多资产投资策略回顾

1、Multi-Asset Bulletin2019 reviewPhase 1 trade deal between China and the US pushes risk assets yet another leg higherBeyond the near term we see limited upside to growth due to the limited nature of this deal and persistent cyclical headwindsWe provide a review of financial markets in 2019, covering

2、economic and political driversOn the back of last weeks Phase 1 trade deal between China and the US, global equities rose, with EM outperforming strongly against their DM peers. EM hard currency debt spreads fell to the lowest since 2014. US high yield credit spreads tightened to levels last seen in

3、 October 2018. Meanwhile, DM sovereign yields rose across the board.So all good now? We beg to differ. First, economically this limited deal also has limited effects on growth in China, the US and indeed globally. In particular the smaller-than-expected rollback of tariffs in the Phase 1 deal is not

4、 enough to fully restore business confidence in China, according to our economists (China-US trade war, 14 December 2019).Yes, markets will likely focus on the positives in the coming days, such as uncertainty being lowered for now. But what the price action of the past few weeks has done is merely

5、increase the disconnect between forward-looking macro data and markets even further. In other words, the hurdle for further gains in risk assets in 2020 is now quite high risk assets now simply arent priced for even a slight disappointment in growth.Multi-Asset SpotlightFor those looking for a summa

6、ry of 2019, we provide a summary of what has happened across economics, politics and financial markets this year.Skew equity markets (90-110%)Multi-asset implied volatilities (3M)16 December 2019Multi-AssetGlobalMax KettnerMulti-Asset StrategistHSBC Bank plc HYPERLINK mailto:maximilian.l.kettner max

7、imilian.l.kettner+44 20 7991 5045Melissa McCallum Multi-Asset Strategist HSBC Bank plc HYPERLINK mailto:melissa.mccallum melissa.mccallum+44 20 7991 5919Duncan TomsFixed Income & Multi-Asset Strategist HSBC Bank plc HYPERLINK mailto:duncan.toms duncan.toms+44 20 7991 3025Mark McDonaldHead of Data Sc

8、ience and Analytics HSBC Bank plc HYPERLINK mailto:mark.mcdonald mark.mcdonald+44 20 7991 5966Jayasankar Mallisetty* AssociateBangaloreEmployed by a non-US affiliate of HSBC Securities (USA) Inc, and is not registered/ qualified pursuant to FINRA regulations30.02-0.51-1.00-1.5SPX UST 10YUKX CL1Bund

9、10YUS IG NKY XAUBTP 10Y SX5E MSCI EM US HY EURUSDUSDJPY-1-2.0-2201720182019Equity skew (SPX, SX5E, MXEF, z-score)Source: Bloomberg, HSBC3M impli ed vol (z-score vs 5Y)1m agoSource: Bloomberg, HSBCDisclosures & DisclaimerThis report must be read with the disclosures and the analyst certifications in

10、the Disclosure appendix, and with the Disclaimer, which forms part of it.Issuer of report: HSBC Bank plcView HSBC Global Research at:https: HYPERLINK / /Multi-Asset Spotlight: 2019 reviewGlobal economic activity underwhelmed in the first half of 2019 before showing some signs of stabilisation toward

11、s year-end. Our US and Eurozone activity surprise indicators trended downwards in H1 as the data persistently disappointed. Weakness was primarily in manufacturing while services remained more robust. This was not constrained to the US and the Eurozone growth in China softened and 2019 EM consensus

12、growth expectations were cut sharply. The disappointing data stoked concerns about a global recession. However, going into the second half of the year, global consensus growth expectations turned out to be overly bearish for Q3, and economic surprises slightly improved. Indeed, our Eurozone and US a

13、ctivity surprise indicators have largely drifted sideways since July (chart 2). Fears of a global recession were scaled back as global manufacturing PMIs started to rebound in August.In the US, economic momentum cooled. The ISM manufacturing index disappointed numerous times and continually printed

