Bill Gross und die Eiszeit

Bill Gross hat bekanntlich die letzten 30 Jahre an den Kapitalmärkten mit einem Anstieg auf einen Berg verglichen. Jetzt sind wir demnach am Gipfel angelangt und können nur hoffen, nicht zu tief zu fallen. In seinem neuesten Kommentar führt er die Analyse fort:

  • „(…) my basic thrust in this Outlook will be to observe that all forms of ‚carry‘ in financial markets are compressed, resulting in artificially high asset prices and a distortion of future risk relative to potential return that an investor must confront.“ – bto: Übersetzt heißt das, wir haben uns mit so vielen Schulden hochdeleveraged, dass die Vermögenspreise am Ende sind. Es gibt mehr Risiko als Chance.
  • „Experienced managers that have treaded markets for several decades or more recognize that their ‚era‘ has been a magnificent one despite many ‚close calls‘ characterized by Lehman, the collapse of NASDAQ 5000, the Savings + Loan crisis in the early 90’s, and so on.“ – bto: Es war nicht Talent, sondern billiges Geld könnte man dazu sagen.
  • „(…) since the inception of the Barclays Capital U.S. Aggregate or Lehman Bond index in 1976, investment grade bond markets have provided conservative  investors with a 7.47% compound return with remarkably little volatility.“ 
  • „The path of stocks has not been so smooth but the annual returns (with dividends) havebeen over 3% higher than investment grade bonds.“
  • „(…) my take from these observations is that this 40-year period of time has been quite remarkable – a grey if not black swan event that cannot be repeated. 
  • „With interest rates near zero and now negative in many developed economies, near double digit annual returns for stocks and 7%+ for bonds approach a 5 or 6 Sigma event, as nerdish market technocrats might describe it. You have a better chance of observing another era like the previous 40-year one on the planet Mars than you do here on good old Earth.“ – bto: wie McKinsey vorgerechnet hat.
  • „(…) the rate of return of a dynamic ‚constant maturity strategy‘ maintaining a fixed duration on a Barclays Capital U.S. Aggregate portfolio now yielding 2.17%, will almost assuredly return between 1.5% and 2.9% over the next 10 years, even if yields double or drop to 0% at period’s end.“
  • „Equities though, reside on the same planet Earth and are correlated significantly to the return on bonds. Add a historical 3% ‚equity premium‘ to GMO’s hypothesis on bonds if you dare, and you get to a range of 4.5% to 5.9% over the next 10 years.“
  • „For over 40 years, asset returns and alpha generation from penthouse investment managers have been materially aided by declines in interest rates, trade globalization, and an enormous expansion of credit – that is debt. Those trends are coming to an end if only because in some cases they can go no further.“ – bto: genau die Erklärung für den Zuwachs der Vermögenswerte, die Piketty und Co. nicht verstehen.
  • „Duration is unquestionably at risk in negative yielding markets. A minus 25 basis point yield on a 5-year German Bund produces nothing but losses five years from now.
  • „(…) the advantage offered by holding a 5-year investment grade corporate bond over the next 12 months is a mere 25 basis points.“
  • „Carry can be earned by selling volatility in many areas. Any investment longer or less creditworthy than a 90-day Treasury Bill sells volatility whether a portfolio manager realizes it or not.“
  • „Spreads for illiquid investments have tightened to historical lows.“
  • „The fact of the matter – to use a politician’s phrase – is that ‚carry‘ in any form appears to be very low relative to risk. The same thing goes with stocks and real estate or any asset that has a P/E, cap rate, or is tied to present value by the discounting of future cash flows. (…). Returns will be low, risk will be high and at some point the ‚Intelligent Investor‘ must decide that we are in a new era with conditions that demand a different approach. Negative durations? Voiding or shorting corporate credit? Buying instead of selling volatility? Staying liquid with large amounts of cash? These are all potential ‚negative‘ carry positions that at some point may capture capital gains or at a minimum preserve principal.“

Janus Capital: Bon Appetite, Juni 2016