thegoodfellas/blogset-br huggingface dataset:
Fundos de investimentosFundos RF indices perdem 3,87% no ano e vao perder mais; RF normal tambem caiFonte | 19.06.2013 http://www.arenadopavini.com.brOs fundos renda fixa indices, que aplicam em Notas do Tesouro Nacional serie B (NTN-B), papeis de longo prazo corrigidos pela inflacao, acumulam perda de 1,76% no mes ate dia 14. No ano, a perda media desse tipo de fundo esta em 3,87%, segundo dados da Associacao Brasileira das Entidades dos Mercados Financeiros e de Capitais (Anbima).E a perda vai ser ainda maior quando forem incorporados os impactos da alta dos juros de hoje nos papeis que compoem essas carteiras. Amanha, as cotas dos fundos ja estarao disponiveis para os investidores em seus bancos, mas a Anbima so tera os numeros daqui um ou dois dias, quando as instituicoes mandarem os dados.O impacto da alta dos juros neste mes foi tao grande que ate os fundos renda fixa tradicionais, que sao mais diversificados e possuem mais titulos corrigidos pelos juros diarios (LFTs e CDBs corrigidos pelo CDI), apresentam perda media de 0,07% no mes. No ano, o ganho ainda e de 2,42%, mas essas carteiras tambem devem ampliar as perdas com a inclusao dos resultados de hoje.A alta dos juros provoca a queda dos precos dos titulos prefixados e dos corrigidos pela inflacao, mas que possuem uma parcela de juros fixa. Quando o juro sobe, os papeis antigos, com taxas menores, precisam perder valor para se ajustar ao valor de mercado. Se as taxas recuarem, os papeis voltam a render mais. E quanto maior o prazo dos titulos em carteira, maior o impacto nas cotas, tanto para cima, quando os juros caem, quanto para baixo, quando os juros sobem.Assim, fundos DI, que acompanham os juros, apresentam ganho no mes de 0,31% e de 3,24% no ano.Os fundos renda fixa indices apresentam ainda saques de R$ 2,853 bilhoes no mes ate dia 14, segundo dados da Anbima.Alem dos renda fixa indices, os fundos multimercados macro e trading apresentam fortes perdas no mes, de 1,40% e 1,94%, provavelmente por conta de posicoes em bolsa ou por erros na aplicacao em renda fixa ou dolar.Os multiestrategia, que possuem uma parcela em bolsa, perdem 0,98%. Isso significa que mesmo os gestores profissionais nao conseguiram tirar vantagem das fortes flutuacoes dos mercados neste mes.Mas o maior estrago e dos fundos de acoes, com as carteiras indexadas ao IBrX caindo em media 6,96%. Os acoes sustentabilidade ou governanca perdem 6,81% os small caps, 6,32%. Os de dividendos tem perda menor, 4,99%.Os fundos FGTS Petrobras perdem 12,76% no mes e 14,54% no ano, e os da Vale, 1,27% em junho e 27,50% no ano. HSBC ve dolar a R$ 2,30 este ano e espera ganho com juro e acao de exportadorFonte:http://www.arenadopavini.com.brO HSBC reviu para cima suas estimativas para o dolar neste ano e no proximo. Para o fim deste ano, a estimativa passou R$ 2,15 para R$ 2,30 e, para dezembro de 2014, de R$ 2,20 para R$ 2,40.Segundo o banco britanico, o real esta no centro da tempestade, com piora no desempenho da economia brasileira, tensoes politicas mais fortes,
maiores oscilacoes dos mercados globais e crescimento economico desacelerando na China, principal comprador das commodities exportadas pelo pais.Assim, o movimento de alta do dolar nao sera temporario, mas permanente, acredita o HSBC. A reducao nos incentivos financeiros nos Estados Unidos, o chamado Quantitative Easing (QE), ainda este ano, sera outro fator para reduzir o crescimento brasileiro, acredita o HSBC.O dobro do juro pago pelo MexicoO ponto positivo, segundo o banco, e que, apos a alta dos juros no mes passado, os papeis brasileiros estao muito atrativos, o dobro do pago pelos titulos do Mexico, e isso pode estimular fluxos de recursos para o Brasil.Isso compensara a piora das contas externas brasileiras, que devem fechar o ano com um deficit de contas correntes de US$ 78,3 bilhoes, valor acima dos US$ 75,2 bilhoes esperados inicialmente pelo banco.Esse deficit sera coberto em parte com a entrada de investimentos em portfolio, ou seja, em titulos e acoes. A estimativa do HSBC para esse tipo de investimento passou de US$ 15 bilhoes para US$ 20 bilhoes este ano, US$ 10 bilhoes dos quais apenas para renda fixa.Ao mesmo tempo, o HSBC reduziu a estimativa de captacoes de empresas brasileiras no exterior, de US$ 55,8 bilhoes para US$ 50 bilhoes. E os investimentos diretos, destinados