22 septiembre 2017

Expectativas de rendimientos por activos

Este informe de la gestora Robeco es de lo mejor que he leído últimamente. Pensaba destripártelo, pero es tan bueno que creo que te puede interesar leerlo entero. Comenta la rentabilidad esperada para los próximos 5 años por diferentes activos. Mal para los bonos alemanes. Bien para la renta variable emergente, del 6,5% de rentabilidad esperada…, aunque menos que la histórica del 7,5%.
Como resumen, te sugiero la página 53 y 54. Además cuenta con unos tópicos adicionales muy interesantes:
In addition to our regular predictions for all the main asset classes, from equities to government bonds and credits, this year we feature five special topics:
+Secular stagnation is a stagnating theory
+The future of the euro: to integrate or disintegrate?
+Bonds are from Venus, equities are also from Venus
+Getting back to normal: investors are not complacent
+The pitfalls of passive in a global multi-asset benchmark
Donde se adivina los problemas que llevamos tanto tiempo sufriendo de “secular stagnation”, del euro y su futuro, y de la complacencia de los mercados que podría romperse cuando se acabe la expansión monetaria de los bancos centrales.
Un abrazo,
PD1: Interesante y largo estudio sobre las tendencias globales hasta 2035, realizado por el Parlamento Europeo: http://www.europarl.europa.eu/RegData/etudes/STUD/2017/603263/EPRS_STU(2017)603263_EN.pdf
PD2: Nos equivocamos criticando a este o a aquél. ¡Qué bien se vive cuando no se critica a nadie, cuando no se juzga a nadie!. Puesto que queremos ser como niños pequeños, que es la mejor forma de imitar a Dios, los niños pequeños no saben distinguir lo que es mejor, todo lo encuentran bien, ni juzgan ni critican...

