多资产策略：飞向更高

1、Multi-AssetGlobalTake me higherMulti-Asset BulletinAnother grind higher in risk assets last week yet beyond the Q3 earnings seasons we see the risk of a pullback given a lack of immediate upside catalystsUsing machine learning, we recently introduced our inflation breakeven scorecards for the US, Eu

2、rozone and UKRenewed optimism on global trade and the fairly supportive Q3 US earnings season sent risk assets higher once again last week. We maintain our view of risk assets being supported by what could turn out a short-term temporary reflationary wave in the coming months, albeit purely driven b

3、y arithmetics.However for the very near-term, subdued implied vols across asset classes, falling skews in equities, more bullish sentiment and a lack of further upside catalysts keeps us cautious.Multi-Asset Spotlight: Final ScoreIn our recent publication, Final Score, we launched our new inflation

4、breakeven scorecards for US, UK, and Euro markets. Here we use machine learning to help break down breakevens by typical macro and market drivers.The scorecards are a tool to help predict with a measured probability based on a range of factors the likelihood of 10Y breakevens going up in one months

5、time. Through these scorecards we can see exactly what factors are contributing to our models prediction.Euro Breakeven Scorecard28 October 2019Duncan TomsFixed Income & Multi-Asset Strategist HSBC Bank plc HYPERLINK mailto:duncan.toms duncan.toms+44 20 7991 3025Max KettnerMulti-Asset StrategistHSBC

6、 Bank plc HYPERLINK mailto:maximilian.l.kettner maximilian.l.kettner+44 20 7991 5045Melissa McCallum Multi-Asset Strategist HSBC Bank plc HYPERLINK mailto:melissa.mccallum melissa.mccallum+44 20 7991 5919Mark McDonaldHead of Data Science and Analytics HSBC Bank plc HYPERLINK mailto:mark.mcdonald mar

7、k.mcdonald+44 20 7991 5966Jayasankar Mallisetty* Associate, Bangalore Bangalore* Employed by a non-US affiliate of HSBC Securities (USA) Inc, and is not registered/ qualified pursuant to FINRA regulations Factor pulling Breakeven lowerFactor pushing Breakeven higherSource: HSBC, Bloomberg, the ECB.

8、Note: Uses German 10Y breakevens as a proxy. Probability refers to the likelihood as calculated by the model of the 10Y Breakeven being higher in one month. Black bars represent +/- one standard deviation. * Any variable with a star has an inverse relationship to our Breakeven probability. For examp

9、le a weaker EUR is implied by a diamond to the right of zero, and this increases the probability of breakevens going up in one month.Higher factor importanceDisclosures & DisclaimerThis report must be read with the disclosures and the analyst certifications in the Disclosure appendix, and with the D

10、isclaimer, which forms part of it.Issuer of report: HSBC Bank plcView HSBC Global Research at:https:/ HYPERLINK / Higher factor importanceMulti-Asset SpotlightIn our recent publication, Final Score, we launched our new breakeven scorecards for US, UK, and Euro markets. We will be updating these scor

11、ecards in Real Ideas going forward.Inflation breakevens are typically driven by a range of economic factors that influence inflation the oil price, currency movements, activity data to name a few. Yet deciphering which of these drivers is dominating the near-term inflation outlook is not always clea

12、r cut. This is where our new scorecards come into play. We have used machine learning and namely a logistic regression to predict the probability of breakevens rising one month from now. Our scorecard shows this probability, but importantly it also shows what factors are driving this current predict

13、ion. This means that we can currently see what factors, right now, are most important and leading to a one month breakeven prediction higher or lower.Chart 1 shows our US breakeven scorecard. Along the top we can see the probability of US 10Y breakevens rising one month from now, currently at 48%. B

14、eneath this are the factors contributing to that prediction. Factors are ordered by importance. For our US model this shows how oil is typically the most important in driving our breakeven predictions, and movements in the USD are typically least important. The grey bands for each factor show the ra