14、below 50 from August, defying the stabilisation in PMIs elsewhere. Consumers and the labour market were a source of strength as job gains and wage growth remained relatively firm. As such, GDP growth from Q1 to Q3 held above 2% throughout.The Eurozone economy stalled the rebound in growth expected i

15、n early 2019 didnt materialise. Germany in particular struggled: its manufacturing PMI has been sub-50 for the entirety of 2019 and the country only narrowly avoided a recession. Economic stagnation continued in Italy and the Spanish economy appeared to cool off in 2019 as well.In mainland China, th

16、e ongoing trade dispute with the US weighed on export growth and business confidence in particular. Growth figures in fixed asset investment, retail sales and overall GDP fell to multi-year lows. Consequently growth expectations for 2020 were trimmed.The weakness in early 2019 saw a dovish pivot by

17、central banks around the world. Having turned dovish in Q1, global central banks pivoted even further in Q2. The Fed delivered 75bp of rate cuts over the course of the year in what they describe as a mid-cycle adjustment. The ECB too delivered a raft of easing measures, including a 10bp deposit rate

18、 cut and open-ended QE.For China, the PBoC cut its RRR by 150bp and stepped up liquidity provisions while other EM central banks cut rates aggressively.Politically, the main focus of 2019 was the ongoing US-China trade dispute. In May, the US raised tariffs on USD200bn of Chinese imports to 25%. Chi

19、na retaliated with tariffs on USD60bn of US imports. Relations worsened in August as the US announced 10% tariffs on USD300bn of imports. Trade talks resumed in October and the two countries edged closer to a resolution with a Phase 1 trade deal on 13 Dec. In the UK, Brexit dominated. Delays ultimat

20、ely saw the end of Theresa Mays tenure as PM. In October, failure to pass PM Johnsons Brexit deal meant another Brexit delay, and the year concluded with a December general election that returned a large Conservative majority. Elsewhere geopolitical tensions resurfaced in the Middle East.Multi-asset

21、 performance 20192. HSBC activity surprise indices3062552041531025100YTD total return (%)Risk-Adjusted (RHS)030-525-102015-1510-205-250-30-5Jan-19Apr-19Jul-19Oct-19Eurozone ActivityUS activity (RHS)Source: HSBC, BloombergSource: HSBC, BloombergEquitiesGlobal equities performed strongly this year. DM

22、 and EM equities ended up roughly 26% and 16% YTD respectively. Much of the gains were seen in Q1 as equities had a stellar start to 2019, buoyed by the concerted dovish tilt of global central banks. US-China relations were also a key driver and equities fell with the escalation of trade tensions in

23、 May and August. However losses quickly reversed and fear-of-missing-out (FOMO) and there-is-no-alternative (TINA) pushed equities higher in Q4 with the S&P500 reaching a new all-time high in December.Regionally, DM equities significantly outperformed EM by c.13ppt. At the country level, Russia stan

24、ds out as the strongest performer globally (+35% YTD). All major regions in DM posted double-digit returns YTD, though the UK lagged as a result of continued Brexit uncertainty. At the sector level, cyclicals outperformed defensives but this was more pronounced in the US than other developed markets

25、. Here, Tech performed best followed by Communication Services. On the other hand, Energy and Healthcare were among the worst performers.3. Equity regions performance 20194. FX performance 2019130120110100Jan 19Apr 19Jul 19Oct 19106104102100989694Jan-19Apr-19Jul-19Oct-19EMJPUSEMUUK EUR-USDUSD-JPYGBP

26、-USDSource: HSBC, BloombergSource: HSBC, BloombergFXThough the USD started 2019 on the back foot as the Fed turned dovish, the greenback remained strong over the course of the year. The dollar was supported by the relatively higher growth in the US and the fact that it is the high yield play in G10

27、FX. Elsewhere in G10, the CAD outperformed while Brexit and domestic politics prompted big swings in sterling. The JPY gained ground against the USD from May-August as trade tensions resurfaced and weighed on risk appetite. However some of these gains then pared such that the JPY ended up only margi

