The negative fund-flows trend in Europe continued in May. As a consequence, May was the thirteenth month in a row long-term mutual funds posted net outflows after 16 consecutive months
Американская инвестиционная компания, один из крупнейших мировых инвесторов на рынке облигаций. Размер активов под управлением — $1,73 трлн. на 30 августа 2018 года. Официальный прогноз PIMCO можно посмотреть здесь Как всегда для вас бесплатно только от Байкала))) www.pimco.com/en-us/insights/economic-and-market-commentary/secular-outlook/2019/economic-outlook-2019/ В PDF скачать www.pimco.com/handlers/displaydocument.ashx?wd=Arnott%20on%20All%20Asset&fn=PIMCO_Secular_Outlook_Fels_Balls_Ivascyn_May2019.pdf&id=0%2fvIiH41g7FkU48p3mFqsUSnWp5wio7kn5ndBQ87Igwqx1h9xHdANYFPYpXz9ZvwwhT168mOAT5k3roSM21ZIy2WcDPpSJsZ01tpMWM1LsQgukffgYqYIE6X2M9ydorfDPJd6iXy0ogJEYEBzuqpdfOor0gXhiZXOnEgxAQAnkOcHds67BM0z0%2fwo9hn4eOgn6NqrWakvT5Llo1fgmkiUQhmkRVa%2fJEVB5Sa7UM30crJU4wt61U6DDH4gsmvCPHqx32OCtshKQ%2fL2PCGhsfM%2bi4rRJ6A6U38IfRYD7%2bHeTfVuOESi1c%2fBbfh7xJzT5Yz Отчет большой смотрите переводите. «Эра последних 5-10 лет завершается, когда финансовые рынки росли значительно быстрее реальной экономики. Теперь начинается „'эпоха срыва“ (age of disruption). Рынки привыкли работать в окружении, в котором центробанки раздували котировки, но теперь окружение изменилось. Кредитные рынки, вероятно, катятся к краху, которого мы никогда в истории ранее не видели — сейчас мы наблюдаем самые максимальные риски в истории, в терминах объемов кредитов, длительности, качества и нехватки ликвидности. Текущая ситуация напоминает нулевые, перед крахом 2008».
Blain's Morning Porridge submitted by Bill Blain I don’t know what Carney is smoking, or if he’s just decided to play an all-or-nothing hand with his unsubstantiated threat house prices will fall 30%. That is playing with fire. Quote of the morning goes to Andrew Sentance, the well-respected ex-member of the Bank of England’s Monetary Policy Committee. He slams into his former boss: “The reputation of economic forecasts has taken a bad blow today with both the UK government and the Bank appearing to use forecasts to support political objectives. Let’s debate Brexit — which I strongly oppose — rationally without recourse to bogus forecasts,” he said.” Enough said… Sentance should get the job. Meanwhile, in a galaxy far far away… Pimco just made a big bet on Italy. They’ve bought an entire $3 bln issue of Unicredito 5 year non-preferred senior bonds at a yield of 7.83%! That’s a spread 6 times wider on a swap adjusted basis to where its Euro denominated bonds traded back in January. It’s not the only big bet the investment firm has taken on Italy – it’s played big in BTPs and Italian NPLS (non-performing loans). Pimco’s bets on Italy might make sense. Italy shifts from sell to buy to sell in heartbeats at the moment, but the trend is positive for spreads to tighten. The populist coalition government has “stepped back” on threats to breach EU debt rules – saying just enough about reducing the budget deficit by a cosmetic amount to defuse an immediate crisis. Europe can relax that a concurrent Italy crisis alongside Brexit is avoided, but it won’t stop Italy: European elections in May will see the entire EU leadership replaced, and its likely a new parliament of rabid populists will be elected! Don’t be surprised if the Italians simply do what they want behind the sturm und drang of the electoral confusion and noise. To get their economy working they need to spend money the EU won’t let them! Don’t be surprised if it just happens and Brussels pretends not to notice. Don’t be surprised if the Germans get shirty! The second part of Pimco’s thinking may be the systemic importance of Unicredito in Italian banking and thus the EU. A major bank Italian bank failure, or bail in of senior debt, could trigger not