J.P. 摩根-全球-外汇策略-全球外汇策略2020：缺乏2020愿景的全球贸易提升-2019.11.26-144页.pdf

FX Strategy&Global EM Research26 November 2019Global FX Strategy 2020Trading global lift without 2020 visionGlobal FX Strategy&EM MarketsPaul Meggyesi AC(44-20)7134-J.P.Morgan Securities plcThomas Anthonj(44-20)7742-J.P.Morgan Securities plcSally M Auld(61-2)9003-J.P.Morgan Securities Australia LimitedJonathan Cavenagh(65)6882-JPMorgan Chase Bank,N.A.,Singapore BranchMeera Chandan(44-20)7134-J.P.Morgan Securities plcAnezka Christovova(44-20)7742-J.P.Morgan Securities plcRobert Habib(1-212)834-J.P.Morgan Securities LLCDaniel P Hui(1-212)834-J.P.Morgan Securities LLCLadislav Jankovic(1-212)834-J.P.Morgan Securities LLCLorenzo Ravagli,PhD(44-20)7742-J.P.Morgan Securities plcArindam Sandilya(65)6882-JPMorgan Chase Bank,N.A.,Singapore BranchTohru Sasaki(81-3)6736-JPMorgan Securities Japan Co.,Ltd.Benjamin Shatil(81-3)6736-JPMorgan Securities Japan Co.,Ltd.See page 131 for analyst certification and important disclosures,including non-US analyst disclosures.2Global FX Strategy26 November 2019Paul Meggyesi(44-20)7134-Global FX Outlook 2020:Trading global lift without 2020 vision(Daniel Hui,Paul Meggyesi),Pg 4Markets waited in vain this year for geopolitical uncertainty to fade and growth to rebound,and this appears set to carry oninto 2020,as US-China trade and Brexit remain unresolved and the US election brings fresh uncertainties.But anticipation of at least a partial US-China truce,earlier central bank easing,and a much lower starting point is building expectations of a modest growth rebound in early 2020.The vigor of the rebound,and also the nature of the Fed cuts this year(a pause that refreshes,or a down-payment on a full easing cycle)will matter greatly for the dollar next year.Our baseline is that there is some broad but modest USD downside in early 2020 on a partial global lift,but that this does not extend into a secular dollar bear market as this would require a decisive,V-shaped economic rebound.The balance of the year ultimately delivers a sideways,divergent dollar,where European and low yielding surplus currencies outperform against commodity and emerging market FX.JPM USD index is forecast to edge 0.5%higher in 2020 following gains of 1.3%in 2019.Emerging Markets FX:Tactical rather than strategic(A.Christovova,J.Cavenagh,R.Habib),Pg 21We end 2019 with a small OW in EM FX through an OW in Latam,while we are neutral on EM Asia and EMEA EM.In Latam,we are OW BRL and COP around optimism on local reforms and a late cycle cyclical bounce.In outright trades,we are short USD/MXN and long PEN/CLP.Latam FX is still expected to end 2020 at weaker levels than it started.In EMEA EM,we start the year MW in the GBI-EM and focus more on relative value,with BoP and real yields key to country selection.This leaves RUB,CZK and ILS favored,versus short HUF and RON.In EM Asia,our baseline assumes a Phase 1 trade deal but it is hard to have high conviction.We forecast USD/CNY to be below 7.00 in Q1 but expect EUR/CNH to remain within a broad range.We maintain a neutral stance in GBI-EM via OW MYR and UW PHP,with valuations and external balances continuing to support this stance.Long TWD/KRW remains a high conviction medium-term view.Global macro themes and top trades(Paul Meggyesi),Pg 32The timing for macro trades is not ideal as visibility around the key issue for 2020 global lift is poor.We shy away from cash trades as the FX market is becalmed in favour of option trades where up-front premium is low even though vols arent cheap given how inert spot rates have been.We lean cautiously pro-growth for 1Q,focusing on European currencies as these have limited downside if growth fails to show given very strong BoP support.We buy a bullish 4-mo EUR/USD one-touch,and fund a EUR/USD call spread by selling a EUR/NOK call spread.We also expect core European FX to benefit from continued Fed easing,a perception that ZIRP is falling from favour,and stronger BoP support than JPY.We initiate a bullish CHF/JPY seagull and buy AUD/CHF downside(RBA QE and virtual ZIRP)partly funded by selling a AUD/NZD put.Finally,we own US political event risk through longs in USD/CHF forward vol at close to record lows(3Mx3M FVA).Post-mortem on 2019 forecasts and trade recommendations(Ben Shatil),Pg 34In retrospect,2019 was a year in which late-stage concerns over global growth,dovish pivots by central banks,and relentless geopolitical noise dominated the backdrop for FX.On net,the broad dollar edged up through 2019,and for much of the year we took a defensive stance,favoring the safer low-yielders against growth-vulnerable EUR-where the economy bucked expectations for lift-and the Antipodeans.In 2019,our trades in directional relative value options posted the years highest success rate at 64%,followed by our cash trade recommendations,exactly half of which delivered positive returns.FX Volatility:Cheap wont get cheaper(probably)(A.Sandilya,L.Ravagli,L.Jankovic,J.Duran-Vara),Pg 37VXY heads into 2020 with the