02 junio 2017

hay que mirar a los bonos para saber qué hará la bolsa

De nuevo un tirón de los bonos hacia arriba precio (bajada de rendimientos). La mejoría puntual de la inflación, aunque conocedores todos al 100%, que en pocos días la FED subirá sus tipos de intervención, o que el tapering implica una subida de tipos directamente. ¿Se equivocan los bonos? ¿Se equivoca la bolsa por no tomar beneficios tras el “reflation trade” posterior a la victoria de Trump? Me temo que se equivocan los dos, aunque siempre han mandado los bonos.
La bolsa de EEUU ha subido fundamentalmente por los valores tecnológicos, por esas grandes corporaciones que basan su negocio en publicidad, o en el uso de las nuevas tecnologías y la venta de cacharritos. Mira que distintas a hace unos años:
Serán cojonudas las cinco grandes tecnológicas, pero están a unos precios disparatados…
Los bonos europeos, por su parte, imitan a los japoneses. Son un fiel reflejo de lo que hacen los japos con su deprimida economía, estimulada hasta la saciedad por el Banco de Japón:
La línea la marca la inflación y la creencia de los banqueros centrales que deben estimular para que haya crecimiento y, sobretodo, vuelva la inflación y no se repita la historia nipona:
Y estas son las alternativas de rentabilidad en EEUU para cada clase de activo (en Europa casi todos en negativo):
Y curiosamente, el euro se mueve al calor del diferencial de rentabilidades de EEUU y el bono alemán:
Al lío, ¿quién manda, la bolsa o los bonos?:
As a former equity guy, it pains me to say that when the bond and equity markets are at odds, it usually pays to go with the bond guys. Let’s face it, the bond guys are better at math, often smarter, and less likely to fall for a story. Therefore I am a little at a loss regarding this next chart, as it appears the stock jockeys are more sanguine about rates than the fixed income crew.
Yesterday the SPDR Utility ETF closed at a new all-time high. With all the excitement regarding the FANG stocks, along with the manic chasing occurring in TSLA and bitcoin, you would figure that sentiment would be bubbling over. Shouldn’t investors be dumping utility stocks like University students returning on Thanksgiving weekend to their old high school sweethearts? Instead, we find investors gobbling up utilities like rates are never going higher.
Between 2013 and 2016, the relationship between the inverted yield of the 30 year US Treasury and the SPDR XLU ETF held fairly tight. Yet since the Trump election, it has completely broken down.
Obviously, the correlation need not continue, and the two assets might simply head their own merry way.
But what if this divergence is due to recouple? Although I am a long term bond bear, it certainly feels like fixed income is itching to rally.
The Fed keeps tightening and flattening the yield curve.
They seem intent on removing accommodation until something breaks. Ultimately, if they continue to tighten too aggressively, it will be extremely bond friendly.
An argument could certainly be made that the mad scramble into stocks is sending all sectors higher, and utilities are just being dragged along for the ride. Yet I can’t help but notice that many other sectors closed at one month lows yesterday.
Could it be utility stocks smell the coming economic slowdown ahead of the bond market? I am not sure, but if the economy does roll over, it will be a rare occasion when the stock traders were the more pessimistic bunch. Hey, there is a first for everything, including having the stock guys getting it more right than the bond traders.
Y éste otro:
Historically, the two- to 10-year spread seems to be a better indicator of the economy.
Equities and bonds have been giving different signals to investors over the past two months. Stocks, measured by the S&P 500 Index, have been on a steady march upward, boosted by impressive corporate earnings in the first quarter. While optimism about “Trumpflation” -- tax cuts and infrastructure spending -- pushed the yield on 10-year Treasuries from a low of 1.80 percent on Nov. 2 to 2.63 percent on March 13, the yield has since fallen significantly, to 2.23 percent on May 30. 
In the chart below, the 10-year Treasury yield is shown on the left scale (solid line), and the S&P 500 Index on the right scale (dotted line).
