Interessante report che parla dello sviluppo nella fase attuale di un decoupling reale tra il mercato del credito che mostra spread in allargamento ed l'equity che sembra in recupero e dove i titoli considerati di bassa qualità sovraerformano quelli di alta qualità.
Personalmente prima di gridare al decoupling dei due mercati ci penserei due volte in quanto l'influenza del mercato del credito è evidente anche in una situazione in cui molte imprese soprattutto industriali hanno molto free cash flow. In particolare l'overperformance dei titoli a bassa qualità (quelli con paramentri fondamentali non buoni) all'inizio dell'anno è un fenomeno ampiamente studiato per esempio da Bernstein lo strategist di ML che ha mostrato come i primi mesi dell'anno mostrano con una frequenza statistica significativa questo fenomeno e che quindi prima di parlare di decuopling bisognerebbe aspettare che questo periodo passasse.
How sick are you of ‘decoupling’?
The great hope of the global economy last year - that emerging economies would maintain their growth despite the drag of a US slowdown - has proved a severe disappointment to many. Others argue that the fundamentals of the decoupling thesis remain intact - that increasing domestic demand will displace exports as the principal driver of growth in emerging economies and the developing world will account for an ever-greater share of global GDP growth. It was just never going to save the day.
But whether or not economic decoupling is borne out, everyone seems to love the turn of phrase. The latest question is how the linkages between equity and credit markets function. Are equity and credit decoupled?
In the second half of last year, global equity markets seemed remarkably resilient in the face of credit travails, supported not least by a belief in economic decoupling. As markets slumped through January, the alignment between the two asset classes seemed restored. Equity was catching up with credit. But are the two now firmly linked, or are equity and debt investors starting to respond to different sets of fundamentals?
Lehman think the latter. Since the second week of January, companies with the lowest credit ratings have seen their equity rally by an average of 5 per cent, while those with the highest credit ratings have seen their share prices decline by on average 4 per cent.
The recent widening in credit spreads has also not yet been reflected in European equities as stock hold above their late January lows.
Sector by sector, differences emerge. While banks, insurance and consumer stocks have tended to move in tandem with fortunes in the CDS market, others such as basic industries and telecoms have shown little correlation, despite a relatively high CDS-implied default probability.
The credit market, argues Lehman, is being driven by its own problems - huge liquidity and balance sheet constraints.
While there is a liquidity and balance sheet crisis prevailing among investors in fixed income, we cannot accept that the default risk for the 100 largest companies in the European equity market is as high as it was in Q1 2003.
They think that those focused purely on equities would do well to consider very carefully any inferences about ‘fundamentals’ from the current state of the credit markets.
Either way, there’s potential for a striking arbitrage here. As John Dizard writes in FTfm, risk is being valued very differently:
Credit markets are discounting the end of the world, while equity strategists, whose emails I spend half the morning deleting are saying that we are forming a tradeable bottom…
But as both Lehman and Dizard note, with credit markets so volatile, does anyone have the capital to pull it off?