跨資產(chǎn)展望與策略：更小的壓力更大的增長(zhǎng)

1、Less stress, more growth but selective value2020 cross-asset outlook & strategy HYPERLINK /JohnNormand /JohnNormandCross-Asset Strategy10 December 2019John NormandACHead of Cross-Asset Fundamental Strategy(44-20) 7134-1816 HYPERLINK mailto:john.normand john.normandJ.P. Morgan Securities plcSee the e

2、nd pages of this presentation for analyst certification and important disclosures.Less stress, more growth but selective valueWithafewexceptions(EMFX,EMEquities,Commodities),mostmarketsaredeliveringabove-averagereturnsthisyeardespitetheglobalgrowth slump, since Equity and Credit valuations very chea

3、p and DM/EM central banks undertook extraordinarily broad monetary easing. Some active management styles (particularly Macro hedge funds) have generated above-average alpha. But since 2018 benchmark and active returns were so poor, cumulativereturns onriskymarketsoverthepasttwoyearshavegenerallybeen

4、theirlong-runaverages(slide2).The starting point for 2020 is more auspicious in some ways but worse in others. The most significant support for cyclical assets (Equities, Credit, EM complex, Commodities) is that less geopolitical stress from the trade war and Brexit should drive an upswing in the gl

5、obal economy next year as the lagged effectsofmonetaryandfiscaleasingtakehold.Overthepasttwodecades,suchupturnsafteraslumphavetendedtoendureforatleastthreequartersbeenassociatedwithabout10%annualgainsonamulti-assetportfolio(slides6-7).Thegoodnewsisthatmostmarketsaretrackingtheirtypicalglobal growth

6、bottoms rather than overshooting. The bad news is that the starting point for valuations entering this upturn already more expensive than usual,basedonforwardP/Esforsomemarkets(US)andcreditspreadsacrossallmarkets.Volatilityisalreadylowerthanistypicalwhenthebusinesscycle starts to improve (slides9-12

7、).Every cycle is different in a material way, and should contrast with previous ones in three respects: (1) the geopolitical shocks that the 2018-19 downturn (trade/tech war/Brexit) have probably just paused rather than ended; (2) China growth should be stable around 5.9% rather than lift, duetocali

8、bratedstimulusandthecountrysstructuralslowdown fromdemographicsanddeleveraging;and(3)noDMcentralbankwillbereversingtherate cuts/asset purchases of 2019, which limits any rise in bond yields. Indeed, the Fed regime shift towards average inflation targeting should contribute to another ease next year

9、(slide12).Thispresentationdiscussesfivemacroandpolicythemesthatwillinfluencemarketsinto2020.Theyinclude:(1) anotherwaveofreflation,butwith unusual policy and regional contours (slides 5-12); (2) the Feds regime shift to average inflation targeting, other central banks fiscal pleading and the DM infl

10、ation outlook (slides 14-16); (3) a Japanization process that pauses but doesnt reverse regions, markets and sectors (slides 18-23); (4) geopoliticalrisksthatarefewerinnumberbutstillmaterial,particularlyaroundUS2020elections(slides25-32);and(5)late-cyclevulnerabilities(macro imbalances, momentum los

11、s, excess leverage, low risk premia) that build but lack a catalyst for recession (slides 34-39). Discussion of idiosyncratic by major asset class follows on slides 41-47. And finally, given markets tendency toward excess when rates are low indefinitely, we provide a suite of complacencyindicatorsfo

12、ranticipatingandmanaginginevitable (slides50-57)andalistofwildcards/volatilitygenerators(slide64).Ifwererightthatthat2020 bringsareturntoreflationbutthatstructuralchangeshaveoccurredtoo,thenreturntargetsshouldbetame,cyclical assets will fall into two tiers of moderate and low-return markets, and man

13、y apparent value opportunities are more trades than investments (slides 47 & 59-61). Hence why current strategy holds about three-quarters of rather than all typical reflation trades. These include: (1) just intra-quarter durationtradesinDMBonds,tacticaloverweightsofinflationbreakevensbutlongEMdurat

14、ion;(2)amoderateOWofDMEquitesvs&Credit(3) an OW of only some cyclical sectors, like Industrials, Communications & Energy but not Financials; (4) an OW globally of Value vs Momentum/Low Vol Equities; (5) a tactical OW of non-US vs US Equities via Europe, Japan & EM; (6) a selective OW of EM vs DM Fix

15、ed Income via duration & FX rather than Sovereigns, and only in a handful of countries; (7) a sector-specific allocation to Commodities via an OW of Agriculture, short in Gold and neutral in Base Metals and Oil; and (8) a selective short in USD, mostly vs high-yield EMs (slides 61-63).ExtraordinaryE

