汇丰银行-全球-投资策略-全球多资产策略：地板与天花板-2019.1.28-23页.pdf

Disclosures&Disclaimer This report must be read with the disclosures and the analyst certifications in the Disclosure appendix,and with the Disclaimer,which forms part of it.Issuer of report:HSBC Bank plc View HSBC Global Research at:https:/ As markets remain torn between the threat of slower growth and the prospect of less monetary tightening.equities and sovereign bonds are likely to perform similarly over the course of the year Yet we see further upside for risk assets in the near term Markets will probably remain torn between the threat of slower global growth and the prospect of less monetary tightening(see Torn:tensions and timing,7 Jan 2019).Indeed this is our base case in the three scenarios we set out below base,bull and bear.We believe this could ultimately be a year with little differentiation between equities and(sovereign)fixed income,in particular in risk-adjusted terms(The end of easy,14 Nov 2018).Instead,there will probably be frequent episodes when investors price extreme scenarios especially with regard to the timing of the end of the cycle.So rather than stabilising along a straight line,markets might move between the bullish and bearish scenarios in the coming months.A bullish case could result from a fairly quick resolution to trade tensions between China and the US.This would probably improve sentiment with risk assets such as global equities and cyclicals likely pushing higher while DM government bonds sell off.But market implications actually might not be as bullish as they first seem.Concerns about an overly hawkish Fed,higher real yields,and a flatter UST yield curve will probably set a ceiling to global equities relative to fixed income.In our bearish case trade tensions would linger on.Global growth would slow by more than the consensus currently expects as uncertainty around trade weighs further on sentiment.Yet after an initial knee-jerk overreaction of risk assets,markets would probably discount the possibility of a recession again,akin to the price action in December.Hence expectations of monetary easing(Fed put)would eventually set a floor and boost risk assets with markets again moving back towards our base case.Equities vs sovereign fixed income:base case Source:HSBC,Bloomberg,Markit,Refinitiv Datastream;We assume global equities(MSCI ACWI Index)and global sovereign bonds(Bloomberg Barclays Global Treasuries Index)rise by 1.5%and 0.5%by the end of March,respectively.The forecast weekly y/y performance is illustrated as the grey line-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs sovereign bonds(Y/Y,TR,RHS)Base case-50-25025504547495153555720172018201928 January 2019 Ceilings and Floors MULTI-ASSET GLOBAL Max Kettner Multi-Asset Strategist HSBC Bank plc +44 20 7991 5045 Duncan Toms Multi-Asset Strategist HSBC Bank plc +44 20 7991 3025 Mark McDonald Head of Data Science and Analytics HSBC Bank plc +44 20 7991 5966 Pierre Blanchet Head of Multi-Asset Strategy HSBC Bank plc +44 20 7991 5388 Raghav Sharma*Associate Bangalore *Employed by a non-US affiliate of HSBC Securities(USA)Inc,and is not registered/qualified pursuant to FINRA regulations Multi-Asset Bulletin 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。MULTI-ASSET GLOBAL 28 January 2019 2 Multi-Asset Spotlight 3 Multi-Asset Performance 5 Correlation 7 Volatility 9 Sentiment/Flows/Positioning 10 Macro 12 FX 13 Fixed income(rates)14 Fixed income(credit)15 Equities 16 Commodities 17 Key forecasts&recommendations 18 Disclosure appendix 19 Disclaimer 23 Contents 3 MULTI-ASSET GLOBAL 28 January 2019 Multi-Asset Spotlight Markets will probably remain torn between the threat of slower global growth and the prospect of less monetary tightening(see Torn:tensions and timing,7 Jan 2019).Indeed this is our base case in the three scenarios we set out below.Base case lower differentiation between equities and sovereign fixed income As a reaction to weaker data,heightened financial market volatility and dovish Fed talk our economists now only expect one more Fed hike in 2019 and none at all by the ECB this year and next.Our base case also factors in a deceleration of global growth towards trend,but no collapse.In our base case its tough to see what could turn the entire macro picture upside down.Put differently whilst concerns about an imminent recession seem stretched,its equally hard to imagine a return to much stronger and synchronised global growth.The elephants in the room are potentially softer Q1 US macro data and most importantly trade tensions which we address below.1.Equities vs fixed income:base case Source:HSBC,Bloomberg,Markit,Refinitiv Datastream;We assume global equities(MSCI ACWI Index)and global sovereign bonds(Bloomberg Barclays Global Treasuries Index)rise by 1.5%and 0.5%by the end of March,respectively.The forecast weekly y/y performance is illustrated as the grey line We think the market behaviour