La Fed y la inflación (Gavyn Davies)

The Federal Reserve broke a taboo yesterday when it said quite baldly that inflation in the US is now below the level “consistent with its mandate”. In other words, it is too low. This is a very big statement for any central banker to make, since the greatest feather in their collective cap is that they successfully combated inflation after the 1970s debacle. Led by the Fed’s Paul Volcker, they re-asserted the importance of monetary policy, after two decades of failed wage and price controls. Since that period, most central bankers have been careful to avoid any language which even hints that a rise in inflation is acceptable to them. I can certainly find no previous record of the FOMC saying that inflation is too low, so it was a jolt to see this stated so starkly in the Fed statement yesterday. (...)

Enlace: http://blogs.ft.com/gavyndavies/2010/09/22/the-fed-breaks-a-taboo-on-inflation/

¿mercado sobrecomprado?

As shown, the S&P 500 is currently trading at overbought levels similar to where it was in late April and early August.  While the S&P 500 saw sharp declines following both of those periods, overbought levels aren't an automatic precursor of an imminent decline.  That being said, investors should be extra vigilant in the days ahead for any signs of weakness in the market's leading stocks.

Enlace: http://www.bespokeinvest.com/thinkbig/2010/9/21/sp-500-price-vs-trading-range.html

Nothing to see here....

Enlace: http://pragcap.com/nothing-to-see-here

AFI semanal RV: la teoría de la opinión contraria

Compartimos el análisis

From Goldman Sachs:

The vigorous rebound in industrial activity that began in mid-2009 has begun to fade in recent months.  This is already quite evident in the growth rate of industrial production, and to a lesser extent in the decline of the ISM manufacturing index from its peak in April.

We expect the ISM index to decline to 50 or below by early 2011.  A significantly weaker ISM manufacturing index would be more consistent with a) the detail of the ISM report, specifically the small gap between the new orders and inventories indexes, b) the weighted average of regional factory surveys, c) the current rate of inventory growth, which has stabilized the manufacturing I/S ratio, d) the typical behavior of the ISM index after large inventory cycles such as the one we have just experienced, e) the recent sub-1% pace of final demand growth.

Enlace: http://www.zerohedge.com/article/here-why-ism-will-drop-below-50-coming-months
Enlace: http://loomingleming.blogspot.com/2010/09/afi-semanal-rv-rebote-sobre-indicadores.html

Napier: potencial del +30% en renta variable

Russell Napier, autor de "Anatomy of the bear", libro fantástico sobre la formación de estructuras bajistas de largo plazo en mercados bursátiles e identificación de suelos, ve un potencial del +30% en bolsa en los próximos 18 meses.

El enlace: http://www.zerohedge.com/article/rusell-napiers-latest-view-equities-credit-and-general-economy-sees-30-upside-stocks

Dos medidas de riesgo de default en EEUU

An interesting observation that has developed over the past year is the ballooning spread between default risk for the US as a standalone entity (based on the country's CDS spread, which was last seen just inside 50 bps), and the cumulative risk of the constituent states that make up the US, once again based on their own standalone spreads, when adjusted by GDP contribution.

Enlace: http://www.zerohedge.com/article/ever-increasing-divergence-between-top-down-and-bottom-us-default-risk

Política monetaria no convencional de la Fed: cuándo, cómo y por qué

Jan Hatzius (Goldman Sachs): "Our view remains that the Federal Open Market Committee (FOMC) will once again ease monetary policy via unconventional measures in late 2010 or early 2011. Our views have not changed, and today’s comment discusses them in Q&A form. We believe that purchases of US Treasury securities cumulating to $1 trillion or more are the most likely cornerstone of the program; that the September 21 FOMC meeting is probably too early for a big announcement, but that November 2-3 is a possibility; and that it would likely “work” to a limited degree, perhaps boosting real GDP growth by a little under ½ percentage point per $1 trillion in purchases."

Enlace: http://www.zerohedge.com/article/jan-hatzius-qa-qe2

El balance de la Reserva Federal y los precios relativos en los mercados de capitales

Todos dentro

“The percentage of liquid assets (aka mutual cash levels) was 3.4% in July. This is the lowest percentage cash level ever and is near levels that accompanied the 2007 equity market peak.”

(mejor estar cerca de la salida....)

Enlace: http://pragcap.com/mutual-funds-are-all-in

Hussman: "el riesgo más serio"

The most serious risk
John P. Hussman, Ph.D.

Yet even the near-term risks to employment and the economy are not the greatest risks that investors face. Rather, the most serious risk for investors here is the persistent and misguided eagerness of Wall Street to value long-term assets based on short-term earnings results. Investors have priced the S&P 500 in a manner that is far too dependent on the achievement and maintenance of profit margins about 50% above historical norms. This is a mistake. Profit margins normalize over time, and on the basis of normalized earnings, the S&P 500 is about 40% above robust historical valuation norms (and even further above valuation levels that have represented "generational" buying opportunities such as 1974 and 1982, when well-covered corporate dividend yields averaged about 6.7%, versus the current 2%).

