J.P. 摩根-全球-投资策略-全球资产配置：在黄金与石油中加入多头-2019.10.3-43页.pdf

Global Cross-Asset Strategy03 October 2019Global Asset AllocationAdd longs in Gold and Oil volGlobal Cross-Asset StrategyNikolaos Panigirtzoglou AC(44-20)7134-Bloomberg JPMA FLOW J.P.Morgan Securities plcMarko Kolanovic,PhD AC(1-212)272-J.P.Morgan Securities LLCJohn Normand AC(44-20)7134-J.P.Morgan Securities plcMika Inkinen AC(44-20)7742 J.P.Morgan Securities plcSee page 38 for analyst certification and important disclosures,including non-US analyst disclosures.J.P.Morgan does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor inmaking their investment StrategyWe remain OW equities and modestly OW in commodities vs.UW bonds,but maintain portfolio hedges via an UW in credit and OW in gold.These portfolio hedges along with our new long vol positions in Oil and Gold and our existing Euro STOXX 50 put and HSCEI forward skew structures as well as our predominantly defensive FX trades,are in our opinion sufficient to protect our portfolio against growth or trade war risks.Within equities we upgrade Euro area equities to OW from UW via tactically taking profit on our previous Japanese equity OW.We continue to favor Value vs.Low Vol and Momentum In the fixed income space,we hold a long duration exposure via USTs,OW in periphery vs.core countries in the Euro area and longs in cross-market carry.In the FX space,we retain defensive exposure via longs in safe havens such as the yen,Swiss franc and precious metals vs.risky currencies such as commodity currencies and EM.Within commodities we favor energy and precious metals.Trading Themes1.Stay OW equities vs.bonds,with credit UW as a hedge.2.Add long in Oil Vol via buying 3-month straddles and selling 6-month straddles vega neutral.3.Add long in Gold Vol via a long position in 3-month straddles on gold futures as a proxy for rate vol 4.Reverse previous UW in Eurozone equities 5.Hold longs in yen,Swiss franc and precious metals vs.risky currencies such as EM and commodity currencies.6.Hold short in CNH vs.USD and HSCEI forward skew structures as hedges against further trade escalation.7.Hold Euro STOXX 50 Dec-20 put and 1Yx1Y forward dollar/yen vol structures as long-term tail hedges 8.Stay long duration in USTs 9.Continue earning carry in DM govies via longs in Italy vs Germany,Spain vs France and 10y SEK and CHF swaps vs.USD and CAD swaps.10.Long.Jan20 ICE Brent contractAsset AllocationSource:J.P.Morgan.Active Weights Prior MonthEquities9%9%Govt.Bonds-5%-5%Corp.Bonds-6%-6%Commodities2%2%Cash0%0%Major Asset ClassesUW|OW2Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Global Market StrategyEquities recovered in September most of their previous losses in August helped by expectations of an improvement in US-China trade negotiations.Similarly bond yields rose in September reversing partially their previous decline in August.These trade hopes were one of the reasons we increased our risk-on portfolio allocation last month.However,we also recognized last month that such an improvement in trade negotiations is far from assured and retained a number of portfolio hedges.If anything the erratic trade rhetoric of the past couple of weeks coupled with weak economic releases such as the latest European PMI and US ISM manufacturing surveys justifies maintaining and refining these portfolio hedges.The decline in volatilities during September and in particular the decline in embedded vol risk premia in option markets are creating an opportunity in our opinion to refocus hedges towards long vol trades.The low overall level of vol risk premia is