年中跨資產(chǎn)展望與策略：粗糙的政 治、政權(quán)更迭、日本化和市場受限

1、Cross-Asset Strategy13 June 2019John NormandACHead of Cross-Asset Fundamental Strategy(44-20) 7134-1816 HYPERLINK mailto:john.normand john.normandJ.P. Morgan Securities plcRough politics, regime change, Japanization & constrained marketsMid-year cross-asset outlook & strategy HYPERLINK /research/ana

2、lyst/U070901 /JohnNormandSee the end pages of this presentation for analyst certification and important disclosures.Rough politics, regime change and JapanizationRisk-adjusted returns average only in Bonds/CreditRolling 12-mo return-to-volatility ratioSeveral markets have delivered above-average ret

3、urns this year (DM Equities, DM & EM Credit), mostly via an extraordinary Q1, when the dominant macro themes were a US/China trade truce, a dovish Fed and a tightening market. By contrast Q2 has brought mostly defensiveness and retracements as Trump resumed and broadened the trade war, thus making B

4、onds, Gold and a few S&P sectors Estate,Risk-adjusted returns average only in Bonds/CreditRolling 12-mo return-to-volatility ratioStaples) the best-performing assets in early summer (slides 2-3).This presentation and podcast discuss four macro and policy themes that are unfolding at different speeds

5、 but which will influence markets in H2 2019 and into 2020. They are (1) Trumps unfinished trade, technology and budget wars (slides 7-18);(2) Fed rate cuts as part of standard risk management and a once-in-a-generation regime change (slides 20-29); (3) broader Japanization across regions, markets a

6、nd sectors (slides 31-34); and (4) late-cycle dynamics now catalyzed by geopolitics rather than a restrictive Fed (slides 36-42).H2 will, in our view, be shaped mainly by the tension between PresidentTrumps attempts to deliver on campaign promises and the Feds efforts to offset the growth consequenc

7、es of his spoilers. A less-aggressive White House and a more activist Fed can prevent 2019 from delivering the first man-made recession in history, but something more structural would be required to prevent further Japanization of global fixed income markets (including Bond, G10 and Gold volatility)

8、 and some equity sectors.As this record-long expansion enters tenth year, it useful to monitor late-cycle hallmarks (macro imbalances, low risk premia), but also to recall that vulnerabilities require to deliver a recession and justify defensive allocation for more than a few months. the past 50 yea

9、rs, a restrictive Fed and/or an oil shock has driven the transition from late to end-of-cycle in the global economy and in markets. A looser Fed and oil market now are reasons to be hopeful. But if one wants a precedent for how a trade war contributed to a recession (actually, a depression), turn th

10、e calendar back to the 1930 Smoot-Hawley Because Fed and China easing can probably offset the impact of current tariffs eventually and prevent a 2019 recession, asset allocation remains cyclical a moderate OW of Equities Income. But we hold Equities Credit rather than Bonds to reduce beta to the glo

11、bal business and we hold no net exposure to EM (short EM FX, long duration, neutral Equities and Sovereign/Corp Credit).5past 1Y20Y Bonds &Credit2018past 1Y20Y Bonds &Credit2018HF Sty les & Equity FactorsReal assets3210-1 EMGBI (lcy) Euro EuroCredit EM EM EM EM Euro Value GrowthThe tactical overlay

12、is quite defensive, however, long Gold and long USD and JPY The tactical overlay is quite defensive, however, long Gold and long USD and JPY EM Asia, commodity FX and GBP (slide 44). The hedges reflect a few factors: (1) unknowns around the end-point on tariffs, their impact on growth/earnings, and

13、the effectiveness of Fed policy against them;(2) the lack of much risk premia across the majority of cyclical assets if growth slips further below trend in Q3 & Q4 (slides 10-12); and (3) the patchiness of defensive positioning across a range of futures, survey, hedge fund beta and ETF-based indicat

14、ors (slide 13).Click icon for an audio summary of key slides in this presentation2019 year-to-date returns and implied volatility by asset classTotal returns in local currency unless noted otherwise2019 cross-asset returns: Almost everything was earned in Q12019 year-to-date returns and implied vola

15、tility by asset classTotal returns in local currency unless noted otherwise($)Russell FTSEEM Brazil Credit India EM Mexico Bonos China ($) EM EuroHY EuroEquities(V1X)Equities90%75%60%45%30%15%Euro RatesJanCurrentG10EMG10EM EuroHGItalian BundsEurolinkers EM Turkey($)1816248777776618162487777766666655

