Bund, Tbond e la grossa coda gialla......(V.M. 77 anni)
- Creatore Discussione masgui
- Data di Inizio
quicksilver
Forumer storico
giomf ha scritto:Dopo il rimbalzo dei giorni scorsi ..ora ci dovrebbe solo attendere una ulteriore fase short .... .. noooo..... ? ? ?
( forse non è così semplice . . .. .
)
esatto (per la seconda che hai detto)
gipa69
collegio dei patafisici
Grande commento da strategist di Saut.
In sintesi per i non gnoscenti:
1)Solitamente quando un movimento carry viene ricoperto, la tendenza del mercato è a sottostimare l'intensità di questa ricopertura. A tal proposito si è osservato movimenti similari sullo yen negli ultimi dieci anni oppure la ricopertura dei carry nel 1998 che secondo l'autore era meno rilevante in quanto non esistevano prodotti specifici per il retail (su questo punto non sono completamente daccordo, per me la dimensione è simile)
2)Anche secondo Saut (così come per Soros nell'articolo postato la settimana scorsa) il carry è rilevante per i movimenti dei mercati attuali.
3)La settimana scorsa Saut prevedeva un minimo nelle prime sedute della settimana e poi un recupero dalla durata di tre/cinque sedute degli indici
4)Per Saut il classico pattern degli indici prevede ora almeno un retest dei minimi se non addirittura la perforazione degli stessi con una correzione che si prolunga nell'area di -10% dai massimi. In realtà molti analisti prevedono il retest dei minimi e poi un nuovo impulso rialzista ed infatti secondo alcune ricerche l'esposizione sull'azionario degli investitori nell'ultima settimana è aumentata e questo pone dui dubbi sulla effettiva realizzazione del movimento stesso.
5)Questo pone dei dubbi sull'effettiva ripresa del bull market e fa rimanere Saut prudente nella sua esposizione anche in considerazione dei dati economici dell'ultima settimana:
CPM debole sotto i 50, prezzi pagati in crescita, spese per costruzioni in calo, ordini delle imprese in calo, la crescita della produttività in calo mentre il costo del lavoro in crescita.
Con questo anche il comportamento di diversi settori interest sensitive è sceso nonostante il calo dei tassi a causa del problema crescente dei mutui a diversi livelli.
6)Tutti questi trend suggeriscono la possibilità che il trend degli utili delle imprese si contragga e con questo si contragga anche la propensione al rischio degli investitori.
7) per questo motivo è necessaria un atteggiamento difensivo sui mercati anche in considerazione della rottura delle trendline ascendenti che sostenevano il movimento in corso da Luglio 2006
Investment Strategy
by Jeffrey Saut
Unwinding the Carry Trade, the 1998 Analogue
“The market clearly shows the footprints of carry traders running for the doors. Whether you look at the yen, the Swiss franc, corporate spreads, swap spreads, EMD spreads or mortgage spreads, you see the prices of high yielders falling in relation to low yielders. When a move like this begins with such a fury, the tendency is to call it ‘over’ too soon and to underestimate its follow-on magnitude. There is a lot of money on one side of these carry trades and most of that money needs to unwind and will try to unwind at the same time. This is how six standard deviation events happen. In fact, when you look at the five biggest daily, weekly, or monthly moves in the yen over the past ten years, the average size of the fat-tailed event is about six standard deviations.
Another way to think about the potential magnitude of the reversal is to look at the 1998 carry trade as an analogue. Our guess is that the money riding on this one is a lot larger than the money riding in the 1998 carry trades, given the explosive growth of hedge funds and new instruments that target carry trades for the naive investors (e.g. an ETF that buys high-yielding currencies or Japanese retail investment products).”
. . . Bridgewater Associates, Inc.
