J.P. 摩根-新兴市场-投资策略-新兴市场宏观展望与策略-2019.3.7-40页.pdf

Global Emerging Markets Research07 March 2019 Emerging Markets Outlook and StrategyStay modestly OW in EM fixed income despite recent FX weakness and still unclear global growth pictureEmerging Markets StrategyLuis Oganes AC(1-212)834-J.P.Morgan Securities LLCJonny Goulden AC(44-20)7134-J.P.Morgan Securities plcSee page 36 for analyst certification and important disclosures,including non-US analyst Key topics Flashbacks to 2018 keep EM investors worried,but comparisons are only surface deep,as EM positioning is lower,valuations are better,and early indications are that EM fundamentals are now improving.While global growth remains a concern,we hold the course with moderate EM OWs in local rates,sovereign credit and FX,in that order of conviction,with EM FX the recent laggard and local rates better supported by the environment.Macro developments EM headwinds have lessened due to the change in Fed policy;EM policy rates to remain lower for longer.The shift to a more dovish stance has significant implications for EM.While both CAD(current account deficit)and CAS economies should benefit,the relief to the former is likely to be much bigger given the typically higher sensitivity of CAD countries to Fed policy.EM high-frequency growth indicators suggest that we are broadly on track with our forecast for a recovery in 1Q19.EM-DM growth differentials are expected to continue to widen in favor of EM through 2019 as the momentum accelerates in EM and decelerates in DM.Top trading themes Stay moderately OW EM local rates(EM Asia and EMEA EM)and FX(EM Asia and Latam).In EM Asia rates,hold OW Indonesia and Malaysia vs.UW Thailand,and longs in short-end India local bonds,15y INDOGBs,Korea linkers vs.10y KRW payers and 5y5y TWD receivers.In EMEA EM rates,stay OW duration with OW Romania,Czech and South Africa vs.UW Hungary;receive 5y ILS,go long 1y Nigeria T-bills and 10y SERBGBs and hold CZK flatteners.In Latam rates,stay MW overall with OW Brazil and Peru vs.UW Chile,alongside outright longs in UYU linkers,1s3s IBR flatteners and new l0y TIIE receivers.In Asia FX,square UW PHP but stay OW overall via MYR.We closed CNH TWI shorts but stay short THB TWI.In EMEA EM,remain MW with OW PLN vs.UW CZK and RON.In Latam FX,stay bullish via OW BRL,COP and PEN in the GBI-EM Model Portfolio.Hold outright long ARS via 12m NDFs,downside MXN options,long BRL/MXN and long USD/CLP.In EM hard currency,stay with a reduced OW in EMBIGD,having halved the size of the OW in late January.Hold core UWs in Mexico,South Africa,and Turkey,where sovereign spreads are still susceptible to quasi-sovereign and private sector risks.Among low-spread names,move UW Poland amid fiscal and election risks,and hold OW Qatar versus UW Exim Bank in India and UW Romania.Among frontier markets,favor countries with low external financing needs and/or external buffers,staying OW Ecuador,Nigeria,Iraq,Azerbaijan,Paraguay versus UW Mongolia.Stay MW Ukraine but hold GDP warrants,as traded prices remain well below our fair value estimates.In EM corporates,we maintain our preference for GCC IG and Asia HY,while being mostly Neutral Latin America with OWs in Brazil against more cautious view on Mexico and Argentina credits.Click here to play videoContentsEM top trade recommendations.3Market Overview.4EM Macro Outlook.9EM Technicals.13EM Local Markets Strategy.15EM Hard Currency Strategy.20EM Equity Strategy.23Appendix.25Spreads and yieldsNote:As of 6 Mar 19 COB.Source:JPM,Bloomberg.Emerging Markets StrategyLuis Oganes AC(1-212)834-J.P.Morgan Securities LLCJonny Goulden AC(44-20)7134-J.P.Morgan Securities plcAsset 1mYTDLevelEMBIGD Spread-5-69345bpEMBIG Return0.57%5.10%GBI-EM Yield+1-206.25%GBI-EM US$Return-1.53%3.67%CEMBI