德银新兴市场本地的价值何在

1、Deutsche Bank ResearchAsiaEmerging Europe Latin AmericaEmerging MarketsEM Special PublicationDate17 July 2019Where is the value in EM local markets?Christian Wietoska Strategist+44-20-754-52424Over the last few days, we have published top-down updates on the attractive- ness of EM local markets. In

2、our publication, EM local markets vs. externals - how much is priced in? , we find that both asset classes EMFX and EMFI are at rich levels compared to what is implied by external drivers. This is even more the case for EMFI than EMFX. Furthermore, in our monthly EM Flow report, we point out that ov

3、er the past few weeks, returns on EM local bonds and EMFX have been noticeably stronger than what are implied by flow indicators. The latter imply very rich valua- tions in local assets relative to those implied by foreign flows.David Petitcolin Strategist+44-0-207547-6168Ankit Jain Research Associa

4、te+91-22-6181-1634Now in this publication, we provide a bottom-up analysis of EM local markets by updating our EMFX and EMFI Scorecards. We highlight the most attractive FX and Fixed Income markets based on important underlying drivers, and point out changes in attractiveness since the previous edit

5、ion in early May. Last but not least, we dive deeper into EM local markets and point out where we agree/disagree with the scorecard results.Mallika SachdevaStrategistJundong ZhangMacro StrategistSebastian A. BrownStrategist*Please note that within the EMFX and EMFI Scorecards, a weak overall ranking

6、does not necessarily translate into a short on local assets. We present the final score as a simple average of the rankings of individual components. However, we suggest readjusting the weightings depending on the external backdrop (offensive vs defen- sive variables) and the subjective importance o

7、f specific variables. Rankings can dif- fer from outstanding trade recommendations.*Drausio GiacomelliStrategistFindingsn The EMFX Scorecard: Our updated version ranks HUF, KRW and SGD as the most attractive currencies. On the other hand, PHP, THB and IDR are now ranked among the least attractive cu

8、rrencies. Interestingly, however, we note that based on "Real Rates" and "Carry" the two variables with the best track records in our most recent EMFX Scorecards IDR would be ranked among the more attractive currencies, while it is the exact opposite for HUF (the least attractive

9、 on those two variables).Compared to our May publication, INR, PLN and ILS have improved the most in rankings, while COP, BRL and IDR have deteriorated the most.nThe EMFI Scorecard: Similar to May, our updated version once again ranks Malaysia, India and Indonesia among the three most attractive cou

10、ntries, although in a different order this time. On the other hand, the scorecard finds limited value in adding duration exposure in the Czech Republic, Mexico and Chile.nDistributed on: 17/07/2019 12:18:11 GMTDeutsche Bank AG/LondonDISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. M

11、CI (P) 066/04/2019.获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫关注 回复：加入“起点财经”群。17 July 2019EM Special PublicationCompared to May, rankings have improved the most for South Korea, Israel and Thailand, while deteriorating the most for Mexico in particular (-12), but also Poland, Turke

12、y and Colombia.nWhere do we agree/disagree with the results? In EMFX, we are somewhat more in disagreement with the overall scorecard results compared to the EMFI results (more so in Asia than CEEMEA). This said, we agree particularly with the stronger rankings for PLN and TRY and the weaker ranking

13、s for CZK, ZAR, ILS and THB.nIn fixed income, we agree with the strong results for Russia, South Africa (DB Strategy change from "neutral" to "modest overweight"), Malaysia, Indonesia, India and Brazil. Our strategy views are also aligned with the particularly weak rankings for P

14、oland, Chile and Mexico, while in Asia we agree with the weak(er) rankings for Thailand and South Korea (relative to other Asian countries).nBy back-testing the May Scorecard rankings, we find (once again) that the rankings are a better leading indicator for EMFI than EMFX. This said, the top5 ranke