So said the good folks at Bridgewater Associates last week and not to be outdone, none other than legendary hedge-fund maven George Soros likewise blamed the recent market machinations on the carry trade. Obviously, we agree, given our strategy reports of the past few months. Indeed, despite the naive nabobs that minimize the “carry trade’s” impact, or that the carry trade even exists, we view the carry trade’s impact on the markets as significant both on the upside and the downside. Most recently, said impact has obviously been on the downside, yet in the very short-term scheme of things, the impact of the “carry trade” seemed to abate last week as the envisioned Monday/Tuesday trading “low” played in spades.
Recall that in last Monday’s report we suggested a Monday/Tuesday trading “low” should be at hand, leading to a three- to five-session rally. Well, last Monday’s low of roughly 1374 on the S&P 500 proved to be that “low,” leading to a multi-session “spurt” that left the S&P at 1402.85 as of Friday’s close. Indeed, the perfunctory “throwback” rally of three to five sessions that we wrote about from our perch at Raymond James’ 28th Annual Institutional Investors Conference in Orlando last Monday came pretty much on cue, begging the question what happens from here?
As previously stated, the typical pattern now calls for a successful downside retest of the recent “lows” at best and at worst a breakdown below those lows, extending the decline into a full 10%+ affair. Scarily, over the weekend many publications noted that what was going to happen was indeed a retest of the recent lows and then a resumption of the “bull market.” This ebullient sentiment was reflected in CarpenterAnalytix.com’s figures, which showed a “jump” in equity exposure last week, from middling levels to new highs. To quote Barron’s savvy Michael Santoli, “Lots of technically oriented analysts are invoking the usual pattern of ‘retest’ of the former lows after this kind of bounce, which raises the pretzel-logic question of whether this is too widely expected to actually happen.”
We like the term “pretzel logic” because the markets have a tendency to do whatever it takes to confound the majority of participants. Using that logic infers that the equity markets are unlikely to resume their eight-month bull-run, or that the downside retest of the recent lows will be successful, which is why we remain cautious. Plainly, we have been cautious for months as we have attempted to ascertain if the economy was going to descend into recession, slow to a muddle, or actually reaccelerate. While over that timeframe many of the economic reports continued in their Fox Trot skein (fast/fast followed by slow/slow figures), the slowing statistics of the past few weeks have been concerning.
For example, the Chicago Purchasing Managers’ (CPM) report remains below 50 (read: weak), the prices paid component of the CPM report rose sharply (to 63.2 from 54.9), construction spending is down sharply, factory orders are sliding (-5.6%) with non-defense capital goods orders (ex-aircraft) off a shocking 6.6%, productivity growth is slipping (+1.6% vs. +3.0% estimates), unit labor costs are increasing dramatically (+6.6%), consumer sentiment is declining, gasoline prices are rising, nominal retail sales have declined at an alarming rate, and the list goes on. Yet it is not just the recent economic figures that give us cause for pause, but a number of inferential observations as well.
To wit, we didn’t like the failure of the NASDAQ 100 (NDX/1744.74) and the Securities Broker/Dealer Index (XBD/234.32) to confirm February’s new highs by most of the major indices. Further, it is troubling that the interest sensitive S & P Homebuilders Index (XHB/34.95) and the XBD indexes have collapsed despite the 10-year T’Note’s recent decline to a yield of 4.48%. Also troubling is the flameout of the sub-prime mortgage market that appears to be spreading not only to Alt-A mortgage loans, but to prime home equity loan portfolios as reflected in Countrywide’s (CFC/$36.10/Strong Buy) prime portfolio, whose delinquency rate has doubled. Meanwhile, the costs per unit are rising at the production level without a concurrent increase in prices for the final product. This trend suggests that the long-awaited reduction in corporate profit margins we have often discussed may have finally arrived with negative implication for capital spending, corporate share repurchases, and many other things.