28、nally higher vs the dollar for the year.EM FX returns underwhelmed due to persistent trade concerns, sluggish EM growth, and a resilient USD. The CNY drifted lower vs the USD in 2019. The escalation of trade tensions, particularly in May and August, saw the currency weaken. In August USD-RMB broke a

29、bove7.00 for the first time since 2008. The RUB and THB stand out as the clear outperformers in 2019 while idiosyncratic risks in countries such as Argentina and Chile meant that the ARS and CLP significantly underperformed.Fixed income (rates and credit)Worse-than-expected activity and inflation da

30、ta, and the subsequent dovish turn of many central banks, saw DM sovereigns rally strongly from the start of the year. Similarly in EM, yields fell almost across the board. 10-year Treasury yields fell roughly 85bp YTD and US real yields also dropped significantly over the course of the year, briefl

31、y entering negative territory in August.August also saw the inversion of the UST 2s10s spread for the first time since 2007, sparking fears of a global recession. Within DM rates, the performance of the Eurozone non-core stands out: we saw strong spread compression in 2019, driven largely by ECB pol

32、icy expectations.Meanwhile the rally in core rates pushed 10-year Bund yields to a record low of -0.714% as the entire German yield curve entered negative territory midway through the year.Despite the rally in DM rates, credit spreads tightened over the year. The easing in global monetary policy sup

33、ported spreads, outweighing fundamentals. Credit markets broadly moved in tandem with global equities as the risk-on/risk-off paradigm strengthened during the year.Indeed spreads tightened sharply in early-2019 as global equities rallied. USD credit outperformed EUR credit, however this is not the c

34、ase on a risk-adjusted basis (chart 5).Fixed income performance 2019 (local currency)614125104836242100USEUR coreEUR non-coreSource: HSBC, BloombergUKJapan USD IG USD HY EUR IG EUR HY EM Corp US TIPS EurolinkersYTD return (%)Risk-Adjusted (RHS)CommoditiesOil returns are positive for 2019 YTD. Most o

35、f the price appreciation occurred in Q1 as renewed supply cuts by OPEC+ and supply disruptions in Iran and Venezuela buoyed oil. This reversed slightly in Q2 due to excess US supply and a fragile demand outlook. Oil largely drifted sideways in the second half of the year. Prices spiked briefly in Se

36、ptember following an attack on Saudi oil facilities but this was not sustained as full output was restored. Oil rose slightly at the end of the year after OPEC+ agreed further production cuts at its December meeting.Gold is heading towards its largest annual advance since 2011. It was flat for much

37、of the first half of the year. However, golds fortunes soon turned. Gold gained as the ratcheting up of US-China trade tensions boosted safe-haven demand. Falling real US Treasury yields andincreasingly dovish central banks also bolstered the rally. Gold then remained roughly flat in Q4 as real US-T

38、reasury yields also traded in a fairly narrow range.Oil performance 20197. Gold performance 2019150140130120110100Jan 19Apr 19Jul 19Oct 19Oil12512011511010510095Jan 19Apr 19Jul 19Oct 19GoldSource: Bloomberg, HSBCSource: Bloomberg, HSBCMulti-Asset PerformanceRisk assets performed strongly last week a

39、s risk appetite was boosted by US-China trade, as well as UK political developments. Global equity markets gained across the board. EM equities started to outperform vs their DM peers and EM local currency debt also gained more than hard currency debt.In credit, HY outperformed IG in both EUR and US

40、D universes. This sees the recent trend of HY outperformance vs IG continue (chart 6). In rates, the Eurozone non-core outperformed while the Eurozone core and gilts closed the week lower.Brent moved sideways in the first half of the week however oil prices soon started to climb on news of a US-Chin

