L E A F: Borsa e Dollaro USA accumunati dalla stessa sorte?

Cosenza (Italy), 23 Maggio 2011

Il recente articolo CNBC 23/5 "Why Strong Dollar Hurts Stocks, and What You Can Do" segnala che la tendenza degli ultimi tempi sui mercati è caratterizzata da una correlazione inversa tra Dollaro USA e mercati azionari (leggi Dow Jones), e questa tendenza è destinata a rafforzarsi al completamento del programma di quantitative easing. Per questo motivo - continua l'articolo - le maggiori banche e gli altri intermediari finanziari starebbero consigliando ai propri clienti di riposizionare i propri portafogli verso una maggiore assunzione di richio. Di seguito, riporto un breve stralcio dell'articolo.

The dollar and stock market used to be close comrades, rising and falling together on the strength of the US economy. But those days are over. In their place has come an inverse relationship in which the greenback's weakness sends investors into risk assets like stocks, based largely on the notion that an export driven economy is the best we can hope for. With the subsequent grand scale monetary intervention from the Federal Reserve following the financial crisis in 2008 and 2009 still ruling the day, strong-dollar/weak stocks remains the trade of the day today and the dominant force in the market so far this month.

A ben guardare, mentre fino a pochi mesi fa il Dow Jones e il Dollaro USA sembravano positivamente correlati (cioè all'aumentare del Dollaro aumentava l'indice Dow Jones) da circa un mese a questa parte sembrano muoversi in maniera molto più simile anche se in maniera negativamente correlata, vale a dire che all'aumentare del primo diminuisce il secondo e viceversa (vedi grafico in basso: in azzurro il Dow Jones; in nero il tasso di cambio Euro/Dollaro).

A mio avviso, tuttavia, le conclusioni dell'articolo segnalato non sono condivisibili: infatti, non basta guardare solamente al fatto che esista correlazione negativa tra Dow Jones e Dollaro USA, ma occorre anche osservare che negli ultimi tempi i due si muovono in maniera praticamente simmetrica (mentre ciò non avveniva in passato). Questo può voler dire, a mio avviso, che la percentuale di contratti derivati scambiati sui mercati è aumentata considerevolmente. In questo caso, la diminuzione del Dow Jones non è motivabile col rafforzamento del Dollaro, ma piuttosto con la diminuzione del prezzo future di molte materie prime. Quest'ultimo aspetto, poi, è motivabile col fatto che molti investitori attendono una diminuzione futura del prezzo delle materie prime e quindi vendono a termine contratti future.

Da parte mia ho già segnalato nei miei post precedenti tale situazione, che nelle ultime settimane ha assunto una dimensione non più trascurabile. La mia conclusione pertanto è differente da quella proposta nell'articolo: a mio avviso, al termine del QE osserveremo sia un apprezzamento del Dollaro USA sia un aumento dell'indice Dow Jones.

AGGIORNAMENTI

Martedi 24 Maggio 2011: Ecco due articoli in cui si esprimono dei pareri molto diferenti dai miei: i mercati azionari subiranno una correzione nei prossimi mesi.

