高盛-G10降息的歷史教訓(xùn) Lessons From G10 Cutting Cycles09032024

2September2024|11:28AMBST

GlobalMarketsAnalyst

LessonsFromG10CuttingCycles

nWithmostoftheG10eitherhavingjustbegunorabouttobegincuttingpolicyrates,welookatthereturnpotentialofavarietyofratesinvestmentstrategiesduringG10cuttingcyclesoverthelastthreedecadestounderstandhowto

positiononcecutsbegin.

nWe?ndthatoutrightlongsgeneratethehighestleveragedreturnsduringcuttingcyclesofalltypes,withthe2ypointconsistentlyonaveragebestforbothtotalandvol-adjustedreturns.2s10ssteepenersofferthebestvolatility-adjusted

returnsamongcurveformats.Mostofthereturnstolongsandsteepenersaregeneratedinthemonthsintoandimmediatelyfollowingtheinitialcut.

nAtcurrentlevelsoffront-endinversion,suchas1y1yvs1y,itwouldbe

unprecedentedtogeneratesigni?cantpositivereturnstolongpositionsintheabsenceofarecession.Andalthoughnon-recessionaryreturnstosteepenersaremixed,theinitial?atnessofthecurvesuggeststherisk/rewardto

steepenerpositionsislikelytobebetter.

GeorgeCole

+44(20)7552-1214|george.cole@

GoldmanSachsInternational

FriedrichSchaper

+44(20)7774-7906|

friedrich.schaper@

GoldmanSachsInternational

_

Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegAC

certi?cationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto/research/hedge.html.

GoldmanSachsGlobalMarketsAnalyst

LessonsFromG10CuttingCycles

ThemajorityofG10centralbankshaveeitherstartedorarepoisedtobegincutting

rates.Theeventualreturnsto?xedincomewilldependontheevolutionofthedataandtheextentofcutscomparedwiththecutsalreadypriced.Tounderstandhowthemarkethaspricedrisksinthepastandtoshedlightonthepotentialpathforreturnsinthe

future,weanalysepreviousG10cuttingcyclesandthereturnstoavarietyofstrategiesacrosstime(Exhibit1).

Exhibit1:G10cutsarebroadening

G10policyrates

10

8

6

4

2

0

-2

%

AUDNOK

CADSEK

EURCHF

JPYUSD

NZDGBP

%

10

8

6

4

2

0

-2

199519971999200120032005200720092011201320152017201920212023

Source:HaverAnalytics,GoldmanSachsGlolalInvestmentResearch

Weidentify74cuttingcyclesinG10(Exhibit2).De?ningacuttingcycledoesrequire

somejudgement,giventhatcyclesareinherentlyuncertainandcanstopandstart

_

dependingonincomingdata.Aseriesofcutspunctuatedbyextendedpausescouldbeconsideredasinglecycle,ormultiplesmallercuttingcycles-hereweseparatecuttingcyclesifthereisapauseofsixmonthsormore.Insomecasesweareconstrainedbydataavailability–ifnotforthepolicyrate,formarketratesacrossthecurve.Inour

analysisweclassifycuttingcyclesas:

1.Initialcuts,forwhichwerequirethatthepriorpolicyratemovewasahike.Thisdistinguishesfromcutsthatmaybearestartingofacuttingcycleafterapause.

2.Cutsthatareassociatedwitharecession.

Thereisoverlapbetweenthecategories,butthisallowsustogenerateresults

dependingonthedifferenttypesofcuttingcycles.Examiningreturnsunderthedifferent?avoursofcuttingcyclethenallowsforaricherdiscussionoftherisk/rewardofeach

strategygiventheuncertainpathahead.