deepest cyclical undershoot on record,in excess of 3%pts.Ultra-cheap vol valuations however need to be set in the context of less stressful global economic conditions and lukewarm moves in G3 FX next year that lower odds of a sharp rebound,absent political disruptions(US/China,US elections).For next year,we favor(a)EM vol over DM vol;(b)Euro strength via contained upside structures;(c)long USD/CHF forward volatility over the Democratic primaries;(d)systematic shorts in AUD and JPY risk-reversals;(e)long GBP/USD 1Y1Y forward volatility for renewed back-ended Brexit disruption;and(f)systematic mean-reversion vol pair selections(NOK vs.SEK,PLN vs.HUF).Euro:Nice bike,annoying headwinds(Paul Meggyesi),Pg 52EUR/USD 1.12 1Q,1.14 2Q.The forecast envisages a lessening in cyclical headwinds that should enable a modest EUR recovery in line with the pull from cheap valuation and record balance of payments support.The latter cushions EUR against further cyclical disappointment and levers it to genuine reflation,creating asymmetric upside for the currency.But structural factors wont lift EUR independent of regional reflation,evidence for which is so far patchy,at best.Still,thefiscal/monetary mix should be more supportive the Fed is biased to ease as Trumps Keynesian boom ends,while the ECB may be less eager under new leadership to ignore criticism and further push the boundaries of NIRP and QE.JPY:Range trading for the USD/JPY pair;risk of Yen weakness(Tohru Sasaki,Ben Shatil),Pg 60USD/JPY 109 1Q,110 4Q.Our forecasts reflect a confluence of factors that keep USD/JPY in a narrow range,extending the trend of the past several years.A narrowing in US-Japan inflation differentials,a decline in JPYs status as a funding currency,and an inexorable rise in unhedged Japanese investor outflows all serve to limit the Yens range.Recession risk 3Global FX Strategy26 November 2019Paul Meggyesi(44-20)7134-presents a wildcard,but Japan-centric downturns,in contrast to global recessions,tend to invite JPY weakness not strength.Indeed,if the Yen does move sharply in 2020,it is more likely to be in the direction of weakness than strength.GBP:Relief at journeys end,just no champagne(Paul Meggyesi),Pg 65GBP/USD 1.32 in 1Q,1.33 in 4Q,EUR/GBP 0.85&0.86.Our forecasts are predicated on the Tories securing a majority in the December election and delivering Brexit next January.Optimism is tempered by the risk of disruption a year later unless the Brexit transition period is extended and concern at the additional damage which a loose FTA with the EU would cause.Such damage would be only temporarily masked by fiscal stimulus.The main imponderable is the extent to which foreign investors are U/W GBP.BoP data doesnt suggest foreign investors have forsaken UK assets,nor are central banks U/W in GBP.Our forecasted landing zone for GBP is thus less aggressive than many who assume much larger flows back to GBP.And even without Brexit,the UKs dismal current account deficit warrants an ongoing valuation discount in GBP.CHF:Some like it easy(Paul Meggyesi),Pg 73EUR/CHF 1.08&USD/CHF 0.95 in 4Q.A late-cycle global economy should continue to bias CHF modestly higher.Current optimism about global reflation could drive tactical weakness in CHF,but this wont go far,not with the slide in global rates making it harder for Switzerland to recycle its current account surplus.The country lacks the institutional outflow of Japan,nor can it rely on the SNB to permanently compensate for inadequate private-sector outflows.NOK&SEK:Hiking in the polar night(Meera Chandan),Pg 78EUR/SEK:10.40 in 4Q;EUR/NOK:trough of 9.70 in 2Q.Global factors are expected to remain the primary driver of SEK and NOK in 2020;our base case of a bounded bounce in global growth early in the year motivates cautiously bullish forecasts vs.EUR.Near-term conviction is higher on NOK and we are bullish in 1H since it is cheap,carry is high,a rate hike could be in play and rates markets are priced dovishly.SEK is also cheap,but near-term conviction is low as rate markets are already fully priced and even with the two hikes,SEK will still be a low-yielder.The move out of negative interest rates is only expected to reduce the persistent weakening pressure on SEK,but not reverse it.AUD&NZD:At the mercy of idiosyncratic policy activism in the Antipodes(S.Auld,B.Jarman),Pg87AUD/USD at 0.67 by 1Q,0.64 by 3Q.An activist RBA in 2020 should anchor another year of under-performance from AUD,as we forecast the RBA to cut rates to 0.25%and begin a formal QE program in 2H20.Already cheap valuation should constrain downside.NZD/USD at 0.64 by 1Q,0.62 by 3Q.Bank capital reforms will place persistent downward pressure on the term structure of rates in NZ,but pass through to FX should be incomplete due to supportive BoP effects.CAD:From good to bad,but not quite ugly(Patrick Locke,Daniel Hui),Pg 98USD/CAD at 1.36 1Q,1.38 4Q.CADs run of resilience in 2019 is likely over.An abrupt weakening of the economy through the remainder the year will put an