21 septiembre 2017

otra vez Goldman Sachs

Llevamos unos cuantos meses donde se oye de todo y se augura nuevas caídas de los mercados, que no se acaban de producir… Además todo lo que en teoría debe sentar mal al mercado, lo hace al revés, es bullish!!!
Todo lo que hace la FED...
0% rates = bullish
QE 1, 2, 3 = bullish
Taper = bullish
No QE = bullish
Rate Hikes = bullish
Balance Sheet reduction = bullish?
¿Hasta cuándo? Ni idea, llevamos años diciendo que esto anda demasiado fuerte y que debe corregir, pero el mercado sigue haciendo máximos tras máximos…
Over the years, the clients of Goldman Sachs have periodically found themselves on the verge of panic.
In March of 2015, we said that Goldman's clients were most worried about the then-relentless crash in the EUR and how the resulting strong USD would hit US earnings (which, in retrospect, is ironic now that the tables have fully turned). Then In November 2015 we reported that "Goldman's Clients Are Suddenly Very Worried About Collapsing Market Breadth" (and with good reason, the market was about to crash precisely for that reason). Several months later, Goldman's clients were again confused - and worried - this time demanding that all their questions be answered before BTFD.
Then, in July 2016, Goldman's clients again had a burning question: they were struggling to reconcile how extreme valuations of both equities and bonds can co-exist. As David Kostin explained one year ago, "client discussions reveal low portfolio risk coupled with concern that the rally lasts. Most investors have  been skeptical of the valuation expansion and have not participated in the 8% rebound from the post-Brexit low on June 27. Upside call buying has been a popular strategy to insure against upside risk." Additionally, Goldman clients were very worried that this remains a market without any earnings growth, and that much of the S&P upside has been due multiple expansion: "the S&P 500 forward P/E has already expanded by 70% during the past five years, exceeding all other expansion cycles except 1984-1987 (up 111%) and 1994-1999 (up 115%). Both prior extreme P/E multiple expansion cycles ended poorly for equity investors."
While it is unclear if said clients got over their concerns and got on with the BTFD program, what we do know is that since last July, already extreme valuations have only gotten more extreme, and as a result, Goldman clients are once again very worried, this time about an "imminent equity downturn" (banker euphemism for crash).
As Goldman's chief equity strategist, David Kostin writes in his latest Weekly Kickstart, "the question every client asks: “Is an equity correction imminent?”
He then concedes that "Of course, at some point the S&P 500 will retreat"... but then gives two (painfully laughable) explanations why not just yet. First, however, he lays out the 7 reasons why Goldman's clients are so fearful:
1. History. Many investors argue the bull market is “long in the tooth” and will soon come to an end. It has been 14 months since the S&P 500 index experienced a 5% sell-off and 19 months since the market had a correction of 10%. The last bear market defined as a fall in the index greater than 20% ended in 2009. The current bull market has lasted for 8.5 years and the S&P 500 has climbed by 260% compared with a 124% rise in earnings and a 64% P/E multiple expansion to 18x forward EPS.
2. Volatility (or lack thereof). Realized 3-month vol is nearly the lowest in 50 years. Implied vol as measured by the VIX stands at 12, a 6th percentile event since 1990. In his recent book, Tectonic Shifts in Financial Markets, the legendary Salomon Brothers economist Henry Kaufman (with the superb sobriquet “Dr. Doom”) references the lesson of Sherlock Holmes in “The curious incident of the dog in the night-time” that what doesn’t happen matters as much as what does. Low volatility across asset classes may be masking risks that are not evident today but will be obvious in retrospect.
3. Valuation. Equity valuations are stretched on almost every metric. The typical stock trades at the 98th percentile and the overall index at the 87th percentile relative to the past 40 years. Only on a Free Cash Flow (FCF) yield basis is the market valued at an average level (4.4%). But as we detailed in a recent report, the collapse in capex spending explains the FCF yield. On a cash flow from operations basis the market trades at the 87th percentile. Other asset classes are also highly valued vs. history: nominal Treasury yields (92nd), real yields (75th), and HY (75th) and IG (69th) spreads.
4. Economics. The current US economic expansion just celebrated its 8th birthday making it one of the longest stretches without a recession. Only the 10-year expansion during 1991-2000 and the 9-year expansion from 1961 to 1969 had longer durations. The median length of the 16 expansions since 1921 has been 42 months. Along with the question about an equity correction, another frequent inquiry is “when will the next recession occur?” Our economists assign an 18% probability of a recession within 12 months.
5. Fed policy. The FOMC has lifted the funds rate by 100 bp since it started tightening in December 2015. During prior hiking cycles, equity P/E multiples typically fell but multiples have actually expanded during the past two years. Futures imply one hike by year-end 2018 vs. our economists’ estimate of five. The uncertain pace of further tightening is a cause of much investor anxiety.
6. Interest rates. Two months ago, Treasury yields equaled 2.4%, ten-year implied inflation was 1.7%, and the S&P 500 stood at 2410. Our year-end forecasts of a 2.75% bond yield and a 2400 level in the S&P 500 looked rational. However, weaker-than-expected inflation data sparked a 35 bp drop in bond yields to 2.05% and a 2% stock market rally to 2465 (+10% YTD). Looking ahead, we maintain our year-end 2017 target (-3%).
7. Politics. President Trump’s fluid positions on domestic policy disputes in Washington, D.C. and geopolitical gamesmanship with Pyongyang and Beijing make political forecasting a precarious activity. One fund manager cited the “Law of Conservation of Volatility” under which there is a finite amount of uncertainty in the world. All the risk is now concentrated inside the Beltway and volatility outside of politics is close to zero. Of course, this could change at a moment’s notice.
As Kostin further adds, "investors cite the points above to justify their forecast of a looming correction. According to their narrative, high valuation leaves little room for error. A Fed tightening despite low inflation will spark concerns about the sustainability of economic expansion and lead to a jump in vol that may be compounded by a political event that in turn will spark a wave of selling. As factors reverse performance, quant funds will liquidate positions putting additional downward pressure on share prices and driving indices lower."