16、1099914214444333Huge dispersion in returns, with EM generally lagging DM for a second- consecutive year.-6005102025Even after Mays turbulence, vols remain near historic lows in G3 Rates, G10 FX and Gold.Source: J.P. MorganCumulative returns by US equity sector/style, currency and commodity in 2019To

17、tal return for equities, spot return for currencies and excess return for commoditiesCons&2421181615141275Cumulative returns by US equity sector/style, currency and commodity in 2019Total return for equities, spot return for currencies and excess return for commoditiesCons&242118161514127500102030US

18、 equity sector/styleNeither Cyclicals norDefensives dominatesconsistently.RUB ILS THB CAD PHP JPY PEN IDR INRJPM USD indexCLP BRL SGD CNY CHF AUD CZK NZD HUF TWD ZAR KRW SEK TRY ARS-167432211110000000-1-1-1-1-1-1-1-1-2-2-3-5-6-6-9-18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8CurrenciesCountry-specific in

19、fluences persist in a year when a tension between dovish Fed and disruptive geopolitics keeps trade-wtd USD in a range. PalladiumHeatingGold Natural382321191611107553332-1-5-5-5-5-6-9-10-20-10010203040CommoditiesSupply conditions and Chinas investment slowdown have created significant dispersion.Sou

20、rce: J.P. Morgan3Core views for H2 2019: Rising recession risks, incomplete pricingGlobal Economics & PolicyGrowthGlobal growth marked down to slightly below trend rate of 2.5% on trade war 2.0, but with downside bias given how last years tariffs delivered much greater-than-expected collapses in bus

21、iness confidence, manufacturing PMIs and capexNegative wildcards: (1) contagion from manufacturing to services/labor markets; (2) supply-driven spike in oil prices; (3) revival of negative feedback loop from politics to asset prices to consumer/business spending; and (4) limited transmission mechani

22、sm from Fed/China easing to spending given leverage overhangs in US and Chinese corporate sectors. Positive wildcard is possibility of a negotiated agreement including tariffs rollback in late 2019, ahead US elections. HYPERLINK /research/content/GPS-3022086-0 Recession risks: HYPERLINK /dataquery%2

23、6expr%3DDB(ESYS%2CGL1791765)%26sd%3Dtoday-3m%26ed%3Dtoday%2B5d%26label%3DOneYearRecessionRisk 40% odds HYPERLINK /research/content/GPS-3022086-0 of beginning in next year on JPM Economics recession riskmodelInflationFirmer US core PCE on tariffs (1.8% by Q4 2019, 2.1% by mid-2020), but still too low

24、 for a Fed thats moving to an average inflation target. This is hardly stagflation. Euro area core stuck 1% and Japan 0.3%.PolicyCuts in H2 2019 from Fed (-50bp), PBoC (two RRR cuts), RBA (-25bp), RBNZ (-25bp), India (-25bp) and Indonesia (-50bp). Possible hikes from Mexico (+50bp).GeopoliticsTrade:

25、 No further tariff hikes on China given feedback loop to US economy. Little confidence on this view and on durability of Mexico and EU truces given Trumps fondness for this tool.Oil: low odds of spike on Iran/Vene sanctions given weakening demandOther: Italian fiscal policy, hard Brexit, US debt cei

26、ling/spending caps4Global MarketsPosition for another growth slump, not a recession2019s tariffs risk triggering a recession by taxing consumers and corporate global growth and corporate profits were already mediocre due to 2018s conflictA man-made recession driven by Trumps foreign policy would be

27、a historic first compared to previous ones catalysed by Fed policy and/or oil shocks.Trumps incentives to re-think his foreign policy before his approval rating/US Equities drop too far constrain our willingness to forecast a recession.But no one knows his pain thresholds; and no one can calibrate t

28、he macro impacts of untested policies like trade and technology sanctionsHence, the role of fear and complacency indicators in guiding strategy(1) Valuations: most markets are not cheap valued relative to global growth; neither are most cheap valued by market-specific measures like forward P/Es or c

29、redit spreads;(2) Positioning/ETF flows: positioning measures based on futures data, hedge fund betas and JPM client surveys mixed, with few showing extreme defensive exposure; data indicate limited liquidations since May, particular in EM(3) Volatility: now slightly below fair value; and(4) Market

30、depth: below average, due to USEquitiesAsset allocation is moderately cyclical given FICC hedges: Average OW of Equities funded in Credit; neutral DM duration; neutral EM complex overall (short FX, long duration, neutral MSCI EM, EMBIG & CEMBI); long USD and JPY vs EM and G10; long Gold.AgendaTrumps

