一個大行策略分析師路演(ROADSHOW)後的感想 20230922

下面是摘要，但是，個人會強烈建議有時間有興趣的讀者，花點時間讀完下面全文。

1.客戶基本上對於市場看法負面。

2.基本上放空成熟市場，包含S&P 500，科技股，歐洲以及日本的客戶都虧錢。

3.買賣權(BUY PUT)一樣不管用，因為市場VOLATILITY太低。

4.但是，客戶的相對悲觀的時候，市場容易出現嘎空(Squeeze)。

5.當聯邦基金利率在5%的時候，投資人要的是8%的報酬率，那現在市場的報酬率是?

6.許多人對於歐元的疲弱暫時被市場忽略，但是拉長時間，歐洲股市相對於美國股市的相對弱表現(以美元計價)，會讓投資人從歐股出逃。

7.沒有人要買中國，如果做中國部位，寧可用小錢去賭深價外的買權(call)，而非用真金白銀買進股票。

8.美國的投資人對於兩黨都沒有要認真限制赤字感到絕望。

9.僅有50%的投資人認為未來12個月美國會陷入衰退。

10.許多人在討論貨幣政策退癮(negative monetarism)，大多數的人都認同，如果資產沒有大幅度下跌，通膨無法受控制。

11.2022/10本行就認為聯邦基金利率最終會到6%。

12.也許AI是被認為是具有巨大影響力的，但是其投資上的成果暫時未明。並且，AI在投資上，主要貢獻的是Alpha而非Beta。(簡單講，投資AI相關個股，其實是承擔額外損益)

13.投資人似乎對於日本央行結束YCC的影響以及意義投注的關注過少。

關鍵字，利率，YCC，其實還有一個重點，明後天文章會提。

Generally client sentiment was negative towards global risk. Most felt that equity markets, particularly developed markets, were overvalued and there was relatively little push-back against the idea that the equity market, or at least a significant portion of the driver of it in the recent past was in a bubble. Many clients were puzzled about why the equity market was trading the way it was. Almost all had tried shorting DM equities in various forms - SPX, tech shares, Europe, a few in Japan - and had lost money. There was significant discussion about what the market was implying and why equities were ignoring the decline in Global Central Bank balance sheets, rise in bond yields, real and nominal and the economic outlook.

There was skepticism that there was a new paradigm at play in which tech companies, in particular those with high cash balances, were positive correlated with rising rates.

Generally investors appeared to be on the sidelines waiting for an opportunity to re-engage on the short side. With cash rates above 5%, investors felt that the hurdle for taking risk had risen. Buying puts had also not worked as the market was not moving enough despite depressed levels of volatility. There was significant frustration with the market.

The unanimity of the bearishness amongst clients did leave us worried that if the market did rally that it would result in a short squeeze as investors were forced to chase performance into year end. With Fed Fund rates at 5%, most felt that returns of over 8% would be needed to retain capital. Most were currently sitting on low single digit returns.

Investors were also generally bearish on Europe and felt that the market was overvalued and detached from what was happening in China. Many felt that the EUR weakness was also being ignored and that the underperformance of European equities compared to the US market in USD terms could eventually lead to a stampede for the exits.

On China, sentiment was also unanimously bearish with investors who tried to buy into the market being punished as there was no follow through on buying dips. Many had resorted to reducing their exposure to deep out of the money calls rather than buying equities. We did not find any clients who were buying the Chinese equity market.

We did not find US investors who wanted to increase allocation to China. With US equity markets performing there appeared to be no reason to catch what was perceived to be the falling Chinese knife.

We were surprised by how concerned US investors were about China-Taiwan relations and how imminent they thought that developments could turn adversely. The concern in the US was significantly higher than it appears to be in Asia. Despite the concern investors were not positioned and hedged for a rise in geopolitical risks. Many thought that the 5.25% probability as measured by our CGCHRISK indicator was about right. US investors are increasingly aware of the strategic importance of TSMC and semiconductor chips were seen as the “new oil”.