So what is Goldman's response to these 7 very valid concerns? In a nutshell, "don't worry and just BTD" or as Kostin puts it, "because investor euphoria is non-existent, an imminent start of a long decline seems
Skepticism abounds with normal 3% mutual fund cash positions. However, a sturdy consumer accounts for 69% of US GDP and buybacks remain persistent. Firms with high growth investment ratios have durable prospects even in the event of a market hurricane.
Sturdy consumer? Strong Buybacks? Has Kostin seen either of these two charts proving that neither of these statement is true, first the worst retail sales in nearly 4 years...
... or at least SocGen's chart showing the biggest drop in buybacks since the financial crisis?
Maybe Goldman clients should add an 8th concern: a grossly incompetent advisor. 
In any event, for those who enjoy having their hand held and buying stocks which trade at the 98th percentile in valuations, hoping for even higher prices, this is who Kostin "rationalizes" his grossly wrong assessment:
Although the preceding sequence of events could happen, we view it as a low probability event in the near-term for two key reasons:
First, investors are not complacent. In Sir John Templeton’s timeless observation, “Bull markets are born on pessimism, grow on skepticism, mature on optimism, and die on euphoria.” Investors today are situated between skepticism and optimism. Few are euphoric as 27% of core managers are beating their benchmark. “Tormented bulls” best describes investor mentality. Alpha-seekers have normal cash positions (3.2% of mutual fund assets), active manager redemptions are offset by beta inflows (ETFs), and corporates continue to repurchase shares.
Second, US economic growth persists led by consumers that account for 69% of GDP. Monthly job growth has averaged 175K YTD, wages are rising (our leading indicator is a 2.7% rate), confidence is at the highest level since 2001, and household balance sheets are the strongest since 1980. For corporates, S&P 500 sales and EPS will rise by 5% and 7% in 2018. “Firms of tomorrow” with Growth Investment Ratios averaging 91% of CFO in past 3 years (vs. S&P 500 median of 17%) will grow 2018 sales and EPS by 7% and 12% and will outperform should a market hurricane occur (GSTHHGIR).
In short: yes, the market should crash, but because investors are not complacent (just don't look at the VIX), and because the economy is so strong (just don't look at the 10Y), everything will be fine.  Surely this optimistic bias would lead Goldman to at least expect some upside from here in the S&P? Well, no:
"We expect the S&P 500 will end 2017 at 2400 (-2.6)%."
And scene.
PD1: Te copio lo que dijo Goldman Sachs hace una semana:
The B word is something which is almost whispered in financial circles. To acknowledge there might be a bubble somewhere is like admitting the proverbial elephant is in the room.
But, like many taboo words, it seems the mainstream are coming around to the idea that it is ok to mention the word ‘bubble’ and express their concerns about the possibility of at least one existing.
This week Goldman Sachs’ Lloyd Blankfein, Deutsche Banks’ CEO John Cryan and strategists at Bank of America Merrill Lynch have separately expressed concerns that there are signs of bubbles in the markets - from the obvious bitcoin bubble to the less obvious bubble in London and other property markets and bubbles in many stock and bond markets.
The most obvious one is bitcoin. Bitcoin is up 380% this year whilst the combined market cap of cryptocurrencies is up by 800%. However these are by no means anomalies according to analysts at BAML.
Cryan and Blankfein agree, thanks to central bank money printing and low interest rates, they too are expressing their concerns over the state of markets.
"When yields on corporate bonds are lower than dividends on stocks? That unnerves me ... "
Lloyd Blankfein
There's no bubble here
Professor Robert Shiller has been calling a bubble in bitcoin for a couple of years, for him it is the latest sign of 'Irrational Exuberance'. 
“The best example right now [of irrational exuberance] is Bitcoin. And I think that has to do with the motivating quality of the Bitcoin story. And I’ve seen it in my students at Yale. You start talking about Bitcoin and they’re excited! And I think, what’s so exciting? You have to think like humanities people. What is this Bitcoin story?”
The bitcoin community was not best pleased when the man who is credited with being able to spot speculative manias decided to single out the cryptocurrency as the latest one.
In response CoinTelegraph wrote an article entitled 'Bitcoin So High Above the Bubbles They Can't Be Seen'. The author claims that bitcoin is failing to follow the pattern of other bubbles.
In fact, a closer inspection of the growth, and the eventual burst of the associated bubbles shows that Bitcoin is so far off the charts that it looks like an absolute outlier.
The bitcoin crowd are doing exactly what so many tend to do when a market is massively outperforming - they build a narrative from it and begin to fuel the belief that the price can only go up.
A BBC Capital article on the bitcoin phenomenon quotes a small bitcoin investor as saying '“I don’t know how far it’s going to grow,” he explains, “but if something is growing at hundreds of per cent, that’s a pretty valuable return.” Note 'I don't know how far it's going to grow...' The investor is convinced this can only go one way.
For now we can perhaps assure ourselves that unlike in some other markets few investors will have gone all in or driven themselves into debt (as per the housing market).
A happy, bubbly narrative
Bubbles are created when investor enthusiasm and optimism are at excessive levels.
In a 2010 interview with the Financial Crisis Inquiry Commission (FCIC) Warren Buffett explained that this happens because investors originally invest based on a sound premise, which is then the only focus for the investment strategy and they end up blinkered.
Simply put investors begin to invest based on a sound premise, for example house prices are going to go up because money is losing its value and there is a more demand than supply.
Investors are convinced that as house prices are climbing they must buy now. This goes on and on based on the original premise. Investors ignore other developments such as house price climbs are now outstripping inflation. We are seeing a similar thing in bitcoin.
The housing example is no more pertinent right now than in Australia which is basically a $1.7 trillion house of cards. According to LF Economics, Australian housing speculators are able to use unrealized gains in properties as a 'cash substitute' for down payments on other investment properties. 'Profitability is therefore predicated on ever-rising house prices...“[Many] international wholesale lenders ... may find out the hard way that they have invested into nothing more than a $1.7 trillion ‘piss in a fancy bottle scam’,”
