A. Laidi: attenzione all’andamento della propensione al rischio

Scritto il alle 20:29 da cmcmarkets

Intraday Market Thought a cura di Ashraf Laidi, Chief Market Strategist di CMC Markets.
Dollaro americano e indici azionari si rafforzano di pari passo a discapito delle cosiddette “risk currencies” (Dollaro australiano, Euro, Sterlina) e in vista della pubblicazione delle minute dell’ultimo comitato monetario della Fed, che potrebbero mettere ulterirmente a fuoco alcuni dei dubbi presenti in seno alla banca centrale americana circa l’opportunità di perseguire il programma di “Quantitative easing” secondo i piani annunciati.

Il mercato valutario sembra sostenere questa tesi anche alla luce degli scambi che penalizzano Franco Svizzero e Yen (tradizionali rifugi nei momenti di incertezza per il loro ruolo di bene-rifugio) e che potrebbero dunque indicare un mutamento in positivo della propensione al rischio. Un quadro che potrebbe trovare conferma anche nel calo del rapporto SP500/Rendimenti decennali.

S&P500 VS YIELDS
• The ongoing divergence between risk currencies (weakening AUD, EUR, GBP vs USD) and equities highlights the momentum-element in indices and broadening stabilisation of the US dollar
• Today’s release of the FOMC Minutes may deliver a dosage of USD-positive flows in the event it portrays doubts over the current QE
• Sterling pared back yesterday’s gains after the BoE report reiterated the usual cautious (uncertain) outlook on growth

London – 16th February 2011
The ongoing divergence between risk currencies (weakening AUD, EUR, GBP vs USD) and equities highlights the momentum-element in indices and broadening stabilisation of the US dollar. USD is increasingly dragging risk currencies off their session highs over the last 5 session days as trading wound down near the end of the US day.  Today’s release of the FOMC Minutes may deliver a dosage of USD-positive flows in the event it portrays doubts over the current QE as has been expressed by Dallas Fed’s Fisher & Philly Fed’s Plosser. The fact that the USD rebound is accompanied by neither CHF or JPY attests to escalating cautiousness by FX traders on a riskchanging event as bond yields close the % gain gap relative to indices. This is clearly highlighted by the 5% decline in the SP500:10 year yield ratio month to date (see chart below)


FX markets once again prove their forward-looking nature by dragging sterling across the board despite the Bank of England inflation report’s upgrade of its short-term inflation outlook to 4-5% while reiterating a sub-2% CPI at the end of the 2-year period. Sterling pared back yesterday’s gains after the BoE report reiterated the usual cautious (uncertain) outlook on growth. Since the BoE is well aware of its historical tendency to underestimate inflation and overestimate growth, it continues to err on the side of caution.  While the “what” is evident; BoE to predict one-off jump in CPI, the “how” remains unclear. How will BoE’s projected slowdown in inflation from 4-5% back to below 2% take place? Will this occur via rate hikes (which are priced in by the market but not officially by the BoE) or will it materialize via the ongoing slack in the economy and austerity policies?

And when we remind that the 12% increase in sterling trade weighted since Jan 2009 should dampen the BoE’s repeated claims of FX-driven inflation effects—which were mainly a case of the 2007-2009 weakness—the case for import inflation becomes mute. Figuring out the “how” to weakening inflation is crucial for FX & bond markets relying on the growth and yield differential play.  Yields on both 10 and 2 year gilts are down 5 bps, while the spread between UK & US 2-year yields has weakened (UK minus US) to 0.65%–the lowest in 3 weeks. 

Sterling eyes more downside against the USD, but is looking the other way against EUR. GBPUSD suffered from a case of lower highs after failing to break above the Feb 7 high of $1.6180. Today’s release of the FOMC Minutes may deliver a dosage of USD-positive flows in the event it portrays doubts over the current QE as has been expressed by Dallas Fed’s Fisher & Philly Fed’s Plosser. EURGBP bounced off the 0.8360 trendline support but rebound seen capped at 0.8480-00 before the ultimate retreat back to 0.8100 as seen in the chart below.

Commento Laidi 16022011

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