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Die (kom­mende?) Blase bleibt ein Thema

Bei­träge von Jeremy Grantham und seinen Kol­legen von GMO werden häufig und gern besprochen. Immer wieder fas­zi­nieren die gründ­lichen Ana­lysen, die nicht immer negativ sind. So ver­weisen sie schon seit Jahren auf das erheb­liche Potenzial in den Emerging Markets.
Heute nun eine radikale und nicht von der Hand zu wei­sende These zur US-Börse (und damit wohl den Welt­märkten): Das Beste könnte noch kommen! Wobei man aus der Tat­sache, dass der eher skep­tische Grantham das schreibt auch schon schließen könnte, dass es eben diesmal nicht so kommt.
Egal, schauen wir uns die Argu­men­tation genauer an:

  • „I reco­gnize on one hand that this is one of the highest-priced markets in US history. (…) I also reco­gnize that we are cur­r­ently showing signs of ent­ering the blow‑o or melt-up phase of this very long bull market. (…)  We can be as certain as we ever get in stock market ana­lysis that the current price is excep­tio­nally high. (…) I find the less sta­tis­tical data more com­pelling in this bubble context than the simple fact of over­pricing.“
    Fazit: Hohe Bewer­tungen alleine genügen nicht. Natürlich.


  • Price alone seems to me now to be by no means a suf­fi­cient sign of an impending bubble break. Among other factors, indi­cators of extremes of euphoria seem much more important than price. Ben Graham (…) said that as far as he could see no bubble had ever broken (by 1963) without being accom­panied by signs of real excess such as those found in 1929. Two months ago, Robert Shiller also made the point (…) that not nearly enough signs of euphoria were yet present to make this look like a late-stage bubble.“
    Fazit: Es könnte aller­dings auch sein, dass wir auf den fal­schen Markt schauen. Es könnte doch viel mehr im Bereich der Unter­neh­mens­an­leihen seien, als bei Aktien? Da haben wir durchaus einige Indi­ka­toren für Euphorie (oder lasst uns Sorg­lo­sigkeit sagen).


  • „(…) pre­vious bubbles have been sepa­rated from ordinary bull markets by passing through 2 standard devia­tions on their price series, a level that sta­tis­ti­cally should occur every 44 years in a random series. (…) this time, this sta­tis­tical measure has been mis­leading because as the US market hit a 2‑sigma level, it had almost none of the other more important bubble indi­cators of investor euphoria and even cra­ziness. (…) In com­plete con­trast, late 1999 and early 2000 had very many signs of bubbly, com­pletely irra­tional behavior, just as mid, or even early 1929 had.“
    Fazit: also doch nur der Punkt der feh­lenden Euphorie. Viel­leicht kommt es ja diesmal genau deshalb anders?


  • „(…) what is missing in the way of psy­cho­lo­gical and tech­nical signs of a late-stage bubble and what is beginning to fall into place. (…) is acce­le­ration of price. (…) The average time of the final bubble phase of the great equity bubbles shown in Exhibit 1 is just under 3.5 years, with the average upcycle of real acce­le­ration just 21 months. And the two smaller equity bubbles had gains of 65% and 58%.“
    Fazit: Was für eine wirklich beein­dru­ckende und schöne Darstellung!

Quelle: GMO

  • „(…) an aca­demic paper titled Bubbles for Fama 2 con­cluded that in the US and almost all global markets, the strongest indi­cator – stronger than pure pricing or value – was indeed price acce­le­ration. (Robin Greenwood, Andrei Shleifer, and Yang Yu, Harvard Uni­versity, Revised, February 2017).“
  •  Fazit: Das werde ich auch mal lesen, ist doch der Titel schon inter­essant, weil er sich gegen Nobel­preis­träger Fama wendet, der immer zuletzt im Interview mit der ZEIT kate­go­risch aus­schließt, dass es Blasen gibt. Und wenn, wüsste man es immer erst im Nachhinein.