Homebuyers forget the original premise and and become blinkered by the price action - which is that house prices are going up and up. Because it has been relatively easy and cheap to borrow money to finance purchases on these properties homebuyers suddenly see themselves as investors and decide to buy more than one house, because ‘it’s only going to go up’.
This is where we are with so many asset classes right now, including bitcoin, property, vintage cars and equities.
Debt and bubble junkies
But what gets the narrative going in the first place? In the last ten years it has been the generosity of central banks in their infinite money printing and low interest rate policies.
“Post the financial crisis, the largesse of central banks appears to be inducing quicker and steeper price gains in assets compared to the case historically,” analysts at BAML wrote “Speculative behavior in assets is cropping up more frequently and in more places than just credit markets.”
Earlier in the summer Citi's Hans Lorenzen said the effect of the central banks' 'largesse' was that "the wealth effect is stretching farther and farther afield."
BAML's analysts are also seeing this spread of the bubble effect across a number of markets, not just in credit markets where there is an unprecedented buying spree. 'Asset bubbles seem to be becoming more “bubbly” as time goes by...'
Unlike our bitcoin friends, BAML sees a key issue with the current trajectory of the crypto's price:
For instance, the increase in Japanese equities was pronounced between mid-1982 and the end of 1989, with share prices rising around 440% over the period. But Bitcoin, for instance, has risen roughly 2000% since just mid-2015. And other, recent, in-vogue indices seem to be surging higher as well.
Not to mention the Nasdaq index has soared over 18 % this year while the S&P 500 and Dow Jones indexes are each around 10% higher - building on the already large gains seen in recent years. Throughout the year U.S. bond yields at the 10-year and 30-year maturities have also fallen.
As Deutsche Bank's John Cryan pointed out much of this inflation in the market place is thanks to the prolonger period of low-interest rates and cheap monetary policy. He called for the ECB to put an end to their current monetary policy and it is now causing “ever greater upheaval.”
“We are now seeing signs of bubbles in more and more parts of the capital market where we wouldn’t have expected them...I welcome the recent announcement by the Federal Reserve and now also from the ECB that they intend to gradually bring their loose monetary policy to an end.”
Is no one else worried about this?
Cryan pointed out that today volatility is markedly cheap given what is going on in both financial markets and the wider geopolitical space.
"The interesting thing about the markets today is that obviously they pay some regard to these hotspots but they don't seem to be paying too much regard because we see very high asset prices in almost all asset categories..."
In Professor Steve Keen’s book Can We Avoid Another Financial Crisis?, he argues that many countries have become debt junkies.
“They face the junkie’s dilemma, a choice between going ‘cold turkey’ now, or continuing to shoot up on credit and experience a bigger bust later.”
Is it all about to go ‘pop’?
BAML strategist Barnaby Martin thinks not. Currently the market has a benign view on rates and this will most likely only be altered by an ‘inflationary shock’ which will see the major flows into the credit cycle fall back. Or the ECB swiftly stops with its current QE programme.
The latter may come sooner than we think, today the ECB is expected to give some indication on its plans regarding bond purchases, but in reality it probably won’t make much difference.
As Martin writes, this party isn’t coming to an end just yet:
"the end of the credit party will likely require a big inflationary “shock” in Europe, and one strong enough to reset market expectations over the pace of rate hikes. Safe to say that this seems a long way off to us."
As a result, helped by falling political uncertainty (note European policy uncertainty is now lower than US policy uncertainty – the first time since mid-2012) and the renewed rise in negative yielding assets (note record number of European countries now with negative yielding debt), we see credit spreads heading tighter into year-end.
China swoops in from the left-field
How might all this end? Who knows. The last time interest-rates were this low for as long was during the 1930s and that ended with the Second World War.
It might be through trying to avoid World War III that the financial collapse is finally triggered. Currently Trump is relying heavily on China to cool things down with Kim Jong-Un of maniacal despot fame.
In Keen’s latest book China is one of the countries he believes is a debt junkie. The country’s credit-driven expansion has accounted for more than half of global growth since 2008. Why? Because it dealt with the collapse of the Western credit bubble in 2008 by fuelling a bubble of its own.
Today Chinese banks have $35tn of assets on their balance sheets – a fourfold increase since 2008. In the last decade private debt as a proportion of the country’s annual economic output (GDP) has increased from 120% to 210%.
Its financial system could almost be a mirror to those seen in the US and UK in the run up to the financial crisis. It has a large shadow banking system and special investment vehicles that take assets off balance sheets.
How does this relate to Trump, North Korea and the next financial crisis? Trump needs China on side when dealing with Kim Jong-Un. However, last week Beijing said that in the event of war between the two nuclear powers it would sit on the sidelines.
Trump now has to decide how to handle China as the country clearly has its limits in how much it will help. The most obvious option would be to impose economic sanctions for example, slapping tariffs on steel imports. It could also put China in a negative light in terms of its dealings in markets such as going back to Trump’s old rhetoric branding the country as a currency manipulator or accusing it of facilitating illegal piracy businesses.
Should sanctions be imposed then a trade war would inevitably erupt. This eruption would firmly put a pin in China’s bubble and ripples would be sent out across the world.
Bubbles, bubbles everywhere ... lots of potential pins ... got gold?
PD2: ¡Qué sabias palabras!
No sólo mires, observa.
No sólo tragues, saborea.
No sólo duermas, sueña.
No sólo pienses, siente.
No sólo exitas, vive…

