当前位置:首页 > 投资策略

摩根大通:如何才能提振今年表现落后的大类资产回报率?

2019-04-16 15:27:11 328

如何提振表现不佳资产的回报率,摩根大通的看法是:日本股市可能需要外界对全球制造业前景持长期乐观态度;欧元、土耳其里拉、阿根廷比索价值回归的催化剂可能出现在第二季度;黄金升势暂停,而非周期结束。

2019年对证券市场来说相当不错。如此之好,以至于那些未来潜在可能上涨的资产被忽视了。

The year 2019 has been pretty good for securities markets. So good, that assets with returns which would be impressive in another year are being overlooked.

例如,日本东证指数上涨7.5%,但仍低于标准普尔500指数17%的涨幅。在全球高收益债券(收益率7.2%)等今年表现出色的资产背后,也有很多表现一般的资产,比如黄金。

摩根大通(JPMorgan Chase & Co.)跨资产基本面策略主管John Normand在4月12日的一份报告中说,客户一直在想,业绩较差的资产是否会迎头赶上,因此他研究了如何才能提振一些落后资产的回报率。

Japan’s Topix equities index, for example, is up 7.5 percent, yet it’s in the shadow of the S&P 500’s 17 percent gain. Behind the year’s remarkable performers -- like global high-yield bonds, returning 7.2 percent -- there are many poor showings, like gold.

JPMorgan Chase & Co. clients have been wondering if lower-performing assets are due to catch up with the pack, its head of cross-asset fundamental strategy John Normand said in an April 12 note, so he examined what would need to occur to goose returns for some of the laggards.

图1:2019年至今的资产表现|JPM

日本股市

回想一下,鉴于行业偏差(日本的最大的行业指数是工业,欧洲是金融,美国是技术),每个市场对货币,利率和主权风险的敏感度都不同,往往会推动相对表现。在过去的25年里,东证指数只有三分之一的时间击败了标准普尔指数,通常是在全球制造业处于上升趋势和日元贬值时。

Recall that, given sector skews (the largest index sectors are Industrials for Japan, Financials for Europe and Tech for US), each market carries a different sensitivity to currency, interest rates and sovereign risk that often drives relative performance. Over the past 25 years, the TOPIX has only beaten the S&P one-third of the time, typically when global manufacturing is in an upswing and the yen is depreciating.

日本股市需要外界对全球制造业前景保持乐观。这位策略师表示,首先特朗普总统可能最终降低对中国的关税;除此之外,尽管美联储希望在2020年之后很长一段时间内维持利率不变,如果美元兑日圆走强,这种情况也会有所帮助。

Japan equities would need a bullish outlook on global manufacturing. That’s possible if President Donald Trump eventually lowers tariffs on China, according to the strategist. A stronger dollar versus the yen would also help, though that’s unlikely with the Federal Reserve looking to stay on hold for interest rate hikes well into 2020, Normand added.

欧洲股市

为了支持欧洲股市,投资者可能需要对欧洲经济增长持乐观态度,对外汇收益率持悲观态度,并对意大利主权债券持看涨的观点——这些观点都是摩根大通(JPMorgan)的预测。(我们将三者视为预测,但对他们的信心低于对美国和中国的看法)

To favor European stocks, investors would need a bullish view on European growth, a bearish view on bund yields and a bullish view on Italian sovereigns, he said -- all of which JPMorgan has forecast.  (We have all three as forecasts, but they are lower-conviction than the calls on the US and China).

货币

在货币方面,今年全球表现最差的是阿根廷比索ARS(-12%)和土耳其里拉TRY(-8%),而10国集团中表现最差的是欧洲货币(瑞典克朗-4%,瑞士法郎-2%,欧元-1.5%)。大多数新兴市场货币在2019年对美元升值,而10国集团(G10)的大多数货币则贬值。

Within Currencies, this year’s worst performers globally have been ARS (-12%) and TRY (-8%), while the weakest G10 ones have been European pairs (SEK -4%, CHF -2%, EUR -1.5%). The majority of EM currencies have appreciated in 2019 versus the dollar while the majority of G10 ones have depreciated.

在美联储换届的一年里,这些货币无法升值——土耳其和阿根廷的实际利率也异常高(见图5)——凸显出两国尚未解决的政策担忧。

These currencies' inability to appreciate in a year of Fed regime change – and extraordinarily high real rates in Turkey and Argentina (chart 5) – highlights each country’s unresolved policy concerns.

欧元区的问题在于难以回到高于趋势的增长水平和接近目标的通胀水平,这反过来又维持了欧洲央行进一步放松货币政策的预期。(意大利主权债务压力重燃的可能性,看上去仍像是季度内波动率的生成器,而非趋势驱动因素)。

因此,尽管有可能预见到推动这三种廉价货币“均值回归”的条件,但这些催化剂可能将在第二季度出现。

The Euro area's is the difficulty of returning to above-trend growth and near-target inflation, which in turn sustains expectations of further ECB easing. (The possibility of renewed Italian sovereign stress still looks like an intra-quarter vol generator rather than a trend driver).

So while it is possible to envision conditions that would sponsor mean-reversion in these three cheap currencies, it is more heroic to think these catalysts arrive in Q2.

大宗商品

在大宗商品中,黄金表现不佳,因为它兑美元几乎没有上涨。

"鉴于较低的实际利率是美联储推动经济升温策略的一部分,我们认为黄金升势暂时停滞,而非周期结束," Normand表示。

Among commodities, gold has been an underperformer as it has barely risen against the dollar. “Given that lower real rates are part of the Fed’s strategy to run a hotter economy, we think gold’s uptrend has stalled temporarily rather than ended for the cycle,” Normand said.

波动性

图2:不同资产类别的波动性都受到抑制|BBG

根据Normand的说法,波动性是所有市场中“最不受欢迎的”。"尽管宏观模型显示波动性异常低," Normand写道,"但在美联储暂停加息期间,类似的多季表现不佳的现象很常见,通常需要重新考虑利率或地缘政治冲击才能复苏。"

Then there’s volatility, the “least-loved” market of all, according to Normand.

“Even though macro models suggest that vols are abnormally low,” Normand wrote, “these multi-quarter undershoots are common during Fed pauses and typically require a rates rethink or geopolitical shock to revive.”

关键词: 摩根大通大类资产回报率

上一篇: 投资者悄悄从新兴市场债市撤资

下一篇: 金价欧盘走势,砍了不舍不砍深套...

声明本站分享的文章旨在促进信息交流,不以盈利为目的,本文观点与本站立场无关,不承担任何责任。部分内容文章及图片来自互联网或自媒体,版权归属于原作者,不保证该信息(包括但不限于文字、图片、图表及数据)的准确性、真实性、完整性、有效性、及时性、原创性等,如无意侵犯媒体或个人知识产权,请来电或致函告之,本站将在第一时间处理。未经证实的信息仅供参考,不做任何投资和交易根据,据此操作风险自担。本站拥有对此声明的最终解释权。

在线咨询 分析顾问 微信客服
扫一扫添加微信
广告合作 Top
长按图片 添加微信公众号