汇丰银行-全球-投资策略-多资产策略：所有人都担心赶不上火车-2019.3.18-23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:/ Votingopens11thMarch12thAprilIf youvalueourserviceandinsight,pleasevoteClick here to voteVote in Extel 2019 Fear of missing out(FOMO)has led to the return of buy-the-dip While the Fed put remains in place,a significant sell-off of risk assets continues to be unlikely We assess the various signals coming from the current macro backdrop and their cross-asset implications Risk assets rebounded across the board last week.In fact,it appears one of the most prominent market features of the past couple of years buy the dip is staging a comeback(chart 1).Hence we think a significant sell-off continues to be unlikely as long as 1)US macro data signals no clear direction and 2)the Fed put therefore remains in place.Additionally 10Y USTs continue to be more responsive to negative US activity surprises currently(chart 2).This should prevent DM yields from rising significantly as other central banks such as the ECB will stay dovish for longer.Multi-Asset Spotlight:Its all about macro Trade and industrial data have been patchy in recent months.Indeed the more open economies appear to have had larger falls in their manufacturing PMIs since September.While trade tensions have of course contributed to slowing PMIs,in fact EM trade data already started to surprise negatively prior to March 2018.Our economists trade sentiment indicator has plummeted sharply in recent months.The relative performance of 1)global equities vs global sovereign bonds and 2)EM cross-asset performance,however,is more upbeat and seems priced for at least some stabilisation in trade.Hence,we believe the lions share of the rebound in risk assets is already behind us.So the positioning within asset classes will become much more important.In DM equities,our strategists still like the US,shun Europe,see fairly decent upside in Japan,and recently upgraded consumer stocks globally as the consumer remains in decent shape.In DM rates,we like duration in EUR non-core and Australia,but think expectations of easing have gone too far in Canada.18 March 2019 All aboard the FOMO train 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 James Pomeroy Economist HSBC Bank plc +44 20 7991 6714 Daniel Grosvenor*Equity Strategist HSBC Bank plc +44 20 7991 4246 Pierre Blanchet Head of Multi-Asset Strategy HSBC Bank plc +44 20 7991 5388 Mark McDonald Head of Data Science and Analytics HSBC Bank plc +44 20 7991 5966 Jayasankar Mallisetty*Associate Bangalore *Employed by a non-US affiliate of HSBC Securities(USA)Inc,and is not registered/qualified pursuant to FINRA regulations 1.Comeback of buy-the-dip?2.USTs more responsive to bad news Source:Bloomberg,HSBC;graph shows strategy that is invested in the S&P 500 if the previous weeks average return is below unconditional average return,else it is not invested Source:Bloomberg,HSBC;graph shows proportion of weeks with higher(lower)10Y UST yields over a rolling 26W horizon when activity surprised positively(negatively)6010014018022026020052007200920112013201520172019Buy-the-dip index value(S&P 500)0255075100201420152016201720182019UST 10Y(upside surprises)UST 10Y(downside surprises)Multi-Asset Bulletin MULTI-ASSET GLOBAL 18 March 2019 2 Multi-Asset Spotlight 3 Multi-Asset Performance 5 Multi-Asset Performance 6 Correlation 7 Correlation 8 Volatility 9 Sentiment/Flows/Positioning 10 Sentiment/Flows/Positioning 11 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 18 March 2019 Multi-Asset Spotlight Its all about macro Trade and industrial data have been patchy in recent months.Of course trade tensions have contributed to this.More to the point:the more open economies appear to have seen larger falls in their manufacturing PMIs during recent months(chart 1).Given the latest delay in US-China trade talks this industrial weakness could persist,with the global manufacturing PMI down again in February(Any signs of a turnaround?,11 Mar).But we also think its not all about trade tensions.Chart 2 shows there is something more fundamental going on.In fact,EM trade data had already started to surprise negatively before March 2018.In other words,we shouldnt solely blame trade tensions for the slowdown in global trade growth.Our view is that the global macro environment is still adjusting,after the illusion of stronger and more synchronised global growth.We display what all this means for financial markets in charts 3 and 4.Our economists trade sentiment indicator has plummeted sharply in recent months1.So far we have not seen credible signs of a turnaround in global trade sentiment and EM trade data surprises.The recent outperformance