20 septiembre 2017

la bolsa estadounidense está cara

Tras seguir haciendo máximos históricos, unos opinan que sí, que está muy cara y que debe recortar…, aunque llevan muchos meses diciendo lo mismo y no recorta ante la falta de alternativas, ante la dificultad de encontrar rentabilidad en activos alternativos:
Amid a looming war with North Korea, stalled tax reforms and Trump threatening to annul trade agreements, the S&P 500 seems suspiciously unfazed…
It’s well known that stock markets tend to have a positive take. One familiar example is how they behave in a recession. Naturally, when the economy starts contracting rather than growing, stocks go down. But then the market always seems eager to demonstrate its ability to bounce back again. An average of three months before a recession ends, stocks will typically show a sudden upturn. Although macroeconomic figures often still point to an ongoing contraction, the market has already priced this in and bottomed out. This is referred to as ‘climbing the wall of worry’.
It’s worth noting that such optimism is not unique to recessions. Trump wins the election? There will be tax cuts, so it’s great for stocks! Trump threatens to shut down the government if it won’t fund the wall with Mexico? Great bargaining chip: certainly better than starting a trade war! Trump demands trade tariffs? Don’t take him too seriously. He won’t get it through Congress, anyway. So it’s great for stocks! I admit, I may be exaggerating a bit, but in the last six months, I have actually seen this kind of reasoning being used, though not always by the same people.
Mind you, I’m not saying the US markets just ignore the news. There were two days in August in which the S&P lost around 1.5% due to the mounting tensions surrounding North Korea. In both cases, however, it quickly bounced back: bargain hunters entered the market, rapidly bringing it back to its previous level. In spite of Donald (a.k.a. ‘I-want-tariffs’) Trump’s statements and North Korea’s antics, this week the S&P 500 closed at a new all-time high.
US stocks are expensive!
On the face of it, there’s of course nothing wrong with this. Ultimately, a company’s growth and profit outlook are what really matter when it comes to valuation and as long as there are just ominous headlines and no concrete measures or real consequences, what’s not to like? The global economy will keep humming along and inflation – typically considered a troublemaker – won’t be a concern. So why should stock prices fall?
Erm, well, because they’ve gotten too high? Let’s not forget that the markets have behaved optimistically for much longer than just the last six months – they’ve been like that for over eight years. Whereas they initially seemed only to be compensating for excessive pessimism (the markets can overreact in both directions), in recent years, US stock prices have consistently risen more quickly than underlying earnings. So the markets are consistently pricing in higher earnings. That’s not to say they won’t eventually materialize, but the gap between stock prices and earnings is starting to look more like a gaping hole.
The measure most commonly used to show that stocks are overvalued is Robert Shiller’s price/earnings ratio, also known as the Cyclical Adjust Price Earnings (CAPE) measure, or simply ‘Shiller PE’. Unlike the usual price/earnings ratios, the Shiller PE doesn’t look at expected profits or the last year’s profits, but the average over the last ten years in real terms. The reason why Shiller uses such a long timescale is to smooth out the volatile nature of earnings and create a more stable picture. The graph above, which shows changes in the Shiller PE over time, leaves little to the imagination. There are clear outliers indicating the major stock market bubbles of 1929 and 2000, and the damage they left in their wake. In fact, the level of the Shiller PE is now suspiciously close to where it was during the 1929 crash, which back then marked the start of the Great Depression. According to this measure, the only time prices were higher was during the 2000 Internet bubble… which is indeed worrying.
Rose-colored glasses
Leave it to the stock market pundits, with their unrelenting optimism, to put a positive spin on this, too. Certainly, 30x seems high and looks intimidating, but in this case, there is an automatic improvement in the pipeline. As mentioned, the Shiller PE looks at the real earnings of the last ten years, thereby supporting the positive spin: it was ten years ago that the crisis struck and US earnings took an unprecedented hit. Based on the Shiller figures, real earnings dropped a staggering 92% between June 2007 and March 2009. On a graph it looks like this:
Over the next two years, that decline in earnings will fall out of the equation
The extremely low earnings figures are currently all still being included in the Shiller PE, but will gradually fall out of scope over the next few years. In other words, even if earnings do not grow appreciably in real terms during that time (which seems a bit pessimistic), the Shiller PE will decline ‘naturally’. The graph below shows the level of the Shiller PE until 2021, if earnings remain constant: Shiller PE: 30 or 25?
Source: Robeco, Shiller
In short, whereas pessimists view a Shiller PE of 30x as a sign of impending disaster, optimists (=the stock market) would probably use a different price/earnings ratio. Though it’s not the true Shiller PE, this adjusted Shiller PE (which actually looks at earnings over the last six years, rather than ten) stands at a ‘mere’ 25x. Even in historical terms, that’s still high, but likely not alarming enough to stop stock prices from rising.
Incidentally, each year Robeco publishes a five-year outlook on the financial markets, which looks at more than just the Shiller PE. The graph below was taken from that publication. Other valuation measures also suggest that the US market is currently overvalued.
Other measures also suggest that the US market is overvalued.
Source: Robeco Expected Returns 2018-2022
Y otros no lo ven tan mal y piensan que seguirá subiendo…:
The global economy and global financial markets are huge, but just how huge? Answer: a lot bigger than most people realize. Here are some charts which help put things in perspective. They also show that what's going on today is not unprecedented nor extraordinary. As always, all the charts contain the most recent data available at the time of this post.
Global GDP is roughly $80 trillion, about four times the size of the US economy. As the chart above shows, the global economy supports actively traded bonds and stocks worth $132 trillion, of which about 40% are US-based. There's nothing unusual about any of this, considering that a typical US household has a net worth (stocks, bonds, savings accounts and real estate) equal to about three times its annual income. 
As the charts above show, the market cap of Non-US equities has grown at a much faster rate than US equities since 2004 (US equities have grown at a 5.4% annualized rate, non-US equities at a 8.9% annualized rate). US equities are now worth about 50% of the value of non-US equities, down from more than 80%. Non-US equities have suffered somewhat, however, due to the dollar's 5% rise (on a trade-weighted basis) over the period of these charts, but that's relatively insignificant in the great scheme of things.
The defining characteristic of the current US economic expansion is its meager 2.1% annualized rate of growth, which stands in sharp contrast, as the chart above shows, to its 3.1% annualized rate of growth trend from 1965 through 2007. If this shortfall in growth is due, as I've argued over the years, to misguided fiscal and monetary policies, then the US economy has significant untapped growth potential and could possibly be $3 trillion larger today if policies were to become more growth-friendly.
As the chart above shows, the value of US equities relative to GDP tends to fluctuate inversely to the level of interest rates. This is not surprising, since the market cap of a stock is theoretically equal to the discounted present value of its future earnings. Thus, higher interest rates should normally result in a reduced market cap relative to GDP, and vice versa. Since 10-yr Treasury yields—a widely respected benchmark for discounting future earnings streams—are currently at near-record lows, it is not surprising that stocks are near record highs relative to GDP. If the economy were $3 trillion larger, however, stocks at today's prices would be in the same range, relative to GDP, as they were in the late 50s and 60s. Valuations are relatively high, to be sure, but not off the charts nor wildly unrealistic.
As the chart above suggest, over long periods the value of US stocks tends to rise by about 6.5% per year (the long-term total return on stocks is a bit more due to annual dividends of 1-2%). The chart also suggests that the current level of stock prices is generally in line with historical trends. 
Adjusting for inflation, we see that stock prices tend to rise about 3% a year, and the current level is not unreasonably high, as it was in the late 1990s.
US equities have significantly outpaced Eurozone equities over the past nine years. That has a lot to do with the fact that the US economy has grown faster as well.
US households (i.e., the private sector) have a net worth that is approaching $100 trillion. That figure has been growing at about a 3.5% annualized rate for a very long time. The current level of wealth is very much in line with historical experience.
Adjusting for inflation and population growth, the average person in the US is worth almost $300,000. That is, there are assets in the US economy which support our jobs and living standards (e.g., real estate, equipment, savings accounts, equities, bonds) worth about $300,000 per person. We are richer than ever before, but the gains are very much in line with historical experience. (Note: the last two charts are based on Q1/17 data from the Federal Reserve. Data for Q2/17 will be released Sept. 21st, at which time I will be able to update these charts.)
Así que tú mismo… Un abrazo,
PD1: No comas todo lo que puedes, no gastes todo lo que tienes, no creas todo lo que oigas, no digas todo lo que sabes. - Proverbio chino.