a projetos empresariais, devem ficar em US$ 55 bilhoes.Mesmo com as contas fechando, a piora das contas externas deve pressionar a moeda brasileira, assim como a piora do crescimento e o ambiente politico.Poder de fogo menor do BCO HSBC avalia tambem que as atuacoes do Banco Central brasileiro no mercado de cambio estao perdendo a forca. Ate maio, segundo o banco britanico, cada atuacao do BC via venda de swaps cambiais fazia a moeda se estabilizar.A situacao mudou a partir de maio. Ate julho, o BC vendeu US$ 28 bilhoes em swaps e retirou varios entraves para a entrada de investimentos e especulacao com a moeda americana e, mesmo assim, a moeda nao voltou para os niveis do inicio do ano. Ao contrario, continuou subindo.Para o banco, a alta dos juros vai impedir uma desvalorizacao maior do real por conta da piora das expectativas. Alem disso, a moeda brasileira estaria proxima de seu valor justo, considerando a taxa de cambio real efetiva nos ultimos cinco e dez anos.O que pode piorarO risco de a situacao para o cambio brasileiro ser pior que a projetada, segundo o HSBC, seria uma queda nos precos das commodities, que poderia reduzir as exportacoes brasileiras e prejudicar ainda mais a balanca comercial do pais e seu deficit externo.Outro risco seria um aperto dos juros pelo Federal Reserve (Fed, o banco central americano). O HSBC trabalha com a reducao dos incentivos ao mercado americano a partir de dezembro deste ano, mas se o emprego e a inflacao melhorarem nos EUA, o corte pode vir antes, o que puxaria os juros e afetaria a moeda brasileira.O que pode melhorarJa o que poderia favorecer uma queda do dolar no Brasil seria uma piora da economia americana que levasse o Fed a adiar o fim dos incentivos, o que faria os
juros dos titulos do Tesouro americano recuarem, tornando mais atrativos os papeis brasileiros e favorecendo a entrada de investimentos e a valorizacao do real.Outro evento que fortaleceria o real seria uma melhoria sustentavel nas politicas domesticas, com aperto adicional na politica monetaria, cortes fiscais, reformas para aumentar a eficiencia, cenario que o banco considera de baixa probabilidade.Oportunidades em renda fixaNesse ambiente, o banco ve oportunidades em renda fixa, ao observar que a projecao do mercado futuro de juros DI embute uma taxa basica Selic de 10,75%, bem acima dos 9,75% estimados pelo mercado e pelo HSBC. Mesmo que os riscos de nossa projecao tendam a um aperto maior e nao menor, nos sentimos mais a vontade com o montante de premio de risco ja descontado, diz o banco em relatorio.Estrategia conservadora em bolsaNesse ambiente, a sugestao do HSBC em bolsa e reforcar a estrategia de evitar setores ligados a economia domestica, especialmente os mais dependentes de crescimento, e aumentar a exposicao a exportadoras.As empresas brasileiras em geral tendem a sofrer um impacto menor da alta do dolar em relacao a 2008, pois estao mais conservadoras e fizeram um hedge (protecao) mesmo que parcial de suas dividas em moeda estrangeira.Mesmo assim, algumas podem sofrer com o aumento de suas dividas em dolar. A situacao e pior para as empresas em setores altamente regulados, que provavelmente ficarao impedidas de repassar o aumento de custos com o dolar para seus precos.Segundo o HSBC, apenas 18% das receitas das empresas vem do exterior e, portanto, uma pequena parte do mercado vai ser beneficiada pela alta do dolar. Ao mesmo tempo, os custos financeiros e de materias-primas importadas aumentam e nem sempre podem ser repassados em um ambiente de menor crescimento.Riscos para as margensO HSBC considera que o risco para as margens e maior nas empresas e setores que podem enfrentar limitacoes de precos, como o de petroleo, enfrentando prejuizos ao importar combustiveis a precos acima dos de venda na bomba. Ja os setores de aco planos e plasticos podem sofrer com cortes nas tarifas de importacao caso aumentem seus precos domesticos.O HSBC alerta que tambem os bancos devem sofrer com a queda no crescimento e nas margens. O aumento dos juros afeta o custo de captacao, o crescimento do credito e tambem a inadimplencia.O HSBC reviu de compra (overweight) para manter (neutral) a recomendacao para acoes brasileiras, ja por conta do crescimento economico mais modesto, o que tornava as exportadoras as preferidas. Com a alta do dolar, a recomendacao ganhou ainda mais forca, observa o banco.
