Les gérants s’exposent davantage aux actions

Les Echos

Les gérants mondiaux n’avaient pas été aussi friands d’actions depuis six mois. C’est ce que révèle le sondage réalisé début octobre par Bank of America Merrill Lynch auprès de 269 investisseurs. Si l’appétit pour les actions américaines s’amenuise pour le quatrième mois d’affilée, les actions des pays émergents et de la zone euro bénéficient d’un regain d’intérêt des gérants.

Late-Stage, High-Risk

John P. Hussman, Ph.D.

http://www.hussman.net/wmc/wmc120910.htm

For investors who don’t rely much on historical research, evidence, or memory, the exuberance of the market here is undoubtedly enticing, while a strongly defensive position might seem unbearably at odds with prevailing conditions. For investors who do rely on historical research, evidence, and memory, prevailing conditions offer little choice but to maintain a strongly defensive position. Moreover, the evidence is so strong and familiar from a historical perspective that a defensive position should be fairly comfortable despite the near-term enthusiasm of investors.

The Trend is Your Fickle Friend

John P. Hussman, Ph.D.

http://www.hussman.net/wmc/wmc120827.htm

One of the questions we often receive is why we don’t simply lift our hedges when the market advances above some moving average or another, and replace them when the market breaks below those moving averages. Certainly, when one looks a chart, extended market advances always break above various moving averages, and extended market declines always break below various moving averages, so simple trend-following strategies seem utterly self-evident. Unfortunately, if you actually take that strategy to historical data, the results typically aren’t nearly as compelling. Moreover, once any amount of slippage or transaction costs are taken into account, the most widely-followed strategies generally underperform a passive buy-and-hold strategy over time, and often don’t even manage downside risk particularly well.

I should emphasize up-front that the focus here is the use of popular moving-average crossover methods, and is not a criticism of trend-following methods more broadly. The second half of this comment discusses considerations that I believe are useful in evaluating market trends and extracting signals from financial and economic data.

Pourquoi Apple a une influence déterminante sur Wall Street

Les Echos

La firme à la pomme, devenue la première capitalisation mondiale de tous les temps, contribue à faire la pluie et le beau temps sur les marchés américains. Elle a une influence sur l’ensemble des valeurs technologiques et un impact plus général sur le sentiment des investisseurs.

Apple serait-il devenu le dieu des marchés ? En tout cas, la firme à la pomme, qui vient d’être « sacrée » première capitalisation mondiale de tous les temps (1), à quelque 620 milliards de dollars, contribue à faire la pluie et le beau temps sur Wall Street. D’abord, par son poids : le groupe technologique représente autour de 5 % de l’indice S & P 500, plus de 10 % du Nasdaq Composite et presque 20 % du Nasdaq 100.

L’ « indice de la peur » au plus bas aux Etats-Unis : le calme avant la tempête ?

Les Echos

Le VIX, souvent appelé « indice de la peur », a récemment atteint un point bas depuis juin 2007. Plusieurs facteurs expliquent cet accès de faiblesse.

Le VIX, souvent appelé « indice de la peur », atteint des niveaux dérisoirement bas (autour de 14 %). Cet indice de volatilité sur l’indice américain S&P 500 a même inscrit récemment un plus bas depuis juin 2007, avant la crise donc.

Confidence and Enthusiasm

John P. Hussman, Ph.D.

http://www.hussman.net/wmc/wmc120820.htm

The present confidence and enthusiasm of investors about the ability of monetary policy to avoid all negative outcomes mirrors the confidence and enthusiasm that investors had in 2000 about the permanence of technology-driven productivity, and in 2007 about the durability of housing gains and leverage-driven prosperity. Market history is littered with unfounded faith in new economic eras, and hopes that “this time is different.” Those periods can be difficult, at least for a while, for investors who are less willing to abandon evidence and lessons of history, not to mention basic principles of economics and valuation. We endured similar discomfort in periods like 2000 and 2007, before hard reality set in.

Risk Builds as Junk Bonds Boom

New York Times

Money market funds pay next to nothing. Interest rates on United States Treasuries are dismal. The volatile stock market has been dead money for more than a decade. The market for junk bonds, risky corporate debt that pays high interest rates, is red hot. Such debt, also known as high-yield bonds, has returned 10.2 percent year-to-date, according to a JPMorgan high-yield index. Junk bond funds are on a pace to take in a record amount of money this year. Companies with less than stellar credit are issuing hundreds of billions of dollars of bonds.

No Such Thing as Risk?

John P. Hussman, Ph.D.

http://www.hussman.net/wmc/wmc120730.htm

The enthusiasm of investors about central-bank interventions has reached a pitch that is already well-reflected in market prices, and a level of confidence that with little doubt, investors will ultimately regret. In the face of this enthusiasm, one almost wonders why nations across the world and throughout recorded history have ever had to deal with economic recessions or fluctuations in the financial markets. The current, widely-embraced message is that there is no such thing as an economic problem, and no such thing as risk. Bernanke, Draghi and other central bankers have finally figured it out, and now, as a result, economic recessions and market downturns never have to happen again.

Stratégie de Court Terme (09/05/2012):

Frédéric Gilbert

Un changement majeur s’est opéré le mois dernier, et a entrainé la rupture de la tendance haussière de court terme dans laquelle le Cac s’était installé depuis l’intervention de la BCE mi-décembre: le retour du risque politique. Les évènements récents, notamment en Grèce, marquent en effet le retour de facteurs négatifs sur la psychologie du marché. S’y ajoute une rupture technique depuis le franchissement à la baisse des 3250 pts. Ce mouvement baissier devrait conduire l’indice parisient aux alentours de 3000 pts à court terme (entre 2970 et 3050 grosso modo). Ce support – psychologique et technique – est important. Après presque 600 pts de baisse depuis les plus hauts, le retour des acheteurs sera le point à surveiller, étant donné l’abondance de liquidité hors marché. L’absence de volume et la cassure des 2950 pts entraineraient très certainement le Cac à 2800 pts (retracement exact de la première vague de baisse 3600 – 3100 pts).