will be much more volatile though,given 1)the current cycle is already old by historical standards,2)the US yield curve is almost flat,3)recently weaker business surveys across the globe,4)still elevated US real yields,and 5)numerous political headwinds with the lack of clarity on the US government shutdown.In fact this could be a year with little differentiation between equities and(sovereign)bonds,particularly in risk-adjusted terms(The end of easy,14 Nov 2018).Instead,there will probably be frequent episodes when investors price extreme scenarios especially with regard to the timing of the end of the cycle.So rather than stabilising along a straight line,markets will probably move between the below bullish and bearish scenarios in the coming months.Bullish case not as bullish as it seems A more bullish case could come as a result of a fairly quick resolution to trade tensions between China and the US.Though,whether this will result in a sharp revision upwards in our global growth forecasts is somewhat questionable,(Trading down?,3 Jan 2019)given that our forecasts have only been nudged down slightly.But our economists expect that even if tensions ease,the potential economic impact could linger throughout 2019 and possibly beyond.From a market perspective the more important result would likely be a substantial improvement in sentiment.As a result global equities and cyclicals in particular are likely to push higher.Additionally,DM government bond yields might rise as Fed hikes would be priced in again and credit(especially HY)is likely to do well temporarily.-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs sovereign bonds(Y/Y,TR,RHS)Base case-50-250255045474951535557201720182019 MULTI-ASSET GLOBAL 28 January 2019 4 2.Equities vs fixed income bull case Source:HSBC,Bloomberg,Markit,Refinitiv Datastream;The bull case makes two assumptions about the performance of global equities and global sovereign bonds.For global equities,we assume 5%upside by the end of March.For global sovereign bonds we assume that half of the gains since mid-November will be reversed-this creates an assumption of 1.75%downside by end-March.But we think the market implications are actually not as bullish as they first seem.Suppose equities and rates are re-priced as above,concerns about an overly hawkish Fed and an inverted UST yield curve might quickly take over.Additionally,likely higher real UST yields may give rise to worries for risk assets(even for EM!).This probably sets a ceiling to global equities relative to fixed income.It also makes a return of goldilocks seem unlikely(solid global growth combined with dovish central bank policy).Bearish case down but cushioned In our bearish case trade tensions would linger on.Global growth would slow by more than the consensus currently expects as uncertainty around trade weighs on sentiment.This would be particularly applicable to more open economies such as the Eurozone where we already see business surveys flirting with contraction territory.3.Equities vs fixed income bear case Source:HSBC,Bloomberg,Markit,Refinitiv Datastream;The bear case makes two assumptions about the performance of global equities and global sovereign bonds.For global equities,we assume 5%downside by the end of March.For global sovereign bonds we assume that another round of gains will be added;we assume a magnitude of half of the gains since mid-November this creates an assumption of 2.05%upside by end-March.In that case equities and credit would most likely continue to fall while DM rates rally further perhaps even to the point where the market prices an entire imminent Fed rate cut.Similar to our bullish case,we think this would be a stretch as markets would discount an unnecessarily high probability of a recession.Expectations of monetary easing(Fed put)would eventually set a floor and boost risk assets again with markets moving back towards our base case.Currently,our indicators mostly provide mixed signals:sentiment and positioning no longer flash extreme bearishness.Yet,most of them like HSBCs Equity Sentiment Index still provide at least a modest buy signal.Additionally,our surprise diffusion indicators appear to be bottoming.Finally,Fed rate expectations remain subdued and real UST yields are still off their 2018 highs,suggesting risk assets have further to run until they reach the bull case.Hence we think the rebound in risk assets can continue in the coming weeks(see Scaling up,25 January).Then,once the Fed outlook gets re-priced according to our bull case and/or Q1 US data disappoint,this should be followed by another leg lower for risk assets in H1.