Fine del QE: le prime conferme

Cosenza (Italy), 24 Maggio 2011

Dopo i numerosi articoli da me dedicati all'argomento "fine del QE", e le opinioni ancora molto discordanti sull'argomento, penso che ora stiano emergendo alcuni indizi concreti che rafforzano le affermazioni da me fatte. In particolare:

• FAZ 24/5 "Kurse und Inflationserwartungen auf dem Rückzug": nell'articolo si sostiene che le attese di inflazione siano in diminuzione e ciò avrà influenza in termini di minori prezzifuturi dei beni. Ecco uno stralcio:

Betrachtet man die Finanzmärkte, so zeigt sich, dass seit Jahresbeginn die Break-even-Inflationsraten (BII), die die Renditedifferenz zwischen Nominalanleihe und inflationsgeschützten Anleihen (Linker) messen und daher die Inflationsraten indizieren, die die Märkte erwarten, deutlich gestiegen sind.

Allerdings hat sich der Tenor seit Anfang April deutlich gewandelt. Besonders für kurzlaufende Anleihen sind die BII deutlich gefallen, für die im September 2012 fällige italienische Staatsanleihe sogar um fast einen Prozentpunkt.

Die deutsche Inflationsfurcht zeigt sich allerdings auch hier: Tendenziell sind die BIIs für deutsche Linker seit Jahresanfang am stärksten gestiegen und seit Anfang April am wenigsten gefallen. Das lässt sich nur teilweise damit erklären, dass die für Deutschland prognostizierten Inflationsraten für 2011 und 2012 ein wenig höher liegen als für Italien und Frankreich.

• CNBC 24/5 "Commodities Gain as Goldman Turns Bull; Stocks Fall": nell'articolo si sostiene che le rendite dei bond USA sta cominciando a salire, soprattutto sulle brevi scadenze.

“The market was pricing in a global growth story up until February, then it shifted into a supply-shock story and then within the last week or two it shifted back into a demand driven story,” Jeffrey Currie, head of commodity research at Goldman Sachs in London, said in an interview today. “This shift back to a demand-driven market, albeit weaker demand, is very significant. We are substantially more confident when the market is focused on demand growth.” [...] Two-year Treasury notes gained after the U.S. sold $35 billion of the securities. The two-year note yield slipped two basis points to 0.51 percent following the first of three Treasury auctions this week totaling $99 billion.

The securities drew a yield of 0.560 percent, compared with the average forecast of 0.562 percent in a Bloomberg News survey of nine of the 20 primary dealers obliged to participate in U.S. debt offerings. The bid-to-cover ratio, which gauges demand by comparing total bids with amount of securities offered, was 3.46, compared with 3.06 last month and an average of 3.38 at the past 10 sales.

• Reuters 24/5 "Rally in oil drives up stocks; euro rebounds": nell'articolo si sostiene che il mercato è entrato in una fase di correzione che durerà per tutta l'estate. Si segnala inoltre che Goldman Sachs ha rivisto al rialzo per il 2012 il prezzo del petrolio brent a 140 Dollari al barile, adducendo come motivo una minore produzione di greggio da parte dell'OPEC.

Goldman Sachs, one of the most influential institutions in the global oil spot market, raised its 12-month price forecast for Brent crude to $130 a barrel from $107 and increased its end-2012 forecast to $140 a barrel from $120, citing global economic growth and tight OPEC spare capacity. U.S. crude and Brent futures jumped more than 2 percent on the news before paring gains on profit taking. U.S. crude oil was up 0.76 percent at $98.42 a barrel in afternoon trade, while Brent was 1.4 percent higher at $111.50. [...] "Markets are in consolidation mode. They're getting through negative concerns," said Karen Olney, head of thematic strategy at UBS. "You've got the end of QE2, China tightening and a lack of earnings news. Today is a bounce back from yesterday." Energy shares rose on Wall Street, but key stock indexes dipped on losses in technology and industrial shares. Concerns about the U.S. economic recovery were also haunting investors. "There isn't much for the market to get excited (about) at this point, especially going into summer months and the QE coming to an end soon," said Randy Frederick, director of trading and derivatives at the Schwab Center for Financial Research in Texas, Austin. The Federal Reserve's second round of quantitative easing, or QE2, which is set to end next month, has been credited with pumping vast amounts of liquidity into markets.

AGGIORNAMENTI

Mercoledi 25 Maggio 2011:

Un articolo che rappresenta un'eccezione a quanto normalmente si legge finora: il mercato azionario potrebbe avere in estate un rapido rialzo. L'articolo sembra sposare appieno le mie tesi: CNBC 24/5 "Stocks Likely to Face a Bumpy Ride Into Summer".