only instability across the Union, but could also get difficult questions asked about French and German banks that could well swamp them. As the French and Germans are not (ever, never, ever) going to let their banks go to the wall, Pimco is gaming the Italians won’t let Unicredito go either. For the Italian banks, the outlook did look bleak. They are the major holders of Italian debt, and are only now cleaning up balance sheets and capitalisation levels trashed by aeons of unaddressed bad lending. As always, there are ways to “finesse” these problems. The EU is fast-tracking legislation to allow the banks to reduce capital allocated to Non-Performing loans (NPLs), while the regulators have invented new forms of cheap, non-combustible capital, that will make it look like banks are better capitalised. Unicredito had to issue this $3 bln quasi-capital bond to look like it was doing its bit in the great confidence trickery that is Italian banking. Although it’s called senior, non-preferred debt, it’s not really senior debt – its quasi senior debt masquerading as capital. Confused? You will be. Senior non-preferred debt is the new way to describe debt that can be bailed-in if it fails. As it can be bailed-in, its capital. It ranks where senior debt used to rank on the subordination ladder – below equity and sub debt – but now makes clear it ranks ahead of “operational liabilities”. I’d call it not-quite-subordinate-and-worse-than-senior debt, because that’s a more honest way to describe it. Meanwhile, Pimco is also betting on Italy. Since the European sovereign debt crisis erupted in the 2010s, analysts have repeatedly predicted the imminent demise of the country’s debt markets and that Italy will be swallowed up in a sea of defaulting debt. After all, Italy is making the schoolboy error of not issuing in its own currency – it issues in Euros, which is set according to the speed of the strongest economy. While Germany’s productivity and wages have been rising – Italy has become increasingly less competitive and less well paid. In short, Italy is issuing in Germany’s currency while it massively underperforms Germany, meaning it has to raise more and more debt just to stand still. Reform would require even more debt! The lesson Italy is currently having nailed into its collective political brain is quite simple. If you don’t control the printing presses – its not your currency. (Greece learnt same lesson, and then lesson 2: “you check out any time you like, but you can never leave”. The Italians can say what the like about raising debt to reflate their debt, but Brussels won’t let them and can threaten dire consequences. Therefore, the Italians have been very Italian about it and promised to keep their debt within proscribed levels.. which they won’t. And they will make sure their banks are kept going. All of which explains why Pimco is a willing participant in the Great Italian Bank Confidence Trick. The yield on the 5-yr debt is superb, they aren’t expecting any liquidity in the “bond”, they know Italy isn’t going to let Unicredito fail, and they expect Italy to i) continue to back the bank, and ii) if there is a problem with the EU, then standard EU operational procedure will be to fudge a solution where Italy isn’t closed down and can keep supporting Unicredito!
(Блумберг) -- Тони Крешенци из Pimco говорит, что оптимальный для рынка рост экономики и стимулирующая политика Федеральной резервной системы поддержат доходы от облигаций в следующем году после турбулентного 2018 года."Следующий год может быть совсем иным, - сказал Крешенци, член инвестиционного комитета Pimco, в интервью телевидению Блумберг.
U.S. fund Pacific Investment Management Co (Pimco) has bought all of a $3 billion, five-year bond offered with a hefty return by Italy's top bank UniCredit to comply with capital buffer rules, two...