16、xtraordinaryreturnsjustcompensatefor losses in many markets2019 total returns versus long-run average and 2018-2019 avg35%are current value, grey are year-agolevelsLastare current value, grey are year-agolevelsLastninemarketsoffered+5%yields;now only sixdoYields (%) and percentile rank over long ter

17、m sample. Blue dots85th percentilecurrentyieldandpercentileyear-agoyieldand7HYCreditUS Leveraged Loans6Eurostoxx 600 Bank EquitiesEM EM Sovereigns5EM Corporates5%yieldFTSE 1004 U3EUR EM FXCrediSt &P UtilitiesS&P Real Estate30YMBSEuroStoxx 600S&P EnergyS&P Cons Staples2US 10YS&P S&P Healthcare1-1ro B

18、BBG Credit JA 10YGE 10YUK00%10%20%30%40%50%60%70%80%90%100%Percentilelong-term(pastto30Y,onmarket)S BBBUSNZ10Y AIEu E2019 YTD& YTDBonds,Credit,FX&Equitiesles& Equity Factors25%20%Current yield, %15%Current yield, %10%-5%GBI 3MGBI 3MCash USTreasuriesGBI Global(lcy)US US US LevLoansEuro Euro Sovereign

19、 Corporates Bonds CommoditiesUS (TIPS) USD FXMSCIWorldS&P500Nasdaq RussellMSCIMSCISystematic EquityL/SValue Growth2020 should add a 12th 2020 should add a 12th year to the global economys longest-ever post-war expansion, and one characterized by less geopolitical stress and firmer growth than 2019.

20、But because this expansion is so old and because monetary policy has been used more than fiscal easing to respond to a succession of shocks such as the EMU Crisis (2010-12) and Trumps trade war(2018- ?),manymarkets tradesatabove-averagevaluationsand the universeof negative-yieldingDM Bond/Creditstan

21、ds at about $13trn. For investors targeting a yield of at least 5%, only six meet the hurdle (EM Bonds, Sovereigns & Corporates; US HY Credit, US Leveraged Loans; Eurostoxx Banks), down from nine a year ago. In a more normal macro environment characterized by at least trend growth, Equities can beat

22、 this 5% hurdle rate if prices simply rise with earnings growth and multiples are stable. For most of FICC (HY and Loans are the exception), +5% returns will be tough to achieve unless spreads ignoreleverageissuesand tightenmaterially, orDMBonds rallydue to Fed easingand r Be only somewhat wary of m

23、ean reversion when valuations are highMean reversion is a more reliable principle in Bonds & Credit than in EquitiesMean reversion is a more reliable principle in Bonds & Credit than in EquitiesUS real yields, HG Credit spreads and 1Y forward P/Es at start of year vs US Treasury returns, Credit minu

24、s UST returns and Equity minus UST returns during the year. Annual data over past 30 yearsUS Treasuries annual return1975US Treasuries annual return30%25%20%15%10%y=1.8928x+0.0208R = 0.357519821987-2019US HG Credit minus USTs annual returnsUS HG Credit minus USTs annual returns5%0%-5%2008y=0.0005x-R

25、=0.35520091998,19991998,1999y=-0.0186x+0.3447R = 0.13372000-2019current (implied for 2020)2000,2001,2002S&P500 minus USTs annual returns0%-10%-20%-30%-40%-5%-10%1994,2000-2019for-20%-25%current -50%-60%-3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9%US 10Y real yield at start of theyearSource: J.P. Morgan0

26、50 100 150 200 250 300 350 400 450 500 550US HG Credit spread at start of year, basis points791113151719212325S&P500 1Y forward P/E ratio at start of the yearHigh starting valuations justify conservative point forecasts and return targets, but usually are not a sufficient condition for shorting Bond

27、s outright or underweighting Credit, Equities and the EM complex. High starting valuations justify conservative point forecasts and return targets, but usually are not a sufficient condition for shorting Bonds outright or underweighting Credit, Equities and the EM complex. There is an inverse relati

28、onship between valuation measures at the start of the year and realized returns by year-end, such that low real US yields are associated with lower returns on tight spreads are associated with lower Credit outperformance versus and high forward P/Es are associated with lower Equity outperformance ve

29、rsus (Credit doesnt tend to beat over an annual horizon when HG spreads are below 130bp, US HY below 500bp, EM Sovereigns below 290bp and EM Corporates below 260bp. US Equities dont tend to beat when forward P/Es are above 18x.) But these relationships are weak, explaining only about 30% of Credit v

30、s UST returns and even less of Equity vs UST returns. We are inclined to downplay the mean-reversion factor in a year like 2020 when earnings return to trend due to stimulus and central bank policy remain easy (seeReconcilinghighvaluationsbutbetterearningsfor2020Equity/Credit/BondallocationsinMorgan

