高盛-我们处在本轮周期的什么位置？（全球宏观）-20190204-23页.pdf

WHERE ARE WE IN THE MARKET CYCLE?ISSUE 75|Febr uar y 4,2019|5:35 PM ESTEquityResearchGlobal Macro ResearchInvestors should consider this report as only a single factor in making their investment decision.For Reg AC certification and other important disclosures,see the Disclosure Appendix,or go to Goldman Sachs Group,Inc.Risk assets have r ecover ed a lar ge shar e of last year s losses,but sentiment still seems less ebullient than one year ago,and investor s r emain ner vous about slowing gr owth.Against this backdr op,how to inter pr et r ecent pr ice actionand whether it signals a tur ning point f or mar ketsis Top of Mind.We sit down with long-time investor Howar d Mar ks,who believes that last year s r epr icing r eflected a cor r ection of excessive exuber ance r ather than a mater ial change in the f undamental backdr op.Given the r isk r ally so f ar this year,he believes investor s ar e back to being r elatively optimistic and r ecommends a cautious stance.GS economists and str ategists gener ally agr ee,finding that economic cycles have become smoother and less f or war d-looking,leaving sentiment a key dr iver of mar ket vol.While they do not believe the cur r ent bounce will give way to a sustained bear mar ket,they expect a per iod of r elatively low r etur ns acr oss r isky assets,and high vol-of-vol.The most impor tant dr iver of r isk sentiment will be the mar kets continued comf or t level with the stance of monetar y policy.-Char lie Himmelber g“I dont believe that wer e in a bubble,and I dont think wer e going to have a cr ash.But f or an investor,I think the next five year s simply ar ent going to be as good as the last ten.-Howar d Mar ks“INTERVIEWS WITH:Howard Marks,Co-Founder and Co-Chair man,Oaktr ee Capital Mgmt.Charlie Himmelberg,Chief Mar kets Economist,Goldman Sachs Peter Oppenheimer,Chief Global Equity Str ategist,Goldman Sachs DIVORCED FROM A“BORING”REALITY Jef f Cur r ie,GS Commodities Str ategy Resear ch LESSONS FROM 2018 VIX SPIKES Rocky Fishman,GS Equity Der ivatives Str ategy Resear ch RISKY RISK APPETITE REVERSAL Chr istian Mueller-Glissmann and Alessio Rizzi,GS Multi-Asset Str ategy Resear chWHATS INSIDEofAllison Nathan| TOP MINDMarina Grushin|mar ina.gr .AND MOREDavid Groman|david.gr I dont think wer e enter ing a new equity mar ket cycle,j ust a dif f er ent phase of one thats been quite atypical so f ar.-Peter Oppenheimer每日免费获取报告1、每日微信群内分享7+最新重磅报告；2、每日分享当日华尔街日报、金融时报；3、每周分享经济学人4、行研报告均为公开版，权利归原作者所有，起点财经仅分发做内部学习。扫一扫二维码关注公号回复：研究报告加入“起点财经”微信群。El Goldman Sachs Global Investment Research 2 Top of Mind Issue 75 Macro news and views US Japan Latest GS proprietary datapoints/major changes in views We lowered our probability-weighted fed funds rate forecast for 2019 to 0.7 net hikes(vs.1.1 previously)and our modal forecast to 1 hike(vs.2)given Januarys dovish FOMC meeting.We lowered our Q1 GDP forecast by 0.2pp to 1.7%qoq ann.and raised our Q2 forecast by 0.2pp to 2.4%to reflect the impact of the government shutdown.Datapoints/trends were focused on Little evidence that trade policy has weighed on economic activity,though it has likely boosted core inflation by 0.15pp.Latest GS proprietary datapoints/major changes in views No major changes in views.Datapoints/trends were focused on The BOJs relatively bullish base case for growth/inflation,despite acknowledging heightened risks at its last meeting.The impact of Chinas slowdown;exports to China fell by 13.8%yoy in December,and some manufacturers cited China weakness in the January Reuters Tankan survey,which declined for the third straight month.A sharp deterioration in consumer confidence in January.A dip and a rebound Real federal spending around US govt.shutdowns,%chg.ann.Trade(head)winds Japanese export volume by region,%yoy Source:Department of Commerce,Goldman Sachs Global Investment Research.Source:Ministry of Finance.Europe Emerging Markets(EM)Latest GS proprietary datapoints/major changes in views We raised our subjective probability of a“no-deal”Brexit to 15%from 10%and lowered our odds of no Brexit to 35%from 40%.We left our odds of a delayed Brexit deal at 50%.Given political uncertainty,we now see November,rather than May,as the most likely month for a BOE rate hike this year.Datapoints/trends were focused on Growing risks that the ECB raises rates later than our base case of Q4,particularly since the bank acknowledged that risks to Euro area growth are skewed to the downside.Latest GS proprietary datapoints/major changes in views We now expect a cut from Indias central bank in February(vs.no change)on softer growth and subdued inflation.Datapoints/trends were focused on A significant rebound in EM ex-China activity from Q3 lows.Chinas relatively limited policy easing despite slowing activity;we expect further stimulus including lower rates and infrastructure spending to eventually help stabilize growth.Reduced pressure for rate hikes across EM given the Feds dovish turn;however,the bar for cuts remains high.After the strike Impact of one week of strikes on French CAI(annualized),pp EM accelerating alone Contributions to the change in global CAI from Sep.