Die US-Börse geht durch die Decke und die anderen Märkte der Welt folgen. Wie die Leser von bto wissen, bin ich skeptisch. Ist es wirklich gelungen, die Krise zu überwinden oder befinden wir uns kurz vor der Ernüchterung? Matt King von der Citigroup hat dazu eine klare Meinung. Ich zitiere über Zero Hedge, da ich keinen direkten Zugang zu der Studie habe. Übrigens hat die FT Zero Hedge kürzlich gelobt. Damit ist es auch für mich eine gute Quelle.
Doch nun zu der Argumentation:
- „(…) Citi’s Matt King has issued a new, long-awaited note in which he asks rhetorically ‚what’s a manager supposed to do when by early March your asset class has already exceeded your expectation for full-year returns? Take profit and take the rest of the year off, of course! And if it carries on rallying, go outright short!‘ (…) ‚the rally owes more to inflows and short covering than to institutional investor exuberance. And part is that the economic data do seem genuinely to be improving.‘“ – bto: Es hat wirklich weniger mit den Fundamentaldaten zu tun.
1. Die Fed zieht den Stecker
- „The Citi strategist begins by noting that ‚perhaps the best reason to remain long is that institutional investors seem not to be.‘ He adds that the vast majority of the FI investors we have seen in recent weeks still believe in secular stagnation (…).“ – bto: Das denke ich auch.
- „(…) the principal driver of investors’ buying seems to have been a response to mutual fund inflows. Not only equity funds but also bond (including both credit and EM) mutual funds have had their biggest 4-week run of inflows since 2013 (Figure 2). Numbers in Europe have been slightly weaker than the US-dominated global totals, but the pattern is similar.“ – bto: Es kommen also die kleinen Investoren in den Markt.
- „Quite apart from the historical inability to maintain this flow rate for long, there is the small problem of the Fed. (…) we do think much of investors’ willingness to pile into risky assets stems from the lack of return on cash. Each and every additional bp in risk-free yield is likely to make investors think twice about the risk they are running in order to generate return elsewhere.“ – bto: Das war ja auch das Ziel der Notenbanken.
2. Höhere Realzinsen belasten alle Assetklassen
- „King’s second reason why he thinks the rally has been so strong is that real yields have remained surprisingly low. Even as nominal yields have risen since the US election, almost all of the action has been in inflation (and growth) expectations (Figure 3). Traditionally this is positive for risk assets; in contrast, when real yields rise, it weighs on risk assets – albeit sometimes with a lag (Figure 4).
Quelle: Citi, Zero Hedge
- „Citi suspects that what has made this move possible is the market’s willingness to focus on all the potential growth positives and yet shrug off the increasing signs of hawkishness from the Fed. ‚Such a position seems increasingly untenable on two counts. First, rates markets have now finally adjusted to the new mood music from the Fed, and seem increasingly likely to be confronted with an actual hike; second, the rally in credit was starting to look out of whack even with today’s real yield levels, never mind following any proper adjustment to follow.‘“ – bto: Das habe ich in „Eiszeit an den Kapitalmärkten“ aufgezeigt.
3. Die Notenbanken machen weniger
- „(…) King reminds regular readers that one of his favourite model for markets’ behaviour in recent years is their correlation with central bank liquidity. While the scale of their purchases over the past half-year or so has been close to record highs, it is already diminishing, and set to diminish further (Figure 5).“ – bto: Es gab ja ernsthafte Stimmen, wie z. B. McKinsey, die geschrieben haben, QE hätte keinen Einfluss auf Assetpreise.
Quelle: Citi, Zero Hedge
4. Chinas Schulden-Impuls nimmt ab
- „As a recent NY Fed report pointed out, ‚China Accounts For Half Of All Global Debt Created Since 2005‘. (…) In other words, China has expanded its financial balance sheet by 50% more than the assets of all global central banks combined. (…) we remain convinced that the recent explosion of credit in China – visible in the monthly total social financing numbers – is of greater global significance than is widely recognized.“ – bto: Das wäre aber konsistent mit unserem Schulden-Endspiel.