CNBC 23/5 "Stocks Choppy for Now, But Steep Correction Unlikely": "The latest wave of market turbulence could sweep stocks lower into the summer, but it's not likely to be the start of a deep correction, analysts say. [...] "I think this is just going to be a very sloppy investing season, and one where your not going to be rewarded for being early," said Jack Ablin, CIO of Harris Private Bank. "I do think we're in a cyclically sideways market which means you really do have to play this risk on, risk off trade," he said. Brian Rauscher, chief portfolio strategist at Dahlman Rose and Co, said he expects a major correction at some point but does not believe this is it. "Today there's some sellers and there's no buyers. The buyers right now have no reason to step up and be aggressively purchasing here. We're out of the earnings season and there is no catalyst. This market has been very resilient at these technical levels," he said. Andrew Burkly, director of equity research at Brown Brothers Harriman, expects the market to stay in its choppy, lower trend until July or August. "We're bracing ourselves for something we think is a typical 'sell in May' and go away. That's what we think we're in and we don't think it's over. It's not a bull-market-ending bear market," he said. Burkly said he made some portfolio changes and moved more heavily into defensive stocks, like heath care and consumer staples, while staying away from higher beta sectors. "Our overall thesis for the year has always been that the economic growth expectations got too far ahead of themselves," he said. Burkly said U.S. data has also been a big factor in the market's choppiness, and the 2011 GDP forecasts of economists have now slipped to a consensus 2.7 percent from 3.3 percent. "We think that's the trigger. All these growth forecasts are being pared back," he said. Burkly said he is watching the 1295 level on the S&P as the next big support area, and that the S&P could fall to his low forecast for the year of 1230 before rebounding".
CNBC 23/5 "Halftime: New Dynamic Gripping Market, Strangling Bulls?": "The Dow [.DJIA 12381.26 -130.78 (-1.05%) ] and S&P [.SPX 1317.37 --- UNCH (0) ] traded sharply lower on Monday with jitters about a summer swoon rippling across Wall Street. Unlike other market sell-offs, pro investors are starting to worry that this time stocks are not going to bounce off technical levels of support. "There are some signs that suggest the market is oversold in the near term (and could bounce), but I see a significance built into this decline. I wouldn't be surprised to see S&P down to 1,300, 1,280 levels," says James Dailey, portfolio manager at TEAM Asset Strategy Fund in a Reuters interview. CNBC’s Fast Money traders are equally concerned. Looking at fundamentals, Europe’s fiscal woes appear to be getting worse and there are more signs of weakness in BRIC nations. For example, new data released over the weekend showed China’s PMI hit a 10-month low. [...] “What’s exciting about the next couple months?” asks trader Steve Grasso. Ontop of Europe and China, he reminds we’ve got the end of QE2, the Japan quake aftermath and a volcano eruption that threatens to disrupt flights. ”What do investors have to get excited about?” he says. All told we’re looking at “a different dynamic in the market.” “Is not down as much the new up,” asks host Melissa Lee with a smile. Little did she know – the Fast traders are very worried that it is. [...] Trader Steve Cortes is equally bearish. He’s not only concerned by weakness in China but all the BRIC nations. “India [IFN 28.69 -0.50 (-1.71%) ] is down on the year and so is Brazil [EWZ 70.94 -0.99 (-1.38%) ] .” Cortes largely thinks the world is over-invested in emerging markets and under-invested in the US – due to the Fed’s QE2 program which triggered a significant decline in the dollar. Cortes thinks as QE2 draws to and end “the dollar [.DXY 75.98 -0.12 (-0.16%) ] gets off its back.” Although that should create a rotation out of emerging markets and into the US it won’t be enough of a catalyst to prevent the S&P from selling off. “We’ll simply go down slower than the rest of the world,” he says. And because of a stronger dollar Cortes is bearish oil as well as most commodities. “They're suspect here,” he says. And as far as Cortes is concerned so are commodity related stock such as Caterpillar [CAT 101.89 -2.44 (-2.34%) ] . Trader Steve Grasso seems to agree. He doesn't like the technical action. "We've seen stocks pop recently (off levels of support) but that's not happening on Monday," he says. "We're struggling at 1317, which was the intra-day low from May 17th." In other words former levels of support are not holding, typically a bearish sign. "(Again), there's a different dynamic in the market." Looking at single stock stores, the traders are watching Goldman Sachs [GS 135.84 0.85 (+0.63%) ] , which managed to dodge the broader sell off on Monday. What should you make of it? Trader Steve Cortes reveals that he's long. "Volatility in the market should be good news for Goldman. And currently it's under-owned," he says. Pete Najarian is watching unusual options action in Morgan Stanley [MS 23.69 -0.14 (-0.59%) ] . An increased volume in the June 26 / July 26 call spread suggest to Najarian, "going out to July (some investors think) financials could participate to the upside".