Der Crash kommt aus einer anderen Richtung als wir denken

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