shown in Figure 1 below which depicts the ratio of 3-month implied vs.1-month realized vols weighted across 14 assets that span several asset classes.Our cross asset implied to realized vol ratio stands at around 1.0 x currently which is well below the historical norm of 1.2x.In other words,option markets currently embed only modest volatility risk premia and this makes long vol trades generally attractive.But not all asset classes offer low vol risk premia.Figure 6 shows that vol risk premia are predominantly low in commodities but elevated in equities and credit.As a result we prefer to express our long vol stance via long exposures in commodity vol and in particular Oil and Gold.On Oil we recommend a long gamma position via buying 3-month ATM delta-hedged straddles in Brent and selling 6-month ATM delta-hedged straddles vega neutral(with a ratio of 1:0.63).This trade produces a long gamma exposure by taking advantage of the relative value of 3-month vs.6-month vol at the same time as shown in Figure 3.On Gold we recommend a long position in 3-month ATM delta-hedged straddles on gold futures.This is effectively a proxy for rate vol given the strong negative correlation between bond yields and Gold prices (Figure 3)with some relative value advantage as shown in Figure 4 which implies that Gold vol is cheaper than rate vol.Figure 1:Implied to Realized vol ratio across asset classesWeighted average of 3-month implied vols across 5 asset classes divided by a similarly calculated weighted average of 1-month realized vols.We apply a 20%weight on each of the five asset classes.The 14 implied vols used were:V2X Index,VIX Index,VNKY Index,JPMVXYG7 Index,JPMVXYEM Index,Cl1 Comdty,HG1 Comdty,GC1 Comdty,C 1 Comdty,iTraxx,CDX.IG,CDX HY Euro 10y swap rate,US 10y swap rate.Source:J.P.Morgan.Figure 2:3-month Brent vol looks cheap vs 6-month vol Gold price denoted by blue line in right axis.10y USD swap rate in left axis in%.Source:J.P.Morgan.0.600.700.800.901.001.101.201.301.401.501.60Jan-18Jul-18Jan-19Jul-19y=0.2126x-6.0148R=0.5939-4.00-2.000.002.004.006.008.0015.025.035.045.055.0Brent M3-M6 vol SlopeBrent M3 ATM Vol3Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Figure 3:Gold vs.10y USD swap rate Gold price denoted by blue line in right axis.10y USD swap rate in left axis in%.Source:J.P.Morgan.Figure 4:Gold vs.10y USD swap ratevol Gold price denoted by blue line in right axis.10y USD swap rate in left axis in%.Source:J.P.Morgan.In terms of our overall allocation we remain OW equities and modestly OW in commodities vs.UW bonds,but maintain portfolio hedges via an UW in credit and OW in gold.These portfolio hedges along with our new long vol positions in Oil and Gold and our existing Euro STOXX 50 put and HSCEI forward skew structures as well as our predominantly defensive FX trades,are in our opinion sufficient to protect our portfolio against growth or trade war risks.At the same time we believe that low equity positons and widespread bearish sentiment among macro investors should limit any damage to equities from disappointing growth reports or renewed trade war escalation.Within equities we upgrade Euro area equities to OW from UW via tactically taking profit on our previous Japanese equity OW.We continue to favor Value vs.Low Vol and Momentum given their record valuation divergence and extreme positioning,which has started to unwind last month but likely has further to go.In the fixed income space,we hold a modest long duration exposure via USTs,OW in periphery vs.core countries in the Euro area and longs in cross-market carry.In