15、nge for each factors contribution over the last two years, with standard deviations marked on these bands.Most importantly we can see that any factor with a value to the right of zero increases the probability of 10Y breakevens going up in one months time, and vice versa for any factor that has a sc

16、ore to the left of zero.US Breakeven ScorecardFactor pulling Breakeven lowerFactor pushing Breakeven higherSource: HSBC, Bloomberg, the Federal Reserve. Note: Probability refers to the likelihood as calculated by the model of the 10Y Breakeven being higher in one month. Black bars represent +/- one

17、standard deviation. * Any variable with a star has an inverse relationship to our Breakeven probability. For example a weaker USD is implied by a diamond to the right of zero, and this increases the probability of breakevens going up in one month.From our US scorecard we can see how currently, a hig

18、her CPI forecast is driving our breakeven prediction higher. On the flipside momentum and falling implied US Treasury volatility are weighing on the US breakeven outlook. While our US model currently has rather weak conviction, wed stress that we are still mildly bullish on TIPS breakevens as a whol

19、e (see TIPS update). Meanwhile our Euro model has a stronger conviction. Here there are some subtle differences in factors. As we use Germany in our model as a proxy for EUR breakevens, these are largely taking the appropriate domestic factors related to Germany and Eurozone inflation.In the Euro ar

20、ea, our model currently predicts 10Y breakevens going up in one month with a probability of just 43%. Driving our prediction lower most significantly are mainly oil, and the recently positive breakeven momentum in Germany (chart 2).Higher factor importanceEuro Breakeven ScorecardFactor pulling Break

21、even lowerFactor pushing Breakeven higherHigher factor importanceSource: HSBC, Bloomberg, the ECB. Note: Uses German 10Y breakevens as a proxy. Probability refers to the likelihood as calculated by the model of the 10Y Breakeven being higher in one month. Black bars represent +/- one standard deviat

22、ion. * Any variable with a star has an inverse relationship to our Breakeven probability. For example a weaker EUR is implied by a diamond to the right of zero, and this increases the probability of breakevens going up in one month.For the UK there is one problem Brexit. In this current market regim

23、e this means that GBP is overwhelmingly dominant. As such, our UK model currently predicts UK 10Y breakevens rising with a probability of 47% a forecast driven largely by GBPs recent move higher. Indeed in our UK scorecard we can see how recent movements in GBP are pulling our probability down almos

24、t to the greatest extent than any point during the last two years (chart 3). Meanwhile supporting this probability of UK breakevens going higher is very negative breakeven momentum.UK Breakeven ScorecardFactor pulling Breakeven lowerFactor pushing Breakeven higherSource: HSBC, Bloomberg, the BoE. No

25、te: Probability refers to the likelihood as calculated by the model of the 10Y Breakeven being higher in one month. Black bars represent +/- one standard deviation. * Any variable with a star has an inverse relationship to our Breakeven probability. For example a weaker GBP is implied by a diamond t

26、o the right of zero, and this increases the probability of Breakevens going up in one month.This is just a brief summary of our piece Final Score. In this report we detail how we calculated factor importance, how powerful our models predictive power is, and a discussion on why other factors that mig

27、ht influence breakevens were not included.Multi-Asset PerformanceBrent was the strongest performer in a week that saw gains across most asset classes. Equities performed strongly as too did gold and EM local currency debt. On the other hand, DM rates ended the week in the red.In the equity space, La

28、tAm posted the strongest gains followed by UK equities. Japanese equities outperformed Eurozone a trend that has been developing over the last couple of months, and something we expect to continue (chart 4).DM sovereign bond yields mostly rose last week. This was driven in particular by renewed opti

29、mism on US-China trade relations by the end of the week. In contrast, gold prices also rose continuously throughout the week.1. Multi-Asset (USD, TR, %)2. Relative Asset Class Performance (12M)1W1MBrentDM equitiesEM equitiesGold EMLC HY EMXDCreditDM govt. bondsInfla tion-3.0 -2.0 -1.0 0.0 1.0 2.0 3.