Yes, bond yields are low here, but 10-year bonds are a 7-year duration instrument while U.S. stocks are roughly 50-year duration instruments at present. Wall Street analysts appear very comfortable advising their clients to "lock-in" prospective long-term equity returns for the next 50 years at yields that are dramatically below the norm, simply because 10-year Treasury yields are depressed. But where will the 10-year Treasury yield be in 5 years, in 10, in 15, in 20, in 25, in 30 years? Whatever the yield is today will be a distant memory then, but will the return that investors "locked in" in stocks still look like a value?.

Meanwhile, much of the earnings "recovery" we've observed over the past year has been driven by financial companies writing up their assets because the FASB decided in 2009 that it was better to create an opaque monolith out of our entire financial system than to allow the bondholders of banks or other overleveraged financial institutions to lose a penny. A great deal of what represents paper wealth, created out of nothing but a sharpened pencil, will be wiped away in the coming years, because there are not sufficient cash flows behind those asset valuations.

As I've said before, a security is nothing more than a stream of cash flows that will actually be delivered to investors over time. When the cash flows are not sufficient to actually repay the face value of the securities; when the cash flows are used to repurchase stock in order to offset the dilution created by grants of stock to corporate insiders; when transitory peaks in those cash flows are used to value securities, rather than considering the entire stream - when these things happen, investors will predictably lose over time.

For our part, we remain focused on identifying companies with stable revenues, stable profit margins, and a record of distributing cash flows or reinvesting them for growth. We are enormously skeptical of share repurchases and takeovers, which are weak uses of cash with little historical evidence of effective return. If share repurchases were highly counter-cyclical, so that companies massively repurchased stock at depressed valuations and not at elevated ones, we might have more confidence. But that's not what we observe. We prefer companies with stable, predictable cash flows, at reasonable valuations, that earn a consistent return on assets and invested capital, and that don't show earnings with one hand and quietly rob investors of them with the other. These companies will always exist. In an economy that appears likely to remain difficult, we refuse to value stocks in a way that relies on a resumption of normal economic growth and assumes profit margins 50% above the norm.

Enlace: http://www.hussmanfunds.com/wmc/wmc100913.htm

Las 5 razones de Credit Suisse por las que no habrá "double dip"

1. Global PMIs are consistent with 3.5% GDP and European PMIs with 2.5% GDP (against our economists’ forecasts of 4.3% and 2.5% in 2011, while consumer confidence is rising in Europe). We acknowledge that the US is experiencing a mid-cycle slowdown, but this is normal – and our high-frequency economic indicator is now consistent with GDP growth of 2.1% (up from 1.4%);
2. Corporates appear under-invested (the investment share of GDP is near record lows, free cash flows are high, leverage is only at average levels and returns on tangible assets are high). Investment intentions have held up well;
3. US corporates appear to have overshed labour: from peak levels, hours worked is down 7.5% while GDP is down 1.3%. Our employment model is consistent with c1% annualised employment growth. Income growth is picking up on an increase in the work week;
4. Emerging markets now account for 48% of global GDP – and China alone has accounted for 36% of the increase in global growth since 2006. We believe that China will have a soft landing (PMIs are consistent with 9% to 10% GDP growth, core inflation is just 1.1%, we believe a 20% to 30% fall in house prices is manageable and China remains under-leveraged and has not run out of labour or capital).
5. The power of near zero bond yields: over the last three months, 5-year real bond yields have fallen from 0.6% to 0.2%. Low real rates help to improve government funding arithmetic (at zero real rates, US fiscal tightening of just 4.5% of GDP is needed to stabilize government debt to GDP), drive down the saving ratio and support risk assets.

AFI semanal RV: se abre una ventana de riesgo para los índices en las próximas semanas - meses

Enlace: http://www.afi.es/ContentWeb/Afi/home/contenido_sidN_778450_sid2N_778451_utN_1.aspx

¿Buen dato en el mercado laboral de EEUU?

Divergencias bajistas para el S&P 500

That also would be in line with our thoughts on Friday as the market does not look toppish just yet. HOWEVER, Vix posted a very key bullish reversal ouside the lower bollinger band. Over the last two years, this has been a bearish signal for equities 100% of the time. In January the top in price lagged the low in Volatility by 7 business days, and the lag was 10 business days in April. Buyers beware, you have one or two weeks of fun, and after that comes a strong bearish move which will take the market lower than 1,000 in S&P futures. We will be very carefully following bearish divergence for equity indices to confirm this major signal.

Enlace: http://www.zerohedge.com/article/confused-summer-market-bounty-it

Reducción de la deuda después de la crisis

Buen papel del Banco Internacional de Pagos (BIS). Las conclusiones:

Enlace: http://www.bis.org/publ/qtrpdf/r_qt1009e.pdf?noframes=1

Albert Edwards: the current situation reminds me of mid 2007

The current situation reminds me of mid 2007. Investors then were content to stick their heads into very deep sand and ignore the fact that The Great Unwind had clearly begun. But in August and September 2007, even though the wheels were clearly falling off the global economy, the S&P still managed to rally 15%! The recent reaction to data suggests the market is in a similar deluded state of mind. Yet again, equity investors refuse to accept they are now locked in a Vulcan death grip and are about to fall unconscious.