To add to the confusion, the spread between two- and 10-year Treasuries started to narrow even before the 10-year yield commenced its decline. After hitting a peak of 135 basis points on Dec. 22, the two- to 10-year spread moved steadily downward, reaching 93 basis points on May 30, below where it was before Election Day. 
What are the divergent messages from equities and bonds telling investors, and which indicator is likely to be the best predictor of where the economy and markets will be, say, a year from now?
Continued strength in equities is traceable to an estimated 13.6 percent increase in first-quarter earnings for the S&P 500 companies compared with the first quarter of 2016. Not only did the pace surprise analysts on the upside, it was also the fastest growth since the third quarter of 2011. Furthermore, corporate repurchases of shares appear not to have been a significant factor in the increase in earnings, suggesting that the rise may be sustainable in future quarters.
While equity investors focused on the positives from a bottom-up point of view, bond investors appear more concerned about top-down factors. The pace of first-quarter growth in U.S. real gross domestic product was revised higher to 1.2 percent, which was still slow for this late in the business cycle. And with the difficulties the Trump administration has had in having Congress approve health-care reforms, and the expected delay in implementing fiscal stimulus, the 3 percent annual GDP growth target appears increasingly elusive. Adding to economic factors is the force of investors’ risk aversion due to the increase in political peril from the various ongoing investigations in Washington.
Alongside the continued slow pace of economic growth, markets are also concerned by the repeated failure of inflation to rise to levels expected by the Federal Reserve. For example, core CPI (excluding food and energy) rose by only 0.1 percent in April after a 0.1 percent decline in March. April’s inflation was also below the 0.2 percent that the Bloomberg consensus had expected. Including April, the annual inflation rate has fallen to 1.9 percent from 2 percent the previous month. Clearly, there is no sign of accelerating inflation.
The Fed minutes released May 24 suggest that authorities may well increase the federal funds rate by another 25 basis points at their next meeting on June 14. The recent benign inflation figures suggest, on the other hand, that the Treasury yield curve may well flatten, rather than steepen, after the rate hike. In other words, the two- to 10-year yield spread will likely narrow further.
Judging by history, the bond market and, in particular, the two- to 10-year spread, seem to be a better indicator of the economy and markets. In 2006, the last full year before the recession began in December 2007, there were similar contradictory messages from the equity and bond markets, with bonds turning out to be a better predictor of the economy, equities and the fixed-income market itself. 
In the following chart summarizing equity and bond market behavior in 2006, the two- to 10-year spread is shown on the left scale (solid line), and the S&P 500 Index is on the right scale (dotted line):
As the S&P 500 Index rose to successive new records in the second half of 2006, the two- to 10-year spread fell from a high of 21 basis points in May to a negative 12 basis points at year-end. The direction of the move -- a sharp decline -- in the yield spread in the final eight months of 2006 was a precursor not only of the recession a year later, but also of the plunge in equities and bond yields that followed.
History seldom repeats in predicting the future of markets. But it is always an important input that investors can ignore only at their own peril. With the ongoing economic recovery long in the tooth at 94 months, it behooves investors to pay greater attention to calls for greater caution that are coming from the Treasury market.
PD1: Y dentro de este pupurri de alternativas, la del depósito bancario sigue siendo horrible, en un entorno de inflación que ronda el 2%, y habiendo un volumen disparatado de depósitos que nada rentan, que les interesa mucho a los bancos colocar y mantener, ¡qué frescos!. Tienen un gran tipo de interés real negativo para los tenedores:
PD2: ¡Qué miedo me da cuando escribo estas líneas y antepongo mi yo (cuento demasiado de mi), al claro mensaje de amor del Señor! Humildad, solo quiero mucha humildad.
Solo me consuelo cuando pienso que no soy yo el que escribe, sino el Espíritu Santo a través de mis dedos… Así que si me equivoco, o salgo demasiado yo, es porque el Espíritu Santo se toma vacaciones y no me guía.