15、d countries for both Scorecards have noticeably outperformed the bottom5 countries in line with the average Scorecard results over the past few months. For EMFI, "Expected return" and "Monetary policy impulse" in particular but also "Overall Ranking" provide strong pred

16、iction power. This is consistent with the findings in the past, although this time the results are somewhat more robust. For EMFX, we find once again strong results for "Real Rates" and "Carry" but highly negative correlation for Flows (basic balance) and "External Valuation

17、". We note that the latter in particular should be incorporated into the final subjective weighting of the underlying variables.nPage 2Deutsche Bank AG/London17 July 2019EM Special PublicationThe EMFX Scorecard4Results4What has changed from the previous EMFX Scorecard?6Long-term vs. short-term

18、variables7The EMFI Scorecard8Results8What has changed vs the previous EMFI Scorecard?10Long-term vs. short-term variables11Evaluating the results12FX vs FI Scorecards where is the value?12Scorecard rankings vs performance - a good leading indicator?13Scorecard ranks vs DB Strategy where do we agree/

19、disagree in EM15Appendix18Appendix A: EMFX Scorecard The variables18Appendix B: EMFI Scorecard The variables24Previous EMFI/FX Scorecards - May31Deutsche Bank AG/LondonPage 3Table Of Contents17 July 2019EM Special PublicationThe EMFX ScorecardApproach: The EMFX Scorecard ranks 22 currencies from the

20、 most to the least attractive on the basis of a number of fundamental and technical factors generally considered to be important drivers of EMFX. The motivation behind the EMFX Scorecard is 1) to present these factors in a standardized way to facilitate compari-son and 2) to allow for rule-based ran

21、kings across a range of ms.In Appendix A, we provide a more detailed explanation of the EMFX Scorecard, the variables and the sub-rankings.ResultsOur updated EMFX Scorecard ranks HUF, KRW and now SGD as the most attract- ive currencies. On the other hand, IDR, THB and PHP are ranked at the bottom.Fi

22、gure 1: EMFX Scorecard: Currencies ranked from best long (rank 1) to best short (rank 22)EMFX corecardMacro (long-term variables)Financial (short-term variables)PositioningFlows (basic balance)Overall Macro rankOverall Financial rankLong-term ValuationGrowth MomentumReal RatesExternal ValuationCurre

23、nciesFinal rankCarryMomentumRSIBond PositioningRisk ReversalHUF KRW SGD1279142179799131112223281313614101111948422101077124854561621211129511141222025RON MYR CLP711351120111320668485203789116431071613178510101211817111221292221021151218159537611CZK RUB ILS14151561248120211019151714132085203211314413

24、1852010798PEN PHP THB IDR1520212222191820196222061418Source : Deutsche Bank. Bar sizes in each cell correspond to the rank, with larger bars corresponding to higher numbers and thus more attractive shorts; smaller bars correspond to more attractive longs; where applicable, EM FX is considered vs. th

25、e USDPage 4Deutsche Bank AG/LondonMXN ZAR BRLINR CNY COPPLN TRY TWD17 July 2019EM Special PublicationTop rankingsn Our EMFX Scorecard shows that HUF ranks as the most attractive EM currency, up from fourth in the May EMFX Scorecard. HUF has improved on both long-term and short-term variables. It sco

26、res top on short-term variables and second on long-term variables, suggesting a positive backdrop across the board. HUF scores best on "RSI", "Momentum", "Growth momentum" and "External valuation". However, it is worth pointing out its low rankings on "Re

27、al rates" and "Carry".KRW remains the second most attractive EM currency, as in the last scorecard. It ranks more favourably on short-term variables than macro variables. Within short-term metrics, KRW has dropped several places on "Bond positioning" and "Risk reversal&

28、quot;, indicating less favourable positioning, but compensates with its strong improvements in "Carry" and "Momentum". Overall, KRW scores top on "External valuation" and "Momentum". Within long-term variables, it ranks quite well on "Growth Momentum"