EM local bonds,markets are caught in the cross-wind of weak global growth as well as concerns over late cycle dynamics,and widespread central bank dovishness and lower global yields.Overall,we are OW local bond duration with a modest bias towards lower yielding markets,and UW EM FX as a partial hedge.In the FX space,we retain defensive exposure via longs in safe havens such as the yen,Swiss franc and precious metals vs.risky currencies such as commodity currencies and EM.Within commodities we favor energy and precious metals.Figure 5:GAA portfolio monthly performanceLast obs.is for Sep19.Source:J.P.Morgan.1150117011901210123012501270129013102.02.12.22.32.42.52.6Jan-17Apr-17Jul-17Gold10y USD swap ratey=0.1815x+1.0169R=0.67525101520253035406080100120140160180Gold 3M ATM VolUSD 3M10Y swaption vol-100-50050100150Dec-17Jan-18Feb-18Mar-18Apr-18May-18Jun-18Jul-18Aug-18Sep-18Oct/Nov-18Dec-18Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19Aug-19Sep-19Within asset allocationCross asset allocationPortfolio4Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Figure 6:Cross Asset Volatility Monitor-3m ATM Implied Volatility(1y history)as of 01-Oct-19This table shows the richness/cheapness of current 3-month implied volatility levels(red dot)against their 1 year historical range(thin blue bar)and the ratio to current realized volatility.Assets with implied volatility outside their 25th/75th percentile range(thick blue bar)are highlighted.The implied to realized volatility ratio uses 3-month implied volatilities and 1-month(around 21 trading days)realized volatilities for each asset.Source:J.P.Morgan.AssetCurrentLowLow dateHighHigh dateUpsideDownside Implied/realized volatilityS&P 50017%11%2-Oct-1826%24-Dec-189%6%1.8xEuroSTOXX15%11%3-Jul-1921%27-Dec-186%4%1.5xNikkei 22515%12%16-Jul-1928%25-Dec-1813%2%1.4xHang Seng13%12%30-Jul-1921%25-Oct-188%0%0.7xMSCI EM18%16%29-Apr-1929%16-Nov-1811%2%1.7xGold14%8%29-May-1916%24-Sep-192%6%0.8xOil(brent)35%23%18-Apr-1951%23-Nov-1816%13%0.6xCopper16%14%8-Jul-1923%9-Oct-186%2%1.0 xBB commodity index11%9%5-Apr-1916%23-Nov-185%2%0.6xEUR/USD6%5%18-Apr-198%15-Nov-182%1%1.0 xUSD/NOK8%7%18-Apr-1910%15-Aug-192%1%1.2xUSD/JPY7%5%22-Apr-199%3-Jan-193%2%1.4xGBP/USD12%6%4-Jul-1915%10-Dec-183%5%1.4xUSD/CHF6%5%11-Apr-198%3-Jan-192%1%1.1x10y US swaps794920-Mar-198228-Aug-192310.8x10y Eur swaps493224-Jan-195820-Aug-199180.7xCDX IG49%36%2-Oct-1859%24-Dec-189%13%1.8xCDX HY37%26%2-Oct-1856%27-Dec-1818%11%1.7xiTraxx49%40%3-Oct-1863%3-Sep-1915%9%1.4xiTraxx X/O50%36%29-Apr-1955%27-Dec-185%14%1.2x5Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Long-Only Asset AllocationFor detailed within-EM local bond allocation recommendations,see EM Local Markets Recommendations Roundup,Oct 1stSource:J.P.Morgan.Active Weights Prior MonthEquities9%9%Govt.Bonds-5%-5%Corp.Bonds-6%-6%Commodities2%2%Cash0%0%Major Sectors within each Asset ClassActive Weights Prior Monthvs.US BenchmarkEquitiesCountriesUS1.0%1.0%NoteTracking Error(%)1.57%EMU1.0%-2.0%Japan0.0%2.0%UK-2.0%-2.0%EM1.0%2.0%Other-1.0%-1.0%vs.BenchmarkGovt.BondsCountriesUS Nominal0.0%0.0%NoteYield(bp)5.3US TIPs0.0%0.0%Dur(months)3.06Europe Core-2.0%-2.0%Tracking Error(%)0.33%Europe Periphery2.0%2.0%Japan0.0%0.0%UK0.0%0.0%EM Local0.0%0.0%Australia0.0%0.0%Other0.0%0.0%vs.BenchmarkCorp.BondsHGUS2.0%2.0%NoteYield(bp)-6.6Europe1.0%1.0%Duration(months)0.8UK0.0%0.0%Tracking Error(%)1.24%HYUS-1.0%-2.0%Europe-2.0%-1.0%US Loans0.0%0.0%EMSovereigns0.0%0.0%Corporates0.0%0.0%vs.BenchmarkCommoditiesEnergy1.0%1.0%NoteTracking Error(%)1.86%Industrial metals0.0%0.0%Agriculture1.0%1.0%Precious