I Bonds hanno reso il 13% per 20 anni - gz
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By: GZ on Venerdì 13 Settembre 2002 12:00
Stock:
Note US Treasury 10 Year
c'è un pezzo di Caroline Baum, l'esperto di obbligazioni di Bloomberg :
a) la correlazione tra obbligazioni (Bund e Treasury Bond ) e indici di borsa da un anno è del -92% cioè per ogni 100 punti in più dei bond ci sono -92 punti della borsa e viceversa
b) le obbligazioni hanno reso dal 1982 al 2002 il 13.1% MEDIO ANNUO TOTALE se si considera ad es i treasury bond a 10 anni e si computa sia il capital gain che il rendimento pagato.
Il rendimento medio annuo nei 20 anni precedenti invece era il 2.4%.
In pratica c'è stato per 20 anni un mercato toro di proporzioni storiche nel reddito fisso e il rendimento medio è stato 4 VOLTE QUELLO MEDIO STORICO
Mentre per la borsa si da per scontato che il mercato toro del 1982-2000 sia finito e che debba per diversi anni rendere poco o negativamente per compensare l'extra-rendimento (o bolla speculativa) degli anni anni precedenti
per il reddito fisso, nonostante abbia avuto un mercato toro ventennale analogo, anzi abbia avuto un extra-rendimento maggiore di quello storico rispetto alla borsa, il consenso è che il mercato toro continuerà. Ma perchè ?
Ned Davis che è una delle fonti di ricerca sulla borsa più note stima che, su base storica, la probabilità che il reddito fisso (non la liquidità diciamo tutto quello con scadenza maggiore di 1 anno) renda di più delle borse nei prossimi anni è circa zero.
Ovvio che in teoria è possibile che ENTRAMBI possano entrare in un mercato orso decennale, se si verifica uno scenario di inflazione mista a recessione ad es tipo anni 70.
Ma perlomeno in termini relativi la probabilità che le obbligazioni nei prossimi anni facciano meglio delle azioni è minima (per il semplice fatto che sono le obbligazioni che hanno avuto il mercato toro più "FUORI NORMA" su base storica
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True, the two questions are opposite sides of the same coin. Treasuries have been trading inversely with stocks for several years. The post-9/11 environment just exacerbated the trend. In the last six months, the Standard & Poor's 500 Index has moved in the same direction as the 10-year note yield (opposite direction to prices) more than 92 percent of the time. The correlation between the S&P 500 and two-year note yield is 95 percent.
Still, what's unique to this particular cycle is that no one contemplates an end to the Federal Reserve's extended period of low interest rates, which would be curtains for the bull market in Treasuries. Is anyone making a bearish bet on interest rates?
``We're not there yet,'' says Jim Capra, president of Capra Asset Management. ``But you can't make a lot of money from the long side.'' In order to do so, ``you have to believe the U.S. is going into a deflationary spiral like Japan.''
Complacency
Plenty of folks do. The best-case scenario is an economy that struggles with sub-par growth for several more quarters. The worst case, as Capra suggests, is a double-dip recession or multiyear depression. In both cases, the Fed is viewed as out of the picture for the short, intermediate and, in some cases, long term.
``When I look at the June '03 eurodollar contract and see it trading at 2 percent, it seems the market is too complacent,'' says Paul DeRosa, a partner at Mt. Lucas Management Co.
The implied yield on June eurodollar futures, which reflects expectations for three-month interest rates nine months from now, touched a low of 1.9 percent last week, which suggests the overnight federal funds rate will still be at its current 1.75 in the middle of next year. (Three-month rates key off the funds rate.)
The fact that there is such a one-sided bet on interest rates should be a call to arms for contrarians, says Jim Bianco, president of Bianco Research in Chicago.
Winning by Hiding
``There's a healthy debate on the stock market bottoming, with powerful evidence on both sides,'' Bianco says. ``There's no debate about the bond market. There's a universal view that there is no inflation, that yields are going down because stocks are going down.''
If the one-sided nature of the market isn't enough to energize contrarians, consider some historical facts.
When the bull market in bonds started in October of 1981, with 30-year yields at 15.21 percent, ``the 20-year average rate of return for bonds was 2.4 percent,'' says Paul McCrae Montgomery, a money manager and market analyst at Legg Mason Wood Walker in Newport News, Virginia, citing data from Ned Davis Research.
In November 2001, with bond yields at 4.79 percent, ``the 20- year total return was 13.1 percent,'' he says. ``People are used to good returns from a safe place to hide from the stock market. But bonds are going to be a poor investment going forward.''
Risk to Bonds?
Economists recognize that interest rates are at levels inconsistent with a healthy, growing economy. It's the ``healthy'' and ``growing'' that are missing.
It might not feel like it, but ``the economy is growing at 3 percent,'' says Jim Glassman, senior U.S. economist at J.P. Morgan Chase. ``The economy is much more resilient than anyone thought, given all the shocks. When the shocks fade, interest rates will be found to be too low for a healthy functioning economy.''
Over time, the funds rate has tended to track nominal gross domestic product, DeRosa says. ``Unless inflation is zero, you have to think nominal GDP will be about 4 percent. In due course, the funds rate will gravitate in that direction.''
Nominal GDP rose 3.2 percent in the second quarter from a year earlier. That's up from the year-over-year 2 percent in the fourth quarter but well below the 10-year average of 5.2 percent.
The absolute level of interest rates makes a bullish bet a bad idea at this point.
``In a couple of months, stocks could be up 5 percent or down 5 percent, and the bond market could realize that there is no reason to have sub-3 percent five-year notes and sub-4 percent 10- year notes,'' Capra says.
The realization will take some catalyst, after which the one- sided bets on lower interest rates will provide the tinder.
``When the historical odds since 1925 are 0 percent that bonds will outperform stocks over the long run, it suggests a considerable risk for someone making a long-term investment in bonds versus stocks,'' says Ned Davis, president of Ned Davis Research in Nokomis, Florida.
Edited by - gz on 9/13/2002 11:9:37