Spread-14-62276bpCEMBI Return1.15%3.81%ELMI+-0.57%1.83%371CDX.EM 5y+1-32173bp10y UST-2.69%S&P 5002.40%10.56%2,771Oil(Brent)4.85%22.55%65.932Global Emerging Markets ResearchEmerging Markets Outlook and Strategy07 March 2019Luis Oganes(1-212)834-Jonny Goulden(44-20)7134- Contributing AuthorsGlobal EM ResearchEM Asia Local Market StrategyEM Sovereign Credit StrategyLuis Oganes Vasan Shridharan Trang Nguyen(1-212)834-4326(65)6882-2803(1-212)834- J.P.Morgan Securities LLCJPMorgan Chase Bank,N.A.,Singapore BranchJ.P.Morgan Securities LLCJonny Goulden Jonathan Cavenagh(44-20)7134-4470(65)6882-8424EM Corporate Credit SYang-Myung HongJ.P.Morgan Securities plcJPMorgan Chase Bank,N.A.,Singapore Branch(1-212)834-4274Michael Harrison Arthur Luk (1-212)834-7190(852)2800-6579J.P.Morgan Securities LLCAlisa Meyers J.P.Morgan Securities LLCJ.P.Morgan Securities(Asia Pacific)Limited(1-212)834-9151Amy Ho Tiffany W(1-212)622-9364(852)2800-1726J.P.Morgan Securities LLCZubair Syed J.P.Morgan Securities LLCJ.P.Morgan Securities(Asia Pacific)Limited(1-212)834-EconomicsEMEA EM Local Market StrategyJ.P.Morgan Securities LLCJahangir Aziz Saad Siddiqui(65)6882-2461(44-20)7742-5067Equity R Pedro Martins JuniorJ.P.Morgan Securities Singapore Private LimitedJ.P.Morgan Securities plc(55-11)4950-4121Sin Beng Ong Anezka Christovova (65)6882-1623(44-20)7742-2630Banco J.P.Morgan S.ADavid Aserkoff JPMorgan Chase Bank,N.A.,Singapore BranchJ.P.Morgan Securities plc(44-20)7134-5887Ben Ramsey Milo Gunasinghe (1-212)834-4308(44-20)7134-8063J.P.Morgan Securities J.P.Morgan Securities LLCJ.P.Morgan Securities plcNicolaie Alexandru-Chidesciuc(44-20)7742-2466Latin America Local Market S Carlos Carranza JPMorgan Chase Bank N.A,London Branch(1-212)834-7139Anthony Wong (44-20)7742-0985J.P.Morgan Securities LLC Robert Habib JPMorgan Chase Bank N.A,London Branch(1-212)834-4876Katherine M(1-212)834-2285J.P.Morgan Securities LLC Lara Bes J.P.Morgan Securities LLC(1-212)834- J.P.Morgan Securities LLC3Global Emerging Markets ResearchEmerging Markets Outlook and Strategy07 March 2019Luis Oganes(1-212)834-Jonny Goulden(44-20)7134- EM top trade recommendationsEM Local MarketsGBI-EM Model PortfolioOW FX overallOW Rates overallAsia-GBI-EM MPFX OW overallRates OW overallOW MYROW Indonesia,MalaysiaUW Thailand-TradesFXRatesShort THB TWI basketLong IGB 6.84%(19-Dec-22)Long 15y INDOGB(FR68)Long 10y KRW KTBi (10-Jun-26)Pay 10y KRW IRSPay 2y SGD IRS,receive 2y USD IRSReceive 5y5y TWD NDIRSEMEA EM-GBI-EM MPFX MW overallRates OW overallOW PLNOW Romania,Czech Rep,South AfricaUW CZK,RONUW Hungary-TradesFXRatesLong PLN/HUFLong Feb-20 EUR/RON forwardLong EUR/CZK17-May-19 EUR/HUF call(326)17-May-19 USD/ZAR call(17.00)Long 1y Nigerian T-billsLong 10y Serbia nominal bonds(5.875%Feb-28s)Pay Aug-Nov-19 FRA vs.Receive 5y CZK IRSReceive 5y ILS IRSLatin America-GBI-EM MPFX OW overallRates MW overallOW PEN,BRL,COPOW Brazil,PeruUW Chile-TradesFXRatesShort USD/ARS 12m forward(NDF)Long USD/CLP26-Apr-19 USD/MXN call(19.27),KO=18.50Long BRL/MXNLong UYU 2028(inflation linked)1s3s IBR flattener10y TIIE receiverEM Hard Currency MarketsEMBIGD MPOW overallOWUWAzerbaijanEXIMBK IndiaEcuadorMexicoIraqMongoliaNigeriaRomaniaParaguaySouth AfricaQatarTurkeyPolandEM Sovereign RVLong RiskShort RiskAsiaBuy INDO 4.75 29Buy INDO 5y CDSEMEA EMBuy SOAF 5.875 25Buy SOAF 5y CDSBuy UKRAIN 0 40Latin AmericaBuy MEX 3.75 28Sell MEX 4.35 47Buy CDX.EMBUY BRAZIL 5Y CDSGlobalSell Argentina 5y CDSBuy Turkey 5y CDSCEMBI MPMW overallAsiaLongAGILE 9.500%20sBKCOML 4.000%28sCOGARD 22s and 23sDALWAN 7.250%24sGJTLIJ 8.375%22sHAOHUA 23s,25s,28s and perpINDYIJ 5.875%24sKWGPRO 9.850%20sPOWINV 5.800%perpSAWSST 7.750%23sSUNOTG 3.750%23sTIANHL 13.750%23sZJMGCL 5.282%21sEMEA EMLongShortAABAR curveNostrum curveACCESS 