metals1.0%1.0%Livestock-3.0%-3.0%Major Asset ClassesUW|OWUW|OW6Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Long-Only Portfolio PerformancePerformance for September 2019 GAA Long-only portfolioIn bps.Source:J.P.Morgan1DWTDMTD1DWTDMTD1DWTDMTDEQ-90-72-208-71-56-190191618Govt Bonds-8-1471-8-1476005Corp Bonds-117102511957-6-7CO-6-33492-236181012FX000000(1)Portfolio-43-36-55-40-35-7141-16(2)Cross asset class allocation-51-43-82-8-7-27(3)Within asset class allocation-33-29-451069Note:(1)the leftmost columns are the absolute returns of the benchmark portfolio.The center columns are the absolute returns of the GMOS portfolio.The rightmost columns are the relative performance of the GMOS portfolio versus the benchmark.If these are positive then the GMOS portfolio outperformed the benchmark.(2)The leftmost columns are the absolute returns of the benchmark asset classes with active asset allocation weights.The rightmost columns are the relative performance of the active asset allocation versus the benchmark.If these are positive then active allocation outperformed the passive index.(3)The leftmost columns are the absolute returns of the active asset classes with benchmark asset weights.The rightmost columns are the relative performance of this portfolio versus the benchmark.If these are positive then active asset classes with benchmark weights outperformed the passive index.Asset returnsBenchmark(bps)GMOS portfolioActive(bps)7Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Trade RecommendationsCross AssetTrade Inception DateStay long Global Equities vs.DM creditApr19EquitiesLong Euro vs USOct19Trade US SMid over Large cap via outperformance optionsSep19Buy cheap HSCEI forward skew as a hedge for further risk escalationAug19Long Japan vs MSCI WorldJul19Long US Value vs.Low Vol StocksJul19Long India vs.Asia ex Japan for structural relative outperformance on reformsJun19Short US-China disengagement losers(JPHAPUCD)vs Asia ex JapanJun19Long Brazil vs.Mexico EquitiesMay19Long Banks(SX7E Index vs.SXXP Index)May19Long Mining(SXPP Index vs.SXXP Index)Mar19Position for outperformance of China consumption stimulus beneficiaries Mar19Long Basket of EM Countries vs.EM EquitiesFeb19Long Oversold Secular Growth Basket vs.SPXFeb19Long China/Trade Sensitive Basket vs.SPXFeb19Long our SMid bulletproof vests basket vs.Short our SMid roller coasters basketFeb19Stay long Euro STOXX 50 Dec-20 puts structures for long-term tail hedgingDec18Stay long Rising Oil Beneficiaries(JPAMNRGY Index)vs.S&P 500May18Stay long US Small-caps vs.Large-capsMar18Stay long Euro Stoxx 50 vs.S&P500 volatilityFeb18Stay long Euro area vs.UKNov17Fixed IncomeLong 30y Italy vs.GermanySep19Stay long 3y USTsSep19Long 10y SEK and CHF vs.CAD and USD swapsAug19Long 10y Spain vs.FranceMay19CreditBuy 3-5y EUR BBB and hedge into USD using 3-month FX forwardsApr19FXSell a 3m(1.0875)NOK/SEK callOct19Buy a 3m EUR/JPY put spread Oct19Buy USD/SEK in cash Oct19Long CHF/NOK Oct19Stay long USD/CNH a 6 month 7.15/7.35 call spreadSep19Hold Short AUD/USDAug19Long in dollar/yen vol via 1-year forward starting 1-year ATM straddlesAug19Stay 2M GBP/USD bear put spreadAug19NZD/JPY bear put spreadMay19CommoditiesLong Jan20 ICE Brent contract Oct19Stay long CBOT Corn March 20 470-550 call spread,short 420 putJul19Stay long Agriculture commodity complexOct17Source:J.P.Morgan8Global Cross-Asset Strategy 03 October 2019Nikolaos Panigirtzoglou(44-20)7134-Marko Kolanovic,PhD(1-212)622- John Normand(44-20)7134-Cross-Asset Trading ThemesStay long Global Equities vs.DM creditWe keep OW equity exposure amid a mor