Stocks could have a rough ride into summer, as the Fed steps back from its quantitative easing program and the economy stumbles through a soft patch. Stocks Tuesday were barely changed after a volatile sell off Monday on concerns about Europe's sovereign debt crisis, a lingering worry that periodically rattles the markets. The S&P 500 [.SPX 1316.28 --- UNCH (0) ] is now down 3.5 percent for the month of May, and analysts expect the market to continue trading in a choppy fashion. They say stocks could move lower before heading much higher, but this is not the start of a steep correction.   "I think this is just going to be a very sloppy investing season, and one where you're not going to be rewarded for being early," said Jack Ablin, CIO of Harris Private Bank. Stocks and other risk assets have been locked in a trade where they move in tandem with the euro. [EUR=X 1.4037 -0.0063 (-0.45%) ] Risk assets benefited from the launch of the Fed's quantitative easing program, but have sold off in the last several weeks, ahead of the completion of the program at the end of June. "I do think we're in a cyclically sideways market which means you really do have to play this risk on, risk off trade," Ablin 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 the start of it. [...] Rauscher said if the market does sell off sharply, the chances of the Fed pursuing another quantitative easing program would rise dramatically. The Fed, in its latest program, is purchasing $600 billion in Treasury securities. "If the market can stay above 1300, the probability of QE3 is 10 percent," he said.

Giovedi 26 Maggio 2011: Ecco un altro articolo estremamente interessante, in cui si dice che il mercato azionario "ribassista" (bull market) può essere a breve al termine. Vedi The Street 25/5 "Bull Market in Stocks Is Ending: Strategists":

The bull market in stocks, which began two years and two months ago on the tail end of the deepest recession since the Great Depression, has handed investors gains of 80 percent. But, according to fund managers and analysts including Standard & Poor's Chief Technical Strategist Mark Arbeter and Capital Advisors Chief Executive Officer Keith Goddard, the end is nigh. Europe's tumultuous debt woes, Japan's recession, the end of the U.S. Federal Reserve's massive bond-buying program and peak profits among American companies signal a slowdown in the pace of equity gains that may, in a worst-case scenario, result in a decline of as much as 20%. Calling stock-market tops and bottoms is more art than science, though in a research note last week, S&P's Arbeter said stocks will fall 15% to 20%, perhaps more, with a slide extending into next year. His evidence: A breakdown in commodities, a potential intermediate- to longer-term bottom in the U.S. Dollar Index, lagging emerging markets and a rise in Treasury yields. All of which raise costs for U.S. businesses, crimping profits. "In our opinion, this reflects concerns about the economy, and many times, is a bearish omen for the overall stock market," Arbeter writes, noting recent outperformance in sectors like consumer staples, health care, telecom and utilities. Although Arbeter made his call through the prism of market technicals, other stock-market watchers agree with his bearish assessment. Nouriel Roubini, the economist who rang the warning bell ahead of the global financial crisis in 2008, recently said unemployment will continue to rise in the U.S. over the next year. Roubini has frequently warned of global economic woes, and he continues to see problems in Europe as a threat to a global recovery. The threats to the future of the bull market read like a laundry list of events set to occur at the end of days. Inflation from rising commodity, agriculture and materials costs is a major concern, as is the end of the Federal Reserve's purchase of $600 billion in U.S. Treasurys, known as QE2, which provided a massive boost of liquidity that helped to increase asset prices. There are several other concerns that aren't mentioned nearly as much as inflation and the end of the second round of quantitative easing. Fitch Ratings cut Greece's credit rating on Friday due to the risk of a sovereign default. Last year, the European Union and International Monetary Fund bailed out Greece, but even that rescue may not be enough to help the country manage its debt and deficit. Worry continues to mount over a potential debt restructuring.

Segnalo inoltre l'articolo Comdirect 25/5 "Devisen: Euro bewegt sich in Spanne Analysten erwarten Rückgang". in cui economisti dell'OECD ritengono imminente un deprezzamento dell'Euro nei confronti del Dollaro USA fino ad un livello di 1,35 (contro l'1,41 circa di questi giorni).

NEW YORK (dpa-AFX) - Der Euro hat sich am Mittwoch meist in einer Spanne zwischen 1,40 und 1,41 US-Dollar bewegt. Die anhaltende Schuldenkrise und die positive Wachstumsprognose der OECD haben von zwei Seiten auf die Gemeinschaftswährung eingewirkt.