30、0 4.0 5.0108Total Retur ns Indexed at 1001041009692Oct-18Jan-19Apr-19Jul-19Oct-19EM vs. DM equityEMLC vs EMXDEUR non-core sovereigns vs EUR IGSource: Bloomberg, HSBC; EMXD= EM external debtSource: Bloomberg, HSBC1W 1M3. Equity Regions (local currency, TR, %)4. Relative Equity Performance (12M)EM Lat

31、AmUK EM EMEAJapan USPacific ex JapanEurozone EM Asia0.01.02.03.04.05.06.0115Total Retur ns indexed at 100105958575Oct-18Jan-19Apr-19Jul-19Oct-19EM ex Asia vs EM As iaEurozone vs USJapan vs EurozoneSource: Bloomberg, HSBCSource: Bloomberg, HSBC1W1M5. Fixed Income (local currency, TR, %)6. Relative Fi

32、xed Income Performance (12M)UKT USD HY EUR IG EUR HY JGBUSD IGAsia EZ coreEZ non-coreUST-2.5 -2.0 -1.5 -1.0 -0.50.00.51.0108Total Retur ns Indexed at 10010610410210098Oct-18Jan-19Apr-19Jul-19Oct-19UST vs EZ coreUSD IG vs USD HY EUR IG vs EUR HYSource: Bloomberg, HSBCSource: Bloomberg, HSBCMulti-Asse

33、t PerformanceDM sovereigns have outperformed marginally vs DM equities in the past three months and indeed in the past six months. While our base case is still for a temporary reflationary wave in the coming months, we lack upside catalysts for upside in risk assets in the very near-term.US equities

34、 have most recently underperformed slightly vs Eurozone equities. We think this is unlikely to continue. Tailwinds from a lower EUR are likely to be weaker in the coming months and 2020 EPS consensus expectations for European equities look overly ambitious.In addition the recent outperformance of EU

35、R equities over UK equities appears stretched (chart 11). Our equity strategists see that any clarity to the present UK political impasse would result in upward momentum for the UK equity market. This becomes more significant given our equity strategists also highlight UK equities as important in pr

36、oducing the most effective minimum variance strategy (see Protecting the tail, 22 Oct).7. DM equity vs DM sov. (USD, TR, %)*8. USD HY vs EUR HY (OAS, bp)-0.1 stdev-0.6 stdev151050-5-10-15-20Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19120600-60-120Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19 +/-1 Stdev DM equity vs

37、DM sovereigns +/-1 StdevUSD HY vs EUR HY (OAS, bp)Source: Bloomberg, HSBCSource: Bloomberg, HSBC9. EMXD vs USD HY (USD, TR, %)*10. US vs EUR equities (local, TR, %)*-0.3 stdev-0.6 stdev6420-2-4-6-8Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19100-10-20Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19 +/-1 Stdev EMXD vs US

38、D HY +/-1 StdevUS equities vs Eurozone equitiesSource: Bloomberg, HSBCSource: Bloomberg, HSBC11. EUR vs UK equities (local, TR, %)*12. EM ex Asia vs EM Asia EQ (USD, TR, %)*1.0 stdev-0.4 stdev151050-5-10-15Nov-14Nov-15Nov-16Nov-17Nov-18Nov-1920124-4-12-20Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19 +/-1 Std

39、ev Eurozone vs UK equities +/-1 StdevEM ex Asia EQ vs EM Asia EQSource: 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 y

40、ear correlation vs long- term correlation (Jan-05)CorrelationUS Treasuries and the USD have become increasingly positively correlated during the last 18 months (chart 2).This highlights the USDs stronger safe-haven status. As the USD has been the high yielder in G10 for some time, its clear that the

