1.
2018년 6월 미국의 유명한 Zerohedge에 올라온 글을 보면 향후 주식시장을 대단히 비관적으로 전망합니다. Bullish에서 Bearish로 전망합니다. 세계최대의 헤지펀드인 Bridgewater, 월스트리트의 유명투자은행인 BOAML과 Morgan Stanley등입니다. 먼저 Brigdewater의 전망을 한 문장으로 정리하면 아래와 같습니다.
“We are bearish on financial assets as the US economy progresses toward the late cycle, liquidity has been removed, and the markets are pricing in a continuation of recent conditions despite the changing backdrop.”
World’s Biggest Hedge Fund: “We Are Bearish On Almost All Financial Assets”을 전망의 배경입니다.
n one of Bridgewater’s latest Daily Observations authored by co-CIO Greg Jensen, the firm writes that “2019 is setting up to be a dangerous year, as the fiscal stimulus rolls off while the impact of the Fed’s tightening will be peaking” a point echoed yesterday by the head of the Indian central bank, Urjit Patel, who warned that unless the Fed ends its balance sheet reduction which comes as a time when the Treasury is soaking up dollar liquidity by issuing substantial amounts of Treasuries to fund the Trump budget, the tightening in financial conditions could lead to a global conflagration started by emerging markets.
And since asset markets lead the economy, Bridgewater continues, “for investors the danger is already here” and explains as follows:
Markets are already vulnerable, as the Fed is pulling back liquidity and raising rates, making cash scarcer and more attractive – reversing the easy liquidity and 0% cash rate that helped push money out of the risk curve over the course of the expansion. The danger to assets from the shift in liquidity and the building late-cycle dynamics is compounded by the fact that financial assets are pricing in a Goldilocks scenario of sustained strength, with little chance of either a slump or an overheating as the Fed continues its tightening cycle over the next year and a half.
To justify his point, Jensen notes that markets are pricing in that the world is pricing in a “goldilocks” world at the start of 2020, with 2.4% growth, 3.0% 10Y yields and 2.8% Fed Funds rates, which is essentially “an extrapolation of current conditions, with expected growth and inflation near perfect levels. The yield curve is priced to be flat, oil to be at $62, and the dollar to be down 3.5% against developed world currencies.”
Looking at pricing dynamics, the world’s largest hedge fund also notes that “expectations are for inflation to remain at fairly benign levels just above the Fed’s 2% target, and options pricing reflects little investor demand for protection against the potential for the economy to bubble over. On the other hand, it also shows virtually no chance of deflation, which is a high likelihood in the next downturn.”
Needless to say, Bridgewater is skeptical: “we doubt this picture of calm priced into markets will actually play out.”
다음은 Morgan Stanley의 전망입니다.
Four key elements of this market are very different than a year ago. Back then, we chalked the market’s resilience up to four factors: An unusually happy truce among growth, inflation and rates; a positive skew to policy surprises; rock-solid credit markets; and a large gap between (low) implied and (even lower) realised volatility. All of these have changed.
Let’s start with growth and inflation. Last year, markets enjoyed the unusual combination of rising PMIs with little inflationary pressure. For the last eight years, markets have been supported by the idea that good data would support market normalisation and bad data could bring further policy easing. While not always the case, it was often fine either way. Good and bad were both good.
That’s changed. US headline and core inflation have risen sharply since the start of the year, with core PCE now sitting above the 20-year average and facing a shift to structural upward pressure from healthcare costs (which make up 20% of the index). Unemployment is back down near historical lows. We think that this keeps the Fed hiking, with a forecast of four more hikes between now and December 2019. Better-than-expected data would mean even more tightening, while the strong US growth we’ve already seen in 2Q has led our strategists to raise their USD targets and lower their assessment of EMFX and EM equities. Good could be bad.
Meanwhile, two things have stood out to me at recent meetings and conferences:
Investors are now more sanguine about how much time they have until the next recession than at any point since 2010. We’re 8 ½ years into an expansion, and many investors finally are finally confident that there is plenty of time left on the clock.
China is rarely mentioned as a growth concern (after causing angst for much of this period).Both, in my view, suggest a vulnerability to weaker data, especially given the rise in US inflation and the already dovish stances of the ECB and BoJ. Bad could be bad.
Together, this lack of concern means growth and inflation now need to fit into a much smaller window to avoid rattling markets one way or another.
Second, the change in policy. Last year, there was clear policy catalyst (tax) that the market was far from fully pricing. This year, that seems to have been replaced by a clear policy risk (trade) that the market is far from fully pricing. Our economists and US public policy team remain cautious on the current state of trade negotiations.
Third, credit markets. Last year, nearly every pocket of global credit was strong and stable. This year is very different. While US high yield is back near post-crisis tights, US investment grade, European credit, Asia credit and emerging market credit are all weaker. Libor-OIS spreads are near a nine-year high. No prizes for guessing which one of these we think is most mispriced.
Finally, market volatility itself. Last year it was easy to scoff at investors who were selling volatility at historically low levels. But the irony is that this trade was hugely profitable. Although implied vol was low, realised volatility was even lower, near some of the lowest levels ever recorded.
That’s changed. While implied volatility in DM equities, rates, credit and foreign exchange is back near 10-year lows, realised volatility is often closer to the middle of the 10-year range. Volatility is less expensive to own and less profitable to sell. We think that matters.
Morgan Stanley: “These Four Key Market Elements Are Very Different Than A Year Ago”중에서
Bank Of America의 전망을 담은 보고서중의 차트입니다. BofA’s “Charts Of Darkness”이 출처입니다. Quantitative Tightening, Trade War, Peak Profits, German fiscal stimulus, Yield Curve을 다룬 차트입니다.
여기에 덧붙어 Bridgewater 설립자인 Dalio는 Ray Dalio: “Today Is The First Day Of The War With China”라고 우려하는 상황으로 발전하고 있습니다.
그러면 한국의 증권사는 어떤 평가를 내릴까요? 한경컨센서스에 올라온 증권사 보고서중 자산배분과 관련한 보고서들입니다. 미래에셋대우증권, 하나금융투자, 이베스트투자증권, SK증권, 한국투자증권의 2018년 하반기 자산배분전략입니다.
2.
어느 때부터인가 트레이딩이라는 단어보다 자산배분이라는 표현이 더 자주 접합니다. 종목발굴, 종목매매를 패턴의 매매가 주류가 아닌 듯 합니다. 더 많은 사람들이 포트폴리오에 관심을 가지고 있고 단순히 종목담기가 아니라 정량적인 방식의 접근을 하는 듯 합니다. 아래 한국투자증권의 보고서는 금융시장 네트워크분석모형과 유전자 최적화를 다루고 있습니다.