Com a queda da taxa de juros, papeis do Tesouro Direto que garantiam maior rentabilidade passaram a valer mais27 de dezembro de 2012 | 10h 22 Fonte : O EstadoYolanda Fordelone, do Economia & Negocios SAO PAULO - Os titulos de renda fixa atrelados a variacao da inflacao, de longe, foram o investimento mais rentavel entre os investidores do Tesouro Direto. O preco subiu de 11,45% a 45,98% dependendo do tipo de papel e prazo de vencimento. Para 2013, especialistas continuam otimistas com o titulo, porque ele protege contra a perda do poder de consumo dos investidores e ainda deve ter algum ganho, ainda que bem menor do que o visto neste ano.Colombo conta que papeis que rendiam de 6% a 7% mais inflacao do IPCA passaram a ter juro de 3% mais inflacao. "Fundos tiveram ganhos na faixa de 20%, 25%, o que e muito forte para um fundo de renda fixa nos dias atuais", diz."Basicamente foi a queda queda da taxa de juros muito forte que fez os papeis de longo prazo indexados a inflacao, as NTN-Bs, renderem mais que os demais, devido a marcacao a mercado", diz o administrador de carteiras, Fabio Colombo. Com a queda dos juros, titulos comprados no passado que pagavam maior remuneracao passam a valer mais.Ganhos como o visto neste ano, porem, nao devem se repetir no curto prazo. "Novas altas como estas dependeriam de um movimento mais intenso de queda dos juros e trabalhamos com um cenario de estabilidade da Selic", diz o diretor de operacoes da corretora Petra, Ricardo Binelli. A taxa basica de juros (Selic) deve ficar no patamar atual de 7,25% ao ano ate, pelo menos, o fim de 2013, de acordo com a ultima pesquisa Focus, feita pelo Banco Central com a opiniao de 100 analistas do mercado. Essa foi a sexta vez que a projecao foi mantida.Vale a penaSe houver queda do juro, esta sera minima e a alta dos precos dos papeis de inflacao nao deve ser significativo. Mesmo assim o investimento continua a ser indicado pelos especialistas, principalmente se o horizonte do investidor for o longo prazo."Se a expectativa de uma Selic sem variacao se confirmar ao longo do ano, a principio o investidor vai se proteger contra a inflacao", diz o especialista em financas Fabio Guelfi Pereira, autor do livro "Titulos Publicos sem Segredos". Ele acredita que alem disso o preco dos titulos de inflacao em geral tem uma margem para subir um pouco mais no curto prazo. Apesar de existirem titulos atrelados ao IGP-M e ao IPCA, atualmente e possivel comprar somente os do segundo indice.Binelli concorda em parte. Para ele, somente os titulos mais longos tem ainda alguma margem para subir, ainda que menos do que neste ano. "Temos dito para o cliente comecar a pensar em outras classes de ativo. O Tesouro Direto tem vantagens em termos de seguranca e liquidez, mas nao em rentabilidade. Entendemos que os papeis com vencimento no curto prazo devem ser trocados por ativos, como fundos de gestao ativa", sugere. Em geral, a percepcao e de que o
investidor deve a partir de agora dissociar dentro da sua carteira a parcela que ele quer garantir para o futuro e aquela com a qual buscara ter maiores rentabilidades, seja na renda fixa ou variavel.