31、 fromNov8th).Slide indexSlideFive global macro issues for 2020Five global macro issues for 2020Another of reflation comes unusual and regional contours5The Fed implements a regime shift, fiscal pleading persists andinflation Partial Japanization pauses butdoesntreverseGeopolitical risks fall in numb

32、er butremainmaterialSome late-cycle vulnerabilities rise but lack arecessioncatalystIdiosyncratic issues by major asset class for 2020BondsIdiosyncratic issues by major asset class for 2020Equities HYPERLINK l _TOC_250002 Credit HYPERLINK l _TOC_250001 Currencies HYPERLINK l _TOC_250000 CommoditiesC

33、omplacency and fear indicators formanagingdrawdownCross-asset forecasts, trade recommendations&Complacency and fear indicators formanagingdrawdownCross-asset forecasts, trade recommendations&wildcardsGlobal growth2019sub-trend (2.3% vs 2.7%), with US the strongest2020return to trend (2.7%) by Q2; US

34、 outperformance has peaked; Europe has most scope to normalizeGlobal (core) inflation2019US (PCE) sub-2%; EuroGlobal growth2019sub-trend (2.3% vs 2.7%), with US the strongest2020return to trend (2.7%) by Q2; US outperformance has peaked; Europe has most scope to normalizeGlobal (core) inflation2019U

35、S (PCE) sub-2%; Euroarea1%; Japan 0.4%2020US (PCE) 2.1%; Euro area1.2%; Japan 0.5%Monetary policy2020Further easing, but less than in 2019 cuts from Fed,Australia, Zealand, China, Mexico, Brazil, Russia &Turkey2019easing by most (70%) DM & EM central banksFiscal policy2019largest fiscal thrust from

36、Poland (1.4%), China (0.8%), Korea(0.8%) and US (0.5%)2020Next-to-no impulse in US;largest fiscal thrust in Korea (1.4%), Singapore (0.5%), China(0.4%),UK (0.4%) & Russia (0.4%)Commodity balances2019balanced-to-tight Oil, slightly loose Copper, slightly tight Aluminum2020Balanced-to-tight Oil, loose

37、r Copper, balanced AluminumCorporate profits2019anaemic profits growth in US (2% yoy), near-recessionary in EMU, JA & EM (-5 to -10%)2020acceleration to trend globally (10% US, 6% EMU, 12% EM)Red denotes a material change from 2019 to 20202019 delivered sub-trend growth, below-target inflation, an e

38、arnings slump, a balanced-to-tight oil market, the broadest DM/EM easing since the GFC and modest fiscaleasing.One of the most significant changes in 2020 is modest reflation but without central bank tightening, in contrast to previous upswings in the global economy when the Fed reversed prior rate

39、cuts (1999) or resumed hikes after pauses2019 delivered sub-trend growth, below-target inflation, an earnings slump, a balanced-to-tight oil market, the broadest DM/EM easing since the GFC and modest fiscaleasing.One of the most significant changes in 2020 is modest reflation but without central ban

40、k tightening, in contrast to previous upswings in the global economy when the Fed reversed prior rate cuts (1999) or resumed hikes after pauses(2017).Fiscal easing still looks like a minor influence in large economies, though local impacts could be material inUK, Korea and Russia. US will deliver al

41、most no fiscal thrust in 2020, which is why the era of US outperformance is ending absent anothercatalyst.Another of reflation unusual policy & regional contourswarwarhasbeensinglebiggestdepressant on confidence, capex andearningsJPM Manufacturing Expectations Index, global exports & MSCI ACWI EPS g

42、rowthBut central bank easing has been broader and deeper than during 2010/12 & 2015/16 slumps Annual change in average global policy rate vs % of DM & EM central banks easing each yearTrump eraJPM global Manufacturing Expectations, sigmas from avg (lhs) global export growth, y oy (rhs)Trump eraJPM g

43、lobal Manufacturing Expectations, sigmas from avg (lhs) global export growth, y oy (rhs)MSCI ACWI EPS growth yoy (rhs)210-1-2-3101112141516171820-10%-30%-50%095 97 99 01 03 05 07 09 11 13 15 17 19 210% changeinglobalpolicy bp(lhs)% of DM & EM central banks easing, inverted (rhs)1999reflation2017refl

44、ationJPMreflation2015-16EMU Crisis EM Credit2010-12Crunch1997-98Asia Crisis2019Trump trade war20%30%40%50%60%70%80%90%100%Source: J.P. MorganGeopolitics has been the single biggest driver of the slump in business confidence, investment spending, corporate profits and asset returns since early 2018.

