måndag 6 maj 2013

Hussman kortsiktigt lite mindre negativ

Hussman har positionerat sig lite mindre bearish på sistone pga starkt positivt momentum:

Presently, we have allowed the market to advance without adjusting our “staggered strike” position upward in Strategic Growth Fund. A staggered-strike hedge raises the strike prices of the index put option side of our hedge, and has historically been indicated about 5% of the time in data since 1940, based on a significantly negative expected return/risk profile at those points. This is because a similar exclusion analysis suggests that it is optimal to wait until some flattening of momentum is observed.

På det stora hela är han dock lika negativ som det senaste året:

In my view, the introduction of quantitative easing and the expansion of fiscal deficits does not repeal market cycles or make risk considerations irrelevant. They certainly should not encourage investors to depart from the principle of aligning their exposure to market risk with objective estimates of how such exposure is likely to be rewarded or punished. Long-term investment returns typically emerge as the delayed payment for adhering to a sound discipline even when it is uncomfortable to do so. Immediate investment returns are often easier to find, but they tend to be advances on a loan that will eventually be repaid with interest.

There is no question that new features of the market environment, when observed, should be examined for their interaction with existing features. But it has never been the case that these new features have served as a veto against all other considerations. It wasn’t true of the dot-com and tech bubble. It wasn’t true of the housing bubble. It is not true of the QE bubble that the Fed has created today (and which is overlooked primarily because corporate profit margins are 70% above historical norms as a result of mirror-image deficits in the combined government and household sectors – not just domestically but globally).

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