Still, the thing that worries us the most is our sense that investors’ “risk appetite” may be decreasing. We have long argued that while at the margin “liquidity” is certainly a driver of asset classes, the ultimate driver is investors’ risk appetite. Verily, if participants have no risk appetite you can push all the liquidity at them you want and they will just take that cash and deposit it in a money market fund. In past missives we have highlighted Merrill Lynch’s Financial Stress Index, which does a pretty good job of measuring investors’ “risk appetites.” We have further noted that emboldened by the straight-up July 2006 to January 2007 “unnatural” rally, investors have embraced ever increasing risk appetites. Recently it feels like that trend has reversed. If that sense is correct, in a mean-reverting world a reversion to the mean in risk appetites implies a fairly stiff headwind for stocks.
Given these concerns, we once again quote our astute friends at Knott Capital Management who opine:
“Our risk-adverse and conservative nature forces us to maintain a ‘predominantly defensive’ investment stance. Investors shouldn’t have a highly optimistic or hardened pessimistic mindset. Proper sector-selection is the best tactic to achieve above-average investment results. We favor those industry groups where valuations are reasonable, pricing power is formidable and earnings growth seems assured. We continue to sell-on-strength and buy-on-weakness. This defensive tactic is flexible and adjusts to the market’s volatility. It also allows gains to accrue as ‘money is taken off the table.’”
Along these lines, some of the company presentations that piqued our interest at last week’s conference included: Covanta Holding Corp. (CVA/$22.30/Outperform); Petrohawk Energy (HAWK/$12.21/Strong Buy); Kodiak Oil & Gas (KOG/$5.00/Strong Buy); Tessera Technologies (TSRA/$39.87/Outperform); Tetra Technologies (TTI/$23.01/Outperform); Helix Energy Solutions (HLX/$33.65/Stron Buy); Harris Corp. (HRS/$47.93/Strong Buy); Agnico Eagle Mines (AEM/$36.78/Outperform); Tutogen Medical (TTG/$8.49/Outperform); Sprint Nextel (S/$19.47/Strong Buy); and L-1 Identity Solutions (ID/$15.88/Strong Buy). This week we will be attending, and speaking, at another conference here in San Diego and will hopefully be able to glean some additional risk-adjusted investment ideas. Consequently, this will be the only strategy comment for the week.
The call for this week: ALL of the indexes we follow have broken below their respective rising trendlines that have been intact since the July/August lows of 2006. Historically when this event has occurred it has taken time for the markets to convalesce. We don’t think it will be any different this time.
March 12, 2007
In sintesi per i non gnoscenti:
1)Solitamente quando un movimento carry viene ricoperto, la tendenza del mercato è a sottostimare l'intensità di questa ricopertura. A tal proposito si è osservato movimenti similari sullo yen negli ultimi dieci anni oppure la ricopertura dei carry nel 1998 che secondo l'autore era meno rilevante in quanto non esistevano prodotti specifici per il retail (su questo punto non sono completamente daccordo, per me la dimensione è simile)
2)Anche secondo Saut (così come per Soros nell'articolo postato la settimana scorsa) il carry è rilevante per i movimenti dei mercati attuali.
3)La settimana scorsa Saut prevedeva un minimo nelle prime sedute della settimana e poi un recupero dalla durata di tre/cinque sedute degli indici
4)Per Saut il classico pattern degli indici prevede ora almeno un retest dei minimi se non addirittura la perforazione degli stessi con una correzione che si prolunga nell'area di -10% dai massimi. In realtà molti analisti prevedono il retest dei minimi e poi un nuovo impulso rialzista ed infatti secondo alcune ricerche l'esposizione sull'azionario degli investitori nell'ultima settimana è aumentata e questo pone dui dubbi sulla effettiva realizzazione del movimento stesso.
5)Questo pone dei dubbi sull'effettiva ripresa del bull market e fa rimanere Saut prudente nella sua esposizione anche in considerazione dei dati economici dell'ultima settimana:
CPM debole sotto i 50, prezzi pagati in crescita, spese per costruzioni in calo, ordini delle imprese in calo, la crescita della produttività in calo mentre il costo del lavoro in crescita.
Con questo anche il comportamento di diversi settori interest sensitive è sceso nonostante il calo dei tassi a causa del problema crescente dei mutui a diversi livelli.