-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs sovereign bonds(Y/Y,TR,RHS)Bull case-50-25025504548515457201720182019-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs.sovereign bonds(Y/Y,TR,RHS)Bear case-50-25025504548515457201720182019 5 MULTI-ASSET GLOBAL 28 January 2019 Multi-Asset Performance Risky assets were off to a roller-coaster ride last week:markets were torn between global growth fears,worse-than-expected Eurozone macro data and unchanged dovish Fed rate hike expectations.Hence,global equities swung between gains and losses while major DM sovereign yields plunged across the board.IG credit spreads tightened,though HY lagged especially during the middle of the week due to the rise in global equity market volatility.EM equities outperformed vs their DM peers in response to lower DM sovereign yields.We think this will continue in the coming weeks as foreign investor flows remain supportive and UST yields will probably be fairly range-bound in the near-term.1.Multi-Asset(USD,TR,%)2.Relative Asset Class Performance(12M)-5.00.05.010.015.020.025.0Oil(spot)DM equitiesDM govt.bondsHYCreditEMLCEMXDInflationEM equitiesGold1W1M 8090100110Jan-18Apr-18Jul-18Oct-18Jan-19Total Returns Indexed at 100EM vs.DM equityEMXD vs DM sov.Gold vs.DM sov.Source:Bloomberg,HSBC Source:Bloomberg,HSBC 3.Equity Regions(local currency,TR,%)4.Relative Equity Performance(12M)-5.00.05.010.015.020.0UKUSEM LatAmPacific ex JapanJapanEurozoneEM AsiaEM EMEA1W1M 80859095100105110Jan-18Apr-18Jul-18Oct-18Jan-19Total Returns indexed at 100EM ex Asia vs EMEurozone vs USJapan vs Eurozone Source:Bloomberg,HSBC Source:Bloomberg,HSBC 5.Fixed Income(local currency,TR,%)6.Relative Fixed Income Performance(12M)-1.00.01.02.03.04.05.0USD HYEUR HYJGBUSTEUR IGEZ coreEZ non-coreAsiaUSD IGUKT1W1M 949698100102104Jan-18Apr-18Jul-18Oct-18Jan-19Total Returns Indexed at 100UST vs EZ core(LHS)USD IG vs USD HY(LHS)EUR IG vs EUR HY(LHS)Source:Bloomberg,HSBC Source:Bloomberg,HSBC MULTI-ASSET GLOBAL 28 January 2019 6 Multi-Asset Performance Judging by the relative performance picture we think the recovery of equities can continue in the coming weeks.For example the relative 3M return of DM equities vs global sovereigns and vs global high yield is still a long way off stretched territory.Within DM equities it seems that the outperformance of Value over Growth is already over.Similarly within EM equities EM Asia has picked up momentum lately we see this continuing given likely further Chinese stimulus measures and range-bound UST yields.Within credit we think EMXD still has more upside than USD HY until year-end,though in the short-term the relative performance looks stretched.We also like EUR HY more than its IG peers,given EUR HY has lagged in the recent rebound and asymmetric risks in the upcoming earnings season for IG.7.DM equity vs global sovs(USD,TR,%)*8.DM equity vs global HY(USD,TR,%)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 9.DM EQ Value vs Growth(USD,TR,%)*10.EM ex Asia EQ vs EM EQ(USD,TR,%)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 11.EMXD vs USD HY(USD,TR,%)*12.EUR HY vs EUR IG(EUR,TR,%)*Source:Bloomberg,HSBC;EMXD=EM external debt Source:Bloomberg,HSBC*Rolling 13-week total returns over past five years.Standard deviation bands based on weekly returns over past five years.-0.3 stdev-20-15-10-505101520201420152016201720182019+/-1 StdevDM equity vs global sovereigns0.2 stdev-15-10-50510201420152016201720182019+/-1 StdevDM equity vs global high yield0.2 stdev-8-6-4-20246810201420152016201720182019+/-1 StdevDM EQ Value vs Growth0.2 stdev-16-80816201420152016201720182019+/-1 StdevEM ex Asia EQ vs EM EQ1.5 stdev-8-6-4-20246201420152016201720182019+/-1 StdevEMXD vs USD HY-0.9 stdev-7.0-3.50.03.57.0201420152016201720182019+/-1 StdevEUR HY vs EUR IG 7 MULTI-ASSET GLOBAL 28 January 2019 Correlation Correlations between typical safe havens:US Treasuries,the JPY,and Gold remain elevated.For example,the correlation between JPY-USD and USTs,and JPY-USD and Gold are well above their long run average,and have not fallen despite the return to risk-on in January.We have recently ranked safe-havens on a cross-asset basis.We find USTs to be safe-haven champions,followed by the JPY in second,and gold in third place(see Hedging with havens).1.Asset class views:Correlation matrix Source:Bloomberg,HSBC;EMXD=EM external debt;EMLC=EM local debt 2.JPY-USD vs USTs 3.JPY-USD vs Gold Source:Bloomberg,HSBC;Average since 2005 Source:Bloomberg,HSBC;Average since 2005 USTsEUR coreEUR non-coreGiltsJGBsUSD IGUSD HYEUR IGEUR HYAsia creditUS equityJapan equityEUR equityUK equityEMXDEMLCEM equityInflation linkedOil(WTI)Indust.MetalsGoldJPY-USDGBP-USDEUR-USDUSTs32-14-2157-14-8-2731-1029643-13-62-3-7-1EUR core733-26 1110-40-19814-685515188-9-32-61EUR non-core-1-107-817-10-6-15 12-22-63-2-28-17-18-8-280-22-12Gilts6789761-208-1455214105-851120-14-15-9-14-24JGBs6049274516-20-11-192-11-21-5-8-75-27-15-10 128612USD IG7853550413-29-29-38-1-4-1610126-6112-127-93-2USD HY-39-240-18-2945-34-13-26 14139-3-14-181-425-5-9-140-7EUR IG30561747164052-19-110-6-2-14-14-20-15-14-12-261-10-10-20EUR HY-50-41 24-36-32-666303-2891414-2-14-161-203-13-11-287-8Asia credit73598553479047-72-11-10-6-16-15-29-21-14-6-1