19 septiembre 2017

causas del bajo crecimiento

La principal causa de que estemos tan estancados es la mala demografía que presentan las economías en general, y la española en particular…

The Global Growth Slump: Causes and Consequences

Demographic factors like slowing population and labor force growth, along with a global productivity slowdown, are fundamentally redefining achievable economic growth. These global shifts suggest the disappointing growth in recent years is a harbinger of the future. While the causes of the growth slump are well defined, the consequences will be shaped by choices that policymakers are grappling with around the globe. The following is adapted from a presentation by the president and CEO of the Federal Reserve Bank of San Francisco at Macquarie University, Sydney, Australia, on June 27.
It is a pleasure to have the opportunity to join you here today. We in the San Francisco Bay Area feel a special kinship to the people of Sydney. Our cities are two of the world’s great metropolises, known for their sweeping waterfronts, iconic bridges, and unique architecture. Also, both our cities are chilly in June and July—only you have the excuse at least that it’s winter.
Among our other commonalities is a mutual stake in the economic well-being of the other, and in the well-being of the broader community of nations in an increasingly interconnected world. In this regard, an important new trend is emerging. Even as countries make strides in recovering from the global financial crisis, growth remains lackluster.
More specifically, as attention has been focused on combating crises and economic downturns, shifting supply-side realities have been developing that are holding back growth across the globe. Demographic factors like slowing population and labor force growth and a global productivity slowdown are fundamentally redefining what is achievable and creating a new set of economic challenges.
These challenges have ramifications that extend beyond the next few months or years—they will define the economic landscape for the next decade and beyond. In a broader sense, they’re also about the next generation, and what sort of future we choose to create together. The focus of my remarks today will be on the causes and consequences of this global growth slump.
Spoiler alert: When you look at the underlying demographic and productivity-related shifts, it becomes clear that a sea change is taking shape. What’s less clear is how global policymakers will respond to these shifts—whether they will make the necessary long-term investments in priorities like education, job training, science, and infrastructure that can break this slump, or whether they will allow this slump to break them.

Crisis and recovery

The narrative of the past decade has been one of crisis and recovery.
Today, many nations are still coping with the aftermath of the global financial crisis, the euro-area crisis, and other events. Central banks remain engaged in the extraordinary policy actions they undertook to stabilize their economies and to support economic recovery.
There are encouraging signs that we are approaching a turning point, a transition from recovery to ongoing economic expansion. The United States is a case in point.
The U.S. economy has regained and even surpassed full employment benchmarks. Although our inflation rate is still somewhat below our 2% medium-term target, I and my colleagues on the Federal Open Market Committee expect us to reach that goal in the next year or so (Board of Governors 2017). As a result, we at the Federal Reserve are now in the process of gradually withdrawing the massive monetary stimulus put in place during the past decade.
And we’re not alone in this improving outlook. When you look at the economic news coming out of Europe and Japan, for instance, you see economic indicators moving in the right direction.
But wait a second, isn’t this supposed to be a speech about the global growth slump?
The big dichotomy of our times is that, in country after country, the economic news is at once both encouraging and discouraging: encouraging that economies are expanding, discouraging that growth is disappointing, at least by historical standards.
In the United States this dichotomy is profound. U.S. GDP growth has been almost as unimpressive as employment has been impressive. In the nearly eight years since the recession ended, real GDP growth has averaged only about 2%, well below former trends, while we’ve added an impressive 15 million jobs. How can both be true?

Shifting winds

As I said at the beginning of my remarks, a sea change in sustainable growth is under way, driven by fundamental shifts in demographics and productivity growth.
I’ll start with demographics. Two powerful trends are evident: We are generally living longer, but birth rates are declining.
The good news is that people are living longer on average. Overall life expectancy in member countries of the Organisation for Economic Co-operation and Development (OECD) has increased from about 60 years in the 1950s to nearly 80 years today (Figure 1), though not for all population groups (see Case and Deaton 2017). And it is expected to grow even higher, eventually exceeding 90 years later this century.
Figure 1
Projections for life expectancy and population growth
Source: United Nations (2015). OECD average weighted by population in 2000.
Despite this increase in longevity, population growth is slowing to a standstill owing to falling birth rates. Among the so-called advanced economies that belong to the OECD—which includes Australia—population growth averaged over 1% back in the 1950s and 1960s, but is now running under ½% per year, as shown in Figure 1. United Nations (2015) projections show population growth in this group of countries actually turning negative some 20 years from now.
When it comes to productivity, the changes that are occurring in advanced economies across the world are no less dramatic. In the United States, the catchphrase is “productivity slowdown.” Labor productivity—the amount produced per worker hour—in the United States has been growing a little over 1% per year over the past decade, well below half the rate of the prior decade (Figure 2).
Figure 2
U.S. total factor productivity and labor productivity growth
Source: Fernald (2014). Ten-year averages, quarterly percent change at annual rate.
The recent pattern of subdued productivity growth is a throwback to that seen from the mid-1970s through the mid-1990s. And a major factor driving the slowdown in the two periods is the same: very slow growth in what economists call “total factor productivity,” or TFP for short (Figure 2). TFP is the measure of productivity that remains after one accounts for changes in the quality of the workforce and the amount of capital investment in the economy, and is often thought to be a measure of innovation and technology.
Some commentators blame the apparent productivity slowdown on failures of economic statistics to keep up with changing times, pointing to the widespread adoption of mobile technology, social media, the gig economy, and so on. Careful study of this issue, however, reveals that these developments present no greater difficulties in measuring productivity than those from the past: that is, the productivity slowdown is real (Byrne, Fernald, and Reinsdorf 2016).
The recent productivity slowdown is not confined to the United States, but rather is a global phenomenon. Averaging over 17 advanced economies—again, including Australia—productivity growth has fallen to below 1% per year over the past decade, less than half the pace seen over the prior 30 years (Figure 3) (Bergeaud, Cette, and Lecat 2016). As in the United States, a key culprit in the slowdown is a sharp decline in TFP growth.
Figure 3
TFP, labor productivity growth for 17 advanced economies
Source: Bergeaud, Cette, and Lecat (2016), OECD, and author’s calculations. Weighted average by 2000 GDP at purchasing power parity, annual percent changes. OECD estimates. Data available online.