end to Canadian cyclical exceptionalism that underpinned CAD strength in 2019.With growth poised to dip below potential,the BoC will be liable to step in after eschewing the global monetary easing this year,leaving CAD vulnerable to weakening vs.USD and low-yielders as the BoC catches up to the rest of the world.Long-term Technical Strategy:USD:Uncharted-Selective-Depreciation(Thomas Anthonj),Pg 104There is much evidence of a cyclical top in USD.With the proviso that risk markets remain relatively stable,we see a setup which favors a broader USD setback against a selected range of currencies.GBP looks to have established a new,long-term up-trend,but severe setbacks cant be excluded.Latam FX is expected to launch a profound recovery shortly.FX models:Carry and growth still more important than value in 2020(Meera Chandan),Pg 111Similar to late 2019,growth signals are still expected to be key drivers of FX returns,carry baskets are still attractive and value is still hard to find in FX.The difference is that growth signals and our ML USD framework are now pointing to tentative green shoots and suggesting pro-risk USD shorts(last year,growth signals were decidedly defensive),although the lack of visibility on US-China trade talks and the asymmetric market response are key risks.Carry baskets are still attractiveon valuations,yields and external balances,but are not as distressed as they were last year.J.P.Morgan FX forecasts versus forwards and consensus,Pg 135FX performance in 2019119Sovereign credit ratings and actions120Central bank announcement dates in 2019-2020121Event risk calendar122J.P.Morgan economic and market forecasts124-130The source for all tables and charts is J.P.Morgan estimates unless otherwise stated.4Global FX Strategy26 November 2019Daniel P Hui(1-212)834-Paul Meggyesi(44-20)7134-Global FX Outlook:Trading global lift without 2020 vision2019 was a year in which macro markets waited in vain for a resolution to geopolitical uncertainty and for a rebound in the global.Heading into 2020,many elements of the past year carry over.What is more certain is that the global economy is still late-cycle,and the likelihood of resolving all the uncertainties in a growth-positive way is quite low.USD benefitted this year from the slowdown in global growth slightly more than it was harmed by the cooling in the US and U-turn by the Fed.USD in 2020 remains a delicate balancing act of US and global growth,albeit complicated by idiosyncratic,USD-negative factors(US election and Fed review).The key macro issues for USD are:1)whether and to what extent global lift materialises and weakens the USD;and 2)whether Fed cuts were mid-cycle(the pause that refreshes USD),or the precursor to a full-blown easing cycle(USD still up vs high-beta,but potentially breaking lower vs reserve currencies).We see broad USD losses early in 2020 on global lift,but doubt whether this extends to a secular bear market as this would require a V-shaped recovery.Moreover,USD is already priced for a 0.5ppt upgrade in global growth,so could rally on less.JPM USD index is forecast up 0.5%in 2020 after a 1.3%gain this year.Forecast top G10 performers are EUR(3.5%)and its satellites,worst is AUD(-5.7%)&CAD(-3.6%).CNY is-0.9%at 7.10.The USD impact of the 2020 US elections will reflect:1)who the frontrunners are;2)their wide-ranging policies;and 3)the ability to implement those policies.A dollar discount could emerge in 1H20.Conditions are turning more favorable for low-yielding surplus currencies.First,the enthusiasm for NIRP seems to be fading,second,the fall in global rates makes it harder for surplus countries to sustain outflows.EUR and CHF are well placed should the regions economy ever return to growth,more so than JPY which is hobbled by structural outflows.Trades:Own optionality on European reflationthrough upside in EUR/USD and CHF/JPY and fading the rally in EUR/NOK.Long 3M3M USD/CHF vol for US election primaries risk,short AUD/CHF through options to part hedge the pro-growth trades.Hold small EM FX OW through Latam FX.Exhibit 1:Persistent uncertainty on a number of geopolitical fronts increasingly dragged down global growth forecastsGlobal Forecast Revision Index,1m chgSource:J.P.MorganA 2019 spent waiting for geopolitical resolution and better global growth.2019 turned out to be a year in which macro markets waited in vain for a resolution to geopolitical uncertainty,and for a rebound in the global growth cycle that had been weighed down by that uncertainty.Periodic and progressive escalation in the US-China trade conflict,not to mention the multiple delays to a Brexit resolution,both contributed to a progressive slide in growth momentum(Exhibit 1),a rise in perceived global recession risks,and some significant responses from central banks,not least of which was the Fed,which switched from signaling further hikes and quantitative tightening to delivering a cycle of insurance cuts and resumed balance sheet growth.The impact on some macro markets was signif