„Death of the Risk-Free Rate“

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Heute Morgen haben wir einen Blick auf die Rolle der Notenbanken im Niedrigzinsumfeld geworfen. Nun die Frage, was soll man als Investor machen in einer Welt, die es laut Modell eigentlich nicht geben sollte? Eine mögliche Antwort habe ich hier gefunden:

  • Abandoning our theoretical construct of a risk-free rate importantly changes our understanding of money, monetary policy, investment risk, and most importantly for investors, our optimal portfolio allocations.“ bto:  und dies zu Recht. Staatsanleihen sind heute renditeloses Risiko. 
  • Zwar geben die Autoren dann eine unzureichende Definition von „Geld“, was in diesem Zusammenhang jedoch nicht so entscheidend ist. Richtig ist sicherlich: „We also use money as a store of value, facilitating intertemporal exchange. (…) A negative real interest rate is similar to a storage cost. This interest expense may be bearable for a period of months but erodes the effectiveness of government currencies, bank deposits, and government bonds denominated in those currencies as long-term stores of value.“ bto: Das stimmt übrigens bei Bargeld nicht, zumindest solange wir keine Inflation haben!
  • „(…) question of whether other instruments and technologies can perform the functions of money. (…) As a store of value, we can hold liquid securities that represent claims on real assets in place of bank deposits. Today’s negative real rates incent us to favor real capital, which provides positive long-term real expected returns, as a long-term store of value over cash and government bonds, which currently pay negative real rates.“ bto:  was natürlich genau dem entspricht, was die Notenbanken auch erreichen wollen. 
  • When a central bank changes the value of its currency, it changes the price of assets denominated in that currency but does not change the value of those assets.“ bto: Das kann man gar nicht genug betonen! Das Geld verliert an Wert, nicht der echte Wert ändert sich!
  • To date, quantitative easing and negative interest rate policies have not created inflation because these programs have been largely limited to the purchase of securities from banks rather than directly creating money. However, if and when central banks actually do begin to create money directly — the modern equivalent of dropping money from a helicopter, as in Milton Friedman’s famous analogy repeated by Ben Bernanke — inflation may soon follow. Worryingly, the political constraints to such direct money printing are diminishing.“ bto:  Wie heute Morgen schon gesehen, kann das „Soon“ eine recht lange Zeitspanne umfassen. 
  • History teaches, however, that a sustained regime of financial repression — an intentional policy of sustained negative real interest rates imposed for the purpose of inflating away the real value of debt — eventually produces high and volatile inflation (Reinhart and Rugoff, 2009). During periods of financial repression, government bonds are hardly risk free.“  bto: Das stimmt sicherlich. Aber, es kann sehr lange dauern, bis es zu Inflation kommt, denn es gibt zu großen realwirtschaftlichen Deflationsdruck. 
  • „(…) cash and government bonds should flow out of investors’ portfolios. Central banks are intentionally facilitating these investment flows by increasingly acquiring the world’s sovereign debt. Should investors simply eliminate cash and government bonds from the list of asset classes in which they invest? No, not entirely. Holding some amount of cash is prudent to prefund near-term committed spending.“ bto: Das versteht sich von selbst!
  • Not being fully invested today provides the option to invest tomorrow at a significant probability of lower (or higher) prices. This tactical use of cash will remain an important tool in the investor’s kit. (…) For today’s investor, cash and government bonds should become less of a core investment and more a speculative source of potential timing alpha.“ bto:  Das sehe ich auch so, weshalb ich ein breit diversifiziertes Portfolio bevorzuge. 
  • „Asset classes that have historically provided a positive correlation of returns to inflation include commodities, bank loans, high-yield bonds, REITs, and emerging market equities. With today’s fear of deflation, many of these inflation hedges are on sale.“ bto:  Der untersuchte Zeitraum ist natürlich falsch. Wir brauchen dazu Zeiten hoher Inflation.

 

 

  • Higher starting yields predict higher subsequent long-term returns. Using the expected return methodology documented at researchaffiliates.com/assetallocation, we estimate a 10-year annualized real expected return of −0.6% for T-bills, 0.5% for core bonds, 1.2% for a traditional domestic portfolio of 60% stocks and 40% investment-grade bonds, and 4.0% for an equal-weighted portfolio of the five previously mentioned inflation-hedging asset classes. To be sure, with higher expected returns comes higher forecast volatility of annual returns, from 1.5% for T-bills to 3.8% for core bonds, 8.6% for the traditional 60/40 portfolio, and 12.2% for the inflation-hedging portfolio.“ bto: Solche Berechnungen sollte man sehr wohl ernst nehmen!
  • Our 95% confidence band for annualized 10-year real returns is −1.1% to −0.1% for T-bills, −0.7% to 1.7% for core bonds, −1.6% to 3.9% for a traditional 60/40 portfolio, and 0.1% to 7.9% for our inflation-hedging portfolio. For a long-term investor, the near certainty of exceeding the long-term real return on T-bills, with only the magnitude in question, doesn’t seem like much of a risk.  bto: Das klingt auf jeden Fall nachvollziehbar.

 

Fazit: „(…) when they take the next step of direct money creation, as is increasingly being discussed, long-run risk of inflation will rise. Investors should consider repositioning their portfolios now to avoid the zero to negative returns of cash and government bonds and to protect against long-term inflation. Investors should diversify away from government bonds and U.S. equities into higher-yielding inflation-sensitive asset classes such as commodities, bank loans, high-yield bonds, REITs, and emerging market equities.“ bto: Wenngleich ich die Analyse teile, bin ich mit der Anlageempfehlung nicht einverstanden. Ich denke, REITs und Aktien sowie Immobilien direkt und Gold ja. High Yield wäre ich vorsichtig, Bankanleihen zumindest in Europa auf keinen Fall. Zu groß ist das Risiko einer Deflation mit Ausfällen vor der erfolgreichen Inflationierung.

→ Research Affiliates: „Death of the Risk-Free Rate“, 11. Juli 2016

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