Warum selbst Nega­tiv­zinsen einen Bör­sen­crash nicht auf­halten können

Wenn man John Hussman als Autor sieht, denkt man sich sogleich: Wozu soll man das noch lesen? Schon seit Jahren weist er auf die his­to­risch hohe Bewertung an der US-Börse hin, pro­gnos­ti­ziert Null-Ren­diten auf zehn und mehr Jahre – und es pas­siert nichts. Im Gegenteil, der Markt eilt von Hoch zu Hoch.

So gut seine Analyse auch sein mag – bzw. meiner Meinung nach ist – sie scheint irrelevant in einer Zeit von Nega­tivzins, Heli­ko­ptern und MMT. Doch viel­leicht ist es nur das typische Bla­sen­phä­nomen, dass es eben Jahre länger dauern kann, bis sie platzt? 

Grund genug, einige seiner aktua­li­sierten Ana­lysen an dieser Stelle zu wie­der­holen und zugleich seine Sicht zu erläutern, weshalb Nega­tiv­zinsen nicht geeignet sind, einen Crash zu ver­hindern. Von der Macht­lo­sigkeit der Noten­banken also. 

Los geht es:

• „In my view, investors are on the cusp of yet another very long period in which the stock market is likely to go ‘nowhere in an inte­resting way.’ The ‘inte­resting’ part is more likely to begin with steep lossesthan a further advance from these levels. (…) I believe that the com­bi­nation of hyperva­luation and unfa­vorable market internals has opened a trap door that is per­missive of abrupt and severe market losses (…)“ – Stelter: Er bleibt sich auf jeden Fall treu. 
• „The chart below shows the Hussman Margin-Adjusted P/E (MAPE), which is better cor­re­lated with sub­se­quent market returns than num­erous popular alter­na­tives such as price/forward ear­nings, the Shiller CAPE, or the so-called Fed Model. Despite a slight decline since January 2018 due to modest growth in fun­da­mentals, this measure remains above both the 1929 and 2000 extremes.“ – Stelter: Und damit bleiben die Aus­sichten für die kom­menden Jahre schlecht, ob nun in Form hef­tiger Kor­rek­turen oder aber Null-Erträgen für Jahre.

Quelle: Hussman

• „The steep losses of the S&P 500 in 2000–2002 and again in 2007–2009 were con­sistent with a century of his­to­rical expe­rience. Given current market valua­tions, the pro­spect of yet another 10–12 year period of zero or negative returns for the S&P 500 would also be wholly con­sistent with a century of evi­dence. (…) The chart below shows our MAPE on an inverted log scale (left), along with the actual total return of the S&P 500 over the fol­lowing 12-year period (right). In recent decades, achieving his­to­ri­cally normal market returns has required either depressed starting valua­tions at the beginning of the period or bubble valua­tions at the end of the period.“ – Stelter: Es bleibt halt so simpel. Der Gewinn liegt im Einkauf.

Quelle: Hussman

• „It’s worth noting that the total return of the S&P 500 since 2000 has averaged just 5.4% annually, andit has taken a return to the most extreme valua­tions in U.S. history to produce that outcome. It won’t come as a sur­prise that I expect the entire total return of the S&P 500 since 2000 to be wiped out over the com­pletion of the current market cycle.“ – Stelter: Auch hier bleibt er sich mit seinen Aus­sagen treu. Wenn man rein auf die His­torie blickt, ist es auf jeden Fall realistisch.
• „Unlike the 1972 and 2000 stock market peaks, when accep­tably high bond yields pro­vided a mer­ciful alter­native to overvalued stocks, we pre­sently observe the com­bi­nation of record-high stock market valua­tions (on the most reliable mea­sures we identify), and severely depressed interest rates. From a pure, value-focused stand­point, this com­bi­nation sug­gests the likelihood of low future returns across the board.“ – Stelter: gute Zusam­men­fassung. Wenn alles teuer ist, muss auch alles einen tiefen Ertrag haben.
• „The idea that ‘low interest rates justify high stock valua­tions’ is really a statement that ‘low interest rates justify low expected stock returns as well.’ Those high stock valua­tions are still asso­ciated with low pro­s­pective future stock market returns. (…) the notion that ‘low interest rates justify high stock valua­tions’ assumes that the growth rate of future cash flows is held con­stant, at his­to­ri­cally normal levels. If, as we pre­sently observe, interest rates are low because growth rates are low, no valuation premium is ‘jus­tified’ by low interest rates at all.” – Stelter: Das dis­ku­tierte ich hier schon vor Jahren im Zusam­menhang mit dem „Duration-Risk“.
• „One of the con­cepts (…) is the idea of an ‘Endowment-to-Spending Mul­tiple.’ The esti­mated E/S Mul­tiple answers the fol­lowing question:
  Suppose an investor has accu­mu­lated a lump-sum of savings, and wants to finance a long-term stream of real, inflation-adjusted spending. How large must the initial ‘endowment’ be, as a mul­tiple of annual spending, to finance those future outlays, assuming that it’s pas­sively invested in a con­ven­tional port­folio mix (60% S&P 500, 30% Tre­asury bonds, 10% Tre­asury bills)? (…) The chart below presents our estimate of the Endowment to Spending Mul­tiple going back to 1928.“ – bto: Und zeigt auf, wie stark die Preise nach Jahr­zehnten des Noten­bankso­zia­lismus ver­zerrt sind.

Quelle: Hussman

• „You’ll notice that the current E/S Mul­tiple is over 31, which basi­cally says that if you insist on pas­sively investing a lump-sum in a con­ven­tional port­folio mix in order to fund your reti­rement, you’d better already have nearly all the dollars you hope to spend, because the pro­s­pects for signi­ficant long-term capital growth from present valua­tions are dismal.“ – Stelter: Erstaunlich ist auch, wie weit wir über der Blase von 2000 liegen. Nur in den 1920er-Jahren war es schlimmer.
• „The current risk of yet another long, inte­resting trip to nowhere is easy to under­stand when one examines the under­lying drivers of long-term stock market returns: 1) long-termgrowth in repre­sen­tative fun­da­mentals; 2) changes in valua­tions (the ratio of market prices to those repre­sen­tative fun­da­mentals); and 3) divi­dends received in the interim.“ – Stelter: weil es am Ende eben doch auf die fun­da­mentale Ent­wicklung ankommt.
• „Pre­sently, U.S. real struc­tural eco­nomic growth is running at just 1.4% (reflecting the com­bi­nation of demo­graphic labor force growth and trend pro­duc­tivity growth, without the impact of cyclical changes in the unem­ployment rate). Mean­while, upward pressure on real unit labor costs is already putting downward pressure on non­fi­nancial profit margins, so ear­nings growth is unlikely to outpace nominal growth in GDP and cor­porate revenues, as it has over the past decade.“  – Stelter: eher das Gegenteil. Die Gewinn­margen werden unter Druck kommen, auch auf­grund des poli­ti­schen Umfelds. Wenn man diese Fak­toren für Europa ansieht, wird es übrigens noch klarer. Die hie­sigen Börsen müssen auch fun­da­mental schlechter abschneiden.
• „Put these factors tog­ether, and even assuming slightly higher pro­duc­tivity and an acce­le­ration of inflation to at least 2%, nominal growth in GDP, cor­porate revenues, and cor­porate ear­nings over coming decade is likely to average only about 4% annually. Indeed, S&P 500 revenues have grown at only that rate for nearly two decades now.“ – Stelter: Die Börse macht darum ein großes Geräusch, was auch an der Flut bil­ligen Geldes liegt. Es ist die künst­liche “Alles-Blase“.
• „Now do some basic arith­metic. The most reliable valuation mea­sures we’ve iden­tified across history are pre­sently an average of 2.7 times their his­to­rical norms. Assuming 4% nominal growth in fun­da­mentals, and a future valuation mul­tiple that simply touches its his­to­rical norm fully 20 years from today, the resulting average annual capital gain for the S&P 500 would be: (1.04)*(1/2.7)^(1/20)-1 = ‑1.0%. Add in the S&P 500 dividend yield, curr­ently at just 2%, and we should not be sur­prised if the S&P 500 per­forms little better than T‑bills over the next couple of decades.“ – Stelter: Es ist so einfach, wenn man einen Schritt zurück­tritt und mal rechnet.
• Womit wir bei der ent­schei­denden Frage wären: „(…) whether the pro­spect of negative interest rates might support ele­vated market valua­tions forever, and defer the com­pletion of this market cycle inde­fi­nitely.“ – Stelter: Das zumindest muss der­jenige denken, der heute kauft.
• „Across history, empha­ti­cally including the most recent market cycle, the response of the stock market to monetary policy has always been con­di­tional on whether investors are inclined toward spe­cu­lation or toward risk-aversion, (…).“ – Stelter: heißt im Klartext, dass es von der Stimmung abhängt, ob Geld­po­litik wirkt und dass die Geld­po­litik diese Stimmung nur bedingt beein­flussen kann.
• „When investors are inclined toward risk-aversion, risk-free liquidity is a desi­rable asset, not an inferior one, so as we observed during pre­vious market col­lapses, even aggressive monetary easing does nothing to support the market. In con­trast, when investors are inclined toward spe­cu­lation, risk-free liquidity is an inferior ‘hot potato,’ and monetary easing amplifies that spe­cu­lation.“ – Stelter: was ein­leuchtet. Denn selbst wenn Geld nichts kostet, muss man einen Ertrag haben, der die Finan­zierung deckt. Im Zweifel muss das gekaufte Asset weniger stark fallen, als die Zinsen negativ sind, plus Risikozuschlag.
• „So could negative interest rates, or fresh QE, or some­thing else defer the negativeimpli­ca­tions of current valuation extremes inde­fi­nitely? I doubt it (…).“ – Stelter: Und das tue ich auch. Es wäre ja sonst so einfach, Wohl­stand zu schaffen. Einfach nur Geld drucken.
• „Negative interest rates aren’t some ‘equi­li­brium’ outcome of a weak economy. They’re a product of sheer coercion. That coercion is exerted charging interest on bank reserves that someone has to hold at every moment in time, either until they are retired by the central banks, or until the entire con­tents of the European and Japanese banking systems are dumped into mat­tresses and per­sonal safes.“ – Stelter: Das Halten von Zen­tral­bankgeld wird bestraft. Ziel ist offi­ziell, die Umlauf­ge­schwin­digkeit, also fak­tisch die Vergabe neuer Kredite, zu beschleunigen.

• „If investors have chosen to save for their future spending needs in reti­rement, driving interest rates lower doesn’t cause them to sud­denly throw up their hands and say, oh heck, let me blow it all on a new car. There might be some eco­nomic acti­vities on the margin that are so unpro­ductive that they couldn’t survive a hurdle rate of 2%,but become pos­sible at 0%, but most of those acti­vities are financial in nature, where interest expense is the primary cost of doing business.“ – Stelter: Das ist sehr gut erklärt. Nur Geschäfte, bei denen die Finan­zie­rungs­kosten fak­tisch die gesamten Kosten aus­machen, pro­fi­tieren von der Nega­tiv­zins­po­litik. Also die Spekulation.
• „(…) once a central bank creates base money, someone in the economy must hold that base money at every point in time, until it is retired. In aggregate, there’s no ‘getting out of it’ by buying stocks or any­thing else. The seller just gets the base money instead. So base money is a hot potato, and the use of it by central banks is the under­lying cause of spe­cu­lative havoc. (…) Of course, these monetary hot potatoes wreak even greater havoc when the spe­cu­lation bleeds over into incre­asingly risky assets, as it has in the recent half-cycle. (…) (this) is what I’d call the ‘carry-trade men­tality’ – the assumption that risky assets cannot decline in price, so any asset yielding more than the risk-free interest rate is worth owning.“ – Stelter: So ist es. Und viele argu­men­tieren genauso.
• „A key feature of risk-aversion is that it des­troys the carry-trade men­tality. At that point, investors con­sider not only the yield of a given investment, but also the risk of price losses. This is why the S&P 500 was able to lose 50% or more of its value in the 2000–2002 and 2007–2009 col­lapses despite per­sistent and aggressive easing by the Federal Reserve.“ – Stelter: Und es wird auch beim nächsten Mal so sein. Das Problem ist nur das Timing, da es letztlich von externen Fak­toren abhängt.
• „The thought expe­riment is this. What do you think investors would prefer in that envi­ronment of hypervalued prices and risk-averse psy­chology: the pre­dic­table loss of half of one percent on the risk-free investment, or the potential loss of fifty percent on the risky one? The answer is simple: lose the spe­cu­lative ‘carry-trade men­tality,’ and you simul­ta­neously lose the ability of extra­or­dinary monetary policy to support overvalued risky assets.“ – Stelter: Genauso sehe ich das auch. Und weil die „carry-trade-men­tality“ so stark aus­ge­prägt ist wie wohl noch nie, ist die Fallhöhe auch entsprechend!

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