Analysten zeigten sich derweil überzeugt, dass der Euro bereits in den kommenden Tagen unter seine wichtige Unterstützung bei etwa 1,40 Dollar fallen dürfte. Das ebne den Weg für Anschlussverkäufe, die die Währung bis auf 1,35 Dollar nach unten fallen lassen könnten. Verhindert werden könnte ein solches Szenario nur, so die Experten, wenn es den Politikern gelinge, mit glaubwürdigen Lösungen die Sorgen der Anleger vor einer möglichen Restrukturierung der griechischen Schulden zu lindern.
Im New Yorker Handel kostete die Gemeinschaftswährung zuletzt 1,4074 Dollar. Den Referenzkurs hatte die Europäische Zentralbank (EZB) zuvor auf 1,4069 (Dienstag: 1,4089) Dollar festgesetzt. Der Dollar kostete damit 0,7108 (0,7098) Euro. Zum Schweizer Franken wertete der Euro am Mittwoch weiter ab und fiel bei 1,2290 auf ein Rekordtief./rum/he

Venerdi 27 Maggio 2011: Un altro articolo in cui si sostiene che la pressione al deprezzamento del Dollaro USA potrebbe essere al termine: CNBC 26/5 "Why the Dollar's Blue Period May Be Ending"

A lot of downward pressure on the dollar is easing off. Here's why — and what you should do. Yes, today's GDP number was disappointing, and yes, so were the jobless claims. But increasingly, signs point to the end of dollar doldrums [.DXY 75.26 -0.28 (-0.38%) ] . First up, of course, is the end of QE2, which is finally within sight. All those low interest rates have been good for stocks, but they have been bruising the dollar, partly by boosting investors' appetite for riskier, and higher-yielding, currencies. "If this market perceives the end of QE2 as a risk-off event, that would probably have more of an effect than interest rates on the direction of the dollar going forward," says Alan Ruskin, global head of G10 FX strategy at Deutsche Bank. "The end of QE2 would be less of a headwind than the end of a tailwind for global risk appetite," and it would "demarcate a choppier risk and less USD negative environment." Big investors are also displaying less bearishness on the dollar. Data from the Chicago Mercantile Exchange for the week ending May 17 shows a big drop in dollar short positions among hedge funds — down $8 billion to $25.5 billion. That pretty much has to help the currency. But wait — there is more. The effective federal funds rate, which determines the rate at which banks will lend to each other overnight, has been falling. There are various technical reasons behind the drop, but the result has been excess reserves at the Fed, which according to analysts at Barclays Capital, has put downward pressure on short-term interest rates — with predictable results for the dollar. "We think that the sharp fall in US short-term rates along with the FOMC's stubbornly dovish stance was behind the USD weakness in April," they wrote in a research note. Earlier this week, however, the Fed announced that it would allow government-supported entities like Fannie Mae and Freddie Mac to borrow Treasurys from the Fed when the time comes to withdraw cash from the financial system. Details are still being worked out, but the analysts at Barclays believe this could lead to higher fed funds rates — and thus less downward pressure on interest rates and the dollar. "Decreases in excess reserves at the Fed have tended to be associated with USD appreciation since late 2008," though somewhat less so in the past year, the Barclays analysts wrote. "The move in effective fed funds rate tends to lead the move in 3M US LIBOR, one of the key drivers of USD, according to our analysis." OK, Fed policy can be hard to follow. But the bottom line is simple: between QE2, hedge fund sentiment, and some technical changes in Fed policy, the downward pressure on the dollar is decidedly easing.

Mercoledi 1 Giugno 2011:
Interessante articolo CNBC 31/5 "Roubini Strategist: Positioning Yourself for a Possible Correction", in cui si parla di possibile correzione degli indici azionari. In particolare:

The stock market is at a "tipping point" of a correction as economic growth begins to slow, renown economist Nouriel Roubini recently told Bloomberg. A celebrated bear, Roubini is best known for predicting the financial crisis. Gina Sanchez, director of asset allocation at Roubini Economics, told CNBC on Tuesday that the markets had got excited about high profit margins because workers were getting laid off. It seems as though the layoffs are now coming to an end, though, so she's seeing the profit margins get squeezed. Her fair value on the S&P 500 is the 1,350 level while most strategist are looking for 1,400 to 1,450. Being as the market is trading off of macroeconomic news, she thinks expectations are going to have to be adjusted and the market could slide to the 1,300 level.

 Segnalo inoltre l'articolo CNBC 1/6 "Stock Headwinds Should Keep Investors on Defensive", in cui la fine del QE2 non (!) viene associata ad un impatto significativo sul corso dei titoli azionari. In particolare, le prospettive di crescita sarebbero un motivo più forte della enorme liquidità ancora in giro sui mercati.

The end of QE2 has been seen as many as the key catalyst for re-evaluating investment strategy over the coming months, but Secker believes lower growth will be the more important event. “The end of QE2 – we are firm believers that the economic growth outlook is a more significant determinant of equity direction than liquidity factors, but given current macro uncertainties we believe investors will be averse to re-risking ahead of the end of June when QE2 is due to expire” “If economic news flow has stabilized by then, we’d expect the ending of the QE2 program to have a minimal impact on stocks; however, if the growth outlook is continuing to weaken at that time equities could see a more significant drop,” said Secker.  

Matteo Olivieri
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