LSR十月全球投资机会:欧美分化加剧、中国出现积极的周期性动能-2012-10-18.pdf
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1、 Global Investment Opportunities October 2012 Follow the money in DM bonds and EM equities? An upturn in some global cyclical indicators reflects better US data but, even there, the fiscal cliff casts a shadow Rapidly falling car sales suggest the rot in the Euro Area is spreading to the core Althou
2、gh Chinas longer-term potential growth rate is shifting markedly lower, the near-term outlook is for stronger Chinese real GDP growth in Q4 and, particularly, H1 13 compared with the middle quarters of 2012. Key Investment recommendations Multi-Asset Against theory, the positive impact of QE in DM i
3、s clearer for bonds than equities in current environment In EM, money growth retains a clearer link with equity returns More value in credit than equities in US; sell CDX NA IG protection while selling S still short GBP/NOK Equities Macro factor models point to much greater downside risk in Euro Are
4、a markets than in the US Combination in China of improving liquidity and a trough in PMIs leads us to recommend a long FTSE China A50 futures position versus a short in a CAC/DAX basket Commodities Buy Soybean oil while selling Malaysian palm oil futures Taking profit on long Platinum / short Pallad
5、ium and long Heating oil / short Gasoline Aluminium market continues to offer opportunities for put option buyers as excess capacity in China pressures prices Quant Strategies We show a snapshot of returns and positions for 12 rules-based strategies Best returns in 2012 from VIX directional, EM equi
6、ty country selection and Government bond futures If youre interested in receiving more information, please contact your account representative Global Investment Opportunities October 12 th 2012 Macro drivers 1 An upturn in some global indicators reflects better US data but, even there, the fiscal c
7、liff casts a shadow Rapidly falling car sales suggest the rot in the EA has spread to the core Although Chinas longer-term potential growth rate is shifting markedly lower, the near-term picture is for stronger Chinese GDP growth in Q4 and H1 2013. Multi-Asset 3 Fixed Income 11 Currencies 17 Equitie
8、s 23 Commodities 29 Quant Strategies 35 Global Investment Opportunities This publication has been prepared by Andrea Cicione, Eugenio Montersino, Chris Turner and Colin Waugh. Copies of this briefing in pdf format are available to our clients from our website where you will also find a fully searc
9、hable archive of all of our publications. A full set of the sources used is available on request from Lombard Street Research. Global Investment Opportunities provides concise investment analysis and actionable trade ideas that we expect to create returns over a tactical time horizon (e.g., 3 months
10、). GIO covers interest rate and bond markets, currencies, equities and commodities. In all cases, we adopt a top-down approach, using LSRs traditional focus on monetary aggregates, leading indicators, output gaps and sector balances as key inputs in the investment framework. The first section Macro
11、drivers discusses the latest trends in these factors and highlights areas where LSRs views differ from consensus. The main conclusions on these cyclical “triggers” are carried forward to the sections dealing with the main asset classes in turn. There, they are applied, together with longer-term valu
12、ation measures and shorter-term indicators, to produce concrete investment ideas based on our highest-conviction views. Our trade ideas may be directional or have a strong relative value component. Our aim is to find efficient ways of expressing LSRs macro views and/or of hedging risks, with strong
13、risk/reward characteristics. We track all our recommendations, publishing entry and exit dates and levels. These individual ideas often fit into broader themes that prevail for much longer periods. GIO Monthly Report: October 2012 Macro Drivers 1 Macro drivers Fiscal cliff continues to cast shadow o
14、ver otherwise-good US outlook Cyclical momentum troughing in China US/EA divergence reappears, China bottoming? In the September GIO, we suggested that markets trading as if the global economy stood in the “Goldilocks” phase of the economic cycle a negative, but shrinking, output gap looked prematur
15、e. Since then, the bulls have had some key data on their side, notably the JPMorgan Global PMI index rising to a 6-month high in September (whilst remaining below its long-term average). However, whether one looks at PMIs, LSR leading indicators, earnings revision ratios (see Equities) or economic s
16、urprise indices, the recent improvement has very much been concentrated in the US. Cyclical momentum in other major regions has remained poor. So, key questions this month are: a), can the improvement in the US last and spread out?; and b), are there are any other good reasons to expect an improveme
17、nt in cyclical momentum elsewhere? Economic Surprise Indices (Citigroup) Auto sales (millions, annualized rate) -125 -100 -75 -50 -25 0 25 50 75 100 Oct-10Apr-11Oct-11Apr-12Oct-12 G10 aggregateEM aggregateUS 7 8 9 10 11 12 13 14 15 16 17 Sep-06Sep-07Sep-08Sep-09Sep-10Sep-11Sep-12 US Auto SalesEA Car
18、 Registrations The bull case for the US is that the de-leveraging of the household and financial sectors is significantly more advanced than elsewhere. For instance, the household debt ratio, helped by defaults and income growth more than actual net repayment, is down below 110% of disposable income
19、. With lower interest rates helping, the debt service ratio of home-owners is down to 14.0% of personal disposable income, the bottom end of the sustainable, 14%-15.5% range of the 1980s and 1990s. Resulting from this is the buoyancy of housing and a better tone to auto sales, two key components of
20、LSR leading indicators for most countries. Meanwhile, growth in monetary and credit aggregates remains meaningfully higher than in the Euro Area, UK and Japan. as US household finances are much improved Some better data, very much concentrated in US Macro Drivers 2 Global Investment Opportunities Of
21、 course, the recent strength of the US leading indicator fails to capture potential fiscal adjustments. Our central scenario is still that the “fiscal cliff” results in at least a 2% drag on US real GDP next year, which restrains our bullishness on the US for the time being. Whilst the US leading in
22、dicator rose again in August, the Euro Area indicator deteriorated for the fifth straight month, with Germany now joining in (down for a second month). EA monetary and credit data remain depressed. M3 growth slipped back to 2.9% y-y in August from 3.6% in July. Private-sector credit growth looks eve
23、n worse, now contracting on an annual basis. This is a worrying development, reflecting both weaker demand/a reluctance to borrow plus continued strains in the financial sector that inhibit lending; EA banks remain under significant stress and are still deleveraging. The ECBs planned bond buying sch
24、eme lifted market sentiment and reduced the threat of countries losing market access. But unless growth returns, the euro crisis will not end. The EAs great hope has been Germany. In the face of declining activity across much of the region, the German economy had until recently been resilient. Real
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