“Low volatility paradox will catch out investors and regulators”

Schon letzte Woche habe ich bei bto die geringe Volatilität an den Märkten angesprochen. Heute noch ein Nachtrag von einem der besten Beobachter der FINANCIAL TIMES:

  • “The chief measure of volatility in the US equity market is the CBOE’s volatility index, the Vix. Currently close to its all-time lows, the Vix could be read to imply simply that the corporate sector is benefiting from a relatively stable US recovery against the background of a global upturn, along with good earnings prospects. That interpretation derives support from the unusually narrow dispersion in analysts’ forecasts of individual company earnings.” bto: Es ist also völlig normal und konsequent, weil das Umfeld so gut ist.
  • “As for North Korea and other threats to peace and stability, the Vix no more does geopolitical risk than do the wider markets. Since 1914 and further back markets have tended to respond to such things only after the fact. This is not illogical. Whether geopolitical risks will turn into events that entail the use of force and inflict damage on economies is inherently unforecastable.”bto: was ebenfalls ein berechtigter Einwand ist. Umgekehrt kann man sich so gegen solche Events günstig versichern.
  • “(…) the Vix provided no early warning of the great financial crisis. In other words it is a lagging indicator and simply a reflection of investor sentiment. Its readings sat comfortably alongside pre-crisis talk among economists and central bankers about the great moderation.” bto: Insofern ist der VIX doch ein Indikator und zwar ein Kontra-Indikator.
  • “(…) low volatility leads investors and traders to do things that make the financial system more fragile and vulnerable to crisis. We know this is happening for a variety of reasons, starting with the all-pervasive search for yield. In a world where almost everything looks expensive, investors take on increased risk to acquire a given income stream, often from assets at which they looked askance earlier in the bull market. What makes the search for yield different this time is that it can be more complex and opaque than in the past. Yield-enhancing strategies include selling deep out-of-the-money put options where the strike price is below the current price. Investors pocket the premium on selling such options in the hope that the underlying assets will not fall below the strike price.” bto: Eine durchaus interessante Strategie, man muss nur bereit und fähig sein, das Asset dann auch abzunehmen!
  • “Since 2009 margin debt on the New York Stock Exchange has risen inexorably as volatility has declined. At the same time leverage in the hedge fund community is at exceptionally high levels. (…) estimates (show) that the top decile of macro and relative value hedge funds have been leveraged about 15 times in recent quarters. These funds together account for more than $800bn in gross assets.” bto: Wow, das sind beeindruckende Zahlen! Das wirkt wie ein Brandbeschleuniger auf dem Weg nach unten.
  • “(…) the growth in the derivatives markets hides a tilt in the balance of trading away from hedging towards speculation. Here leverage is implicit in the structure of the derivative instruments. A small change in the value of the underlying security can bring about a big rise or fall in the price of the derivative.” bto: Klar, wenn, dann wird auf allen Ebenen gezockt.
  • “(…) risk management, notably value-at-risk (Var) metrics, can also encourage dangerous pro-cyclical behaviour. A decline in realised volatility can encourage investors to increase position sizes without breaching Var risk limits. Then, when volatility increases, investors may be forced to sell off assets to bring their portfolio back within risk limits.” bto: Das gilt auch für die Banken, die mit diesen Modellen ihre Portfolios steuern. Wie wenig ich davon halte, habe ich in meiner kleinen Serie „Was tun mit dem Geld“ aufgezeigt.
  • Fazit FT: “The volatility paradox, then, is real. (…) So be warned. After eight years of great investment returns, this is not a bad moment to be perceived in the markets as an old fogey.” bto: Ja, es ist Zeit Risiken zu reduzieren.

FT (Anmeldung erforderlich): “Low volatility paradox will catch out investors and regulators”, 21. November 2017