Being short CNY was a consensus trade and most hedge funds had some expression of it either through direct optionality or via some dual digital expression with carry in favor of being long USDCNY. Most clients were still skeptical that the Chinese Government had done enough to avert the negative economic scenario. There was significant interest in trying to understand the direction of Chinese macro policy. There were also questions about whether China would re-peg the HKD from the USD to the CNY as/if USDCNY went through 7.85.

There was little push-back against our broadly bullish USD hypothesis, a contrasts with what was seen earlier in the year. This concerned those with long European equity exposures.

Another surprise was the focus that US investors had on the US fiscal deficit. Most investors were in despair that neither political party seemed to have any plans to reduce deficits. Shorting US Treasuries seemed to be the obvious trade but the implications for the USD was less clear.

There was concern that the US bond market could experience something similar to what happened in the Gilts market in 2022. We did not sense that investors were positioned for this outlook or the likely negative reaction in the equity market. A crisis of this magnitude would likely necessitate a response from the Fed. There were discussions about the USD was losing its position as the global reserve currency. Although there appeared to be a lack of any credible alternative investors had noticed the increased bilateral trade happening in non-USD currencies between Russia, India, China and Saudi Arabia.

What also surprised us was the lack of discussions about the CLOs and CMOs around the US office property and private equity sectors.

Only 50% of investors expected the US to fall into recession within the next twelve months. There was significant divergence in views of where rates could go, but investors shared the concern about the rise in real yields as nominal yields were pushed higher by an unwind of JGBs as YCC was relaxed and the disinflationary impact of CNY weakness on breakevens.

Pension funds were thought to be using higher bond yields to finally hedge liabilities. Many investors remained concerned about a renewed rise in inflation especially with the rally in oil prices.

We found a very significant increase in prices, particularly in the US, for all food and services - despite this, restaurants appeared to be full in the UK and the US. Both economies appeared to be relatively resilient despite the rise in interest rates. For the first time in 23 years, Hong Kong felt cheaper than the US and the UK, surprising given the USD peg. Over the past five years in particular prices in Hong Kong do not appear to have risen as much as they have in the US. Prices in the US were much higher despite the much higher tax rate. Admittedly rents are a lot higher in Hong Kong but the gap appears to have narrowed as US rents have risen while Hong Kong rents have remained soft.

The jobs market appears to have softened since our last visit in Oct 2022, when we were offered a number of jobs as baristas, store assistants and waiters, with no jobs offered directly although there were appeals at department stores for applicants. We noticed fewer "Help Wanted" signs also. Despite elevated prices restaurants were relatively full wherever we went and it was unclear how people were spending so much when the rise in prices had outstripped the rise in wages - we assumed that credit card debt must be increasing.

Many clients discussed the “negative monetarism” argument and most agreed that inflation may not be brought under control unless asset prices were brought lower. There was concern that the economy had changed after a long period of zero interest rates in a manner which the Fed and other policymakers had not yet completely got to grips with. In particular the impact of rate rises on savers and how that led to a net increase of funds into the economy had surprised many. We came away more convinced than ever that investors need to hedge for the possibility of a rise in Fed rates to 6% or above, a conviction view held since our visit to the US in Oct 2022.

Most investors thought that the market would eventually revert to levels dictated by the Balance Sheet Framework. They viewed this diversion, particularly from the end of May when the AI narrative gained traction, as temporary in nature. Although AI was thought to be significant, the investment impact was unclear and most thought that AI would result in alpha rather than beta opportunities.

It did not appear that investors had been paying enough attention to the implications and impact of Japan's amendment to its YCC policy. We were surprised by the large positions investors had in high yield yen carry trades especially against MXP, PLN and HUF where positions were seen disproportionately large relative to market liquidity. The surprise rate cuts by the Bank of Poland led to some surprising impacts in other markets and assets.