Les actions ont enregistré leur plus forte baisse hebdomadaire depuis le mois de juin, reflétant un nouveau mouvement de braquet dans les portefeuilles vers moins de risque. Ces « prises de bénéfices » montrent que tous les problèmes ne sont pas résolus et que les inquiétudes sur la croissance persistent, à l’instar des statistiques finales du PIB américain (revues de 1,7% à 1,3%) ou de l’ISM passé sous la barre symbolique des 50 points. Les messages de nouveaux contradictoires venant d’Europe n’ont, bien évidemment, rien arrangé… Les seuls espoirs de rebond viennent d’éventuels plans de relance (Chine) ou de l’injection massive de liquidités (banques centrales), même si cette dernière divise profondément les investisseurs.
Voici le résumé du commentaire hebdo de Jan Loeys, chez JPMorgan.
« Risk markets inched back again over the past week, while safer markets rallied, reversing part of the heady moves of previous weeks. Call it profit taking, if you like, reflecting the reality that not all problems of the world have been solved by central bank liquidity. We are comfortable with our long risk and long real assets position on the judgment that the forces we rely on — asset reflation, attractive valuation, and defensive positioning — only work over a more medium-term horizon.
Many investors we meet remain in a quandary about how one can invest in risk markets in a world of sub-par growth, and huge fiscal challenges. They recognize that central banks are making valiant (reckless?) efforts to keep world markets afloat in a sea of liquidity, but believe that none of these efforts will make much difference to growth and may ultimately do more bad than good.
Let us, therefore, offer another angle of why we stay overweight risk assets, based on volatility. Risk markets promise a higher return than safe assets, such as cash and default-free government debt, to compensate for the risks there are thought to be in holding them. At the aggregate level, these risk premia are a function of uncertainty about future growth and inflation. Risk assets are attractive (cheap), if the premia are high relative to objective measures of the risks incurred. We know that both equity and credit risk premia over cash and government debt yields are much higher than they were 3 years after past recessions. And we recognize there remains ample event risk from a US fiscal cliff, EMU implosions, Middle East war and Chinese hard landing that should keep risk premia higher than normal. But every day that these risks do not materialize, and no new risk acronyms are added to the list is a day that one should at least at the margin downgrade one’s risk perceptions. We accept that not resolving the problems of the world obviously does not make them go away.
Risk concerns and premia are, however, not only driven by tail risk perceptions, but also by delivered volatility of markets and fundamentals. On the latter, we find that, while global growth of the past 3 years is the weakest of any post-war recovery, it is also the least volatile one. The chart to the right shows that the rolling 8-quarter volatility of global growth has fallen to its lowest level since we have data (1970), matching 2004-05, a similar point in the previous business cycle. But unlike then, equity and credit risk premia are now much higher, and leverage is much lower. We find similarly that currency and bond market volatility is well below average, even as equity vol is not that different. Low delivered volatility does not eliminate uncertainty about the future, but it chips away at it, and makes it expensive to stay underweight riskier assets, in our view.
Low delivered volatility, in the presence of high risk premia, makes it attractive to pursue carry strategies, which is jargon for buying higher yielding assets against lower-yielding ones on the expectation that markets will remain in a range and that one can thus earn the yield difference between the two assets. The term derives from the low cost of borrowing to “carry” the higher-yielding asset. We will analyze different types of carry strategies in next week’s GMOS, but suffice here to present some initial conclusions.
We judge carry strategies by the ratio of the yield gap to the volatility of the position (carry/vol). In short, we find that credit is superior to earning EM FX yields, followed by commodity roll and equity risk premia, while bond duration and G-10 FX currency carry are barely worth the trouble. Within credit, we find being outright long versus cash is superior to earning the spread versus swaps or govies; short end carry beats the long end; HY beats HG carry, and BB’s beat all. »