"What Does The Fed Know That We Don't" - Bridgewater's Ray Dalio Answers
Submitted by Tyler Durden on 09/20/2015 17:29 -0400In the aftermath of last week's FOMC "dovish hold" disappointment, it is not only the Fed that has seen its credibility crushed; so have plain-vanilla tenured economists and Wall Street strategists. Recall that it was on August 13, one month before last week's FOMC meeting, when 82% of economists said the Fed would hike in September.
先週のFOMCの「ハト派維持」で失望の余波が収まらないが、FEDのみならず信用が揺らいでいる;エコノミストやWall Streetの戦略家も。先週のFOMCのひと月前の8月13日のアンケートがあった、82%のエコノミストは9月に利上げが有ると答えた。
Oops.
Post-mortem: more than four out of five economisseds were, as always, wrong. Hardly surprising: after all, when voodoo art pretends to be science, this is precisely the outcome one gets.
But while there is no surprise in everyone being wrong (because quite simply nobody realized that the only thing is what Goldman wants), one question remains: "what does the Fed know that we don't."
Of course, one has to clarify what "we" means, because Zero Hedge readers know precisely what the Fed knows - it knows that a recession is coming if not already here, as we won't tire of showing week after week.
Here are some examples of what the Fed (if less than 20% of economists) "knows":
1) Business Inventories-to-Sales are at recesssion-inducing levels...
なんと。
検死解剖:いつものとおり4/5のエコノミストは予想を外す。驚くことではない:結局おまじないが科学であるように振舞っているだけで、みなが理解すべきことだ。
皆が間違っているからといって驚くことではない、一つ疑問がある:「我々が知らないことでFEDだけが知っていることがあったのだろうか」
当然「我々」とはだれかを明確にしなければ、ZeroHedgeの読者はFEDと同じく詳細に現状を把握しているーーまだ顕在化してなくとも景気後退は近い、飽きること無く毎週・毎週報告しよう。
これはFEDが「知っている」ことだ。
1)在庫/売上比率はすでに景気後退開始レベルにある・・・
1a) Sidenote 1 - Wholesale Inventories relative to sales have NEVER been higher
1a)注釈 1ー卸在庫/売上は高くない。
1b) Sidenote 2 - here is why that is a problem
1b)注釈2ーどうしてこれが問題か
2) Industrial Production is rolling over into recession territory
2)鉱工業生産はすでに景気後退領域にある。
2a) Sidenote - as Empire Fed confirmed this morning for August - inventories are collapsing (and along with that Q3 GDP)
2a)注釈ーEmpire Fedが8月のデータを今朝開示したー在庫は急減している
3) Retail Sales is not supportive of anything but a looming recession...
3)小売は迫り来る景気後退を予感させる・・・
And finally,
4) The last 6 times Auto Assemblies collapsed at this rate, the US was in recession...
最後に、
4)過去6回をみると、自動車の組み立て台数が現在程度になると米国は景気後退を迎えた。
* * *
But for those who are unable to form an independent though and would
rather ignore reality unwinding before their eyes, instead demanding an
"authoritative" voice to crush their cognitive bias, here is Ray Dalio,
head of the world's biggest hedge fund Bridgewater, who explains what the recent 4% drop of his All Weather risk-parity fund means.
自分自身でデータを解釈できず、権威あるひとの発言を聞くまで自分の認識を買えることのできない人はRay Dalioのインタビューを見ると言い、彼は世界最大のヘッジファンドの会長だ、彼は自分のファンドAll Weatherのrisk-parityファンドが4%下落したことを説明している。
This is what he said: "different risk parity managers structure their portfolios somewhat differently to achieve balance, so we can't comment on them all. But we can show you how this wealth effect has worked by showing you how our diversified portfolio mix (which simply represents a well-diversified portfolio of assets) would have led economic growth, which is shown in the below two charts, one of which goes back to 1950 and the other which goes back to 1915. These charts show how the excess returns (the returns of the portfolio over the return of the cash interest rate) led economic growth relative to potential (i.e., estimated economic capacity)... If a well-diversified mix of assets underperforms cash, there will be a negative wealth effect and negative incentives to invest in economic activity, which will be bad for the economy. The Federal Reserve and other central banks would be well-served to pay attention to this relationship to make sure that this doesn't happen for long and/or happen too severely. The chart speaks for itself.
彼はこう言った:「他のrisk parityマネージャが他のポートフォリを組んでもコメントすることはできない。しかし我々の分散されたポートフォリをは経済成長を前提として顧客の資産増加を実現できる、一つは1950年までさかのぼり、もう一つは1915年まで遡っている。このチャートを見ればわかるが、大きなリターンは潜在的経済成長に比べ実経済成長が大きい時に実現される・・・もし十分に分散されたアッセトの成績が現金よりも悪いならば、資産を減らすことになり、投資意欲をそがれるだろう、これは経済に悪影響を与える。FEDや他国の中央銀行もこの点に注意し、長期的にかつ重大にこういうことが起きないように行動すべきだ。
The chart in question: チャートはこれ:
And just in case it "does not speak for itself", here is Ice Farm Capital's Michael Green explaining what is says: "The recent weak performance of All Weather would suggest global growth six months from now will be running nearly 2% below its already reduced potential."
誤解のないように「チャート自身に語らせるのではなく」、Ice Farm CapitalのMichael Greenがこう説銘する:「最近のAll Weatheの成績が良くないことは今後6カ月の世界経済の成長はすでにその潜在成長力を失っており2%以下になることを示唆している」
In other words, while the rest of the levered-beta 2 and 20 chasers formerly known as "hedge funds" recently accused risk parity of blowing up their August returns (September is not shaping up much better) the biggest risk-parity fund in the world also found a scapegoat: the global economy, which according to Dalio, is the reason for All Weather's dramatic August slump.
But while blaming the amorphous economy is a rather weak argument, Dalio already has a far more tangible scapegoat ready: the Fed itself, who as the Bridgewater letter cautions "would be well-served to pay attention" to the hedge fund's sudden P&L drop. Because as Dalio goes, so goes the economy.
For now, however, the message is far simpler: absent far more easing,
what the charts above signal is that the US economy is about to slam
head-on into an economic recession... or rather depression, one which
some would add, is only inevitable due to some 40 years of Fed easing
starting with Greenspan's great moderation, and continuing through three
sequential credit-fuelled bubbles which merely delayed the inevitable
"mean reversion" moment
言い換えるならば、2−20倍のレバレッジをかけたいわゆる「ヘッジファンド」は最近8月のリターンが散々だった原因をreisk parityの考え方自体に言い訳している、世界最大のrisk-parityファンドがスケープゴートを見つけた:Dalioに言わせれば、All Weatherの8月の不調は世界経済の不調によるものだ。
しかし、不確実な経済状況を言い訳にするのはいかがなものか、Dalioはすでにもっと分かりやすい言い訳も述べている:FED自身が悪いと、Bridgewaterの手紙の中で、「十分注意を払ってきた」とヘッジファンドの急激な損失の言い訳をしている。
そのメッセージはもっとシンプルだ:さらなる緩和が無かった、米国経済はすでに景気後退に向かっている・・不況と言っても良い、さらにこう加える、この40年続いたFEDの緩和策で次の景気後退は不可避だ、緩和の始まりはGreenspanのおだやかな緩和に始まり、その後三度の与信過多のバブルを引き起こした、これは単に通常の経済活動で見られる「平均回帰」引き伸ばし逆行効果を拡大したにすぎない。
(訳注: まさにHoward Marksがいうとおりです。)