29、;, "Real rates" and "Flows", but poorly on "Long-term valuation".nSGD is now ranked the third most attractive currency after a strong improvement since the last update (up 4 places). The biggest improvements have been in the long-term macro rankings, particularly "

30、Growth momentum" and "Real rates", while in Financial variables, improvements in "RSI", "Momentum" and "Risk reversal" are offset by drops in "Carry" and "External valuation". Overall, SGD now ranks second across macro variables, with

31、the top rank on "Flows". The picture is more mixed on the financial side with a solid ranking on "Carry" but mid-table rankings on other metrics.nBottom rankingsn IDR is now the least attractive EM currency on our EMFX scorecard, having dropped a substantial eight places since Ma

32、y. Both long and short-term variables have deteriorated, with the biggest drops witnessed on the short- term side of the Scorecard. Overall, IDR scores reasonably well only on "Carry", with all other financial metrics indicating near-bottom ranks. Similarly, on the macro side, IDR scores w

33、ell only on "Real rates" but poorly on the other variables.THB continues to tumble in the rankings, having fallen four places since the May update. There are a few changes on the long-term variables: besides a modest deterioration in "Growth momentum", its financial ranking has w

34、orsened significantly. The biggest drops are witnessed in "Carry", "Momentum" and "External valuation", while positioning indicators and "RSI" have improved. Overall, THB suffers the second-worst long-term ranking, driven by "Long-term valuation" and

35、 "Growth momentum", while on the financial side, "Carry", "External valuation" and "Momentum" also rank near the bottom of the table.nPHP remains near the bottom of the table after suffering a substantial deterioration on macro variables. Its biggest deteriora

36、tion is in "Growth momentum", while "Long-term valuation" and "Flows" are also slightly worse. Meanwhile, PHP scores the worst on financial variables, similar to the previous scorecard. It generally scores poorly across the category, except for "Carry". PHP

37、9;s only strong ranking is in "Real rates" on long-term variables.nDeutsche Bank AG/LondonPage 517 July 2019EM Special PublicationWhat has changed from the previous EMFX Scorecard?Which currencies have improved the most since our previous publication? INR (+11), PLN (+7) and ILS (+7) have

38、improved the most in overall rankings since May.For INR, all its improvements have been in short-term variables, in particular "Car- ry", "RSI" and "External valuation". PLN presents a more balanced picture in improving in both categories: on long-term variables, its bi

39、ggest improvement is in "Growth momentum", while on short-term variables, "RSI" and "External valua- tion" have contributed the most. Finally, ILS enjoys a near universal improvement in rankings, dropping only one place in "External valuation" and ranking bett

40、er (or stable) on all other metrics. The biggest improvements are witnessed in "Growth momentum", "Real rates", "Risk reversal" and "Bond positioning".Which currencies have deteriorated the most since our previous publication? COP (-9), BRL (-8) and IDR (-8) h

41、ave deteriorated the most in overall rankings since May.COP suffered deterioration on both long-term and short-term variables. The most extensive drops have been on the short-term side, particularly "RSI", "Risk reversal" and "External valuation". On long-term indicator

42、s, its rankings in "Growth momen- tum" and "Real rates" have weakened. BRL's tumble down the scorecard is almost entirely driven by short-term variables, where it has dropped six places. The deepest deteriorations are in "RSI" and "Momentum". It has actual

43、ly improved moderately on long-term variables, thanks to a decent improvement in "Real rates". IDR has dropped evenly across long-term and short-term variables. The biggest falls have been in "RSI" and "Bond positioning", as well as "Growth momentum" and "

44、;Long- term valuation".Figure 2: Compared to the May rankings, INR, PLN and ILS have improved the most, while COP, BRL and IDR have deteri- orated the mostChange s reviousMFXcorecardSource : Deutsche BankPage 6Deutsche Bank AG/LondonMacro (long-term variables)Financial (short-term variables)Cur