45、Geopolitics has been the single biggest driver of the slump in business confidence, investment spending, corporate profits and asset returns since early 2018. If US/China and Brexit deals remove the tail risk of recession, then 2019s monetary and fiscaleasingcan delivera third wave of reflation this

46、cycle in2020 inthe form of trendor above-trendrealgrowth, stableto slightly-firmerinflationand near-trendcorporateprofitsgrowth.There are no rules about how slumps segue into stability and then lift, but rather just a collection of stylized facts like these:(1) shocksthat occur inthe absenceof signi

47、ficantor broad leverageproblems tend to dissipatewith policyeasingrather than trigger recessions; (2) policy easing should be broad (a majority of countries) or deep (75-100bp drop in global average policyrates); and(3)inventoriesshouldfallto below-averagelevelswhile forward-lookingmeasures likenewo

48、rdersimprove.Reflations shape: an “L”, “U”, “V” or “v”Despite anxieties about structural issues, economic and market upturns are always sharp JPM global manufacturing PMI vs returns on multi-asset portfolio (60% DM/10% EM Equities, 20% HG Credit, 10% Commodities) Despite anxieties about structural i

49、ssues, economic and market upturns are always sharp JPM global manufacturing PMI vs returns on multi-asset portfolio (60% DM/10% EM Equities, 20% HG Credit, 10% Commodities)Marketreturnsarehighestduringanearly- stage upturnAverage annualized returns for markets in four PMI regimes, 1998 to 2019 samp

50、le62 40%30%JPM global manufacturing PMI60ofcyclicals,returns58565452504830%20%10%0%Tr20%10%-10%-20%1995 46Fed-inducEMUtr ade warEM-30%4442 slump Cr isis20012020regime?Global Equities(vs2020regime?Global Equities(vsValue vs Growth US HG (vs UST)USD trade-wtd2019regimecr edit slump-30%-40%51 and 50)58

51、56545250484644424098020406081012141618100%90%80%70%60%50%40%30%20%10%0%90%80%70%60%50%40%30%20%10%EM PMI diffusion index (% of countries with PMI 50)EM PMI diffusion index (% of countries with PMI 50)% of five EM Equity & FICC markets outperforming US03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 1

52、9Sadly for those in search of diversification, the global business cycle is highly synchronized, with both upswings and downswings exhibiting substantial breadth across countries. Beyond direction, relative performance matters too. In globalequities,Sadly for those in search of diversification, the

53、global business cycle is highly synchronized, with both upswings and downswings exhibiting substantial breadth across countries. Beyond direction, relative performance matters too. In globalequities,peaksandtroughsingrowthdifferentials(proxiedbythespreadbetweenUSandnon-UScompositePMIs) have tended t

54、o align with turns in relative equity performance despite significant differences in sectoral composition across indices. The performance of EM Currencies has been less driven by growth differentials (correlation of 20% of past 20 years) and more drivenby eitherthe absoluterate of EM growth (correla

55、tionof 70%) or the dispersionof growth across EMs (correlationof 60%). 2020 should deliver synchronized lift, but only modest or temporary narrowing of growth differentials. Thus the case for non-US markets is more tactical and quite influenced by valuations and positioning. For EM assets, overweigh

56、t provide optionality on USD weakness due to low real US rates, though USDs topping-out process should be gradual andpair-specific.How markets behave at growth inflections: Equity, Credit & BondsCyclical assets tracking the norm during reflation, DM bond yield rising slightly ahead of average Cyclic

57、al assets tracking the norm during reflation, DM bond yield rising slightly ahead of average Performance of basket of cyclical assets (60% DM Equities, 10% EM Equities, 20% US HG Credit, 10% Commodities) and of DM bond yields (JPM Global Bond index) in two years before and after troughs in JPM globa

58、l manufacturing PMI following mid-cycle slumps. Cyclical assets index to 100 at PMI trough; change in DM bond yields indexed to 0 at PMI trough.cumulative returns, multi-aset portfoliocumulative returns, multi-aset portfolio9080CurrentCurrent1998201619952012-24 -21 -18 -15 -12 -9 -6 -30369 12 15 18

59、21 24number of months before/after PMI troughcumulativecumulativeDMbondyields,bp0-50CurrentCurrent1998201619952012-24 -21 -18 -15 -12 -9 -6 -30369 12 15 18 21 24number of months before/after PMI troughOnce PMIs stabilize following a mid-cycle slump (e.g. PMI troughs in 1995, 1999, 2012 and 2016), th

60、e following performance patterns have beentypical:Once PMIs stabilize following a mid-cycle slump (e.g. PMI troughs in 1995, 1999, 2012 and 2016), the following performance patterns have beentypical:Equities:S&P500rises10%over6Mand17%cumulativeover12M,withoutperformanceofCyclicalsover Defensives, ov