21sDar Al Arkan CurveDNONO 20s and 23sENGPRO 24sHLSTWR 9.125%22sIsrael Chemicals 38Tabreed 5.5%25TIAMK 5.99 22sLatin AmericaLongCEMEX callable USD belly bondsCSN 7%PerpsSource:J.P:Morgan4Global Emerging Markets ResearchEmerging Markets Outlook and Strategy07 March 2019Luis Oganes(1-212)834-Jonny Goulden(44-20)7134- Market OverviewNothing to fear but fear itself and weak global growthWe hold the course with moderate EM OWs in local rates,sovereign credit and FX,in that order of conviction.The last month has been decidedly mixed for EM fixed income assets against a macro environment that has not changed much(Exhibit 1).EM credit(EMBIGD)is up 0.2%over the last month,with spreads unchanged and near six-month lows,while EM corporates returned 1%.Meanwhile,EM local markets total returns are negative(-1.2%),with positive rates returns offset by negative EM FX spot returns.EM FX performance has been the disappointment given the Fed pivoted dovishly,US-China trade tensions are moving more concretely towards a deal,and high frequency EM growth indicators show that fundamentals are likely past their worst.It is tempting to blame over-positioning for weak EM FX performance,but more recently EM investors seem to have reduced positions.Rather,the still-disappointing global growth data has not given a weak-enough USD,and this has meant that EM FX has not performed after the post-FOMC rally.We do not see anything too sinister in this,and while risk-managing investments should remain in focus this far into a US business cycle,there already seems to be a good amount of fear in investor mindsets.We hold our EM positions of modest OWs in EM local rates,sovereign credit and EM FX,in what has been a low volatility market with few major macro changes.The continuing dovish shift of global central banks,including in EM,where our economists have added easing,should also continue to benefit EM local rates most.Exhibit 1:Just me in the corner EM local markets have underperformed over the last monthSource:J.P.Morgan,data as of 6 Mar 2019Flashbacks to 2018 keep EM investors worried,as weaker global growth and a stronger USD preceded 2018s EM rout,but comparisons are only surface deep.While we share the view of only bounded optimism for EM assets this year,this is more based on a view of the US business cycle being advanced,which tends to make risk-reward less appealing.A dovish Fed should extend the horizon on the US business cycle at least versus a four-Fed-hike counterfactual that was the original 2019 forecast but this is unlikely to reset markets to a mid-cycle mindset of carry and much higherasset prices.However,the comparisons to 2018s concerns look only surface deep considering EM fundamentals,positioning and valuations.In terms of fundamentals,the larger external imbalances in 2018 epitomized by Argentina and Turkey which argued for currency weakness to help rebalance them have now corrected,with Turkeys current account deficit back to flat and Argentinas trade balance turning positive.Global growth indicators are soft,but the EM manufacturing PMI just rose above DM for the first time since 2013(Exhibit 2),EM Economic Activity Surprise Indices have turned positive,and higher frequency data has our Nowcaster for EM Q1 GDP above our forecast.Positioning is also now much reduced in EM FX versus this time last year,at least according to our EM Client Survey.In 1Q18 EM FX positioning was at the highest OW since 2007 and is now only at a small OW,having been reduced through 2018.EM FX valuations also improved over the past year,with spot EM FX 10%weaker versus the USD compared to a year ago.Exhibit 2:Not my fault sir global PMIs falling has recently been a DM rather than broad EM storyManufacturing Output