Wirtschaft & Finanzen

Der Crash kommt aus einer anderen Richtung als wir denken

13. Januar 2018

Die Börsen haben 2017 nicht zuletzt wegen der Liquiditätsflut der Notenbanken unter geringen Schwankungen deutlich zugelegt. Dabei ist der Aufschwung schon einer der längsten der Geschichte, wie dieses Chart eindrücklich zeigt:


Quelle: Edelman Financial Services, FuW

Die FINANZ und WIRTSCHAFT schreibt dazu: „Die obige Grafik des Anlageberaters Edelman Financial Services zeigt, dass seit dem Zweiten Weltkrieg nur der Aktienboom in der ersten Hälfte der Fünfzigerjahre kräftiger war: Damals stieg der S&P 500 fast 270%. Auch was die Dauer betrifft, erleben wir derzeit einen der grössten Börsenzyklen überhaupt. Die Hausse hält mittlerweile 94 Monate an. Noch länger tendierten die Aktienkurse einzig während des Internetbooms der Neunzigerjahre mit 114 Monaten aufwärts. Wie in jeder Hausse werden die Kursavancen eines Tages enden. Wann, kann freilich niemand sagen. Auch in diesem Zyklus werden Investoren aber zusehends übermütig und vertrauen darauf, dass es dieses Mal am Schluss nicht so schlimm wird wie beim letzten Mal.

Die Grafik zeigt allerdings, dass gerade die letzten beiden Kursstürze besonders ausgeprägt waren: In den Jahren 2000/2002 und 2007/2009 verlor der S&P 500 jeweils fast die Hälfte an Wert. Das war in der Nachkriegszeit sonst nur während der schweren Baisse Mitte der Siebzigerjahre vorgekommen.“ – bto: Käme es zu einem erneuten Kurssturz in einem Rekordumfang, stehen das gesamte Wirtschaftssystem und die politische Ordnung vor einer existenziellen Krise.

Natürlich ist eine Fortsetzung ist denkbar, aber unwahrscheinlich. So auch die Meinung der Citibank:

  • „Ultimately, extreme valuations, the lack of risk premia, and a lack of responsiveness to tail risks are merely symptoms. The real question is what the skewed incentive structure resulting from that backstop has done to the fabric of markets after so many years. To our minds the answer is that trades and strategies which explicitly or implicitly rely on the low-vol environment continuing, are becoming more and more ubiquitous.“
    Fazit: Gemeint ist, dass die Ruhe, die auch von den Notenbanken erzeugt wurde, auch wieder enden kann und damit auch die Grundlage der Spekulation in einigen Märkten.


  • „Realised historic vol is de facto an exogenous input to much of the risk management framework that underpins modern finance. With lookbacks extending a few years, an extended period of market stability reduces VaR measures and improves Sharpe ratios. Both allow / encourage investors to take more risk – driving valuations higher and vol lower still, creating a self-reinforcing dynamic. Intuitively, returns should follow flows – money is deployed and the asset price goes up. But in the real world the causation works the other way.“
    – Fazit: Die Modelle der Investoren sind rückwärtsgerichtet und genau deshalb ungeeignet. Je mehr die Modelle dominieren und das Gehirn abgeschaltet wird, desto größer das Risiko.


  • „Long periods of one-way markets breed survivor biases. The fund manager with lots of beta outperforms, the cautious fund manager underperforms. Either the latter gets on the bandwagon or soon enough outflows from the fund will ensue. Over time, fewer and fewer critics of the regime are left standing.“
     Fazit: was zusätzlich die Trends verstärkt und damit die Gefahr von Trendwenden.


  • „(…) the closer spreads get to the lower bound, the more explicitly being long credit in itself becomes a short-vol position. With less and less upside remaining, owning credit risk become a question of generating a small amount of carry (or premium) for taking future downside risk – essentially, akin to selling a put option.“
    – Fazit: Eine Put-Option an der Spitze des Marktes zu schreiben, ist hoch riskant.


  • „When the conventional asset class of choice no longer offers a decent return potential, money looks to the next one on the quality spectrum for a pickup. IG funds holding BBs and AT1. DM funds buying EM debt. European and Asian funds holding more and more $ fixed income. Corporates moving their liquidity from money markets to short-dated IG credit funds. Mandate creep in the investment criteria. Even synthetic structured credit is making something of a comeback. The list of tourist trades goes on and on. Most of these too are predicated on the status quo – if volatility and risk premia were to rise, retrenchment back towards the original / natural asset allocation would be swift and uncompromising.“
    – Fazit: was für eine schöne Beschreibung der Sorglosigkeit an den Märkten!