2September20242

GoldmanSachsGlobalMarketsAnalyst

Exhibit2:G10cuttingcycles

Assumescuttingcycleendsifratesonpauseforatleast6m

G10cycles

Australia

Canada

EuroareaJapan

NewZealand

Norway

Sweden

Switzerland

US

UK

G10

no.ofcycles

11

8

6

6

5

9

8

4

8

9

74

Averagelength(m)

7

11

10

6

9

10

11

5

8

6

8

Averagedepth(bp)

-124

-220

-125

-43

-190

-197

-191

-100

-180

-137

-155

Exhibit3:Deeprecessionsin?uencefront-endreturnaverages

1y1yrealisedreturnsvsinitial1y1yvs1ylevel

2007/08500Buy-and-holdreturnstolong

1y1yfromfirstcut(bp)

400

higherreturns

300

200

100

Initiallevelof

1y1yvs1y(bp)

0

-150-100-50050100150

-100

steeperfront-endatfirstcut

-200

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Long1y1y:betterreturnswhencurveissteeper,unlessinrecession

The?rststrategyweconsiderissimplyreceivingandholdingtomaturity1y1yratesacrosscuttingcycles.Thisteststhedegreeofinversionand/orpremiumagainsttherealisedvaluefor1yratesinoneyear’stime.Exhibit3showstheinitialfront-end

inversion,measuredby1y1y–1yswaprates,vs.thegainsmadebyreceiving1y1yratesfor1-year.Inthisinstance,they=xlinewouldrepresentexactlymeetingtheforwardcurve.

We?ndthatreturnsaregenerallypositive,indicatingtheexistenceofpositiverisk

premium.Areasonableprioristhatreturnswouldbepositivewhenthecurveissteep–thisisindeedwhatweseeinthetoprightquadrant.Buttheoverallrelationshipinthefullsampleisnotpositive–andinparticularreceivinginvertedcurveshasgenerated

signi?cantpro?tsinthepast(circledpoints).Thesepointsare,however,G10cutting

_

cyclesthrough2007-2009,wheremeaningfulcutpricingwaseclipsedbytheeventualcutscentralbanksultimatelydelivered.

2September20243

GoldmanSachsGlobalMarketsAnalyst

Exhibit4:Recessionsgeneratereturnsto1y1ylongsdespiteinversion

1y1yrealisedreturnsvsinitial1y1yvs1ylevelinrecessions

Exhibit5:Intheabsenceofrecession,steeperfrontendimplieshigherreturns

1y1yrealisedreturnsvsinitial1y1yvs1ylevelinnon-recessionarycycles

2007/08

500Buy-and-holdreturnstolong1y1yfromfirstcut(bp)

higherreturns

400

300

200

steeperfront-endatfirstcut

100

Initiallevelof

1y1yvs1y(bp)

0

-50

0

50

100

-100

-100

400

higherreturns

Buy-and-holdreturnstolong1y1yfromfirstcut(bp)

300

200

100

Initiallevelof

0

1y1yvs1y(bp)

050100

-100-50

-100

steeperfront-endatfirstcut

-200

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Toseethiswebreakdownthesampleintorecessionarycuts–thestartofcutting

cyclesassociatedwithrecessionwithin6m–andintocutsthatrepresentthestartofacyclefollowinghikes(asopposedtoapausedcuttingcycle)andthatare

non-recessionary.Thislattercategory?tsourmodalmacroforecastsmostclosely.

Exhibit4andExhibit5showthisbreakdown.Wecanseethatthenegativerelationshipisdrivenbyrecessionarycuts–whenthereisarecession,centralbanksreliablycut

morethanisinitiallypriced.

Incontrast,whencutsfollowhikesandthereisnosubsequentrecession,returnsaremoremixed–therearecertainlystillpositivereturns,buttheyareslightlypositivelycorrelatedwithinitialinversion,suchthatgreaterinversionimplieslowerreturnson

_

average.Thisisparticularlyrelevantgiventhatcurrent1y1y-1ylevelsareclosetoorbeyondthemaximumlevelsofinversionwehaveseenatthestartofprevioushikingcycles.

