflazione acquisita per il 2018 si attesta all' 1,4% per l' indice generale e all' 1% per la componente di fondo.

Fonte: qui

Goldman: What Is Going On In The US Is "Usually Reserved For Times Of War"

Back in February, when the world was starting to become familiar with the trajectory of US debt and deficit spending under Trump's fiscal plan, we showed a chart from Goldman which made a troubling forecast: the US fiscal situation was headed for "banana republic" status, or as Goldman put it more politely, "uncharted territory" as a result of soaring federal debt and interest expense.

Now, in a follow up report, Goldman economist Alec Phillips identifies the key risks that will worsen the "already-grim" US fiscal outlook (which he defines simply as "not good"). As a reminder, just yesterday we reported that the US fiscal deficit has resumed its surge, rising 40% Y/Y to $898BN for the first 11 months of the year, following the biggest monthly outlay by the US government in history.

Goldman - which now projects a $1.05tn deficit (4.9% of GDP) for FY2019 - picks up on this and writes that its expects that figure to rise significantly over time, reaching 5.5% of GDP by 2021 and 7% of GDP by 2028. This, Goldman adds ominously, "puts US fiscal policy in  uncharted territory in two respects." 

First, running such a large primary deficit (federal revenues minus spending, not counting interest expense) in a period of strong growth and low unemployment is quite unusual, and according to Goldman is "generally reserved for times of war" as shown in the chart below.

Second, the high (and rising) federal debt-to-GDP ratio "comes at a time when interest expense looks likely to rise substantially as well." This is a similar argument to what Goldman noted back in February, and it also points out that the US also ran a very high debt-to-GDP ratio during World War II, but at the time borrowing costs were fairly low. While Goldman concedes that federal interest expense has been elevated before as well, most recently during the “bond vigilante” era of  the 1990s, "the level of federal debt was low then and the primary deficit was relatively small. Over the next decade the US is likely to face both extremes at the same time."

The gloom continues from Goldman, which next notes that not all of this is due to policies enacted in this Congress, and is one of the few to remember that US debt actually doubled under the previous administration:

In fact, the relationship between the deficit and unemployment rate began to diverge during the Obama administration, as Congress began to loosen its grip on spending and revenues increased by less than they typically do at this point the economic cycle.

That said, the current admin isn't much better, and Goldman says that "much of the deterioration in the outlook has occurred more recently, however. Congress has eased fiscal policy substantially over the past year, by cutting taxes by 1.5% of GDP in FY2019 and 0.6% over the next ten years, lifting the caps on defense and non-defense discretionary spending (0.7% in FY2019) and approving additional emergency spending (0.4%). This fiscal easing should boost GDP growth by around 1pp in 2018, but we expect the boost to taper after Q4 of this year, as the growth effects of the tax cuts and spending increase fade."

One big near-term catalyst for the US fiscal trajectory is what happens during the midterms: the bank, which previously predicted that Democrats would win control of the House as the GOP retains the Senate, notes that "the midterm election result could influence the outlook somewhat" as divided government (our base case) "would lead to a slightly negative-to-neutral fiscal impulse by 2020."  Even if Republicans maintain majorities in the House and Senate, Goldman would expect a slight additional easing as modest tax cuts could be enacted through the reconciliation process; but even in that case, "the fiscal effects on growth should be only modestly positive under such a scenario, if positive at all."

So what is the worst that could happen?

Phillips explains that Goldman's "base case" is for congress to extend expiring tax cuts and to maintain current levels of discretionary spending in real terms. In this scenario, the deficit will reach 7% of GDP by 2028 and federal debt will reach 104% of GDP. This, however, is a more positive outcome than several potential alternative scenarios Goldman has analyzed which include:

• 1. Business as usual. Our baseline scenario calls for a small amount of passive fiscal tightening through “real bracket creep” in the tax code, which refers to the tendency for revenues to rise as a share of GDP as real incomes rise; and through roughly flat real discretionary spending growth, which reduces the level as a share of GDP. However, this is more restrictive than the typical action from Congress. If instead we assume a business-as-usual scenario that holds revenues and discretionary spending constant as a share of GDP, federal debt would be 7pp higher as a share of GDP by 2028 than our current baseline.
• 2. Lower growth and an adverse interest rate-growth differential. If interest rates exceed nominal growth when the level of public debt is high, the debt-to-GDP ratio might rise even with a large positive primary surplus. Lowering the growth of real  and nominal GDP and wages by 0.5pp in each year from 2020 through 2028 but holding all else constant, including interest rates—this is a realistic scenario in the case of low productivity growth—would have this effect. The resulting interest rate-growth differential would be in the same territory as the late 1980s and 1990s, when fiscal pressures led lawmakers to enact substantial deficit reduction legislation.
• 3. A recession in two years. Although we believe the odds of a recession remain low over the next couple years, a hypothetical recession starting in 2020, in which the output gap widens to 4% of potential GDP, could temporarily widen the budget deficit by 3-4% of GDP as revenues decline and countercyclical fiscal factors phase in. Although this scenario assumes that easier monetary policy would lead to relatively smaller deficits immediately following the post-recession period, federal debt levels would remain considerably above our baseline and rise to 110% of GDP by 2028.
• 4. A deficit reduction package. Perhaps the most striking scenario in this set is the most optimistic one, in which Congress passes a substantial deficit reduction program. In the early 1990s, deficit reduction packages reduced the primary deficit by about 1.5% of GDP over four years. Should Congress enact a similar program in the medium term, we estimate the federal debt would still amount to about 95% of GDP by the end of the decade.

To this all we could add is that scenario 4 is virtually impossible, and that #1 and #3 are synonymous, with a recession in 2020 (or sooner) now inevitable, the question then being just how and where will the US government find the room to add on the trillions in extra debt needed to bootstrap the economy out of what is likely to be the most severe contraction in decades, likely surpassing even the great financial crisis which saw China putting its own debt issuance apparatus into overdrive, an option which will no longer be available this time.

Goldman agrees:

As the 2020 presidential election approaches, the odds of meaningful reduction policies are likely to decline. We are not particularly optimistic about reform occurring soon after 2020, either, as public opinion polling suggests that the electorate does not currently view the deficit to be a particularly important  issue. Of course, the outlook at that point depends on the result of the next election for the White House and Congress. For the moment, however, there are few reasons to expect a shift in fiscal policy priorities in the near or medium term.

The conclusion is unfortunate: with no chance of the current debt trajectory realistically changing, the only question is just how optimistic will this most recent long-term debt forecast from the CBO end up becoming...

... and of course, if the current or future administration will eventually "grow into" the contextual situation that Goldman laid out as justifying the current fiscal outlier state of the US economy, namely entry into war.

Fonte: qui