Slumping growth

So what do these trend shifts in demographics and productivity mean for future economic growth? For that question, some math comes in handy. Over the medium term, the sustainable growth rate of the economy equals the sum of productivity growth and the growth rate of labor supply. Therefore, the slowdown in productivity growth translates one-for-one into a slowdown in sustainable GDP growth.
Demographics are also holding back rather than boosting economic growth. The decline in population growth eventually implies slower labor force growth. In addition, longer life expectancy combined with more time in school means that people are spending a decreasing share of their lifetimes in the labor force. These two demographic waves are driving labor force growth toward zero, or even below that, in countries like Japan. Even the United States, which historically has enjoyed high rates of labor force growth, is expected to see labor force growth of only ½% per year over the next decade, a significant drop from the past (Congressional Budget Office 2017).
These global shifts in demographics and productivity tell us that the growth we have been seeing in recent years, and thinking of as “disappointing,” “anemic,” and “tepid” when compared to years past, is a harbinger of the future. Research by Kathryn Holston, Thomas Laubach, and myself (2016) aims to quantify the new normal for growth. The estimated trend growth rate for GDP for four economies—Canada, the euro area, the United Kingdom, and the United States—now stands at about 1½%, less than half what it was 30 years ago (Figure 4). The corresponding estimate for the United States alone is about 1½%, broadly consistent with other estimates (Fernald 2016).
Figure 4
Estimates of r-star and trend growth
Source: Estimates from Holston, Laubach, and Williams (2016). GDP-weighted average of United States, Canada, the euro area, and the United Kingdom. Weights are GDP at purchasing power parity, OECD estimates. Prior to 1995, euro-area weights are summed weights of the 11 original euro-area countries.

Policy implications

So these are some of the causes of sluggish growth…what are some of the consequences?
For starters, the demographic waves and slower growth have driven down the longer-term normal or “natural” real rate of interest—or r-star—to historic lows in country after country.
Slower trend growth reduces the demand for investment, while longer life expectancy tends to increase household saving (Carvalho, Ferrero, and Nechio 2016, Gagnon, Johannsen, and Lopez-Salido 2016, and Eggertsson, Mehrotra, and Robbins 2017). This combination of lower demand and higher supply for savings, along with other factors, has pushed down the “price” of savings, or r-star. With open capital markets, global developments affect r-star in every country, irrespective of local economic conditions.
There is mounting evidence of a sizable decline in r-star across economies. Estimates for the United States indicate that r-star has fallen to between 0 and 1% (Williams 2017b). The weighted average of estimates for Canada, the euro area, the United Kingdom, and the United States has declined to less than ½%. That’s 2 percentage points below the average natural rate that prevailed in the two decades before the financial crisis (Figure 4). Estimates for Japan are also near zero (Fujiwara et al. 2016). These r-star estimates differ by economy, but in all cases the most recent estimates are among the lowest over the past 30 years (Holston, Laubach, and Williams 2016).
A striking aspect of these estimates is that they show no signs of moving back to previously normal levels. Looking ahead, given the demographic waves and sustained productivity growth slowdown around the world, I do not expect r-star to revert to higher levels anytime soon.
The dramatic decline in r-star presents significant challenges for monetary policy and financial stability. In particular, the global nature of the decline in r-star implies that central banks will face daunting challenges in stabilizing their economies in response to negative shocks when interest rates are not far above their lower bound (Caballero, Farhi, and Gourinchas 2016 and Eggertsson et al. 2016).
In a low r-star world, what were once called “extraordinary” policies—like zero or negative interest rates, forward guidance, and balance sheet policies—are likely to become the norm as central banks strive to achieve their macroeconomic goals.
Therefore, policymakers around the globe need to prepare for the challenges of successfully navigating new realities (Williams 2016, 2017a). In the best of all worlds, fiscal and other policies would be put in place that propel long-run economic prosperity and boost r-star on a sustained basis. More on this in a moment. Absent such actions, monetary policy will be severely challenged to achieve stable prices, well-anchored inflation expectations, and strong macroeconomic performance in a low r-star world.
Therefore, monetary policymakers will need to prepare for the next storm by taking appropriate actions in advance to design and commit to a more resilient monetary policy framework that is robust to a low r-star world. It’s imperative to study and debate these issues now rather than wait until the next storm hits.
Another set of consequences of the global slump will be felt by fiscal and other public policymakers worldwide. Unless the trend lines improve, they will likely find that they are repeatedly being asked to do more with less, in some cases much less. Many will face dramatic increases in unfunded liabilities such as pensions and safety net programs.
Countries that fail to act today will find their challenges getting even more severe tomorrow. With the sea change under way, we no longer have the luxury of taking a wait-and-see approach.
This begs the question, what does said action look like?
As a monetary policymaker, I wish I could tell you that it’s within the purview of central banks to solve all this, that the answer lies in raising or lowering interest rates.
Reality, unfortunately, dictates otherwise.
Our long-term challenges are going to require the sort of long-term investments that fiscal policymakers—and private investors—have within their own toolkits: investments in education, job training, infrastructure, research and development…all the things that propel an economy and prosperity over the longer term.