of global equities vs global sovereign bonds,however,seems to be already priced for at least some stabilisation in trade(chart 3).Consequently we believe the lions share of the rebound is already behind us from that point of view.The same applies to EM cross-asset performance,where we think even a pause vs DM assets is likely(EM time for a breather,18 Feb).Hence,if risk assets vs DM sovereigns were indeed to move only slightly _ 1 Note:Trade sentiment indicator is a combination of PMI new export orders,Taiwan export orders and IFO export orders components and normalised 1.More open economies have seen PMIs fall more in recent months 2.EM trade data already started to disappoint before March 18 s Source:Bloomberg,Refinitiv Datasteam,HSBC Note:size of dots represents nominal GDP;colour represents regions Source:Bloomberg,HSBC 3.Trade sentiment among factors related with global equities vs sovereigns 4.Worse trade sentiment weighing on risk sentiment and in turn EM assets Source:Bloomberg,HSBC Source:Bloomberg,HSBC-40-200204020152016201720182019HSBC EM trade data surprises(6-month change)1 March 18:DJT:Tradewars are good020406080100-20-10010203040506020102012201420162018Global equities vs sovereigns(TR,%,Y/Y,LHS)Trade sentiment indicator(RHS)020406080100-40-200204060199820022006201020142018EM cross-asset(TR,%,Y/Y,LHS)Trade sentiment indicator(RHS)MULTI-ASSET GLOBAL 18 March 2019 4 higher from here,the positioning within asset classes will become much more important.Within equities our strategists still like the US while shunning European equities and seeing fairly decent upside in Japanese equities(c.12%given undemanding valuation,positioning and somewhat better EPS growth;see Japan down but not out,1 Mar).Within DM rates we like duration in EUR non-core and Australia(Flat as a pancake,12 Mar)but think expectations of easing have gone too far in Canada(Extend up,bow down,15 Mar).5.Consumer confidence holding up in most countries Source:HSBC,Refinitiv Datastream.Note:based on 10-year z-score for each country.While the current macro backdrop is all too tempting to see doom-and-gloom everywhere,there are some genuine green shoots.Most notably the global consumer remains in better health.Labour markets are tight,wage growth is creeping up and inflation is coming down.The oil price may be grinding higher but our economists think it should still detract from headline inflation in 2019.Consumer confidence is elevated:globally consumers are significantly more pessimistic vs a longer-term history(chart 5).Only in Argentina,India,Sweden and Colombia are consumers clearly more pessimistic than recent history.In our economists view this more resilient consumer outlook should put a floor under the global slowdown in the coming quarters.Our equity strategists have also turned more constructive on consumer stocks where relative EPS revisions have risen most notably in Consumer Staples(see charts 6 and 7 and Radar:Reach for your wallets,6 Mar).-2-10123-2-10123China(Dec)Mexico(Jan)Poland(Feb)US(Feb)Indonesia(Jan)Italy(Feb)Germany(Feb)Spain(Feb)Brazil(Feb)Chile(Nov)Eurozone(Feb)South Africa(Nov)Canada(Feb)Switzerland(Feb)Japan(Feb)Australia(Feb)France(Feb)Norway(Feb)Russia(Nov)Malaysia(Nov)South Korea(Feb)UK(Feb)Turkey(Feb)New Zealand(Nov)Thailand(Jan)Colombia(Jan)Sweden(Feb)India(Nov)Argentina(Feb)Z-ScoreZ-ScoreLatest consumer confidence(Z-Score)Latest6m ago6.EPS revisions have turned positive relative to the wider market 7.driven by defensives and consumer services Source:MSCI,Refinitiv Datastream,IBES,HSBC Source:MSCI,Refinitiv Datastream,IBES,HSBC-20%-15%-10%-5%0%5%10%15%141516171819Relative revisions ratioConsumerConsumer DiscConsumer Stap-20%-15%-10%-5%0%5%10%15%AUT RET CDU FBV HHP CSV FRTRelative revisions ratio-3mCurrent 5 MULTI-ASSET GLOBAL 18 March 2019 Multi-Asset Performance Risk assets gained across the board last week,led by oil and DM equities.DM government bonds on the other hand performed worst,though still posting marginal gains.In fact the 10Y UST yield even fell below 2.6%on 15 March as industrial production data disappointed.Within equities DM outperformed vs EM as in particular the US powered ahead.LatAm equities gained most across regions as higher oil prices and hopes for the pension reform being passed in H1 bolstered Brazilian equities.Within fixed income UK gilts lost ground as real yields rose on hopes for a favourable Brexit outcome.High yield spreads tightened along other risk assets and as such EUR HY and USD HY were among the best performing asset classes.1.Multi-Asset(USD,TR,%)2.Relative Asset Class Performance(12M)-2.00.02.04.06.08.0DM govt.bondsGoldCreditEMLCEMXDHYInflationEM equitiesDM equitiesOil(spot)1W1M 80859095100105Mar-18Jun-18Sep-18Dec-18Mar-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)0.01.02.03.04.05.06.0Pacific ex JapanEM EMEAUKJapanEM AsiaEurozoneUSEM LatAm1W1M 859095100105110Mar-18Jun-18Sep-18Dec-18Mar-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)-2.5-1.5-0.50.51.52.5EZ coreUKTEZ non-coreJGBUSTUSD IGEUR IGAsiaEUR HYUSD HY1W1M 9698100102104Mar-18Jun-18Sep-18Dec-18Mar-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 18 March 2019 6 Multi-Asset Performance As DM equities continued to rise further last week the relative performance vs DM sovereigns has risen above 1.5 standard deviations away from zero.This doesnt necessarily indicate an imminent sell-off though:the relative performance between the two has historically often remained at such seemingly stretched levels.EMXD and EM local debt performed roughly in line with each other lately.We see more upside for external debt though as further dovish signals from the DM rates market are unlikely:e.g.10Y UST yield is already trading below our rates strategists near-term range.EM Asia trailed LatAm equities last week but we think in particular Chinese equities still have decent upside.In addition India might now be at the start of a bull run as valuations are no longer excessive and the EPS outlook is favourable(India Equity Strategy,15 Mar).7.DM ex US vs US equity(USD,TR,%)*8.DM equity vs DM sov.(USD,TR,%)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 9.EMXD vs EMLC(USD,TR)*10.USD HY vs EUR HY(OAS,bp)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 11.DM EQ Momentum(USD,TR,%)*12.EM ex Asia vs EM EQ(USD,TR,%)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC*Rolling 13-week changes over the past five years.Standard deviation bands based on weekly returns over past five years.-0.2 stdev-12-8-4048201420152016201720182019+/-1 StdevDM equity ex US vs US equity1.5 stdev-20-15-10-5051015201420152016201720182019+/-1 StdevDM equity vs global sovereigns0.0 stdev-10-50510201420152016201720182019+/-1 StdevEMXD vs EMLC1.0 stdev-120-60060120201420152016201720182019+/-1 StdevUSD HY vs EUR HY(OAS,bp)-0.2 stdev-8-6-4-20246201420152016201720182019+/-1 StdevDM EQ Momentum vs World-0.1 stdev-16-80816201420152016201720182019+/-1 StdevEM ex Asia EQ vs EM EQ 7 MULTI-ASSET GLOBAL 18 March 2019 Correlation Oils correlation with EM external debt(EMXD)and USD HY has recently fallen sharply.As oil was whipped around during the last six months,these correlations were unusually high certainly relative to the longer term average.As oils YTD rally has slowed somewhat,these falling correlations shouldnt be a significant surprise.We still believe that on a relative basis,there is some catch-up potential for EMXD relative to USD HY(see No Big Bounce Back,19 Nov 2018).Our risk-on/risk-off indicator,that measures the strength of cross-asset correlations between risk-on and risk-off assets,has recently fallen(Chart 5).Yet these cross-asset correlations are still strong relative to recent history(last 2 years).1.Asset class views:Correlation matrix Source:Bloomberg,HSBC;EMXD=EM external debt;EMLC=EM local debt 2.Oil vs EMXD 3.Oil vs USD HY 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-USDUSTs31-12-2135-22-11-310-12-24-76-24-5-3-1-658-102EUR core723-25 11-5-3-13-6-2630-18-33-8-6-7101-13-88-17-8EUR non-core1-88-57-9-7-208-18-630-24-39-13-4-281-1902Gilts6789107-8-3-84-201-5-8513-9-14-3512-17-16-2-25-31JGBs5742173517-13-9-86-12-16-1-509-111-9-31831217USD IG7649748413-33-27-37-3-11-30-6-2510-828-712403USD HY-46-33-2-26-22-15-34-12-30 22108-6-16-173-723-1-4-111-2EUR IG27501143184252-16-110-13-5-9-19-18-16-11-15-155-6-11-16EUR HY-54-48 19-42-22-668333-28 221217-2-13-97-1540-1-23 165Asia credit705311513878-448-62-11-23-9-16-22-21-18-9-8-2-22 13-8-3US equity-53-33-1-31-29-19 78561-12 1616-4-18-6-33-1-10-1-5-13-13-14-21Japan equity-60-517-42-48-32 58-455-20 691510-1-10-172-2167-14-2-5-6EUR equity-52-42 23-29-25-13 67667-7737514-6-3-222-65-4-7-9-14-10UK equity-30-24 13-8-22-153440-256588213-19-36-15-20-7-15-24-10-36-29EMXD2-620-474642194349372341254-6-7-12-12-10152EMLC-5-23 15-2492530-3302520203319659-17-12-26-4416-3-3EM equity-36-37 16-28-17-161-1581471657960566116-8-191-72-10-4Inflation linked41381344375418258502-175-93939225-1-15-50-18-24Oil(WTI)-31-24-6-14-22-459-20 28-13 383644382611261730-17-23-7-15-20Indust.Metals-35-40-22-40-16-10 39-10 35-13738393022415663017-140-3Gold14-13-72916-15213-6-16-5-15 1241213443991876JPY-USD5844-15 343235-317-42 45-48-53-47-41-714-21 37-16-945651GBP-USD-27-431-552-525-14 41-11 161914-24 29433131173437684EUR-USD-2-346-43 22716-26 2291149-10 3155383710304925656-20-100102030405060Jan-17Jan-18J