41、a trade deal.1. Multi-Asset (USD, TR, %)2. Relative Asset Class Performance (12M)1W1MEM equitiesBrent EMLC EMXDGoldHYDM equities Inflation CreditDM govt. bonds-1.01.03.05.07.0107Total Retur ns Indexed at 100103999591Nov-18Feb-19May-19Aug-19Nov-19EM vs. DM equityEMLC vs EMXDEUR non-core sovereigns vs

42、 EUR IGSource: Bloomberg, HSBC; EMXD= EM external debtSource: Bloomberg, HSBC3. Equity Regions (local currency, TR, %)4. Relative Equity Performance (12M)EM LatAm EM Asia EM EMEAPacific ex JapanJapan UKEurozoneUS-1.0 0.01.02.03.04.05.01051W 1MTotal Retur ns indexed at 10010095908580Nov-18Feb-19May-1

43、9Aug-19Nov-19EM ex Asia vs EM As iaEurozone vs USJapan vs EurozoneSource: Bloomberg, HSBCSource: Bloomberg, HSBC5. Fixed Income (local currency, TR, %)6. Relative Fixed Income Performance (12M)1W1MEZ non-coreUSD HY USD IG EUR HYAsia EUR IG UST JGBEZ core UKT-0.50.00.51.0107Total Retur ns Indexed at

44、1001051031019997Nov-18Feb-19May-19Aug-19Nov-19 UST vs EZ coreUSD IG vs USD HY2.0 EUR IG vs EUR HYSource: Bloomberg, HSBCSource: Bloomberg, HSBCMulti-Asset PerformanceThe outperformance of DM equities against DM sovereigns in the past three months is continuing to tick down (chart 7).We continue to b

45、elieve that risk assets are ripe for a pullback. Fundamentally, the macro data does not justify the recent outperformance of risk assets with our macro surprise diffusion indicators also trending lower (TINAs FOMO, 5 December 2019).EUR IG has recently outperformed USD IG (chart 11). We do not expect

46、 this continue and prefer USD to EUR IG, given that most of the good news around ECB CSPP seems to be in the price. We are underweight EUR IG and overweight USD IG.Japanese equities have outperformed Eurozone equities recently, and is something we see continuing (chart 12). The punitive effects from

47、 the stronger JPY should fade in the coming months, and Japans valuation discount vs Eurozone equities has become unusually high.7. DM equity vs DM sov. (USD, TR, %)*8. EMXD vs EMLC (USD, TR, %)*151050-5-10-15-20Dec-14Dec-15Dec-16Dec-17Dec-18Dec-191050-5-10Dec-14Dec-15Dec-16Dec-17Dec-18Dec-19 90/10

48、percentile DM equity vs DM sovereigns 90/10 percentileEMXD vs EMLCSource: Bloomberg, HSBCSource: Bloomberg, HSBC9. USTs vs Bunds (LC, TR, %)*10. EMXD vs EM equities (USD, TR, %)*43210-1-2-3-4Dec-14Dec-15Dec-16Dec-17Dec-18Dec-19 90/10 percentile USTs vs Bunds2520151050-5-10-15-20Dec-14Dec-15Dec-16Dec

49、-17Dec-18Dec-1990/10 percentileEMXD vs EM EQSource: Bloomberg, HSBCSource: Bloomberg, HSBC11. US IG vs EUR IG (OAS)*, bp12. Japan vs EUR equities (Local, TR, %)*403020100-10-20-30Dec-14Dec-15Dec-16Dec-17Dec-18Dec-19 90/10 percentile US IG vs EUR IG (OAS, bp)181260-6-12-18Dec-14Dec-15Dec-16Dec-17Dec-

50、18Dec-19 90/10 percentileJapan vs Eurozone equitiesSource: Bloomberg, HSBCSource: Bloomberg, HSBC* Rolling 13-week changes over the past five years. Standard deviation bands based on weekly returns over past five years.Lower diagonal: 1 year correlationsUpper diagonal: difference in 1 year correlati