My perspective is that of a statistician and economist rather than a politician or columnist: The data and the analysis tell the same story of a fundamental sea change in the global economy.
While the causes of the global growth slump are well defined, the consequences are yet to be written—and they will ultimately be shaped by choices that policymakers are grappling with across the globe. And, ultimately, the choices made by any one of our nations will impact all of our nations.
John C. Williams is president and chief executive officer of the Federal Reserve Bank of San Francisco.
PD1: Cada vez más gente con más de 100 años… Es terrorífico!!!

12.000 centenarios en 2017 en España, ¿222.000 en 2066?

Antonio Abellán García, Alba Ayala García. Departamento de Población, CSIC.
A primero de enero de 2017 viven en España 12.183 centenarios, dieciséis veces más que en 1970, según los datos provisionales publicados por el INE (Cifras de población, 29-6-2017). Su evolución se ha mantenido estable hasta principio de este siglo, pero en los últimos años aumenta notablemente, y lo hará aún más en las próximas décadas. En 2066, fecha máxima de la última proyección de población del INE, habrá 222.104 centenarios (Figura 1). A partir de 2050, el número de centenarios crecerá fuertemente como consecuencia de la llegada de las cohortes del baby-boom (los nacidos entre 1958-1977), y de las cohortes previas que también eran voluminosas.
Figura 1.- Evolución de los centenarios. España, 1970-2066
Fuente: 1970-2010, Human Mortality Database; 2020-2066, INE: Proyecciones de población.
La mayor parte de los centenarios son mujeres, aunque nacen más niños que niñas como en la mayoría de los países (51% de niños, 2016). Este desequilibrio al final de la vida traduce la sobremortalidad masculina a lo largo del ciclo de vida; a los 50 años las mujeres representan el 54% de toda la población de esa edad o más años; a los 65 años ya son el 57% de todas las personas mayores; son el 63% de todos los octogenarios, el 71% de los nonagenarios, y el 81% de los centenarios. La figura 2 representa gráficamente la estructura por sexo y edad de los centenarios, con una apreciable asimetría entre hombres y mujeres.
Figura 2.- Población de centenarios por sexo y edad. España, 2017
Fuente: INE: Cifras de población a 1-1-2017, provisionales.
La mayoría de los centenarios viven en viviendas familiares (72%) y eso es más frecuente en el caso de hombres (Censo de 2011); en alojamientos colectivos, donde vive el 28% de los centenarios, casi todos son mujeres. De los que viven en viviendas familiares, solo 2% viven en pareja, sin hijos, y un 20% viven con algún hijo. Predominan los hogares de otro tipo, es decir con otras personas no cónyuge ni hijos (52%); llama la atención que casi uno de cada cinco centenarios vive solo (19%), que realmente es sola, por tratarse principalmente de mujeres. Los hombres suelen vivir más en pareja, sola o con hijos, que las mujeres, como sucede en el resto de edades de la vejez.
¿Dieciocho veces más centenarios en 2066?
Con la última proyección del INE, se estima que España alcanzará los 222.104 centenarios en 2006, calculados con un escenario de mortalidad que mejora ligeramente el actual, y que acerca a hombres y mujeres, aunque éstas seguirán teniendo mayor longevidad.
Las mujeres habrán pasado de significar el 81% de los centenarios en 2017, al 67% en 2066, gracias a la mejora de la mortalidad masculina que reducirá las diferencias existentes en esperanza de vida entre mujeres y hombres. La esperanza de vida al nacer se habrá incrementado en 8,3 años para los hombres y 5,9 para las mujeres entre esos dos años. La brecha en esperanza de vida entre hombres y mujeres se habrá reducido a 3,0 años desde los 5,5 años actuales. Uno de cada tres centenarios será hombre en 2066; ahora es uno de cada cinco.
La probabilidad de llegar a los 100 años ha venido aumentando en las últimas décadas, más en España que en  otros países europeos; esto se explica en parte porque las mejoras de mortalidad en la población española son más recientes que en esos países. Por ejemplo, en el conjunto de hombres y mujeres, el número de supervivientes teóricos en España que alcanzaría los 100 años se ha multiplicado por 11 entre 1970 y 2014, cifra más alta que Francia, Suiza, Italia, Dinamarca o Suecia (según las tablas de mortalidad del HMD). Si prosigue esta tendencia, es razonable pensar que hacia 2070 el número de centenarios en España será muy similar al de los países europeos más poblados (Tabla 1), cifras calculadas según la proyección de Eurostat, que difiere ligeramente de la del INE.
Tabla 1.- Población total y centenarios en 2070, varios países
Fuente: Eurostat: Population Projections, Baseline Projections [proj_15npms]
PD2: Vivimos en un tiempo tasado, limitado: nos vamos a morir aunque no queramos. No podemos dejar para otro día lo que podamos hacer hoy, lo que hagamos mal y podamos corregir. No sabemos cuando el final va a suceder. Hay que avanzar, no estancarse, ya que el tiempo es limitado.
¡No empujes, calma! ¡Qué sensación de que el tiempo pasa tan rápido!