Is the Fed Promoting Recovery or Desperation?

John P. Hussman, Ph.D.

http://www.hussmanfunds.com/wmc/wmc120409.htm

On Friday, the Department of Labor reported that March non-farm payrolls increased by 120,000, falling well short of consensus expectations in excess of 200,000. For our part, we continue to expect a deterioration in observable economic variables, with weakness that emerges gradually and then accelerates toward mid-year. On the payroll front, our present expectation is that April job creation will deteriorate toward zero or negative levels.

Immediately after the payroll number was released, CNBC shot out a news story titled "Disappointing Jobs Report Revives Talk of Fed Easing." Of course it does, because this remains a market dependent on sugar. And with little doubt the Fed will eventually deliver it – perhaps following a market plunge of 25% or more – but with little doubt nonetheless, because like the indulgent parent of a spoiled toddler, the FOMC can’t stand to see Wall Street throw a tantrum without reaching for a lollipop.

Wall Street’s fear gauge tells different tale

Financial Times

Investors who bought US shares at the peak of the market in October 2007 were back in profit for the first time for an hour or so on Tuesday morning, assuming reinvested dividends and no tax. The rise of the total return version of the S&P 500 to a new high comes as the market is on a roll, with share prices the highest since May 2008.

Bears are, not unreasonably, scanning for the signs of excessive confidence that usually herald the top of the market. The Vix index of implied volatility, Wall Street’s “fear gauge”, seems an obvious warning: it is at its lowest since June 2007, before the credit crunch began. Taken at face value it suggests that investors are far too sanguine. But something odd is going on with the Vix. Usually, as shares rise investors become more confident and want less protection against falls. This time investors are cautious, hedging by buying the Vix. Money has been piling into exchange-traded funds that buy Vix futures at a record rate.

The Worst of Times to Buy Stocks ?

Barron’s

A leading fund manager sees conditions in today’s market that presaged past plunges. A "perfect storm" lies ahead, adds a technical guru.

When practitioners who take distinctly different approaches to analyzing financial markets come to similar conclusions, it behooves investors to pay attention, even if those conclusions clash with yours. John P. Hussman, who puts his Ph.D. in economics to work by heading the eponymously named Hussman Funds, thinks that the present ranks among what he calls "A Who’s Who of Awful Times to Invest," along with such unpropitious periods as 1973-74, 1987, 2000-02 and 2007-09.

Walter J. Zimmermann Jr., who heads technical analysis for United-ICAP, a technical advisory firm, puts it more succinctly: "A perfect financial storm is looming."

"Do I Feel Lucky?"

John P. Hussman, Ph.D.

http://www.hussmanfunds.com/wmc/wmc120312.htm

As of last week, the market continued to reflect a set of conditions that have characterized a wicked subset of historical instances, comprising a Who’s Who of Awful Times to Invest . Over the weekend, Randall Forsyth of Barron’s ran a nice piece that reviewed our case (the chart in Barrons has a problem with the date axis, but the original chart is in last week’s comment Warning: A New Who’s Who of Awful Times to Invest). It’s interesting to me that among the predictable objections to that piece by bullish readers (mostly related to our flat post-2009 performance, but overlooking the 2000-2009 record), none addressed the simple fact that the prior instances of this syndrome invariably turned out badly. It seems to me that before entirely disregarding evidence that is as rare as it is ominous, you have to ask yourself one question. Do I feel lucky?

Warning: A New Who’s Who of Awful Times to Invest

 

John P. Hussman, Ph.D.

http://www.hussmanfunds.com/wmc/wmc120305.htm

Last week, the estimated return/risk profile of the S&P 500 fell to the worst 2.5% of all observations in history on our measures. This is not a runaway bull market. Rather, it is a market that again stands near the highs of an extended but volatile trading range. I am convinced that the breakdown of the market from this range has been deferred only through repeated and extraordinary central bank actions.

Importantly, the market is again characterized by an extreme set of conditions that we’ve previously associated with a "Who’s Who of Awful Times to Invest." The rare instances we’ve seen this syndrome historically are reviewed in that previous weekly comment. They include the 1972-73 and 1987 market peaks, and several instances since 1998. The more recent instances of this syndrome are shown by the blue bands on the chart below.

Treasurys Break Ties With Stocks

Wall Street Journal

NEW YORK—Fears about Europe’s debt crisis and the U.S. economy appear to be easing, but the flight into safe-harbor Treasurys hasn’t reversed as sharply as might be expected given the rally in stocks. That is because of the U.S. Federal Reserve’s heavy hand in the market, analysts say, which is seen keeping a lid on Treasury yields even if conditions in Europe and the U.S. improve.

Prices of stocks and Treasurys usually go in opposite directions, because interest in riskier assets such as shares often comes at the expense of safe, but low-yielding, Treasurys. In recent weeks, however, the stabilizing landscapes in the euro zone and the U.S. have revealed diverging viewpoints from the stock and bond markets. "The Federal Reserve has been very, very vocal about the length of keeping rates lows," said Ray Remy, head of fixed-income trading at Daiwa Capital Markets America. "That in effect takes away your inverse relationship, and it can last for a while."