31、 unfinished trade, technology andTrumps unfinished trade, technology andbudgetwars6Feds standard risk management plus a rareregimechangeBroader Japanization across regions, markets§orsLate-cycledynamicscatalyzedbygeopoliticsratherthantheFedCross-asset forecasts, strategy&wildcardsWhy cant we all

32、 just get along?New Cold War analogy understates economic & financial significance of US/China conflictNew Cold War analogy understates economic & financial significance of US/China conflictTheUS-China-is-the-newCold-WaranalogyunderstatesthemuchgreatermarketsignificanceoftheUS/ChinaconflictThe Sovie

33、t economy was smaller (3% of global GDP) and less integrated into the global economy (it traded mainly with othercommunistcountries).Chinaaccountsforabout15%ofglobalGDPand16%ofglobalexportsacrossamuchwider rangeofproducts.TheUSandChinaareeachotherslargesttradingpartners.US-Sovietconflict anideologic

34、aland militaryonewithenormouspoliticalandsocialconsequences,butinfluenced global markets little except for one-in-a-generation flashpoints like the Cuban Missile Crisis (1962) or the collapse of communism(1989-91).USviewofChinaspracticesfrom HYPERLINK /sites/default/files/2018-USTR-Report-to-Congres

35、s-on-China%27s-WTO-Compliance.pdf USTRreporttoCongressonChinasWTOcompliance(Feb2019):Unfair“Continuedembraceofstate-led,mercantilistapproachtoeconomyandtrade”includedforcedtechnologytransfer,market access restrictions, and industrialsubsidies“ConsistentpatternwhereUSraisedaconcern,Chinahaspromisedto

36、address,andpromisehasnotbeenfulfilled.”China view of US allegations and demands from HYPERLINK /archive/white_paper/2019/06/02/content_281476694892692.htm China State Council white paper on trade (Jun 2019): Untrue &unrealistic“Chinasachievementsarenotsomething stole or forciblytook;theywereearned”C

37、hina“hasestablishedalegalsystemfortheprotectionofIPthatisconsistentwithprevailinginternationalrulesadapted to domesticconditions”USturns“blindeyetonatureofeconomicstructureandstageofdevelopmentofUSandChina,aswellastherealityofinternational division oflabor”“ThemoretheUSgovernmentis offered,themoreit

38、Chinasconditionsforatradedeal:removaloftariffs,realistictargetsforChinesepurchasesofUSgoods,andnegotiations basedonmutualrespect(whererespect,presumably,referstoacountrysdevelopmentpathandinstitutions).How long does the conflict persist is a different question from how long it impacts markets? The d

39、uration question dependsalotonpersonalities.Theimpactquestiondependsonthelevelatwhichvaluations/riskpremiaresettoreflecttrendgrowth,slowerearningsandlessinnovationthatwouldhaveprevailedinanenvironmentoffreertradeandinvestment.That repricinginstillin motion,inpartbecausetradeandinvestmentpoliciesareb

40、eingrethoughtconstantly.From TovsSource:J.P.6painpoints:painpoints:approvalratingand S&P500 Trumps average approval rating across polls vs S&P500Tariffs still damaging confidence and tradeBusiness confidence as sigmas from long-term averageG4 confidence Tariffs still damaging confidence and tradeBus

41、iness confidence as sigmas from long-term averageG4 confidence EM (rhs)Trump era230%110%0-1-2S&P500 (lhs)Trade wars41%50%48%46%43%44%42%40%-3Storm y DanielsGovt shutdown38%36%02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19Trumpstrade/techTrumpstrade/techwarsriskendingthelongestUSexpansioninpos

42、t-war Althoughoureconomistsworklastfall when full tariffs was JPMs baseline scenario suggested limited impacts to GDP as long as China eased policy, the surprise late last year and early this year has been the extent and persistence of such weak readings on most of these indicators. So restarting th

43、e conflict from a worse initial position risks a further (and perhaps non-linear) decline in global industry, contagion to the resilient services sector and labor markets and, at some point, a more intense tightening of financial conditions as markets begin pricing higher odds of a global recession.