Outrightlongsvscurvetrades&tradetiming

Thenextsetofstrategiesweanalyseareleveragedexpressionsonthespotcurve.Welookatleveragedlongpositionsin2y,5y,10yand30yrates,aswellascurvesteepenerpositionsacrossallcombinations:2s5s,2s10s,2s30s,5s10s,5s30s,and10s30s.We

baseourtotalreturnseriesonswapratesandcapdurationonceyieldsgonegative.Wetakethetotalreturnforeachcurvepointnetofthetotalreturntolong3mrates.Toallowforcomparisonbetweencurvepointsandcurvestrategies,wematchthedv01ofeachexpressionbyadjustingforthedurationoftheposition.Wecalculatetheaveragedaily

returnstoeachstrategyfromthemonthpriortothe?rstcut,andthenforthefollowingsixmonthsortheendofthecuttingcycle,whicheverisshortest.

2September20244

GoldmanSachsGlobalMarketsAnalyst

Exhibit6:Fastanddeepcuttingcyclesgeneratethereturns,regardlessofstartinglevelofrates

Returnstolong5youtrightvsinitial5ylevel,cyclelength,depthandspeed

2.5

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

-2.0

2.5

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

-2.0

avgdailyreturnstolong5y(bp/day)

startinglevelof5yrates(ppt)

0246810

avgdailyreturnstolong5y(bp/day)

cyclelength(m)

0510152025

2.52.5avgdailyreturnsto2.5

long5y(bp/day)

2.02.02.0

1.51.51.5

1.01.01.0

0.50.50.5

0.00.00.0

cycledepth(bp)

-0.5-0.5-0.5

-1.0-1.0-1.0

-1.5-1.5-1.5

-2.0-2.0-2.0

-700-600-500-400-300-200-1000

2.52.5avgdailyreturnsto2.5

long5y(bp/day)

2.02.02.0

1.51.51.5

1.01.01.0

0.50.50.5

0.00.00.0

cyclespeed(bp/month)

-0.5-0.5-0.5

-1.0-1.0-1.0

-1.5-1.5-1.5

-2.0-2.0-2.0

-80-70-60-50-40-30-20-100

Source:GoldmanSachsGlobalInvestmentResearch

_

ThepanelsinExhibit6&Exhibit7showtheunconditionalresults,wherethereturnstoasubsetofstrategies–long5yand2s10ssteepeners–ontheverticalaxisare

scatteredagainstavarietyofcycleparameters,suchasthelength,depth,andspeedofthecuttingcycle,aswellasthestartinglevelofthecurveslope(thishasabetter

relationshipthanthestartinglevelofthepolicyrate).Intuitively,andperhaps

arithmetically,longer,deeperandfastercuttingcyclesareassociatedwithhigherreturnstooutrightlongsandcurvesteepeners.Steeperinitialcurvesareweaklyassociated

withlowerreturns.

2September20245

GoldmanSachsGlobalMarketsAnalyst

Exhibit7:Curvesteepenerreturnsimprovewhencurvesareinitially?at

Returnsto2s10ssteepenersvsinitial2s10slevel,cyclelength,depthandspeed

1.4avgdailyreturnsto2s10ssteepener(bp/day)

1.2

1.0

0.8

0.6

0.4

0.2

0.0

-0.2

-0.4

-0.6

-0.8

-1.0-

0.50.00.5

1.4

avgdailyreturnsto2s10ssteepener(bp/day)

1.2

1.0

0.8

0.6

0.4

0.2

0.0

-0.2

-0.4

-0.6

-0.8

0510

startinglevelof2s10s(ppt)

1.01.52.02.5

cyclelength(m)

152025

1.41.4avgdailyreturnsto2s10s1.4

steepener(bp/day)

1.21.21.2

1.01.01.0

0.80.80.8

0.60.60.6

0.40.40.4

0.20.20.2

0.00.00.0

cycledepth(bp)