-Dec.2018,bp Source:National Opinion Polls,Goldman Sachs Global Investment Research.Source:Goldman Sachs Global Investment Research.-25-20-15-10-50510152025Previous FourQuartersShutdown QuarterShutdownQuarter+1ShutdownQuarter+2Federal Consumption,4Q95Federal Investment,4Q95Federal Consumption,4Q13Federal Investment,4Q13-30-20-1001020302013201420152016201720182019ChinaUSEU-0.3-0.2-0.100.10.20.30.40.5-1Start of Strike123CAIHard CAISoft CAIMonths-40-30-20-10010203040EMs ex ChinaRest of DMEuro AreaChinaUS34%12%15%19%19%of worldof worldof worldof worldof worldWe provide a brief snapshot on the most important economies for the global markets El Goldman Sachs Global Investment Research 3 Top of Mind Issue 75 What a difference a month can make.After the most volatile Q4 since 2011,markets have enjoyed a strong start to 2019 in large part owing to a Fed that seems increasingly willing to come to the rescue.But sentiment still seems less ebullient than a year ago,and investors remain nervous about slowing growth.Against this backdrop,how to interpret the recent price actionand whether it signals a turning point in the cycleis Top of Mind.We begin by asking Howard Marks,long-time investor and co-founder of Oaktree Capital Management,what to make of the Q4 market volatility.He argues that the sell-off confirmed little more than the power of market psychology.In his view,investors had grown too optimistic about the economic outlook and too comfortable with risk over the course of 2017-2018;this set asset prices up for an inevitable correction to let some“hot air”out of the balloon.While sentiment was“chastened,”Marks believes investors are back to being relatively optimistic,and therefore recommends a cautious stance.(That said,he does not think a US recession is imminent,nor does he anticipate a 2008-style market crash.)Sentiment swings Investors Intelligence survey of bearish and bullish sentiment Source:Investors Intelligence.Special thanks to the multi-asset strategy team.GS Global Head of Commodities Research Jeff Currie agrees with the view that sentiment,rather than fundamentals,drove last years volatility.He points out that“soft”survey-based data(e.g.,confidence indices,PMIs)fluctuated significantly in 2017-2018,while hard economic data(e.g.,sales,industrial production)remained relatively stable.Currie believes this is emblematic of a new,post-crisis backdrop in which markets are increasingly divorced from fundamentals;in his view,factors like technology have made traditional economic cycles smoother and less forward-looking,leaving shifting sentiment a more important driver of market volatility.GS Chief Markets Economist Charlie Himmelberg offers a somewhat different perspective.He thinks investor optimism in early 2018 was warranted.And he ascribes the volatility that followed to a combination of real and sentiment-driven factors:namely,slowing growth amid worries about an“inflexible”Fed.Clearly,the Feds recent dovish pivot has gone a long way in appeasing these fears.So now that the markets have settled again,what kind of environment can investors expect for the months ahead?Our multi-asset strategists,Christian Mueller-Glissmann and Alessio Rizzi,caution that the normalization of risk sentiment may lose steam without better macro data.But given that our economists continue to expect a stabilization in growth,Mueller-Glissmann and Rizzi recommend investors remain modestly pro-risk(overweight equities and commodities,as well as cash).For equities in particular,GS Chief Global Equity Strategist Peter Oppenheimer maintains that the current cycle has more room to run,and he does not see the current rally as the kind of“bear market bounce”that typically precedes sustained declines.For one,he notes that other large post-crisis sell-offs comparable to last years led to long rallies(think 2015-2016).And,more importantly,he points out that sustained bear markets are unlikely outside of a recession,which we arent expecting.Nevertheless,like Marks,he paints a somewhat sober picture for investors in 2019,with low equity returns and significantly weaker profit growth than in recent years.He therefore recommends investing in companies with strong balance sheets and a track record of stable growth.As for equity volatility,the best advice for investors may(unfortunately)be to expect the unexpected.Just as Currie sees the traditional business cycle as a less reliable framework today,GS Equity Derivatives Strategist Rocky Fishman argues that the concept of volatility regimes is less relevant than it once was due to high vol-of-vol.Indeed,2018 proved that volatility can transition swiftly from sharp increases(February)to very low periods(Q3)and back again(Q4).However,Fishman notes that that the floor for the VIX seems to be moving higher with every new spike,and recommends VIX