In the clearest indication yet of just how severe the recent spike in Italian yields has been on the country's financial institutions, Italy's largest bank, UniCredit, surprised the market today when it sold $3 billion in dollar denominated five-year bonds. To find a willing buyer, the bank had to pay the equivalent of 420 basis points over the euro swap rate, which is six times more than the 70 bps over swaps it paid on five-year euro senior non-preferred bonds just this past January. The spread on the new issue was a shock as it represented a nearly 150bps concession to current market rates, and is an indication of just how much even the strongest Italian banks have to pay up if they hope to access capital markets during the ongoing Italian political turmoil. According to the bank, the sale will help support the Italian bank’s capital position and boost its subordination ratio by about 73 basis points. And when we say the market was surprised, it wasn't just by how much UniCredit had to pay, but how many buyers turned up for the sale: just one, namely the world's largest fixed income manager, Pimco, which was the sole buyer of the bonds. UniCredit’s decision to raise funding privately with just one investor suggests that analysts are skeptical about the wider market’s appetite for Italian bank bonds, said Jakub Lichwa, a credit strategist at Royal Bank of Canada in London: "The signal would have been far stronger if they had come to market with and built an order book at this level,” he said. Which is ironic considering that even with a 150bps concession to market, the bank was still unsure it would find willing buyers. Ironically, UniCredit said that the transaction “demonstrates UniCredit’s ability to access the market in all conditions,” which, of course, is precisely the opposite of what happened as the bank was forced to not only massively overpay, but also to approach just one buyer amid fears it would be rebuked by a broader syndicate. UniCredit's surging funding costs are indicative of the problem faced by most of its peers as the rift between Rome and Brussels over the country’s budget has driven up debt yields and widened the spread between Italian bonds and benchmark German equivalents. Banks are also set to lose low-cost funding as long-term loans from the European Central Bank come due, while overnight ECB sources indicated that no new TLTRO will be forthcoming, perhaps as a bargaining chip to make sure Rome concedes to Brussels in the ongoing deficit debate which threatens to blow out yields far higher. Commenting on the surprise "drive by" bond sale, ABN Amro NV strategist Tom Kinmonth wrotes that the possibility that Italy’s sovereign debt may be downgraded further may justify doing the bond sale now. While the price, far above the market rate, will impact the UniCredit’s profitability “it has placed the bank in a better position on capital for a prolonged period of time." As for why Pimco was UniCredit's sole buyer, Bloomberg notes that the Newport Beach-based firm was one of two buyers that took control of an unprecedented $20 billion package of non-performing loans sold by the bank earlier this year. Also, at the end of 2016, Pimco was among a handful of investors that were offered the bank’s riskiest bonds, people with knowledge of the matter said at the time. And while UniCredit was successful in its directly negotiated, and massively overpriced, sale to Pimco, others have not been so lucky, with Italian banks issuing only €60.5 billion ($68 billion) of bonds so far this year, the least since 2013. Which is why should the Italian political standoff with the EU not reach a favorable resolution soon, Italian banks - and their rising funding needs - will be first in line, especially once "lo spread" crosses 400bps, which the Italian government had made clear previously, is the "red line" before all hell breaks loose.
Goldman sees only 5% rise in the S&P 500 to 3,000 by 2019-end and suggests some investing tricks. Follow the bank with these ETF strategies.
U.S. fund Pacific Investment Management Co (Pimco) has bought all of a $3 billion, five-year bond Italy's top bank UniCredit has issued to comply with rules on loss-absorbing securities, a source...
We have highlighted winners & losers from the last week market rout.
Впервые детали зарубежных инвестиций одного из кандидатов в президенты России стали достоянием общественности. Чему хорошему можно научиться на этом примере, а что ни в коем случае не следует повторять?