Enlace: http://ftalphaville.ft.com/blog/2010/09/07/335901/these-are-the-voyages-of-the-starship-qe2/

La ignorancia es felicidad

Reflexiones de David Rosenberg:

That doesn’t mean that investors are not going to treat the data as good news —it just doesn’t mean they are going to be right any more than they were in the autumn of 2007 when they took the stock market to new highs and then maintained a “buy the dips” view in early 2008, especially when President Bush unleashed the powerful tax rebates (that had an impact all right, but was measured in weeks).

Ignored in the employment report were the declines in full-time employment, the stagnant workweek and slide in the diffusion indices.

Ignored in the manufacturing ISM report were the declines in the leading components, such as new orders, backlogs and vendor performance.

Ignored in the pending home sales were the non-seasonally data showing month-over-month declines in all regions (-16.9% in the Northeast; -12.3% in the Northwest; -5.1% in the Midwest; and -0.7% in the West) as well as on a YoY basis (-22.5% in the Northeast; -17% in the Northwest; -15.2% in the Midwest; and -21.0% in the West).

Ignored was the fact that construction spending in July contracted 1% (consensus was -0.5%) and this is likely to lead to an even weaker print for Q2 real GDP (to 1.5% from 1.6%).

Ignored was the fact that outside of the sales tax holidays and retroactive jobless insurance cheques, chain store sales would have been +1% YoY and not +3% as reported in August. And, as last Friday’s NYT puts it (page B1 — Discounts Help Lift Back-to-School Sales), “all of the discounting was a troubling sign for the fall and holiday seasons” — equity investors ostensibly thought otherwise). The Investor’s Business Daily reported that the discounting in August was “among the deepest ever”(!).

Ignored was the fact that within the Conference Board consumer confidence index, the ‘facts-on-the-ground’ present situation component fell to 24.9 in August from 26.4 in July.

Ignored was the fact that the ECRI weekly leading index has been around -10.0% now for seven weeks in a row and nobody, even the architect of the indicator, seems too fussed about it (shades of 2007).

Ignored was the non-manufacturing ISM index, which came in well below expectations, at 51.5 from 54.3 in July — the weakest since January. Amazingly, the employment component dropped to contraction terrain of 48.2 in August from 50.9 in July and provided a total non-ratification of the payroll report where all the job gains were reportedly in the service sector! Again, like its manufacturing counterpart, all of the leading indicators in the non-manufacturing ISM fell in August (52.4 from 56.7 for new orders; 50.5 from 52.0 for order backlogs; and 51.0 from 52.0 for vender performance).

Ignored was the fact that the blended manufacturing and service sector ISM fell to a seven-month low of 52.1 in August from 54.4 in July, not to mention far off the nearby high of 56.0 reached in April (right when the stock market peaked; just as it bottomed at 40.6 when the S&P 500 hit its trough — market timers take note!).

Within the non-manufacturing ISM survey, a mere seven industries reported “growth”, down from 13 in July, 14 in June, and 16 in May, which was the nearby peak (in November 2007, the month before the recession started, 10 industries reported growth). This means that in August, only 39% of non-manufacturing industries said they had posted an increase in activity, compared with 72% in July, 78% in June and 89% in May. In other words, our call for a continued slowing in the pace of economic activity does not look far off the mark, and when that slowing is occurring after a 1.5% growth rate on GDP, there is precious little margin before contraction takes over.

Enlace: https://ems.gluskinsheff.net/

China Macro Risk Radar

Fuente: Morgan Stanley
Enlace: http://www.zerohedge.com/article/quantifying-top-10-china-risks

Comentario semanal de Hussman

Por John P. Hussman, Ph.D

The Recognition Window

(...) Suffice it to say that it is premature to interpret last week's somewhat benign data as an "all clear" signal for the economy. Yes, this time may be different, and we may somehow skirt evidence that has historically been reliable, but we don't have a clear logical justification based in other data to support a rosy view. Even when statistical relationships are quite strong, the fact is that "coincident" evidence of economic weakness does not follow the leading indicators with flawless precision. We work with probability distributions - not forecasts - and distributions (picture a bell curve) have variation. There is no way to remove this uncertainty, and it is dangerous to assume that last week's data have done so. From my perspective, economic risks continue to be quite serious.

Bearishness without nervousness

An important part of last week's advance appeared to be a simple "clearing" of the a short-term oversold condition in prices and bearish sentiment. While the recent increase in bearish sentiment might have deserved something of a "clearing rally," it is notable that we're observing what might be called bearishness without nervousness. The chart below presents the Investors Intelligence bearish percentage versus the CBOE volatility index (VIX), which is often viewed as a "fear gauge" for the stock market. Historically, increases in the level of bearishness early in a market downturn are often both accurate and persistent, as we observed all through 2008 and in many past market cycles. It's difficult to look at the evidence and conclude that investors are excessively bearish, much less terrified here.

Sigue en...

Enlace (muy recomendable): http://www.hussmanfunds.com/wmc/wmc100906.htm

¿Burbuja en el mercado de bonos?

Desde pragcap.com:

(...) So what happened back in the 30′s? The economy muddled through until WW2 or so and then started to pick up momentum. Interest rates steadied and then rose a whopping 1.5% over the course of the next 20-30 years depending on where we begin. And that’s including the New Deal period when government spending was 120% of GDP! Sound familiar? I’m sure the deficit hawks were puking all over themselves at the time of FDR’s outrageous spending spree.