call options for investors who want to hedge against the next volatility episode.Our key takeaways from all of the above?The market cycle is probably not at a major inflection point,but returns across assets will likely be considerably weaker going forward.More broadly,the shifting nature of“cycles”will be important as investors gauge where the markets and economy go next.Allison Nathan,Editor Email: Tel:212-357-7504 Goldman Sachs and Co.LLC 1020304050607006081012141618BullishBearishGlobalfinancial crisisWhere are we in the market cycle?El Goldman Sachs Global Investment Research 4 Top of Mind Issue 75 Howard Marks is the co-founder and co-chairman of Oaktree Capital Management.He has published widely,including his latest book,Mastering the Market Cycle(October,2018).Below,he argues that investor attitudes towards risk are a valuable gauge for assessing where we are in the cycle,and thus how smart investors should behave.He also argues that excesses in the credit markets are a key source of risk to the economic expansion.The views stated herein are those of the interviewee and do not necessarily reflect those of Goldman Sachs.Allison Nathan:What do you make of the recent market volatility?Howard Marks:To me,it just confirms that markets are psychologically volatile.On October 3,everything was fine;on October 4,the equity market began one of the biggest declines ever seen over such a short period of time,leading to the worst December since the Global Financial Crisis(GFC).Fundamentally,of course nothing had changed overnight,and not much has changed even over the prior few months;mostly its just that the market swung from looking at things optimistically to looking at them pessimistically.The truth is,most things can be viewed either positively or negatively,and the bias of onlookers influences which perception prevails at any point in time.All that said,I have argued since roughly mid-2017 that markets were excessively optimistic.And excessive optimism,faith in the future,and greed leave the market vulnerable to this type of sentiment-driven correction.So this episode just illustrates how much market violence emotion can wreak,especially from a place of too much exuberance.Fundamentally not much has changed its just that the market swung from looking at things optimistically to looking at them pessimistically.”Allison Nathan:How do you determine whether or not markets are too exuberant?Howard Marks:By assessing how people are thinking and behaving around you.In general,as investors,we cant predict where were going,but we should be able to tell where we are.We can do that by“taking the temperature of the market”through questions like:Where does market psychology stand?To what extent has this psychology been priced in?Are attitudes toward risk prudent or cavalier?Answering these types of questions doesnt help predict the future,but it does help investors get the odds on their side,because they are better able to determine whether markets are more exposed to upside potential or downside risk.And in my assessment,last year the markets were more exposed to downside risk.Allison Nathan:But couldnt at least some of last years optimism have been fairly attributed to strong US economic growth?Howard Marks:What matters most to markets is not a good quarter or a good year,but what the future looks like.Case in point,last year we had some of the fastest US economic growth since the GFC,but some of the worst market performance.In my view,the economic strength post the US tax bill was like a shot of adrenaline in the economy;far from creating a stable platform for more rapid growth,I thought it would give us a couple of good quarters before either receding or necessitating more restrictive actions from the Fed to avoid excessive inflation.But people reacted very positively to it,andmost importantlythey extrapolated into the future the strong growth we were experiencing.I was getting email from people saying,“Look at Australiathey havent had a recession in 26 years.Maybe the US wont have a recession for 26 years.”That kind of Pollyannaish thinking told me there was too much hot air in the balloon.When assets begin pricing in the notion of permanent prosperity,it usually turns out to be an illusion.When assets begin pricing in the notion of permanent prosperity,it usually turns out to be an illusion.”Allison Nathan:Does this kind of behavior suggest to you that we are nearing the end of the economic expansion?Howard Marks:Im not an economist,and I dont believe in forecasting;as investors we never know whats going to happen,like I said,but we can know something about the odds.Were in the second half of the 10th year of an economic recovery,and US economic recoveries have never lasted more than 10 years.That doesnt mean that on the 10th anniversary of the current expansion iron gates will come down and the economy will descend into recession.My guess is that this recovery will indeed turn out to be the longest in history,and thus that mo