- „The punchline: ‚fully 80% of the world’s private sector credit creation at present is occurring in China. The evolution of this global total bears at least a passing resemblance to global asset prices (Figure 7).‘„
Quelle: Citi, Zero Hedge
„Which leads us to the $64 trillion question: is this pace of credit expansion sustainable? Citi’s answer: ‚we rather doubt it.‘„
- „There is some hope that US or DM credit stimulus would be able to take over even if Chinese stimulus wanes (…) However, King then quickly shoots down the suggestion saying that such an alternative source of credit creation ‚seems unlikely.‘ His skepticism is borne from a simple problem of scale: ‚Corporate balance sheets are already highly levered. Besides, the sheer scale of Chinese borrowing – $3tn/year relative to a mere $800bn in US and Europe combined – makes it difficult to see how these could substitute.‘“ – bto: Damit wären wir beim Kern des Problems: Ein System, das eine immer weiter steigende Verschuldung benötigt, kann nicht unendlich funktionieren.
5. Gibt es wirklich Wachstumshoffnung?
- „(…) King then asks ‚what of the counterargument to all this, namely that markets are merely responding to a marked pick-up in global growth prospects, sending secular stagnationists like ourselves scurrying for cover and raising the prospect of a longawaited return to ›longawaitednormal‹ growth?‘ He admits that there has been a pickup in both growth and inflation data, and indeed in corporate earnings.“ – bto: Das können wir alle nicht leugnen, siehe mein Kommentar vom Montag.
- „We are much more skeptical of the likelihood of a continued and self-reinforcing cycle of growth from here. Economic surprises have a natural tendency towards mean reversion and in the US are already starting to come down. A number of commentators are starting to point to the fact that the improvement in economic numbers is heavily skewed towards survey data as opposed to actual production and consumption numbers.“ – bto: Wie war das doch gerade mit dem deutschen Auftragseingang?
- „Sadly, there are even signs that the equity market itself recognizes this likelihood. While the S&P has continued to rally at a headline level, our equity strategists have pointed out that it is again being driven by defensive sectors, not cyclicals – something historically more consistent with a rally in Treasury yields and a global reach-for-yield than with a growth-led reflation.“ – bto: was auch wiederum für sich spricht.
6. Die endlose Krise: Europa
- „To judge from the recent rally in OATs, you could be forgiven for thinking that Macron had been elected already, and that euro break-up risk was once again off the table. Without wanting to get too involved in the labyrinthine twists and turns of what is already turning out to be a decidedly antagonistic campaign, we doubt very much that this risk is gone for good.“ – bto: Na, mit der Auffassung sind sie nicht alleine!
- „Citi then highlights four factors which keep it convinced European periphery risk and French domestic-law bonds are still a ‘sell’ here – and that renewed periphery widening may yet upset markets more broadly.“
- „First, we still think there is the potential for significant nervousness among real money investors in the run-up to, and immediately after, the likely first-round Le Pen victory.“
- „Second, we still meet too many investors convinced that the ECB will somehow come to the rescue, or even that the market would shrug off a Le Pen victory in the same way as it did Brexit. We could not disagree more strongly.“ – bto: Ich denke das schon. Es gibt keine Grenzen.
- „Third, even a Macron or Fillon victory seems unlikely to us to consign European political risk to the dustbin of history in the way some have been arguing. Populists everywhere still feel as though they are in the ascendant (…)“
- „Fourth and most persuasively, almost regardless of what you think the actual probabilities of euro break-up are, we still see too little by way of premia across markets to compensate investors for the potential risks. Central banks appear to have succeeded in squashing the volatility and fear out of markets without removing the underlying risk factors themselves. The more markets rally, the greater is the potential vulnerability.“ – bto: Die Risiken überwiegen die Chancen eindeutig.
7. Bewertung ist hoch
- „Last but by no means least, King brings up the most sensitive topic for the market: massively stretched valuations. His rhetorical question is simple: ‚Do you really want to be buying credit at post-crisis hights, or the S&P at a cyclically-adjusted P/E which has been exceeded only in 1998-2000 and 1929?‘“ – bto: Wie weit die Bewertungen vorangelaufen sind, habe ich hier immer wieder gezeigt.
King’s Fazit: „To sum up, markets seem increasingly to be pricing all of the upside and none of the downside. When there was a risk premium in spreads, and when a wave of central bank and private credit creation seemed likely to carry everything tighter regardless of underlying fundamentals, we were happy to run with that. But we think that risk premium has long gone, and that markets’ strength owes more to those technicals than is widely recognized.“