44、 It is true that additional policy supports like further China easing and possible Fed rate cuts could break this feedback loop, but these responses would be more reactive than pre-emptive. Chinas response might be more limited than last year (see HYPERLINK /research/content/GPS-3010171-0 Trade war

45、(what is it good for) by Lupton from May 17th).Trumphasincentivesinto2020electionstoengageChina/Mexico/EU,buthispainthresholdsareunknowable,andtheriskof miscalculation is high when using untested tools so capriciously andJul-17Markets should stress more over tech bans than a tariff warUnresolvedChin

46、aUnresolvedChinatechwarremainsathreatto earningsS&P500 sectors annual revenue exposure to China in $bn and as % of totalFlowsintorareearthsETFshavesurgedbut from lowbaseCumulative flows (US$ mn) and share price for Rare Earth/Strategic Metals ETF (REMX) of China/AU/US producers160140120100030%China

47、revenue,$bn20%Chinarevenue,%of%China revenue,$bn20%Chinarevenue,%oftotalrevenue10%10%9%7%4%1%2720%15%10%5%0%12010080604020600REMX ETF cumulative inflows (USD millions, rhs) REMX ETF share price (lhs)500REMX ETF cumulative inflows (USD millions, rhs) REMX ETF share price (lhs)400300200100Is there is

48、much to distinguish one protectionist policy from another in terms of economic and then market impact? Countries can enact a range of protectionist policies such as tariffs, import quotas, voluntary export restraints and export bans. They differ principally by who bears most of the costs (domestic v

49、s foreign producer and consumers) and whether governments benefit from higher tax revenues. If quantitative restrictions like export bans resemble tariffs in their inefficiencies but differ by their impact on government revenue, markets should only be more anxious about a tech war under three condit

50、ions: (1) the sector in more dominant in the US, Chinese or global economies than other sectors; Is there is much to distinguish one protectionist policy from another in terms of economic and then market impact? Countries can enact a range of protectionist policies such as tariffs, import quotas, vo

51、luntary export restraints and export bans. They differ principally by who bears most of the costs (domestic vs foreign producer and consumers) and whether governments benefit from higher tax revenues. If quantitative restrictions like export bans resemble tariffs in their inefficiencies but differ b

52、y their impact on government revenue, markets should only be more anxious about a tech war under three conditions: (1) the sector in more dominant in the US, Chinese or global economies than other sectors; (2) monopoly power in the production threatens hyperbolic changes in prices, as with the Arab

53、oil embargoes of the 1970s; or (3) lack of substitutabilitythreatensunpredictablesupplychaindisruption.Allthree variablesare in playcurrently,withthelasttwothemost HYPERLINK /research/content/GPS-3022191-0 worrisome, particularly around the rare earths market. See HYPERLINK /research/email/ds97g922/

54、_oRuca0jH7cksTlB7ArLAw/GPS-3020824-0 China rare earth industry HYPERLINK /research/content/GPS-3022191-0 by Fu from May 30th HYPERLINK /research/content/GPS-3022191-0 and A protectionists playbook - why markets can stress more about tech bans than tariffs in the May 31st Morgan01011121314150161718Se

55、ptember challenge of US debt ceiling and fiscal cliff reduxCheapening of US t-bills vs OIS was one of the most obvious signs of debt ceiling stress Cumulative change in 1M Treasury bill matched maturity OIS spreads around the debt ceiling deadlines in 2011, 2013, and 2015; bpUS domestic politics run

56、s alongside international risks like the US-China trade war as a potentialvolatility generator.Cheapening of US t-bills vs OIS was one of the most obvious signs of debt ceiling stress Cumulative change in 1M Treasury bill matched maturity OIS spreads around the debt ceiling deadlines in 2011, 2013,

57、and 2015; bpA sleeper issue for global or at least US markets is the debt ceiling debate, given that the US Treasury should exhaust extraordinary measures by late Recall that the August tussle between Obama and a Republican Congress, which culminated in a US sovereign credit downgrade, drove a much

58、larger declines instocksand rally in gold albeit with the EMU Crisis HYPERLINK /research/content/GPS-2023504-0#_blank intensifying simultaneously (see What happens when Washington gets rough by Normand from May 2016; HYPERLINK /research/content/GPS-2928881-0 andOnemoretimearound:Adeepdiveonthedebtce

59、iling debate and the impact on US Treasuries by Barry from Feb 27, 2019).Concurrent with the debt ceiling debate run discussions about extending the increase in federal spending caps (worth about 0.7% of GDP per annum), which was first approved in February 2018 throughthe HYPERLINK /research/content

60、/GPS-2928881-0 Source: J.P. Morgan, One more time around: A deep dive on the debt HYPERLINK /research/content/GPS-2928881-0 ceiling debate and the impact on US Treasuries by Barry from Feb 2019Bipartisan Budget Act. Legislation must be renewed by late 2019 (fiscal year begins in October) to avoid ad