  • „You could rightly argue that many of these factors are generic to every bull market. The fact that volatility clusters is exactly because of these (and other) selfreinforcing dynamics. But the implicit ceiling on vol / cap on downside from the central bank backstops has, in our view, allowed them to run for much, much longer than would have been possible in a market operating on its own devices.“
    – Fazit: Und das macht es so gefährlich!


  • „You could argue that there is nothing to worry about as long as fundamentals remain strong. But those looking at the economic data, corporate earnings or leverage trends to indicate the next turn in markets are looking in the wrong place, if you ask us. Over the last 50 years, only 2 out of 19 corrections in US credit were led by a recession. 12 had no overlap with a  recession at all. In half the corrections, there wasn’t even a discernible turn in the leading economic indicator beforehand. Plainly, there is a long history of market corrections being triggered by other factors than fundamentals – Black Monday in 1987 and the correlation crisis in 2005 are two obvious examples.“
     Fazit: Es genügen Probleme, an die wir gar nicht denken. Das Auto kommt aus einer ganz anderen Richtung.


  • „Surely, if one could just get a slightly better call on the next trigger, then it’d be possible to get out just in time before everyone else jams the exit? We don’t dismiss the importance of triggers. Indeed,  when you look back at the last fifty years, nearly every major correction in credit can be associated with a triggering event (Figure 28). With hindsight everything is easy.
    Fazit: Und deshalb ist es so gefährlich!

  • We are sceptical that hunting for the next trigger is worth the effort. If a trigger seems obvious, then it’s probably obvious to everyone and chances are it will be too late. Triggers are often latent – the long-term problem is obvious, but it is ignored until suddenly it explodes without much warning (think the Greek sovereign debt crisis). Multiple factors often have to  combine to create a triggering event – the GFC wasn’t just about sub-prime, it was about excessive leverage, inadequate regulation, unchecked financial innovation, misaligned rating methodologies, inadequate backstops and a host of other things.“
    – Fazit: Und genauso ist es heute wieder!!


  • „(…) in recent years the market simply wasn’t vulnerable with so much central bank money behind it. However, 2018 is different. As we see it, it is now increasingly vulnerable to a mid-cycle, technical correction, based on what we have discussed above:
    • Central bank asset purchases are set to be the smallest in a decade (Figure 29). A $1tn of incremental demand versus 2017 is needed from private sources.
    • At least in the US, the opportunity cost of not being invested in credit (i.e. the yield differential to 3m LIBOR) is likely to be the smallest since 2007.
    • The perception of a backstop has facilitated a multitude of trades and strategies that are contingent on a low level of volatility in an increasingly crowded space. Now that backstop is moving out the money.
    • Vol is near historic lows and has been so for longer than ever before. More risk than ever before is being issued into a credit market where spreads, on a like-forlike basis, are close to the 2007 tights and where breakevens are wafer thin.“


  • „(…) when the herd suddenly changes direction, the result is a sharp non-linear shift in asset prices. That is a problem not only for us trying to call the market, but also for central bankers trying to remove policy accommodation at the right pace without setting off a chain reaction – especially because the longer current market dynamics run, the more energy will eventually be released.“
    – Fazit: Je länger die Party andauert, desto größer die Kopfschmerzen.


  • „In a fairy tale, turning points come suddenly and unexpectedly. Everything that has long been taken for granted is suddenly in pieces. In that sense markets are not all that different. People have gotten used to the paradigm that has been built up since the Great Financial Crisis. It has been tested on several occasions – 2011, 2012 and 2015 – and on each occasion central banks have overcome the challenge, thus ultimately reinforcing the regime.“
     Fazit: weshalb man mir immer entgegenhält, dass es auch in Zukunft so sein wird.


  • While our conviction in the exact timing and magnitude of the paradigm shift is admittedly low (…)  it is unwavering when it comes to the broader point that central bank asset purchases will remain the key driver of markets. Exactly because trades and strategies have been built up around an assumption of the status quo, we fear that the inflection point, if / when it comes will be anything but smooth and linear. Indeed, the longer we remain in the current paradigm, the greater the chance that it  ends up being both sharp and painful.“
    – Fazit: kein Widerspruch von meiner Seite!

FINANZ und WIRTSCHAFT: „Der Chart des Tages“, 4. Januar 2018

zerohedge.com: „Citi’s Shocking Admission: There Is A Growing Fear Among Central Bankers They’ve Lost Control„, 26. November 2017

Dr. Daniel Stelter auf www.think-beyondtheobvious.com