45、rencies Final rankLong-termGrowthRealFlowsOverall ValuationMomentumRates(basicMacrobalance)rankPositioningOverallCarryExternalMomentumBondRiskRSIFinancial ValuationPositioning ReversalrankHUF KRW SGD PLN TRY TWD RON MYR CLP INR CNY COP CZK RUB ILS MXN ZAR BRL PEN PHP THB IDR300023611332-3-1-6-118402

46、1-30-1-3-20-146648210134008-2-113117000-43315-3-8-1170077-40-1-10-5-82103-9-4-6-1672-1-1-1-1002002-1514-700-5-7-4-1-400-11-1362120219-13-3-126-6-71311-3210-11238561133911-1-491117-13-24-5-807-900-1-6-13-5-3-11-9342231144-2-6-3-9123-5-4-2-6-3-10-4-1705000459610217266632-7000-4064664-11-17030-6-6-7-3-

47、5-6-83-4-1-17-2-411-10-1-2-2-1-2-1-1-1-2-8-5-12-3212110004-130-1214-4000-1-7-2-854-6-6-8-3-21-62-13217 July 2019EM Special PublicationLong-term vs. short-term variablesWe present below both the aggregate fundamentals (long-term valuation) scoreand the technicals (short-term valuation) score.In the s

48、potlightTHB, IDR and PEN show weak rankings on both long-term and short-term varia- bles. The contrary is true for HUF, the only currency to enjoy strong rankings in both categories.In the case of ZAR, BRL and MYR, we find relatively attractive long-term valuation variables, but rather unattractive

49、short-term financial variables.CNY, CZK and CLP display relatively attractive short-term financial variables, but some of the weakest long-term variables.Figure 3: Long-term (fundamental) vs short-term (technical) valuationsScorecard rank - long term variables (macro)22CNYTHBPENCZKCLPIDRMXNPHPILSINR

50、RONCOPPLNKRWRUBTRYTWDBRLHUFSGDZARMYR22Scorecard rank - short-term variablesattractive longsattractive shortsSource : Deutsche Bank, Bloomberg Finance LPDeutsche Bank AG/LondonPage 7attractive longsattractive shorts17 July 2019EM Special PublicationThe EMFI ScorecardThe EM Fixed Income (FI) Scorecard

51、 ranks 18 fixed income emerging markets from the most to the least attractive based on a number of fundamental and technical factors generally considered to be important drivers of EM Fixed Income. The moti- vation behind the EMFI Scorecard is 1) to present these factors in a standardized way to fac

52、ilitate comparison and 2) allow for rule-based ranking across a range ofms.What has changed relative to the May publication? We have added a new variable called "Liquidity". This variable is based on a historical VaR (Value at Risk) analysis looking at the most extreme bid-ask spreads over

53、 the past two years (10%). While liquidity matters less during periods of EM inflows and a more favorable external backdrop, it becomes a particularly important variable during periods of stress, as seen earlier this year, when trade-war tension increased. We found an extreme overshooting in fixed i

54、ncome relative to fair value in markets with rather low liquidity.In Appendix C, we provide a more detailed explanation of the EMFI Scorecard, the variables and the sub-rankings.ResultsOur updated EMFI Scorecard ranks Malaysia, India and Indones the three most attractive fixed income emerging market

55、s. This is the same as in May, although in a different order. On the other hand, our EMFI Scorecard implies limited value in adding duration exposure in Chile, Mexico, the Czech Republic and Poland.Figure 4: EMFI Scorecard: Countries ranked from best long (rank 1) to best short (rank 18)Technicals/F

56、inancialsValuation/DynamicsFinal RankCountriesCredit RiskReal RatesExternal valuationOverall TechnicalsTerm PremiumMonetary Policy ImpulseInflation impulseBond valuationExpected returnOverall ValuationPositioningLiquidityMalaysia India Indonesia125249753263554173154251161231011118991642Thailand South Korea Turkey6371268112129159888291791247211157291317171111910Peru Romania Poland1610101384171491056