41、 USD is moving more with broad risk-on/risk-off market moves, rather than relative changes in carry. Indeed risk-on/risk-off market patterns have become more prominent in recent months (chart 5 on the next page).Consequently, the USD is becoming increasingly correlated to USTs in the same way that t

42、he JPY is correlated to JGBs. Given the strong safe-haven characteristics of both the JPY and JGBs, they are typically positively correlated.Asset class views: Correlation matrixUSTsEUR core EUR non-core GiltsJGBsUSD IG USD HY EUR IG EUR HYAsia creditUS equity Japan equity EUR equityUK equityEMXD EM

43、LCEM equityInflation linked Oil (WTI)Indust. MetalsGoldJPY-USD GBP-USDEUR-USDUSTsEUR core EUR non-core GiltsJGBs11 12 2 24211120-173 -10 1919-18-11-16 -1567-20-32-1-12-1048492326 -18 -68132-7-4-13-4 -2-13-4-16 -22173-18-132 3014 1415 -13 -13 1-17-7-5-101111-131-4-21-2622359-3-15-671 793429812-9-8-5-

44、1111-11-2-65 -13 -2217107-415-2468 72 572815-130-2-91723-8 -8-523920-10-18USD IGUSD HY EUR IG EUR HYAsia credit85 723765 61-32-1-2113-23 -16 -19 -231-20-393-4-64524-16-6-37-25-8-23-162-31-17-38132211-2-559-4220-16-77 10425628 3644655-10-1-2-10 -10 -71-18 -21-120-5273-15-23-29 -3116 -29 -13126240-261

45、2-2 16 2223-15123-15-2216-986 743565 6791-3615-34 -29 -38 -43-30 -53 -62-7 -8 -15 1834-15 -16US equityJapan equity EUR equityUK equity-52 -33 12 -35 -17-256955342-28653-14-16-125-23-8-20-28-945-22-44 -38-4-36 -42-1770-7-2162-11-25-10 -6-160-3 -10 -39 -11 -40 9-12-8-56 -5110 -40 -22-256756-4163-28836

46、8-12-12 -83-16-158-48-33-4-17 -11-2144-23655076-21-6 -11-285 -13 -42-12 -27 -21 EMXD EMLCEM equity161027 18 3346 55365544321336 30-20-30-5 -10 -6017-8 -11-25 -3116-19 -6-149-5-1134-7422845 4950-1-38-610-190-20-4-59 -54-48-28-296753-307660 79 643575-32-30-44-184-9Inflation linkedOil (WTI)Indust. Meta

47、ls Gold43 4424573554 21 23 951-7 -11 -6 -173816-1-12 -14147-37 -29-36 -19 -25 -15 -13-1157-33729-12-829 27 31441628 3610-2-33-13-23 -16-27 -27 -26 -27-9-937-623 2031 31265651546-33-4-8 -564 562746 5556-1425-1655-15-41-34 -3224 19-1852-6545 -25 0JPY-USDGBP-USD EUR-USD73581551 4655-2516-3558-41 -41 -5

48、0 -431115182-3844-22-1873-176-32-44-1 -53 -23-1730-1938-19-838 28 38-12274514826276-12-17-5-28-12 -14 -17123-3458 -1 7 -354293412433345Source: Bloomberg, HSBC; EMXD= EM external debt; EMLC = EM local debtUSTs vs USD (trade weighted)3. JGBs vs JPY-USD806040200-20-40-60Jan-17Jan-18Jan-19USTs vs. USD T

49、WI 26-week correlationAvg806040200-20-40Jan-17Jan-18Jan-19JGBs vs. JPY-USD 26-week correlationAvgSource: Bloomberg, HSBC; Average since 2005Source: Bloomberg, HSBC; Average since 2005CorrelationMulti-Asset heat mapSource: MSCI, Bloomberg, Refinitiv Datastream, HSBCRisk-on/Risk-off IndicatorSource: H