  • „Exhibit 4 represents our quick effort at showing what level of acce­le­ration it might take to make 2018 (and pos­sibly 2019) look like a classic bubble. A range of 9 to 18 months from today and a price rise to around 3,400 to 3,700 on the S&P 500 would show the same 60% gain over 21 months as the least of the other classic bubble events.“
     Fazit: Dann hätten wir den schönsten Teil der Auf­wärts­be­wegung ja noch vor uns 🙂

Quelle: GMO

  • „I have pre­viously defined a great bubble as being Excellent Fun­da­mentals Eupho­ri­cally Extra­po­lated. (…) in general, the fun­da­mentals of recent years were disap­pointing and that investors, far from being euphoric, had instead been climbing the wall of worry as they used to say. But fun­da­mentals are improving. The global economy is in sync for the first time in a dozen years and global profit margins are at a high; in the US, a cor­porate tax cut is on the way, which in today’s sticky, more mono­po­listic world, is unlikely to be quickly com­peted away as theory sug­gests, but very likely to further fatten the cor­porate share of the GDP pie and perhaps provide the oomph to keep stock prices rising.“
    Fazit: was eine strin­gente Logik ist. Oder aber die Blase ent­steht ganz wo anders, nicht bei den Aktien


  • Con­cen­tration is the essence of an esca­lating euphoria. By late-stage cycles, many buyers are fixating on winners with the purchase motive being further stock gains, rather than any logic of long-term value. Thus, as the market soars, attention is incre­a­singly focused on those with the largest ear­nings and stock price gains (…).“
     Fazit: anybody FANGs?


  • The second principle is the out­per­for­mance of quality and low beta stocks in a rapidly-rising market. (…) I attribute the logic for this – and this effect is some­thing I noticed almost 40 years ago when stu­dying the Crash of 1929 – to Chuck Prince; a series of Chuck Princes over the years might have said, “The market keeps going up faster and faster and there is no way com­mer­cially that I can play against it. So I have to keep dancing.“
    Fazit: Also, die Profis sehen, dass der Markt zu teuer ist und deshalb kaufen sie das, was nicht so stark fallen dürfte. In sich logisch, dennoch pro­ble­ma­tisch. Denn: „It makes at least some sense and in 1929 caused you to lose a mere 80% rather than 95% (…).“


  • „A rea­sonable indi­cator of incre­asing con­cen­tration is the advance-decline line (…) But my favorite all-time data is shown in Exhibit 6. is (…) the S&P’s “Low Price Index,” com­prising very fallen indus­trial angels. (…) in 1929, it pro­duces what I call the great primal scream of all-time from the market: By the time the S&P 500 peaks in October, up 35% for the year, accom­panied by all the touchy-feely signs of crazy spe­cu­lation, the Low Price Index is down 37%, having fallen steadily all year!“
     Fazit: Das ist in der Tat eine wun­der­schöne Darstellung!

Quelle: GMO

  • „And most com­pelling for me is that (…) that high-beta stocks were soundly beaten as the S&P 500 rose signi­fi­cantly. And the 1972 high ushered in by far the biggest stock market decline since the Great Depression. The 1973–74 decline in the S&P was 63% in real terms, still the second worst decline to date in the post 1925 era. You have to admit this odd signal did a great job in these first two bubbles of the twen­tieth century.“

Quelle: GMO
Doch nun zu der eigent­lichen Frage: Wo stehen wir heute?

  • „The advance-decline line is clearly not deli­vering a threa­tening message yet. It has risen, appar­ently inexorably, along with the S&P 500, perhaps helped along by the rising per­centage of index purchases. So, for the time being, no bubble-bursting early warning there. The high-beta- loses paradox, on the other hand, appears to be giving a very early warning as quality stocks extend an unusual upside lead.“
    Fazit: Will heißen, dass es eine Prä­ferenz für relative Sicherheit gibt wie 1929.