One month ago, we wrote an article laying out i) what we thought was the most important correlation in the market, namely that between the 10Y yield and the S&P500, and also ii) explaining why in the aftermath of the February 5 vol explosion, it had flipped. Specifically, we said that "the 90-day correlation between stock (SPY) and bond (TLT) markets has surged ominously in the last few weeks." Today, none other than fixed income derivatives trading legend, Harley Bassman, picks up on this especially relevant topic, to explain why it really is all about the correlation. For those who may be unfamiliar, after building out Merrill's mortgage trading floor basically from scratch, then moving to the buyside at Pimco, last summer Harley Bassman, more familiar to many traders as the "Convexity Maven" - a legend in the realm of derivatives - he designed the MOVE Index, better known as the VIX for government bonds - decided to retire (roughly one year after his shocking suggestion that the Fed should devalue the dollar by buying gold). But that did not mean he would stop writing, and just a few months after explaining why "a decline of as little as 4% in one day could start a critical crash", a prediction which was confirmed by last month's volocaust, today Bassman provides the answer to a question which virtually every trader is asking: when should one worry, and when will the real bear market start? While the full - and detailed answer is provided in the full report below - his summarized answer, "for the record", is that "the real bear market will start once the long-term correlation between stocks and bonds flips for good." As he explains, the reasons for this correlation quake are manifold, but would likely involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. He also points out that there is a risk of a "friendly fire" scenario "of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective." And while we would go a little further, and say that one should keep a close eye on the USD and funding markets, the current state of the tech bubble, vol gamma, the Libor-OIS, the 10Y yield, and of course, overall market liquidity, which as Goldman yesterday finally admitted is "the new leverage", we fully agree that perhaps the most important "reversal" indicator would be the bond-stock correlation, and specifically the moment when it no longer reverts. Bassman's full thoughts below (pdf link): “How will I know…..” Last summer, in “Rambling near the Edge” (July 10, 2017), I highlighted that a combination of Risk Parity and Volatility Targeting strategies had contributed to a negatively convex market profile; and that such portfolios governed by a rules-based risk management process (similar to a Value at Risk – VAR paradigm) could become quite unstable in a slightly more volatile environment. An extension of this observation led me to suggest that one could synthetically model this risk profile as long an Index portfolio plus short a +/- 4% out-of-the-money strangle (on the Index). Thus, the quotable notion that as little as a 4% decline of the SPX in a single day could be enough to create the critical mass needed to shake portfolio managers out of their FED-induced somnambulance. I suppose better lucky than smart………. I doubt you need reminding, but on February 2nd the SPX closed down 2.1%, which elevated the VIX from 13.5 to 17.3; a level last visited in August 2017 and still well below its ‘forever average’ of 19.3. The next day, February 5th, as shown below, the SPX experienced a late day tumble that clipped down 4.5% from the prior close before the bell rang to record a 4.1% daily decline. The VIX crossed 20 soon after lunch, and closed the day at 37.3, up 116%. Portfolio managers governed by tight stops or reliant upon short-term signals had to close out positions as the VIX breached 50 (overnight) for only the second time since the Lehman collapse. The jump in the VIX, and the schadenfreude-laced news that the best investment strategy of 2017 (XIV) collapsed by 95% overnight, has been well documented by the press and other pundits. What has not been detailed are the contributing factors and what may presage a much greater drawdown. Expanding upon a notion detailed on page 6 of “It’s Never Different This Time” (January 29, 2018), the level of Implied Volatility is important for quantitative portfolio management as more than just a scalar measure of risk, i.e., VIX as the infamous “Fear Gauge”. Implied Volatility also generates the Greeks (delta, gamma, theta and vega) that define trading parameters and trigger stop-outs. Hence, unanticipated market movements can force indiscriminant hedging activity as risk managers suddenly outrank their CIOs. Whipping out a pen from my plastic pocket protector, an (annual) Implied Volatility of 19.3% (the VIX average) can statistically be reduced to a single-day standard deviation (often called the daily breakeven) of 1.21%. [19.3 / 15.9 = 1.21; where 15.9 = square root of 252 trading days] The line below is the VIX for the prior year, which averaged about 11.25. Playing a bit fast and loose with Stat 101, this would impute a daily volatility of 0.71%. That makes