51、on vs long- term correlation (Jan-05)CorrelationOur risk-on/risk-off indicator has risen throughout the past few months (chart 5). Weve taken an in-depth look on the reasons behind this increase in last weeks Multi-Asset Bulletin (Blocked by the dollar, 9 December 2019).Indeed, our multi-asset heat

52、map displays much more significant blocks of red and blue in the past three months compared to the past six months (chart 4).We see a similar pattern in our correlation matrix below. For example the correlation among risky assets has become much more pronounced, such as between equities and high yie

53、ld. The correlation across safe-havens also soared: as a case in point JPYUSD and USTs are now correlated by .72, which is .22 higher compared to the long-term average.Asset class views: Correlation matrixUSTsEUR core EUR non-core GiltsJGBsUSD IG USD HY EUR IG EUR HYAsia creditUS equity Japan equity

54、 EUR equityUK equityEMXD EMLCEM equityInflation linked Oil (WTI)Indust. MetalsGoldJPY-USD GBP-USDEUR-USDUSTsEUR core EUR non-core GiltsJGBs11 10 -2 1317-211112-2016-14 -25 -17 -3-1-12-305-1114722-13-283137728-6-11-424-2-11-4105-10-1930-254125253213-182243117211514288-12-6-3-16-1010-158-14 -612-8-267

55、598534-6-2-416 -6 129024-3-10 -152224-23-155533 3720 13 10 302-10-1 -1233-1011 8 11 76-4USD IGUSD HY EUR IG EUR HYAsia credit89 823266 56-470-4010-23-34 -26-16-12 -23 -414 -9 -15 4726-19-12-9-45-25-5 -20 -12-15-39-12-402617 142-12 -149-1630-10-17-15-250693455 4069-1-206-9-18 -16-821-20 -216-13-4-333

56、7 -23 -18 -43-2621 -28 -3-96829-3025 16 22 7-319-2614-21-281-1688 773964 6592-1665-10-25-38 -33 -27-33 -44 -55-1-17-141628-17 -15US equityJapan equity EUR equityUK equity-55-36-6 -32 -25 -15-3282-56560-2813-2-180-180-16131614-9-11-6-11-18-91-14 -62 -44 06-42-3765-10-5-386711-2-11 -1513-22-38-12 -5-1

57、1 -6-25-62-43-34 -26-347372-3475 75-85-155-25-32-20-40-1744-19-1661549-1656 5779-7-27-13-20-1-27-1-36 -31EMXD EMLCEM equity462723228 46 40 583544212349413628-15-15-18 -11 -6 31614-6 -10-22 -281712-202-933-5-635-13556-15-29-19-1-7-10-52-62 -50-40-27-356870-2972 76 82624763-371-8-44-22 -22 Inflation l

58、inkedOil (WTI)Indust. Metals Gold506036633855743-458-5-19 -16 -1021 2112 18-8-22-301510-44 -28-42 -28 -16-23-5-1-2166-183932-2451 46 52 4445-5-11-22-43-24 -18-33-28 -21-1-17-19290-14322037 342744 4725-29-16 -21 -215749 28 35 4452-1333-1853-11 -41 -31 -1826 30-1754-171037-277JPY-USDGBP-USD EUR-USD725

59、0538 3658-3621-4762-43-63 -50-33712-4547-34 -2864-104-31-45-7-55-40-2421-2625-213119 22-25181935 35312 122-9-10-6-251-26-88-270 -417-15-2-13591932-412512850Source: Bloomberg, HSBC; EMXD= EM external debt; EMLC = EM local debtUSTs vs JPYUSD3. EUR HY vs EUR equity9085706550453010Jan-17Jan-18Jan-19USTs

60、 vs. JPY-USD 26-week correlationAvgSource: Bloomberg, HSBC; Average since 200525Jan-17Jan-18Jan-19EUR HY vs. EUR equity 26-week correlationAvgSource: Bloomberg, HSBC; Average since 2005CorrelationMulti-Asset heat mapSource: MSCI, Bloomberg, Refinitiv Datastream, HSBCRisk-on/Risk-off IndicatorSource: