汇丰银行-全球-投资策略-全球多资产投资策略-2019.3.4-21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:/ The risk-on rally is still running,albeit more slowly The goldilocks era is unlikely to return for long though as we stick to our view of ultimately little performance differentiation between DM rates and global equities Last week could be seen as a classic risk-on move:risk assets such as equities and high yield gained while risk-off assets such as DM sovereigns and gold lost ground.However,these gains and losses were only marginal.Volatility remained subdued across many asset classes,most notably in EUR-USD and gold.Most importantly for us,Fed rate expectations and the 2s10s UST curve were unchanged,creating a favourable environment for risk assets to flourish.We note there was a pick-up in real UST yields.Multi-Asset Spotlight:After the rally Our 2019 view is for little clear performance differentiation between global equities and DM rates,particularly in risk-adjusted terms(see The end of easy,14 November 2018).Despite the strong rally in risk assets y-t-d,we see no reason to change this view.We think there is some steam left in risk assets in the coming months.But,for this to be consistent with our view of ultimately little clear performance differentiation,the goldilocks era ie no overly strong growth but no fears of an imminent recession either is equally unlikely to return for the whole of 2019(see Goldilocks is going,4 February 2019).Further risk asset upside implies that eventually US and global economic data must at least stabilise.Yet this would open the door for markets to re-price Fed hikes.Coupled with rising real UST yields and a flattening 2s10s UST curve,this might put risk assets on the back foot once again.Hence with data stabilisation,the benign backdrop might then turn sour.On the flipside,would a further dovish pivot by the Fed and other DM central banks propel risk assets further?Again,no.We think further dovishness would most likely be in response to upcoming fears of a US and global recession certainly not the kind of backdrop risk assets would appreciate.4 March 2019 Stick to the script 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 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.Global equities vs DM sovereign bonds where now?Source:Bloomberg,HSBC;for details see Ceilings and Floors,28 Jan,p.3&4-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs sovereign bonds(Y/Y,TR,RHS)Base case-50-250255045474951535557201720182019Multi-Asset Bulletin MULTI-ASSET GLOBAL 4 March 2019 2 Multi-Asset Spotlight 3 Multi-Asset Performance 4 Correlation 6 Correlation 7 Volatility 8 Sentiment/Flows/Positioning 9 Macro 11 FX 12 Fixed income(rates)13 Fixed income(credit)14 Equities 15 Commodities 16 Disclosure appendix 17 Disclaimer 21 Contents 3 MULTI-ASSET GLOBAL 4 March 2019 Multi-Asset Spotlight After the rally In Ceilings and Floors,28 January 2019,we argued that by the end of 2019,the differentiation between global equities and DM sovereigns will be limited,particularly in risk-adjusted terms(chart 1).Essentially,with little conviction for either an imminent recession or a return to strong synchronised growth,there does not appear to be a catalyst for a sustainable rally in either asset class.With this uncertainty about where global growth is headed,we expect markets to move between our bullish and bearish scenarios in the coming months.Given the strong y-t-d rally in risk assets,do we need to change this view?1.Global equities vs global sovereign bonds where now?Source:Bloomberg,HSBC;for details see Ceilings and Floors,28 Jan,p.3&4 No.What we have seen so far this year is the market moving closer to our bullish scenario,driven by a dovish Fed(chart 2).As long as we see conflicting signals from the US and global macro data,we think this Fed put still has room to buoy risk assets.Why?This will see steady Fed rate expectations,a steady 2s10s UST curve,and no threat from rising real UST yields.For now,we expect this benign backdrop to continue(Stalling,not falling,25 February 2019).However,we are wary that the upside for risk assets may soon hit a ceiling.If we are to move even closer to our bull scenario(chart 2),US and global economic data must at least stabilise.Yet this would open the door for markets to re-price Fed hikes.This,coupled with rising real UST yields and a flattening 2s10s UST curve,might put risk assets on the back foot again.Hence with data stabilisation,the benign backdrop that allowed risk assets to rally might then turn sour.On the flipside,would a further dovish pivot by the Fed and other DM central banks propel risk assets further?Again,no.Further dovishness would most likely be in response to upcoming fears of a US and global recession certainly not the kind of backdrop risk assets would appreciate.-50-25025504548515457200320062009201220152018Global man.PMIRelative performance global equities vs sovereign bonds(Y/Y,TR,RHS)Base case-50-250255045474951535557201720182019 2.Bull scenario 3.Bear scenario Source:Bloomberg,HSBC;for details see Ceilings and Floors,28 Jan,p.3&4 Source:Bloomberg,HSBC;for details see Ceilings and Floors,28 Jan,p.3&4 -50-25025504548515457201720182019Bull case-50-25025504548515457201720182019Bear case MULTI-ASSET GLOBAL 4 March 2019 4 Multi-Asset Performance The risk-on move continued to wane as most risk assets such as equities and high yield ended the week up,but only marginally.Gold ended as the weakest weekly performer as real UST yields rose,but this appears to be a small retracement in the context of the yellow metals recent rally.USD HY and EM external debt(EMXD)ended the week among the strongest performers.This is likely due to the recent push higher of oil.On a relative basis,we still see some catch-up potential for EMXD relative to USD HY(see No Big Bounce Back,19 November 2018).1.Multi-Asset(USD,TR,%)2.Relative asset class performance(12M)-4.0-2.00.02.04.06.0GoldOil(spot)EM equitiesInflationDM govt.bondsEMLCCreditEMXDHYDM equities1W1M 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)-6.0-4.0-2.00.02.04.06.0EM LatAmEM EMEAUKPacific ex JapanEM AsiaJapanUSEurozone1W1M 80859095100105110Mar-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)-2.5-1.5-0.50.51.52.5UKTEZ coreUSTJGBUSD IGAsiaEUR IGUSD HYEZ non-coreEUR 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 5 MULTI-ASSET GLOBAL 4 March 2019 Multi-Asset Performance DM credit continued to outperform vs DM sovereigns last week.This brought the relative 3M return between the two above one standard deviation.We believe there is limited scope for credit spreads to tighten by much from here though in particular subsiding equity volatility should not be lasting enough to weigh on credit.In contrast DM equities relative performance vs global sovereigns does not yet appear overly stretched.EM external debt also outperformed local debt last week,a theme we see continuing over the next couple of weeks(Time for a breather,18 February 2019).7.DM credit vs DM sovs(USD,TR,%)*8.DM equity vs global sovs(USD,TR,%)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 9.EUR HY vs EUR IG(EUR,TR,%)*10.EMXD vs EMLC(USD,TR)*Source:Bloomberg,HSBC Source:Bloomberg,HSBC 11.DM EQ value vs growth(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.1.0 stdev-5.0-2.50.02.55.0201420152016201720182019+/-1 StdevDM credit vs DM sovs0.1 stdev-20-15-10-505101520201420152016201720182019+/-1 StdevDM equity vs global sovereigns0.8 stdev-7.0-3.50.03.57.0201420152016201720182019+/-1 StdevEUR HY vs EUR IG0.4 stdev-10-50510201420152016201720182019+/-1 StdevEMXD vs EMLC-1.0 stdev-8-6-4-20246810201420152016201720182019+/-1 StdevDM EQ Value vs Growth-0.1 stdev-16-80816201420152016201720182019+/-1 StdevEM ex Asia EQ vs EM EQ MULTI-ASSET GLOBAL 4 March 2019 6 Correlation The correlation between EUR-USD and JPY-USD has moved much lower over the last two years(Chart 2).This is a consequence of the JPYs safe haven status,which snapped back towards the end of last year during the equity market turmoil.The JPYs safe haven status makes it the second strongest haven stronger than the CHF and gold,and second only to US Treasuries(see Hedging with havens,24 January 2019).Meanwhile,the correlation between EUR-USD and GBP-USD has remained both high and relatively stable for much of the past year.1.Asset class views:Correlation matrix Source:Bloomberg,HSBC;EMXD=EM external debt;EMLC=EM local debt 2.EUR-USD vs JPY-USD 3.EUR-USD vs GBP-USD 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-USDUSTs38-3111355-5-198-12102024-3-6611-3-8-17-13EUR core773-5391027-15-28-212-4416-31-7-91534-6-25-16EUR non-core-12-268-41-9-30-7-33 12-486127-4-18118-16-7-86-15 1921Gilts7085-2262314-9-2409-41328861-427129-16-24-16JGBs5660550111111-28721815887-1079-16-8-18USD IG7853-955423-4-15-237121513812-359177-3-33USD HY-15-10-10-6315-19-19-18 101110-7-80114169106-113EUR IG34458313950182-8-209-230-15-7-13-34-14-1-4-23-19-29EUR HY-38-45 27-41-14 1059433-31 11215-9-1026-6-77-2-16 2210Asia credit7451-14 524284214222-16-10-9-13-22-21-25-1236-17 12-5-2US equity-34-17 11-15-91661752-716-6-5-29-16-21-1-5-14-819-5-5Japan equity-31-39 15-38-31259146-150165-7-12-13-7-504-10 14-36EUR equity-30-34 21-21-4106610624737013-10-8-12195940-313UK equity-12-1417-315519331049547811-20-28-21412-50-31-5EMXD110-3151752522043533227403251-16 12-16-5-368EMLC0-14 15011314463529342541267210-121-19 10145-31EM equity-28-38 23-24-12959-25712705877545064163-18 1283617Inflation linked381612362357391184612020155657355121914-10-12-2Oil(WTI)-17-7-105-8451-18 192242839392616223630-13-512-15-10Indust.Metals-15-23-8-11-41446-23416353351463856643836211213416Gold1191019221613-6-31815-11 118185235512351911511JPY-USD4126-920927-12-10-29 34-22-35-35-30-97-16 274-1386131GBP-USD-30-50 21-52-20-322-22 44-7292027-15 304547401839361999EUR-USD-11-43 24-23-16 1027-40 2372617291337595561204955287271020304050607080Jan-17Jan-18Jan-19EUR-USD vs.JPY-USD 60-day correlationAvg304050607080Jan-17Jan-18Jan-19EUR-USD vs.GBP-USD 60-day correlationAvgLower diagonal:1 year correlations Upper diagonal:difference in 1 year correlation vs long-term correlation(Jan-05)7 MULTI-ASSET GLOBAL 4 March 2019 Correlation 4.Multi-Asset heat map Source:MSCI,Bloomberg,Refinitiv Datastream,HSBC 5.Risk-on/Risk-off indicator Source:MSCI,Bloomberg,Refinitiv Datastream,HSBC Please note that clients can access an interactive heat map to assess recent changes in correlation via https:/ can also access additional information on our RORO indicator here.MULTI-ASSET GLOBAL 4 March 2019 8 Volatility EUR-USD and gold vols are particularly low:near the bottom of the last 24-month range.FX vols as a whole have broadly remained low.This runs in contrast to other asset classes where volatility has picked up.By contrast,oil volatility still has room to fall further as prices should remain range-bound in the coming months.We expect G10 FX vols to rise.The Fed has become data-dependent leading to a USD that should be more reactive to data surprises(see G10 FX:The breakout is coming,4 February 2019).1.A new wave of volatility across asset classes has begun Source:MSCI,Bloomberg,Refinitiv Datastream,HSBC;for more information see Data Matters,17 January 2019 2.Multi-asset implied vols(vs 24 months)3.Cross asset implied vs realised vols 020406080-4-2024610Y USTSPXEM eq EURUSDGoldOil1M implied,last 24 month range,z-scorePercentile(right)0.00.20.40.60.81.01.21.41.61.810Y USTSPXEM eqEURUSDGoldOilRatio 1M implied vs 1M realised vol Source:Bloomberg,HSBC Source:Bloomberg,HSBC 4.Equity implied volatility futures curves*5.Skew DM equity markets(90%-110%)121416181st2nd3rd4th5th6thVIX curve(cond.)CurrentVStoxx curve(cond.)Current 579111315Jan-17Jul-17Jan-18Jul-18Jan-19EuroStoxx 50S&P 500Avg(5Y)Avg(5Y)higher risk aversionlowerrisk aversion Source:Bloomberg,HSBC;*conditional average Source:Bloomberg,HSBC 9 MULTI-ASSET GLOBAL 4 March 2019 Sentiment/Flows/Positioning Our equity strategists Equity Sentiment Index is still in no-mans land neither rising nor falling.This indicates no extreme bearishness or bullishness among equity investors.In FX,net long positions in EM have been reduced slightly.We believe flows into local currency EM assets may slow such that the January EM FX rally could well fade further(EM time for a breather,18 February 2019).Note CFTC data is only available as of 19 February due to the US government shutdown.Risk-on/risk-off positioning is still skewed towards risk-off as of two weeks ago.1.HSBC Equity Sentiment Index 2.Equity positioning-1.5-1.0-0.50.00.51.0Jan-17Jul-17Jan-18Jul-18Jan-19HSBC sentiment indexSentiment bullishSentiment bearish -4-2024AP ex JapanGEMJapanUKUSSwitzerlandEurozoneActive weight of institutional investors(z-score)overweightunderweight Source:Bloomberg,HSBC;for details see Global Equity Data Monitor Source:EPFR,HSBC;Note:Funds with a global benchmark in our sample that provide country weights;as of 31 January 2019 3.Risk-on/risk-off positioning(CFTC)4.CFTC UST positioning(z-score*)-404812Jan-17Jul-17Jan-18Jul-18Jan-19Risk-on/risk-off positioning(US)+/-2 Stdev+/-1 Stdevrisk-on risk-off -4-3-2-101Jan-17Jul-17Jan-18Jul-18Jan-19UST short-endUST long-endnet longnet short Source:Bloomberg,CFTC,HSBC Source:Bloomberg,CFTC,HSBC;rolling 5-year z-score 5.HSBC FX positioning(20-day MA)6.CFTC FX positioning(z-score)-10-50510Jan-17Jul-17Jan-18Jul-18Jan-19G10 Risk onEMNet longNet short -2.0-1.00.01.02.03.0Jan-17Jul-17Jan-18Jul-18Jan-19USDEURnet longnet short Source:Bloomberg,HSBC Source:Bloomberg,CFTC,HSBC;rolling 5-year z-score MULTI-ASSET GLOBAL 4 March 2019 10 Sentiment/Flows/Positioni