the 4.1% close-to-close change on February 5th a 5.78-Sigma event (4.1 / 0.71), which should occur about once every 2 million years. A fairer proposition would be to use the VIX close on February 2nd of 17.3. By that measure, the February 5th drawdown was a mere 4-Sigma event, which should only occur once every 31,560 days, or 126 years. My purpose here is to highlight how totally unprepared much of the investment community was for what in hindsight was a rather pedestrian correction. After an extended period of low (but not unprecedented) volatility, many risk models dialed-down such that an annual July 4th fireworks display suddenly was treated like a once-in-a-lifetime visit from Halley’s comet. In the more common environment of the VIX at 21, a 4% move would be expected to occur about once every three years, which sounds about right. The point of this rather long preamble is to explain how quantitative investment management can be problematic. Specifically, strategies that rely upon short-term signals and have narrow loss limits can be forced to transact at unfavorable times; thus were many managers shaken out of otherwise fine investments. I believe the main reason February’s convulsion was relatively contained, with almost a full recovery of the SPX and a return of the VIX to a more normal 17ish, is that ‘short-signal’ managers control only a relatively small portion of investment capital. The ‘big money’ tends to make decisions using longer observation periods to reduce both the statistical noise as well at the transaction costs associated with increased activity. Hence, there is no need for position adjustments until there is a more sustained decline. Let’s segue to the topic at hand. Among the most successful macro portfolio managers have been those engaged in the Risk Parity strategy. Using a broad brush, a Risk Parity portfolio owns both stocks and bonds in statistical proportion to their volatility and correlation. The trick is that, instead of a standard unlevered 60/40 construct (60% equity + 40% bonds), leverage is employed to take advantage of the relationship between these two assets. For example, an ordinary passive investment portfolio of $100 might buy $60 of the SPX and $40 of US 30-year bonds. Alternatively, a Risk Parity portfolio of $100 might own $70 of SPX and $130 of bonds. On its face, this may seem imprudent since $200 of assets have been purchased with only $100 of capital; but in fact, this sort of portfolio has proved less volatile over the recent past. This is because stocks and bonds have exhibited a significant negative performance correlation over the past decade. (Well, actually they are positively correlated when measuring changes in the SPX’s price and the Bond’s yield.) Above is the three-month moving average of the three-month correlation between the SPX price change and the Sw30yr yield change. What is most salient to note is how this correlation was close to zero in the decade prior to the Great Financial Crisis (GFC) but has since clocked in near 40%. There are two common explanations for this shift to a stronger correlation. The first postulates that this is the result of the heavy hand of Financial Repression. The obvious support for this notion is the lurch to correlation soon after the start of Quantitative Easing (QE) by the Fed. The alternative explanation is that the stock-to-bond correlation has been observed to be well associated with the level of Inflation. During times of low inflation, a rate decline can signal economic weakness, which is negative for stocks (bonds prices up / stock price down - positive correlation). However, at times of higher inflation, rising rates would presage a Fed tightening of monetary policy, which could pressure equities lower (bond prices down / stock prices down - negative correlation). While it is possible that the presently elevated positive correlation could be related to a low and steady CPI, it is unquestionable that QE is a direct result of low inflation. Its purpose was to raise Inflation to the Fed’s target level. Notwithstanding the above, I see no reason to untangle the chicken from the egg; QE will revert to QT (Quantitative Tightening) as inflation begins to rise. Thus, we arrive at a truly strange anomaly, the result of a well-intentioned public policy that seems to have inadvertently contributed to our disruptive politics. As noted, since the GFC in 2008-09 there has been a high correlation between the daily changes in stock prices and bond yields – when stock prices go up, bond prices go down, and vice versa. As such, one should suspect that if stock prices are near a record high, bond prices might be approaching some sort of nadir. Instead, both asset classes are near the upper edge of a decade’s performance. This is possible because of the different time periods used to measure correlation. On a daily basis these assets have been self-hedging as they have wiggled in opposite directions as buffeted by the news of the day. But over the longer-term horizon, they have both been elevated via Central Bank monetary expansion; a key contributor to rising income inequality. Risk Parity’s tremendous