Tapering by the Fed and the Beta Convexity PuzzlePOSTED ON JULY 16, 2013 ADD COMMENTFonte: http://brazilianbubble.com/tapering-by-the-fed-and-the-beta-convexity-puzzleBy Stephen Jen (via Itau Global Connections).Bottom line: QE3 has been a success, as it has achieved its objective of artificially inflating the values of both bonds and equities. While its timing and the pace are uncertain, in theory, the Feds prospective tapering may mark the beginning of the unwind in these asset price distortions, with simultaneous declines in both bonds and equities being a risk, if corporate earnings dont re-accelerate to compensate for the tapering effects. We believe it may be useful to review the concept of the Beta Convexity Puzzle we introduced in February 2012, as this framework may be useful in helping investors think about the likely impact of tapering. High-beta assets (such as equities, AUD and oil) should not in theory rally at the same time as low-beta assets (such as gold, CHF, and Treasuries). For much of the period 2009-2013, however, most of these high- and low-beta assets rallied against the dollar. Such dynamics violate a key assumption underpinning the standard CAPM (capital asset pricing model). We call this the Beta Convexity Puzzle because, according to the standard CAPM, the returns on assets should be a monotonic function of beta, i.e., the high- and low-beta assets should be a monotonic function of beta, that they perform differently through a business cycle. In practice, however, QE1, QE2, and QE3 have had powerful effects on asset prices, inflating both wings of the beta curve. Thus, in theory, tapering could lead to an unwind of this convex curve. How bonds and equities behave in the US and elsewhere will be a function of various considerations, including the trajectory of corporate earnings. But all else equal, tapering by the Fed should lead to a simultaneous sell-off in both bonds and equities. Thats the new gravity the Fed and investors need to keep in mind.The Beta Convexity Puzzle concept: a brief review. In an earlier note we wrote (QE3 and the Beta Convexity Puzzle, February 2012), we first proposed this concept. Essentially, we argued that the behavior of the global currency markets, and financial markets in general, in the previous four years or so have been peculiar. Not only has volatility in asset prices been low relative to the underlying macro data, it has been unusual in that both high- and low-beta currencies have appreciated against the dollar. This beta convexity puzzle also applied to other assets: gold (traditionally a low-beta or safe haven asset) and oil (historically a high-beta asset) were bought for most of the last four years. So were both AUD and CHF, until recently. Such non-linearity in the relationship between asset returns and beta was in stark contrast to a key assumption made in the standard CAPM.The two charts below help explain what we had in mind.These charts show the relationships between various types of assets and their beta, relative to the growth rate of the global economy. The chart on the left is the what-should-have-happened chart and shows two lines, highlighting what
should happen on average during typical business cycles. The upward-sloping line shows that, for high-beta assets such as equities, crude oil, and high yield FX, their returns should improve as the global economy accelerates, but should not perform well if the world is in a recession. In contrast, the downward-sloping line shows that, in a recession, the low-beta assets such as bonds, gold, and low-yield currencies should outperform.For the global economy and the financial markets, the CAPM assumes a monotonic relationship between expected returns and beta (systemic risks) in the long term. However, a persistent violation of this linear relationship at the global level would turn the standard finance theory upside down.The rounds of QE and the Beta Convexity Puzzle. The chart below shows that, during January 2009-March 2013, there was indeed such a violation of the standard finance theory. There was an odd convex relationship between high- and low-beta assets, in which, almost regardless of the global business cycle, most assets appreciated in value, measured in US dollars. While there are various possible explanations for these distortions, we believe the multiple rounds of QE by the Fed, as well as the QE operations by the other G7 central banks, have played a dominant role.The chart below (please refer to the attached pdf) shows this stark convex relationship of the asset returns relative to beta, very similar to what we had suspected in the 2011 note (compare the chart below with the chart on the right side above).During this period, six of the G7 central banks were printing money. The Feds balance sheet rose from 14% of GDP to 20%, and the balance sheet expansions were significant for other reserve currency-issuing central banks as well: 23% to 32% for the ECB; 13% to 26% for the BOE; and 35% to 84% for the SNB. Extraordinary policy aggression by these central banks was evident. Both Brent and gold the odd couple in this beta space registered significant gains; so did MSCI US and 10Y USTs. The Sharpe ratios of most portfolios were extremely high, because both bonds and equities performed (high numerator) while volatility was artificially suppressed (low denominator). What were supposed to be hedged portfolios were in fact levered plays on the Feds QE.Tapering by the Fed. More recently, however, the FOMC members have begun talking about tapering scaling back the size of the monthly QE operations. Chairman Bernankes JEC testimony on May 22, 2013, marked the main inflection point in this discussion. However, this idea had already been suggested by some FOMC members as early as April. Later, on June 19, 2013, Chairman Bernanke officially announced the possibility that, if certain macro conditions were satisfied, the Fed could start tapering in the fall this year and fully terminate QE3 by mid-2014. While Chairman Bernanke seemed to flip-flop on the intention to start normalizing policies in his speech on July 10, 2013, it still seems likely that tapering will start later this year, in our view.In any case, since the tapering discussions began, global bonds and equities have experienced a sharp rise
