Robeco: Gegenwind für die Bullen
Eine höhere Volatilität am Markt könnte bald neue Risikofaktoren auftreten lassen. Die uneinheitliche Geldpolitik wird zur Herausforderungen für Investoren.09.10.2014 | 14:04 Uhr
This month we have taken some risk of the table by reducing our overweight to equities, as we think that risks (and thus volatility) are becoming more prevalent in an uneven global recovery. We believe we are at an inflection point where different regional growth trajectories/events combined with lower levels of available liquidity will also lead to different policy reactions, with different market implications, raising market uncertainty. Although we do not expect major market events, there are several reasons that make us more cautious in the near term on risky assets.
This week, researchers at the Federal Reserve Bank of New York published an article about the drivers behind the recent period of low volatility (as proxied by the VIX). They observe that over the last two decades there have been only two other periods of similar low volatility; in May 2013 and prior to the financial crisis in 2007.
They conclude that the current climate resembles the May 2013 episode. Although the authors refrain from making predictive statements about volatility, we can remind investors that it occurred just before the then-Fed Chairman Ben Bernanke gave a first hint to markets of the possible end of the Fed’s Treasury purchases. This prompted an uptick in Treasury volatility after his pronouncement on 22 May 2013, marking the start of several months of higher volatility in the US Treasury market and emerging market currencies. Likewise, the recent low volatility episode could turn into an environment where it is less plain sailing for investors. Running stepwise regressions on potential determinants of volatility, the New York Fed’s researchers ended up with variables that also underpinned our reasoning for a less aggressive tactical risk profile.
First, we see a decreasing momentum in risky assets and an increasing divergence within equity markets. Small caps (which are perceived as more risky by investors) have lagged the performance of large caps. This observation has been confirmed in the US, as cyclical stocks have lagged the performance of defensives, although the macroeconomic environment suggests cyclicals should outperform. This decoupling of cyclicals from a strengthening macro picture indicates an increased risk perception in the market.