-0.2-0.2-0.2

-0.4-0.4-0.4

-0.6-0.6-0.6

-0.8-0.8-0.8

-700-600-500-400-300-200-1000

avgdailyreturnsto2s10ssteepener(bp/day)

1.41.41.4

1.21.21.2

1.01.01.0

0.80.80.8

0.60.60.6

0.40.40.4

0.20.20.2

0.00.00.0

cyclespeed

-0.2-0.2(bp/month)-0.2

-0.4-0.4-0.4

-0.6-0.6-0.6

-0.8-0.8-0.8

-80-60-40-200

Source:GoldmanSachsGlobalInvestmentResearch

Onceagain,wecanundertakeasimilarbreakdownbycyclesassociatedwith

_

recessions,andthoserepresentingnon-recessionarycutsfollowinghikes.Whenwedoso,weseethataveragereturnsarehighertooutrightlongsduringrecessions(Exhibit8).Incontrast,non-recessionarycutshavemuchlowerreturnsonaverage.Wealsoseethatforcurvetrades,steepeningexpressionssuchas2s10s,2s30sgenerallyofferthehighestreturns–thisisintuitivegiventhehighestabsolutereturnsaregeneratedby

outrightlongsinthefront-end(Exhibit9).

2September20246

GoldmanSachsGlobalMarketsAnalyst

Exhibit8:Returnstolongdurationmuchhigherinrecession

Leveragedtotalreturnstooutrightlongs1mpriorto6mintocycle

Exhibit9:Returnstosteepenersmuchhigherinrecession

Leveragedtotalreturnstocurvesteepeners1mpriorto6mintocycle

1.2

1.0

0.8

0.6

0.4

0.2

0.0

bp/day

2y

NoRecessionRecession

5y10y

bp/day

30y

1.2

0.45

0.40

1.0

0.35

0.8

0.30

0.25

0.6

0.20

0.4

0.15

0.10

0.2

0.05

0.0

0.00

bp/day

2s5s

NoRecession

2s10s2s30s

Recession

5s10s5s30s

bp/day

10s30s

0.45

0.40

0.35

0.30

0.25

0.20

0.15

0.10

0.05

0.00

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Littlechangesfortherankorderofoutrightlongswhenweadjustbyvolatility(orby

maximumdrawdown,whichisalmostperfectlyproportionaltothedailyvolofreturns)–long2yremainsthebestexpression(Exhibit10).Butcurvetradesbecomemore

attractive,with2s10sand2s30scompetingwithoutrightlongduration(10yand30y)onarisk-adjustedbasis(Exhibit11).

Exhibit10:2ylongoptimalforoutrightandvol-adjustedreturns

Leveragedtotalreturnsandvol-adjustedreturnstolongs1mpriorto6mintocycle

Exhibit11:2s10soffersbestvol-adjustedreturnsforcurvesteepeners

Leveragedtotalreturnsandvol-adjustedreturnstocurvesteepeners1mpriorto6mintocycle

0.6

0.5

_

0.4

0.3

0.2

0.1

0.0

bp/dayReturnsVol-adjustedreturns

2y5y10y

ppt/day/dailyvol

30y

0.18

10

0.16

9

0.14

8

0.12

7

6

0.10

5

0.08

4

0.06

3

0.04

2

0.02

1

0.00

0

bp/day

2s5s

ReturnsVol-adjustedreturns

2s10s2s30s5s10s5s30s

ppt/day/dailyvol

10s30s

6

5

4

3

2

1

0

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Nextwelookatwhenreturnsaregeneratedduringthecycle.Todothis,weaveragethereturnsacrossthe12mintoandoutofthe?rstcutofeachcycle(noteourcyclesare

selectedtohavea12mgapinbetween).We?ndthatmostofthereturnstolong

positionsaregeneratedinthemonthsaroundthe?rstcut,withlimitedfollow-through

2September20247

GoldmanSachsGlobalMarketsAnalyst

beyondtwomonthsafterthe?rstcut(Exhibit12).Thispatternistrueforcuttingcyclesofdifferenttypes,althoughwillbestronglyaffectedbycuttingcyclesinresponseto

suddenshocks,forexamplethe2008or2020cuts(Exhibit13).