in volatility, and some of the assets (gold and the Nikkei) have experienced extraordinary declines in value. The chart below shows the asset returns relative to beta since April 2013. What used to be a convex relationship (the previous chart) has turned into a concave relationship (the chart below). In other words, since the tapering discussion began, both bonds and equities have come under pressure.We have these thoughts. Thought 1. Both bonds and equities can sell off simultaneously if the Fed tapers too fast.This is the new gravitational pull both the Fed and the investors need to keep in mind when tapering starts. The preference of the Fed is presumably to allow the 10Y UST yield rise gradually, to reflect the expected economic recovery and tapering, but for equities to remain supported by improving corporate earnings. But it is not clear that they will get what they want. First, the Fed has argued that it is the stock, not the flows of their operations, that should support bond prices (keep the yields low). But this claim has not yet been tested. Tapering would be such a test: lowering flows while keeping the stock high. Recent market price action suggests bond prices may fall further with tapering. Second, the BOJs inability to stabilize the JGBs highlights that there is a threshold to how much markets can be bullied, that market expectations may at times be more powerful than the sheer size of the QE operations. Third, US corporations derive a great deal of their profits from outside the US. We have discussed global economic decoupling. But a faltering rest of the world will weigh on US equities. Thought 2. Gold and the Nikkei the leading indicators? The collapse of gold in April and of the Nikkei in May was extraordinary. Gold is a key safe haven asset, while the Nikkei is one of the highest-beta assets. For both to collapse so sharply, it does raise the question whether they are leading indicators of what could happen to other low- and high-beta assets. Further, not only were these sharp price collapses against the prevailing consensus expectations at the time, the fundamental arguments in favor of buying and holding gold and the Nikkei have not changed, even after the price corrections. This suggests that there might have been large gaps between the pricing of the assets and the underlying fundamentals. But the same could be said for most other financial assets, thanks to QE. Thought 3. Economic decoupling and asset-market decoupling: a negative outlook for EM. We believe the prospective decoupling between the US and China could add another dimension to this discussion, that EM assets, in particular, could be hurt in the months and quarters ahead, even if US equities hold up. We will not repeat the arguments weve made in the past, only to stress that the growth deceleration in China is likely to be both cyclical and structural: the former is healthy while the latter is inevitable. China has gone beyond growing-at-all-costs, mainly because the world has changed after the Global Financial
Crisis. Some of the legacy issues (e.g., off-balance-sheet lending, local government debt, and low yields on infrastructure investments) will need to be dealt with. While China can take care of itself during this transition, the same could not be said about commodity-exporting economies and the economies in the manufacturing eco-system centered around China. We expect to see a strongly concave relationship between EM bonds and equities and beta. Thought 4. The USD and the EUR. This Beta Convexity framework of course is not able to address specifically the current pricing of EURUSD. However, it does show that both the USD and the EUR have behaved in similar ways. In fact, over the last few years, there are more similarities between the USD and the EUR than differences: both the USD and the EUR had under-performed during 2009-2013; both the US and the EMU had major issues and conducted QE at the same time; both the USD and the EUR have been the backbone of the global financial system and sources of global capital. When both the USD and the EUR suffered at the same time, demand for gold, CHF, and others on the left side of the convex beta curve rallied, reflecting global uncertainty aversion. The assets on the right side of the convex beta curve had double reasons to rally. The EM countries have suffered a lack of asset supply. The global liquidity imparted by both the Fed and the ECB in turn helped fuel the credit and investment cycles in EM that were not sustainable. More recently, the Feds tapering talk also coincided with a hawkish turn at the ECB, when President Draghi refrained from adopting a negative deposit rate and instead re-adopted a rather optimistic view of the Euroland economy. In short, we think of the USD and the EUR as having played similar roles in fuelling the simultaneous rallies in global bonds and equities. Any curtailment in their policy aggression would lead to problems with the low- and high-beta assets. Thought 5. In search of balanced portfolios. One major problem in portfolio management is the lack of a balance between bonds and equities. As discussed above, if bonds and equities are positively correlated, as are gold and oil, it is very difficult for portfolio managers to construct hedged or balanced portfolios. If we are right, that, as the Fed tapers, there is a transition period where a concave relationship dominates in the beta space, then it is not clear what one would buy if he/she cuts back on both bonds and equities. Of course, when the Fed normalizes its policies, we should in theory see the normal beta relationships, and not just convex or concave relationships. But in getting from here to there, we fear that the Sharpe ratios in general will likely be inferior to what they were in the past four years.Bottom line. The Feds QE operations artificially inflated the values of both bonds and equities. This was not a negative side effect of QE, but precisely the intended objective. But now that the Fed is