6)Tutti questi trend suggeriscono la possibilità che il trend degli utili delle imprese si contragga e con questo si contragga anche la propensione al rischio degli investitori.
7) per questo motivo è necessaria un atteggiamento difensivo sui mercati anche in considerazione della rottura delle trendline ascendenti che sostenevano il movimento in corso da Luglio 2006
Investment Strategy
by Jeffrey Saut
Unwinding the Carry Trade, the 1998 Analogue
“The market clearly shows the footprints of carry traders running for the doors. Whether you look at the yen, the Swiss franc, corporate spreads, swap spreads, EMD spreads or mortgage spreads, you see the prices of high yielders falling in relation to low yielders. When a move like this begins with such a fury, the tendency is to call it ‘over’ too soon and to underestimate its follow-on magnitude. There is a lot of money on one side of these carry trades and most of that money needs to unwind and will try to unwind at the same time. This is how six standard deviation events happen. In fact, when you look at the five biggest daily, weekly, or monthly moves in the yen over the past ten years, the average size of the fat-tailed event is about six standard deviations.
Another way to think about the potential magnitude of the reversal is to look at the 1998 carry trade as an analogue. Our guess is that the money riding on this one is a lot larger than the money riding in the 1998 carry trades, given the explosive growth of hedge funds and new instruments that target carry trades for the naive investors (e.g. an ETF that buys high-yielding currencies or Japanese retail investment products).”
. . . Bridgewater Associates, Inc.
So said the good folks at Bridgewater Associates last week and not to be outdone, none other than legendary hedge-fund maven George Soros likewise blamed the recent market machinations on the carry trade. Obviously, we agree, given our strategy reports of the past few months. Indeed, despite the naive nabobs that minimize the “carry trade’s” impact, or that the carry trade even exists, we view the carry trade’s impact on the markets as significant both on the upside and the downside. Most recently, said impact has obviously been on the downside, yet in the very short-term scheme of things, the impact of the “carry trade” seemed to abate last week as the envisioned Monday/Tuesday trading “low” played in spades.
Recall that in last Monday’s report we suggested a Monday/Tuesday trading “low” should be at hand, leading to a three- to five-session rally. Well, last Monday’s low of roughly 1374 on the S&P 500 proved to be that “low,” leading to a multi-session “spurt” that left the S&P at 1402.85 as of Friday’s close. Indeed, the perfunctory “throwback” rally of three to five sessions that we wrote about from our perch at Raymond James’ 28th Annual Institutional Investors Conference in Orlando last Monday came pretty much on cue, begging the question what happens from here?
As previously stated, the typical pattern now calls for a successful downside retest of the recent “lows” at best and at worst a breakdown below those lows, extending the decline into a full 10%+ affair. Scarily, over the weekend many publications noted that what was going to happen was indeed a retest of the recent lows and then a resumption of the “bull market.” This ebullient sentiment was reflected in CarpenterAnalytix.com’s figures, which showed a “jump” in equity exposure last week, from middling levels to new highs. To quote Barron’s savvy Michael Santoli, “Lots of technically oriented analysts are invoking the usual pattern of ‘retest’ of the former lows after this kind of bounce, which raises the pretzel-logic question of whether this is too widely expected to actually happen.”
We like the term “pretzel logic” because the markets have a tendency to do whatever it takes to confound the majority of participants. Using that logic infers that the equity markets are unlikely to resume their eight-month bull-run, or that the downside retest of the recent lows will be successful, which is why we remain cautious. Plainly, we have been cautious for months as we have attempted to ascertain if the economy was going to descend into recession, slow to a muddle, or actually reaccelerate. While over that timeframe many of the economic reports continued in their Fox Trot skein (fast/fast followed by slow/slow figures), the slowing statistics of the past few weeks have been concerning.