Exhibit12:Returnstolongsgeneratedattimeofcut

Averagemonthlyreturnstolong5y.Zeroistimingof?rstcut

Exhibit13:6mpriortocutsgeneratesmuchlargerreturnstolongs

6mpre-vs6mpost-initialcutreturnstolong5y

2.0bp/daybp/day

1.5

1.0

0.5

0.0

-0.5

-12-10-8-6-4-2024681012

2.0

2.0

1.8

1.6

1.5

1.4

1.2

1.0

1.0

0.8

0.5

0.6

0.4

0.0

0.2

0.0

-0.5

bp/dayreturn6mintocutreturn6moutofcutbp/day

unconditionalrecessioninitial+recessioninitial/norecession

2.0

1.8

1.6

1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Flatcurvespointtobetterrisk/rewardforsteepeners

Currentlevelsofinversionsuggestahighhurdleforfront-endoutperformance.Exhibit

14showsthecurrentlevelof1y1yvs1yarealmosteverywherelowerthanthe

maximuminversionatthetimeofpreviousinitialcuts.Intheabsenceofrecession,thissuggeststhatthebartorealisedreturnsonlong1y1yishigh.For2s10s,theUS,EUand

Canadaaremoreinvertedthanaverageatthetimeofinitialcuts(Exhibit15).Thissuggeststhatsteepenerriskispotentiallymoreattractivegiventhe?atnessofthecurve.

_

2September20248

GoldmanSachsGlobalMarketsAnalyst

Exhibit14:Currentfront-endinversionraisesthebartoreturns

Maxinversionof1y1yvs1ytimeof?rstcutvscurrent1y1yvs1y

Exhibit15:Betterrisk/rewardtosteepenersinUSD,CAD,EUR

Flattest2s10sattimeof?rstcutvscurrent

40

20

0

-20

-40

-60

-80

-100

-120

-140

bpMax1y1yvs1yinversionattimeoffirstcutbp

Currentinversion

JPYCHFCADAUDUSDEURSEKNZDGBPNOK

40

60

20

40

0

20

-20

0

-40

-20

-60

-40

-80

-60

-100

-120

-80

-140

-100

bp

bp

Max2s10sinversionattimeoffirstcutCurrentinversion

CHFJPYUSDCADEURAUDSEKNZDGBPNOK

60

40

20

0

-20

-40

-60

-80

-100

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

However,therecentrallyinratesandcurvesteepeninginthelastthreemonthshasgeneratedreturnssimilartoorabovetheaverageforthemonthssurroundingcuttingcycles(Exhibit16andExhibit17).Togetherwiththeinitiallevelofinversionalready

priced,thissuggestsfurtheractivitydataweakeningwouldbenecessarytogeneratesigni?cantreturnstolongs.

Exhibit16:Recentreturnshavebeenelevatedvsaveragearoundinitialcuts

G10averagedailyreturnsin6maroundcuttingcyclesvslast3m

Exhibit17:1y1yreturnshavebeensubstantialinrecentmonths

1y1y3mchangevs1y1ycuttingcycleavgrealisedreturns

1.4

1.2

1.0

_

0.8

0.6

0.4

0.2

0.0

bp/dayavgdailyreturnsincuttingcycleslast3m

Long2y2s10ssteepener

bp/day1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

160

bp

140

120

100

80

60

40

20

0

NZD

3mchange1y1yrealisedreturnsfromfirstcut

USDSEKNOKAUDCADEURGBP

bp

CHFJPY

160

140

120

100

80

60

40

20

0

So