Quelle: GMO

  • Grantham schaut dann auch auf andere Märkte (aller­dings nicht auf Unter­neh­mens­an­leihen von schlechter Qua­lität, wo ich eher die Bla­sen­ri­siken sehe, sondern auf die US-Immo­bilien: „The average US house price, as a mul­tiple of family income, is way higher than at any time before the great 3‑sigma housing bubble of 2006. Those extra­or­dinary and nati­onwide prices then perhaps serve to camou­flage the current 2‑sigma rise, as the outra­geous prices of 2006 make today’s high prices seem less unre­a­sonable.“
    Fazit: Das gilt übrigens auch für die Börse. Wir ver­gleichen immer mit den Preisen während des längsten Bör­sen­booms seit Mitte der 1980er-Jahre und ich denke, das ist der falsche Maßstab.

Quelle: GMO

  • „Extreme overva­luation plays a huge role in bubbles breaking: It is ane­cessary pre­con­dition. The more overvalued, the merrier. But, for judging the extent that bubbles will overrun fair value and for timing the break, value, sadly, is largely irrelevant. Thus, it is a necessary but abso­lutely not suf­fi­cient condition.“
    Fazit: Und wie weit die Bewertung schon gelaufen ist, haben wir bei bto immer wieder dis­ku­tiert. Hier nochmals das ent­schei­dende Chart:

Quelle: GMO

  • Grantham sieht wie viele andere auch, u. a. auch bto, eine erheb­liche Mit­schuld der Noten­banken, hier der Fed: „Taking a dif­ferent tack, we should look at the policy of what I call the Greenspan-Bernanke-Yellen Fed. This policy of pushing down gene­rally on rates – lower highs and lower lows – over 25 years, accom­panied by a lot of moral hazard, has very pro­bably helped push asset prices higher. (…) It seems likely that such a policy as the Greenspan Put might cul­minate perio­di­cally in investment bubbles (…) And the likelihood of bubbles forming no doubt increased because all three Fed bosses outs­po­kenly denied that such bubbles were occurring even as they passed through 2‑sigma levels. (…) Think how encou­raging this was to the bulls as the market in 1998 went past the 21x peak of 1929 and climbed remor­sel­essly (and at an acce­le­rating rate!) to 35x. Even more sta­tis­ti­cally remar­kable was Bernanke’s dis­missal of a clear 3‑sigma US housing market – a one in a thousand event nor­mally – as “merely a reflection of a strong US economy,” and that “US house prices had never declined!” (…)  But, of course, the US housing market had never been tested by a 3‑sigma bubble before! And the rest is history.“
    Fazit: Und Grantham zweifelt wie auch ich nicht im Geringsten daran, dass die Fed bei der nächsten Krise mit noch mehr Geld reagieren wird!

Was Grantham dann zu seiner Schluss­fol­gerung führt:

„Summary of my guesses (abso­lutely my per­sonal views)
  • A melt-up or end-phase of a bubble within the next 6 months to 2 years is likely, i.e., over 50%.
  • If there is a melt-up, then the odds of a sub­se­quent bubble break or melt-down are very, very high, i.e., over 90%.
  • If there is a market decline fol­lowing a melt-up, it is quite likely to be a decline of some 50%.
  • If such a decline takes place, I believe the market is very likely (over 2:1) to bounce back up way over the pre 1998 level of 15x, but likely a bit below the average trend of the last 20 years, as the trend slowly works its way back toward the old normal on my Not with a Bang but a Whimper flight path.“

 Fazit: eine strin­gente Logik. Was aller­dings dagegen spricht, ist, dass aus­ge­rechnet einer der ganz großen „Bären“ nun eine weitere Fort­setzung des Bul­len­marktes sieht. Spricht das nicht alleine für ein frü­heres Ende?
GMO: „Bracing Yourself for a Pos­sible Near-Term Melt-Up“, 3. Januar 2018
 Dr. Daniel Stelter / www.think-beyondtheobvious.com