For example, the Chicago Purchasing Managers’ (CPM) report remains below 50 (read: weak), the prices paid component of the CPM report rose sharply (to 63.2 from 54.9), construction spending is down sharply, factory orders are sliding (-5.6%) with non-defense capital goods orders (ex-aircraft) off a shocking 6.6%, productivity growth is slipping (+1.6% vs. +3.0% estimates), unit labor costs are increasing dramatically (+6.6%), consumer sentiment is declining, gasoline prices are rising, nominal retail sales have declined at an alarming rate, and the list goes on. Yet it is not just the recent economic figures that give us cause for pause, but a number of inferential observations as well.
To wit, we didn’t like the failure of the NASDAQ 100 (NDX/1744.74) and the Securities Broker/Dealer Index (XBD/234.32) to confirm February’s new highs by most of the major indices. Further, it is troubling that the interest sensitive S & P Homebuilders Index (XHB/34.95) and the XBD indexes have collapsed despite the 10-year T’Note’s recent decline to a yield of 4.48%. Also troubling is the flameout of the sub-prime mortgage market that appears to be spreading not only to Alt-A mortgage loans, but to prime home equity loan portfolios as reflected in Countrywide’s (CFC/$36.10/Strong Buy) prime portfolio, whose delinquency rate has doubled. Meanwhile, the costs per unit are rising at the production level without a concurrent increase in prices for the final product. This trend suggests that the long-awaited reduction in corporate profit margins we have often discussed may have finally arrived with negative implication for capital spending, corporate share repurchases, and many other things.
Still, the thing that worries us the most is our sense that investors’ “risk appetite” may be decreasing. We have long argued that while at the margin “liquidity” is certainly a driver of asset classes, the ultimate driver is investors’ risk appetite. Verily, if participants have no risk appetite you can push all the liquidity at them you want and they will just take that cash and deposit it in a money market fund. In past missives we have highlighted Merrill Lynch’s Financial Stress Index, which does a pretty good job of measuring investors’ “risk appetites.” We have further noted that emboldened by the straight-up July 2006 to January 2007 “unnatural” rally, investors have embraced ever increasing risk appetites. Recently it feels like that trend has reversed. If that sense is correct, in a mean-reverting world a reversion to the mean in risk appetites implies a fairly stiff headwind for stocks.
Given these concerns, we once again quote our astute friends at Knott Capital Management who opine:
“Our risk-adverse and conservative nature forces us to maintain a ‘predominantly defensive’ investment stance. Investors shouldn’t have a highly optimistic or hardened pessimistic mindset. Proper sector-selection is the best tactic to achieve above-average investment results. We favor those industry groups where valuations are reasonable, pricing power is formidable and earnings growth seems assured. We continue to sell-on-strength and buy-on-weakness. This defensive tactic is flexible and adjusts to the market’s volatility. It also allows gains to accrue as ‘money is taken off the table.’”
Along these lines, some of the company presentations that piqued our interest at last week’s conference included: Covanta Holding Corp. (CVA/$22.30/Outperform); Petrohawk Energy (HAWK/$12.21/Strong Buy); Kodiak Oil & Gas (KOG/$5.00/Strong Buy); Tessera Technologies (TSRA/$39.87/Outperform); Tetra Technologies (TTI/$23.01/Outperform); Helix Energy Solutions (HLX/$33.65/Stron Buy); Harris Corp. (HRS/$47.93/Strong Buy); Agnico Eagle Mines (AEM/$36.78/Outperform); Tutogen Medical (TTG/$8.49/Outperform); Sprint Nextel (S/$19.47/Strong Buy); and L-1 Identity Solutions (ID/$15.88/Strong Buy). This week we will be attending, and speaking, at another conference here in San Diego and will hopefully be able to glean some additional risk-adjusted investment ideas. Consequently, this will be the only strategy comment for the week.
The call for this week: ALL of the indexes we follow have broken below their respective rising trendlines that have been intact since the July/August lows of 2006. Historically when this event has occurred it has taken time for the markets to convalesce. We don’t think it will be any different this time.
March 12, 2007
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