50、SBC, Bloomberg, Refinitiv Datastream, MSCIPlease note that clients can access an interactive heat map to assess recent changes in correlation via https:/ HYPERLINK /A/MultiAssetHeatmap/ /A/MultiAssetHeatmap/. Clients can also access additional information on our RORO indicator here.Volatility3-month

51、 implied vol remains subdued on a broad basis, particularly in FX markets (chart 2). Indeed most assets have seen implied vol fall over the last month and are now all below their respective 5-year averages (chart 2).Yet there are some exceptions. The dark red colours at the top of our vol wave chart

52、 show high realised vol for livestock, BTPs, and GBP, relative to their own history.Implied vs realised vols also fell further across asset classes and are low across the board, particularly in gold, 10Y US Treasuries, and European and Japanese equity markets.Despite last weeks equity rally our CAPC

53、A ratio ticked downwards (chart 4), indicating more bearish risk sentiment from a multi-asset perspective. Yet, equity skews fell strongly.Cross-asset volatility waveSource: MSCI, Bloomberg, Refinitiv Datastream, HSBC; for more information see Data Matters, 4 Sep 2019Multi-asset implied vols (vs 5Y

54、history)3. Multi-asset implied vs realised vols1.51.00.50.0-0.5-1.0-1.5XAU CL1 SPXBund 10Y UST 10Y US IGUKX BTP 10Y SX5ENKY US HY MSCI EM USDJPYEURUSD-2.00.80.6BTP 10Y MSCI EM US HYUSDJPYEURUSDBund 10YCL1 US IG SPX EMXD UKX NKYUST 10Y SX5E XAU0.41008060402003M implied vol (z-score vs 5Y)1m

55、agoImplied vs realised vol (3 M vs 1M, LHS) 5Y percentile (RHS)Source: Bloomberg, HSBCSource: Bloomberg, HSBCCAPCA*5. Skew equity markets (90%-110%, 3M) bearish risk sentiment bullish risk sentiment75553515Jan-18Jul-18Jan-19Jul-19Cross-asset put call ratio+ 1.5/-1.5 StdevSource: Bloomberg, HSBC; *se

56、e Sweet or sour, 5 Sep3210-1-2Jan-17Jul-17Jan-18Jul-18Jan-19Jul-19Equity skew (SPX, SX5E, MXEF, z-score)Source: Bloomberg, HSBCSentiment / Flows / PositioningOur equity strategists Sentiment Index recovered further last week (chart 1). While at face value it may still be fairly neutral, we note comp

57、ared to the past 5Y of history, its now close to the 70th percentile.Survey-based sentiment also became more bullish as can be seen by the rise in the AAII Bull-Bear indicator.Positioning implied from the performance of multi-asset funds indicates investors are still cautious though. Equity betas of

58、 multi-asset funds are still at slightly below-average levels. Betas of global and US equity funds have also remained fairly subdued in recent weeks.This is also confirmed by risk-on/risk-off positioning derived from CFTC data.1. HSBC Equity Sentiment Index2. Fund sensitivities with equities1.00.50.

59、0-0.5-1.00.7Sentiment bear ishSentiment bullish0.3-1.5Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19HSBC sentiment index0.2Jan-17Jul-17Jan-18Jul-18Jan-19Jul-1920 -day equity beta multi-asset funds (trimmed mean)-day equity beta multi-asset funds (AuM weighted)Source: Bloomberg, HSBCSource: EPFR,

60、 Bloomberg, Morningstar, HSBC3. Risk-on/risk-off positioning (CFTC)4. CFTC UST positioning (# of contracts*)129630-3-6Jan-17 Jul-17Jan-18 Jul-18Jan-19 Jul-19Risk-on / ri sk-off positioning (US) +/ -2 Stdev +/ -1 Stdev400r isk-off r isk-on 0-400-800-1200-1600-2000Jan-17 Jul-172yJan-18 Jul-18 Jan-19 J