The greatest irony in all of this hysteria is that those who are shrieking the loudest about rising yields, US government default, etc fail to understand why interest rates would likely rise in the current environment. Despite massive debt levels, private sector de-leveraging, deflation risks, etc the only thing that got interest rates moving higher in the 1940′s was an economic recovery!.

Enlace: http://pragcap.com/did-that-scary-bond-bubble-just-pop

Secular bull / bear markets profile

"Aquel que no conoce la historia está condenado a repetirla".

Fuente y enlace: http://www.crestmontresearch.com/pdfs/Stock%20Secular%20Annotation.pdf

Ejemplos de mercados estructuralmente bajistas...

...como el que arrancó hace 10 años, el 24 de marzo de 2000.

Enlace y fuente: http://dshort.com/

Gordon Gekko, el renacimiento

Por Nouriel Roubini

En el filme Wall Street de 1987, el personaje Gordon Gekko estupendamente declaraba “La codicia es buena”. Su credo se convirtió en el rasgo distintivo de una década de excesos corporativos y del sector financiero que terminó en el colapso a fines de los años 1980 del mercado de bonos basura y la crisis de las sociedades de ahorro y préstamo. El propio Gekko fue enviado a prisión.

Una generación más tarde, la secuela de Wall Street –que se va a estrenar el mes que viene- lo encuentra a Gekko fuera de prisión y nuevamente inmerso en el mundo financiero. Su reaparición se produce justo cuando está por estallar la burbuja crediticia alimentada por el auge de las hipotecas de alto riesgo, lo que desató la peor crisis financiera y económica desde la Gran Depresión.

  

Nouriel Roubini es profesor de Economía en la Stern School of Business, NYU, president de Roubini Global Economics (www.roubini.com) y co-autor del libro Crisis Economics. Tiene una participación en el nuevo filme de Oliver Stone Wall Street: Money Never Sleeps.

Enlace: http://www.project-syndicate.org/commentary/roubini28/Spanish

¿Qué parados se forman durante la crisis?

por Florentino Felgueroso on 05/09/2010 (fedeablogs.net)

En definitiva, creo que la medida incorporada a la reforma laboral de recortar el período de paro para aceptar una oferta de formación ha levantado demasiada polvareda. Si nuestros gestores siguen creyendo (y así lo deberían hacer en mi opinión), que la formación ocupacional puede ser un instrumento potente para salir de esta crisis con buen pie, mejor no esconder el polvo debajo de la alfombra. Habrá probablemente que inyectar más recursos al sistema y sobre todo replantear los colectivos que se han de priorizar. Pero antes, más transparencia, please. Liberen los datos y evaluemos el sistema, intentemos mejorar su gestión.

Enlace: http://www.fedeablogs.net/economia/?p=5911

La lectura del weekend: El fin del "equity cult"

Implicaciones:

The evidence suggests that the cult of the equity began in the 1950s and peaked in the late 1990s — that’s a 40-year bull market. Since then, it seems that the investor love affair with equities has soured.

Investor appetite for global equities is falling. Figure 3 shows that in 2009 US private sector pension funds held 55% of total assets in equities compared to 70% in 2006. Figure 4 suggests that UK pension funds cut their equity weighting to 39% in 2009, down from the 76% high in 1993. The 2009 rebound in equity prices has helped to reverse some of this decline in equity weightings, but most investor intention surveys suggest that the secular reduction in equity weightings is likely to continue.

How much worse will it get?
How far could this go? A reduction in equity holdings back to pre-1959 levels (around 20% of total assets) would indicate considerable selling pressure to come. For US private sector pension funds alone, that would imply a further $1900bn reduction in equity weightings. The story looks similar amongst retail investors. Equity inflows into US mutual funds have not recovered from the 2007-09 bear market (Figure 5). European equity inflows never recovered from the 2000-03 bear market (Figure 6).

The evidence suggests that there could still be considerable institutional selling to come.

Fuente: Citi

Enlace: http://www.zerohedge.com/article/why-end-equity-cult-means-trillions-upcoming-outflows-stocks

Extraordinario informe sobre valoración del mercado de acciones

El libro que se anuncia en el enlace ("Unexpected Returns", Ed Easterling) realmente bueno

Enlace: http://www.crestmontresearch.com/pdfs/Stock%20PE%20Report.pdf

El informe de empleo en EEUU

The underlying details of the employment report were mixed. The positives: the upward revisions to the June and July reports, a slight increase in hours worked for manufacturing employees (flat for all employees), an increase in hourly wages, and the decrease in the long term unemployed. Other positives include the slight increase in the employment-population ratio and the participation rate.

The negatives include the hiring of only 60,000 ex-Census, the increase in the unemployment rate (including U-6), and the increase in part time workers for economic reasons.
Overall this was a weak report and is consistent with a sluggish recovery.

Enlace: http://ftalphaville.ft.com/blog/2010/09/03/334061/final-thoughts-on-the-payroll-numbers/
Fuente: Calculated Risk, FT, Economix

AFI semanal RV: rebote sobre indicadores más constructivos

Clave de la semana: un indicador y dos interpretaciones

Prelude to meltdown: entrevista reciente

In 2007 when most investment analysts and economists were downplaying the developing credit market troubles, Bert warned investors that the probability was very high that the troubles would escalate into full-blown crisis and would produce a crash of historic proportions. He chronicled the developing credit crisis in the pages of his newsletter and also published a book in early 2008, Prelude to Meltdown, which provided his insightful views on the emerging crisis in depth. The book will surely go down as a landmark written by a financial visionary who was several steps ahead of his peers.

Dohmen writes the widely read Wellington Letter investment advisory, which has provided top-notch forecast and analysis of U.S. and global financial and economic trends since January 1977. His newsletter has received many #1 ratings by the top ratings services and has forecasted every bear market using sophisticated technical analysis. Bert also frequently appears as a guest on financial television, including CNN's Moneyline, CNBC and FOX News. Over the last 30 years he has been a favorite speaker at the largest investment conferences.

On August 27, I spoke with Bert concerning his forecast of the credit crisis, the likelihood of another financial crisis, the bond market "bubble" and the outlook for gold. His answers were as always refreshing and full of insight. Following is a transcript of that interview.

http://www.safehaven.com/article/18053/prelude-to-meltdown-an-interview-with-bert-dohmen

Entre otras preguntas y respuestas (muy) interesantes:

Q: It indeed appeared that the monetary authorities waited until the proverbial last minute before acting. Is there anything the Fed and the Treasury could have done to mitigate the credit crisis in 2007 and 2008?

Dohmen: The regulators were in collusion with Wall Street. This wasn't a failure of capitalism, this was a failure of regulatory agencies and in my opinion some of it was criminal. The Wall Street firms, the big ones, were limited to 12-to-1 margin based on their capital until 2004. Then the head of the SEC, who was a former founder of a very large Wall Street firm, and he had been able to field these Wall Street guys and after that they decided to increase the permitted leverage I believe to 34-to-1. That was absolutely incredible. I remember whey that happened I said, "If these firms only have a 3 percent decline in their speculative investment it wipes out all of the equity." I wondered how could this be allowed. These guys were just asking for failure. The reason it was allowed because the higher the leverage the higher the potential profits. And I guess the theory was if something goes wrong the taxpayer would pay the losses. They get the profits, the taxpayer gets the losses. And that's exactly what happened.

We had other things like that in other areas of the housing market. Fannie Mae and Freddie Mac were basically coerced into giving mortgages who had no jobs, no income and no net worth. Yet they got mortgages because the Congressmen said that's what we have to do. You know the names of these Congressmen. So it was really excess of government, excess of speculation and there was no rationale behind it. Even right now when you consider that the FHA is making mortgage loans with only 3 percent down - 3 percent down! Nothing has been learned in this last episode. And that's why this crisis is not over. We are just in the middle of it. There's another 50 percent to go.

Un marco peculiar...

Fuente: Analistas Financieros Internacionales (AFI)

Recalibrado de primas de riesgo (AFI)

El marco económico – financiero actual, que observamos en clave de “recesión de balance”, exige, en nuestra opinión, una serie de ajustes en las primas de riesgo de los diferentes activos financieros: desde la deuda pública hasta la renta variable, pasando por el mercado de divisas y la renta fija privada. Por lo tanto, consideramos clave fijar el marco de análisis que se nos presenta a medio plazo y las implicaciones sobre las variables financieras.

Empecemos por definir “recesión de balance”, un tipo de recesión que se produce con la combinación de una economía excesivamente endeudada (apalancada) y una caída en el precio de los activos. El resultado es un desajuste en los balances, de las economías y del sector privado, con un nivel de pasivo superior al de activo. Un desajuste que encuentra en la política monetaria y política fiscal dos puntos de apoyo para facilitar el necesario desapalancamiento y soporte a la actividad económica. Respecto a la política monetaria, los bancos centrales han respondido con recortes en los tipos de intervención, situándolos en el grueso de economías desarrolladas en el rango del 0% - 1%. Dada la intensidad de la “recesión de balance”, la gestión de la política monetaria no se ha limitado a la reducción de tipos de interés; ha sido necesario una política monetaria de cantidades, que diera soporte a la base monetaria. En clave de política fiscal, una “recesión de balance” se convierte en una de las pocas fuentes de crecimiento de los cuadros macroeconómicos, toda vez que (i) los canales de transmisión de crédito tienden a la “disfuncionalidad”, (ii) las familias incrementan la tasa de ahorro mientras reparan su situación de balance y (iii) las empresas gestionan el exceso de capacidad que desencadena la combinación de los dos puntos anteriores.

En este marco, los escenarios que se abren para los próximos 5 años poco o nada tienen que ver con las dos últimas décadas, años en los que se extendió el término “la gran moderación”. La caída en la volatilidad de los ciclos económicos, junto con la ausencia de presiones inflacionistas, están detrás de “la gran moderación” de los últimos 30 años. En adelante, sin margen de actuación para estimular demanda vía tipos de interés, y con el mercado laboral muy lejos de la recuperación, consideramos que las probabilidades de sufrir altibajos en el ciclo económico son ahora mucho más elevadas que en el pasado reciente. Un ciclo económico, y de beneficios empresariales, más volátil y vulnerable que afectará al precio relativo de las variables financieras, y que resumimos a continuación (junio de 2010):

Deuda pública

• 
  
  Situación: aparece el “riesgo de crédito” y el escenario de ruptura del Área euro.
• 
  
  Nuestro escenario: prima de riesgo fiscal sin cambios (alta); moderación en riesgo sistema (escenario salida Euro). Atractiva la compra de deuda española.
• 
  
  Riesgo: descoordinación política.

Renta variable

• 
  
  Situación: recuperación de la volatilidad y ajuste en valoraciones al nuevo entorno fiscal y cíclico .
• 
  
  Nuestro escenario: IBEX 35 en fair value (8.900), primer punto de compra; el AFI RV Mundial cotiza un 12% por encima de objetivo.
• 
  
  Riesgo: nuevas señales de estrés en el mercado de crédito; fuerte recaída de cuadros macro.

Divisas

• 
  
  Situación: moderación gradual de la presión en el mercado soberano EUR y debilidad en crecimiento de Europa a medio plazo.
• 
  
  Nuestro escenario: movimiento más ordenado de apreciación del USD, hacia niveles de 1,15 en DIC10.
• 
  
  Riesgo: mayor percepción de ruptura del Área euro.

Fuente: Analistas Financieros Internacionales (AFI)

Sobre la "recuperación" de EEUU (K. Rogoff)

A medida que la economía se acerca a tropezones hacia el segundo aniversario de la quiebra de Lehman Brothers, el anémico crecimiento ha dejado al paro sumido en una cifra de cerca del10%, con pocas perspectivas de mejorar pronto. No debe sorprender, entonces, que ya cerca de las elecciones del congreso en noviembre, en lo que marca la mitad del periodo presidencial, los estadounidenses se pregunten con enojo por qué las políticas de estímulo hiperagresivas del gobierno no han cambiado la situación. ¿Qué más se puede hacer, si es que lo hay?

La respuesta honesta, y una que pocos votantes desean escuchar, es que no hay varas mágicas. Tomó más de una década cavar el hoyo actual, y salir de él también tardará. Como Carmen Reinhart y yo advirtiéramos en nuestro libro sobre 800 años de historia de las crisis financieras (con el irónico título de "Esta vez es diferente"), una recuperación lenta y prolongada con un paro constante y sostenido es la norma tras las crisis financieras profundas.

¿Por qué es tan difícil impulsar el empleo después de una crisis financiera? Por supuesto, una razón es que el sistema financiero tarda en sanar y, en consecuencia, es necesario tiempo para que el crédito comience a fluir nuevamente. Destinar grandes cantidades de fondos de los contribuyentes a mastodontes financieros no soluciona el problema más profundo de deshinchar una sociedad sobreapalancada. Los estadounidenses tomaron dinero prestado y se fueron de compras hasta quedar sin aliento, en la creencia de que un mercado inmobiliario en ascenso constante limpiaría todo sus pecados financieros. El resto del mundo vertía dinero a EE.UU., haciendo parecer que la vida era nada más que una gran cena.

Incluso ahora, muchos estadounidenses parecen creer que reducir impuestos y estimular el consumo privado es la simple solución a los problemas de la nación. Ciertamente, en principio no es malo bajar los impuestos, en especial para apoyar la inversión y el crecimiento a largo plazo. Sin embargo, el evangelio de los menores impuestos presenta varios problemas.

En primer lugar, la deuda total del sector público (incluidas la deuda estatal y local) ya se acerca al pico del 119% del PGB alcanzado tras la Segunda Guerra Mundial. Algunos arguyen apasionadamente que ahora no es el momento de preocuparse de los problemas de deuda futuros pero, en mi opinión, en cualquier evaluación realista de los riesgos a plazo medio no se pueden simplemente descartar esas inquietudes.

Un segundo problema con los recortes de impuestos es que es posible que tengan un efecto limitado en el corto plazo, ya que el sector privado está utilizando parte importante de los fondos para reparar hojas de balance seriamente sobreapalancadas.

Por último, aunque no menos importante, hay un problema de justicia. Ciertos indicadores muestran que casi la mitad de los estadounidenses no pagan nada de impuesto a la renta, por lo que reducir impuestos genera incluso más asimetría en una distribución del ingreso de por sí muy desigual. La postergación de enfrentar los problemas de equidad del ingreso es uno de los muchos desequilibrios que se acumularon en la economía estadounidense durante el auge previo a la crisis. Si se permite que empeoren, las consecuencias políticas podrían ser serias, como el surgimiento de proteccionismo comercial y quizás un empeoramiento del malestar social.

Quienes piensan que el gobierno debe asumir la mayor carga del gasto privado señalan que hay muchos proyectos que pueden impulsar el crecimiento, lo que resulta evidente para cualquiera que esté familiarizado con la tambaleante infraestructura estadounidense. De manera similar, las transferencias a los gobiernos locales y federales, que tienen limitado espacio constitucional para tomar dinero prestado, ayudaría a disminuir los perjudiciales despidos de profesores, bomberos y policías. Por último, ampliar el seguro de desempleo tras la crisis más grave en cincuenta años debería ser un asunto incuestionable.

Sin embargo, lamentablemente la gestión de la demanda al estilo keynesiano tampoco es ninguna panacea, ni el gobierno debe siempre ser el empleador de último recurso. Si bien los recortes de impuestos mejoran la productividad en el largo plazo, aumentar el tamaño del estado difícilmente sea una buena receta para dar vitalidad a la economía. Sin duda que en una economía de mercado existen muchas actividades que el gobierno puede emprender, pero una frenética orgía de gastos de estímulo no conduce a un debate racional de cuáles deban ser. Y, por supuesto, esto vuelve a plantear el problema de la creciente deuda nacional.

Con todo, la política del G-20 de apuntar a una estabilización gradual del aumento de la deuda estatal y hacer que se alinee con el crecimiento del ingreso nacional para 2016 parece un enfoque razonable para equilibrar el estímulo de corto plazo con los riesgos financieros de más largo plazo, incluso si eso significa la persistencia del problema del paro.

Si bien Estados Unidos enfrenta los límites de la política fiscal, la política monetaria puede hacer más, como detallara el Presidente de la Reserva Federal, Ben Bernanke, en un reciente discurso en Jackson Hole, Wyoming. En momentos en que los mercados crediticios se encuentran deteriorados, la Fed podría comprar más bonos públicos o deuda del sector privado. Bernanke también hizo notar la posibilidad de elevar el objetivo inflacionario en el mediano plazo (política que sugerí en esta columna en diciembre de 2008).

Si se considera el enorme desapalancamiento de la deuda pública y privada que nos espera en el futuro, y mi impresión -que se mantiene- de que el sistema legal y político de EE.UU. tiene una limitada capacidad de facilitar soluciones, dos o tres años de una inflación ligeramente superior me parece la mejor de varias opciones muy malas, y muy preferible a la deflación. Si bien la Fed sigue reticente a poner en riesgo su independencia en el largo plazo, sospecho que antes de que todo esto acabe utilizará la mayor parte de, si no todas, las herramientas descritas por Bernanke.

La conclusión es que los estadounidenses tendrán que hacerse la idea de muchos años de paciencia, a media que el sector financiero recupera su solidez y la economía sale poco a poco del agujero. No hay duda de que el gobierno puede ayudar, pero cabe desconfiar de los flautistas de Hamelin que enarbolan soluciones mágicas.

Kenneth Rogoff fue economista en jefe del FMI. En la actualidad se desempeña como profesor de Economía y Políticas públicas en la Universidad de Harvard.

Fuente: http://www.project-syndicate.org/

Extraño ISM...

Buen análisis de David Rosenberg:

STRANGE ISM NUMBER ... DOESN’T PASS “SNIFF TEST” Here’s why:

1.Most of the regional reports were very poor in August. Either they collectively all wrong or the ISM is.

2.The share of respondents saying the experienced "growth" was 61%, the exact same as a year ago when the ISM was sitting at 52.8.

3. The ISM gain was led by employment (58.6 to 60.4 - best since December 1983) in the same month that ADP manufacturing fell 6,000 (second decline in a row - it was -11k in July when ISM employment was 58.6, so clearly the latter is proving to be, at least for now, an unreliable labour market barometer). Production also ticked up to 59.9 from 57.0 and inventories rose to 51.4 from 50.2. These are all coincident indicators, as an aside (but an important aside).

4. According to the ISM, 76% of the manufacturers surveyed said that their customer inventory levels were either “too high” or “about right". At the turn of the year, just ahead of the big inventory swing that bolstered the GDP data, this metric was sitting at 60%. As a result, it would be folly to assume that the inventory and production categories will contribute to further ISM increases in the near- and intermediate-term. Norbert Ore, who presides over the ISM survey, had this to say about inventories: “If the inventory build isn't voluntary then we have a huge issue on our hands.”

5. Meanwhile, the more forward-looking components dropped, though were hardly a disaster. But orders slipped for the third month in a row, to 53.1 from 53.5 in July, 58.5 in June and 65.7 in both April and May. That is still a sharp squeeze in the growth rate of capital goods-related order books. At 53.1, ISM orders index is down to levels last seen in June 2009 (but when they were rising in “green shooty” fashion).

6.Backlogs were down as well, to 51.5 from 54.5 in July, 57.0 in June and 59.5 in May (and peaked in February at 61.0). At 51.5, order backlogs stand at their low-water mark of the year.

7. Supplier deliveries (measure of production bottlenecks) eased for the fifth month in a row — to 56.6 from 58.3 in July and well off the March peak of 64.9.

8. Looking at five decades worth of data, the share of the time in which we see orders, backlogs and vendor deliveries all decline in tandem, and the headline ISM index rise, is the grand total of 1%. No wonder equities rallied so much — we just witnessed a 1-in-100 event! Bring your camera.

9. Export orders dipped to 55.5 from 56.5 — the lowest they have been since last December. If the overseas economy is rocking and rolling, then why onearth would this component be declining? Not only that, but it looks as though yet again, a good part of the inventory boost we still seem to be getting is being filled by imports — that sub-index jumped four points in August and does not bode well for the trade deficit, which subtracted 3.4 percentage points from headline GDP growth in Q2.

In a nutshell, ISM did smash consensus expectations in August but the composition left much to be desired. The coincident indicators firmed but the categories that actually lead manufacturing activity softened across the board.

As we said at the outset, the ISM index was at complete odds with the regional surveys. Philadelphia, New York, Milwaukee, Richmond and Kansas City were all down. Dallas and Cincinnati were up. In the past, when we had a 5-to-2 ratio to the downside, the share of the time ISM managed to eke out an advance was 4%.

It would be wise to lean against the market's initial dramatic reaction to this data. The ISM orders/inventories ratio is a decent leading indicator and it sank to 1.033x from 1.065 in July. 1.278x in Julne and 1.441x in May. The hidden nugget in today's report is that this ratio has decline to levels not seen since February 2009. And the last time it fell this fast to this type of level was in the September to December 2007 period (1.03x from 1.30x) when once again, there was tremendous confusion and intense debate over whether it was a recession/soft patch in the economy and the bear market/corrective phase in equities.

Suffice it to say that in the past 30 years, with eleven observations, ISM dropped to 47x in the three months after such a decline in the orders/inventory ratio to such a low level as is the case today. That is the average, the median, and the mode. The highest ISM reading three months hence was 51.9, so if past is prescient, today's data was likely a huge headfake.

 

Fuente: www.gluskinsheff.com/

Dos razones para la cautela

The US manufacturing PMI survey is undoubtedly one of the small handful of critical global indicators published each month. Taken at face value, yesterday’s PMI is at a level equivalent to a real GDP growth rate running at about 3 per cent in the third quarter, which is about double the growth rate I thought we were likely to get. So why not revise the expected growth rate upwards?

There are two reasons for being cautious:

First, while the PMI survey may generally be the best early guide to the monthly behaviour of the US economy, it is not the only one. There are other monthly surveys, including three regional surveys published by the Federal Reserve banks of New York, Philadelphia and Richmond. These Fed surveys all fell sharply in August. The first graph shows that, taken together, they have historically tracked the PMI reasonably well, which is useful because they can be used to provide an independent cross-check of the PMI data. Using the normal statistical relationship, the Fed regional surveys suggest that the PMI “should” have been around 52-53 in August, substantially below the actual reading, and consistent with much lower GDP growth in Q3. So maybe the PMI was subject to statistical noise this month.

Second, the headline PMI reading sometimes give less information about the likely course of the economy than some of the detailed figures (like new orders and inventories) which are also published in the survey. In recent years, US economists have become focused on an index derived by subtracting the PMI inventory figure from the new orders figure, shown in the second graph. The idea here is that companies are likely to cut production when they see their unsold inventories rising while new orders are simultaneously declining. If we use the orders/inventory series to predict manufacturing output 3 months ahead, the implication is that the manufacturing sector might be suffering an outright contraction by the fourth quarter of the year. (Thanks are due to Kit Juckes of SocGen for pointing this out in recent research.)

Enlace: http://blogs.ft.com/gavyndavies/2010/09/02/conflicting-data-on-the-us-economy/#more-2461

Reflexiones sobre los próximos 10 años ¿otra década perdida?

En marzo de 2009, el S&P 500 cotizaba por primera vez en 17 años por debajo de la media histórica del PER Shiller (13x vs 16x de media). Una valoración que sugería un retorno medio acumulado del 7,6% para los próximos 10 años. Comparando este 7,6% con el 3% que ofrecían los bonos a 10 años obteníamos una prima de riesgo del 4,6%: un buen punto de partida para los inversores value y el largo plazo. Otro ejercicio que se puede hacer con el 7,6% de rentabilidad media anual para los próximos 10 años que sugerían las valoraciones de MAR.09 es calcular el nivel de llegada para el S&P 500 en 2019. Aplicando esta rentabilidad, el objetivo estaría en los 1.370 puntos. En apenas 18 meses el S&P 500 ha pasado de 666 puntos a 1.100 puntos, es decir, en apenas 18 meses el mercado ha capitalizado cerca del 70% del valor de los próximos 10 años.

Hoy el S&P 500 cotiza a 20x PER Shiller. La rentabilidad media anual para los próximos 10 años que sugieren estas valoraciones apenas supera el 2% nominal, y la “cola” de retornos negativos que obtenemos de los datos históricos suma un 46%. Es decir, si compramos con un PER Shiller entre 20 y 25x, tenemos un 46% de probabilidades de acumular pérdidas (ex dividendos) en los próximos 10 años. ¿Otra década perdida después de 1999-2009?.

En este escenario, donde la renta variable ha vuelto a niveles sobrevalorados y sobrecomprados, la estrategia de dividendos es clave para compensar el 46% de probabilidades de incurrir en pérdidas de capital en los próximos 10 años (oportunidades en Alimentación, Salud y Telecomm). También será clave no “correr” detrás de los índices para minimizar el impacto del potencial ajuste en cotizaciones. Si excluimos la burbuja del 2000 y del crack del 29 (PER Shiller en 40x y 30x respectivamente), un mercado cotizando entre 20-25x PER Shiller es un mercado notablemente sobrevalorado.