success is revealed via the SPX price in the chart above and the price of a constant 30-year treasury bond. Risk Parity portfolios have been ‘levered long’ assets that have both increased in value. (We used to call this a Texas-hedge.) Here is the bottom line: If this correlation turns negative so that both stock and bond prices decline, Risk Parity portfolios will be modified to reflect these new correlations and volatilities. In simple terms, they will sell. Risk Parity portfolios will not remain levered long if both assets are declining. So you want to know when to worry ? For the record: The real bear market will start once this correlation flips. Reasons this could occur are manifold, but it likely would involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. Of course, there is also the ‘friendly fire’ scenario of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective. Your comments are always welcome at: [email protected] Harley S. Bassman March 19, 2018
Below we share with you three top-ranked PIMCO mutual funds. Each has earned a Zacks Mutual Fund Rank #1 (Strong Buy)
Below we share with you three top-ranked diversified bond mutual funds. Each has earned a Zacks Mutual Fund Rank #1 (Strong Buy)
In a series of recent articles I reviewed how style analysis can be used to replicate investment strategies and indexes using only historical returns (see here, here, and here). That’s a powerful application, but it only scratches the surface for productive uses of style analysis. What else can you do? Monitoring asset weights via a […]
Uncertainty over Trump's new tariffs makes investment in mutual funds with high Sharpe ratio a strong investment choice
Главные новости- Трамп анонсировал 25%-ный тариф на импорт стали, 10%-ный тариф на импорт алюминия со следующей недели. Председатель Еврокомиссии Юнкер ответил, что ЕС ответит “твердо и соизмеримо”. Комиссар ЕС Мальмстрём предупредила, что подобные действия Трампа могут привести к “опасному домино-эффекту”. Фондовые рынки отреагировали негативно, индекс Dow Jones упал на 1.68% в четверг (третий день подряд). Нефть снижалась до 63.50 долл. за баррель Brent. Но на forex доллар упал, евро-доллар поднимался к 1.2280. - Опрос Bloomberg показал, что большинство экономистов ожидает задержки в смене языка целеполагания ЕЦБ по ставке, в соответствии со вчерашним сообщением агентства со ссылкой на источники в ЕЦБ. Министр финансов Франции Ле Мэр заявил, что по поводу кандидатуры на замену Драги не идет торг в формате север Европы против юга Европы. - Глава ФРС Пауэлл, выступая на слушаниях в Сенате, в части ответов на вопросы, заявил, что ожидает роста зарплат, но не сделал новых “ястребиных” (в пользу более жесткой политики ЦБ) заявлений. Представитель ФРС Дадли заявил, что ФРС должна будет рассмотреть воздействие повышения пошлин на перспективы инфляции. Бюджетная политика “становится весьма стимулирующей”. - Ричард Кларида из Pimco стал главной кандидатурой на должность вице-президента ФРС, сообщает Bloomberg. - Движение “Пять звезд” не рассматривает выход Италии из еврозоны, заявил кандидат в министры финансов от партии Ровентини. - Лидер испанских сепаратистов Пучдемон заявил, что “временно” снимает свою кандидатуру на должность президента Каталонии. - Агентство Reuters сообщает, что сегодня премьер Великобритании Мэй представит свое видение по сделке по Брекзиту, которое будет глубже и шире, чем любое соглашение по свободной торговле где-либо в мире. - Продажи автомобилей в США в феврале упали вопреки ожиданиям роста, с 17.07 млн. автомобилей в год до 16.96 млн. автомобилей в год (прогнозировался рост до 17.2 млн.) - Глава ЦБ Японии Курода заявил, что выход из количественного смягчения, в случае необходимости, состоится в 2019 финансовом году. Заявление вызвало падение пары доллар-иена к 105.70, близко к 2.5-летнему минимуму от 16 февраля. - Уровень безработицы Японии упал в январе до исторического минимума в 2.4%. Инфляция по индексу потребительских цен в Токио в феврале выросла с 1.3% г/г до 1.4% (прогноз 1.4% г/г), стерневая инфляция выросла с 0.4% г/г до 0.5% (прогноз 0.5% г/г).Источник: FxTeam
NEW YORK (Reuters) - Richard Clarida, an economist at fund manager Pimco, has emerged as a front-runner to become the Federal Reserve's next vice chair, according to two people familiar with the effort to fill the depleted upper ranks of the U.S. central bank.
06.03.2016 г. на ресурсе China Matters появилась публикация, очень точно нацеленная на нанесение репутационного ущерба Х.Клинтон в контексте предвыборной кампании в США Название статьи: «Ливия: хуже, чем Ирак. Прости, Хиллари». Ливийское фиаско может оказаться камнем преткновения в президентских притязаниях Хиллари Клинтон.
Новым президентом Федерального резервного банка Миннеаполиса стал бывший топ-менеджер инвестбанка Goldman Sachs и фонда облигаций PIMCO Нил Кашкари.
Вкладчики забирают свои деньги из американского фонда PIMCO . он потерял больше 20 миллиардов долларов. Так инвесторы реагируют на уход из компании одного из основателей Билла Гросса. А вот акции фонда Janus Capital, в который легендарный инвестор устроился на работу, стали пользоваться повышенным спросом. Как на этом заработать?