PMIsSource:J.P.Morgan,Haver AnalyticsEM FX has been the weak link,and this may need a global growth pick-up to be in the data,not just the forecast to improve.EM FX has disappointed expectations since the Feds dovish January meeting EM sovereign spreads are 24bp tighter,while EM FX is weaker(-0.9%vs USD for our GBI-EM FX component).The lagging of EM FX versus hard 11.0%10.8%10.6%10.5%9.3%8.1%7.6%6.3%5.1%4.3%3.8%3.7%2.7%2.0%1.8%0.3%-0.7%1.9%3.5%1.5%1.8%0.7%2.1%1.0%0.9%0.2%1.4%1.0%-1.2%0.4%0.5%-0.3%0.1%0.6%-2%0%2%4%6%8%10%12%CommoditiesEuropean Equities(Euro Stoxx)S&P 500MSCI World(DM)LclEM EquitiesJapanese Equities(Topix)EM Frontier MarketsUS HYEM Sovereigns(Hard Currency)Euro HYEM Corporates(Hard Currency)EM Local Markets(USD)US HGEuro HGEM FXUS TreasuriesJPM USD IndexYTD1m48.049.050.051.052.053.054.055.056.057.0Mar-13Jul-13Nov-13Mar-14Jul-14Nov-14Mar-15Jul-15Nov-15Mar-16Jul-16Nov-16Mar-17Jul-17Nov-17Mar-18Jul-18Nov-18Emerging Markets PMIDeveloped Markets PMI5Global Emerging Markets ResearchEmerging Markets Outlook and Strategy07 March 2019Luis Oganes(1-212)834-Jonny Goulden(44-20)7134- currency spreads has been noteworthy,although not yet extreme(Exhibit 3),and does not offer a reliable signal forfuture outright direction.We find that EM FX valuations are still positive,with our long-term fair value model showing EM FX around half a standard deviation cheap,though valuations vary at the currency level.Positioning indicators are mixed and consistent with a small OW position in EM FX from dedicated investors,which has been reduced recently.EM fundamental signals are starting to improve,but it looks like markets will want to see evidence of global growth improving for the broader USD to weaken.EMs manufacturing PMIrose above DM in February for the first time since May 2013,EM Economic Activity Surprise Indices are positive and the most above DM equivalents since September 2017,and EM economic forecast revisions versus DM turned positive in December.At the same time,Chinas credit stimulus looks to be picking up.So there is some high frequency data to support the EM growth upturn our economists forecast.However,we showed in last months EMOS that rising global growth was what could take EM assets from good to great,and this has held EM FX back over the last several weeks.While our economists forecast Euro Area growth to increase meaningfully in 1Q19 versus 2H18,markets are likely to wait to see this confirmed given 12 months of data disappointments.In terms of our own ranking of EM assets,we still prefer high yielding EM local rates(benefiting from lower global rates,high real rates and falling global risk premia),then EM credit,and then EM FX.Exhibit 3:EM FX has lagged other EM assets such as EM sovereign credit spreads30-day return differential between EMBIGD spread returns and EM FX(GBI-EM FX component)returns(%)Source:J.P.Morgan.EM FX risk-taking indicators have increased,but we do not see this as a sell signal.EM FX implied volatility has now fallen substantially.J.P.Morgans EM-VXY index at 8.1%is at its lowest levels since April 2018 following a peak of 13.0%in September.Low levels of delivered volatility have contributed to this fall(Exhibit 4),however such low implied volatility could also signal increased risk-taking in the asset class.Our composite EM FX risk appetite indicator paints a somewhat similar picture(Exhibit 5).The index aggregatesseveral high frequency technical indicators for the EM FX market,including implied volatility,skews,flows and RSI,providing a richer assessment than implied volatility alone.Elevated levels,such as those currently,suggest elevated risk taking.However,only stretched levels tend to provide a reliable signal to sell EM FX.We reached a stretched level of risk-taking