摩根士丹利-2023年全球宏观预测报告（英）-2022.11.13-63正式版.pdf

MGlobal Insight2023 Global Strategy OutlookThe Year of YieldLess growth,inflation,and policy tightening mean the US dollar peaks and high grade bonds and EM outperform.US stocks,HY,and metals lag.Its a good year for income investing.Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research.Investors should consider Morgan Stanley Research as only a single factor in making their investment decision.For analyst certification and other important disclosures,refer to the Disclosure Section,located at the end of this report.+=Analysts employed by non-U.S.affiliates are not registered with FINRA,may not be associated persons of the member and may not be subject to FINRA restrictions on communications with a subject company,public appearances and trading securities held by a research analyst account.November 13,2022 06:01 PM GMTMGlobal InsightMorgan Stanley Research3 Contents 5 Cross-Asset Strategy:Respect Sequencing,Embrace Income11 Top Trades Across Asset Classes12 Global Equities:Still Finding a Trough,but EM and Japan Leading the Way Up18 G10 Rates:A Countertrend Rally Awaits22 FX:The Fever Breaks.and So Does USD25 Global EM Fixed Income:Time for a Rebound28 Global Credit:Banking on Income32 Global Securitized Products:The Price Is Right36 Munis:Positioning for the Turn37 Commodities:A Third Year of Outperformance?40 Global Volatility:Ahead of the Cycle41 Global Quant:Diversify Through the Transition44 Sustainability:Impact and Alpha in Focus47 What We Debated48 How Consistent Are Our Forecasts?49 Expected Returns and Risk/Reward50 Morgan Stanley Key Economic Forecasts51 Morgan Stanley Global Currency Forecasts52 Morgan Stanley Government Bond Yield/Spread Forecasts53 Valuation Methodology and RisksMGlobal Insight4The Year of YieldRespect sequencing,embrace income:EM bottoms and yields and the US dollar peak as markets first price less uncertainty around the policy path.The S&P 500,cyclicals,metals,and HY trough later as confidence in growth takes more time.Opportunities for income abound,especially in high-quality bonds,where Treasuries,Bunds,IG credit,agency MBS,CLO AAAs,and US municipals all offer high sin-gle-digit returns.Sell vol.Global equities EM and Japan lead,styles disperse:Similar to prior cycles,EM troughs before the US and Japan enjoys idiosyncratic tailwinds.This sequencing drives differing style preferences;embrace semis/hardware and SMID stocks in EM,stay defensive in the US,own financials and energy in Europe.We see the S&P 500 at 3,900 at end-2023.G10 rates overweight duration:Markets look ahead to slowing inflation and an end to hikes/start of cuts.We see the UST 10-year at 3.50%and the DBR 10-year at 1.50%at end-2023.Curves across the globe steepen,BTPs tighten,and UKTs underperform.G10 FX dollar peak:The dollar peaks as uncertainty around tight-ening abates.EUR outperforms as investment flows resume.EUR/GBP and NZD/USD outperform.We see the DXY at 104 by end-2023.EM fixed income time for a rebound:A peak in DM policy rates and the dollar coincides with an EM easing cycle.EM local and hard cur-rency bonds post strong returns.We receive BRL 2-year and pay CNY 5-year NDIRS.Corporate credit IG stable,HY has unfinished business:Lower rate vol helps IG while HY widens to reflect an extended default cycle.Stay up in quality:IG HY loans.We see a 4.0-4.5%US HY default rate and prefer Main to CDX IG.Securitized products less supply,safe income:Spreads on agency MBS,CLOs,and auto ABS are the widest since the pandemic.Technicals should improve.CRE underperforms.Commodities still energy over metals:Weak 1Q growth keeps prices muted early,but oil outperforms gold and copper(again)on better fundamentals.We see Brent at US$110 at end-2023(30%above the forward).For individual investors,our market outlook should be seen in the context of a long investment horizon that is underpinned by a comprehensive financial plan.Your clients financial plan should reflect the goals they are looking to achieve over time and a disciplined approach to asset allocation,saving and withdrawals.MGlobal InsightMorgan Stanley Research5 Cross-Asset Strategy:Respect Sequencing,Embrace IncomeKey investment ideas Respect sequencing:As growth/inflation slow and central banks pause,assets more sensitive to rate uncertainty will bottom first.EM DM,bonds stocks.Vol lower.DXY peaks.Embrace an income/value barbell:Both valuations and the cycle support a barbell of high-quality income(high grade bonds,US defensive equities)with value(EM stocks and bonds,EU banks/energy,Japan equities,EM tech/semis).In 2022 the training wheels came off as enormous fiscal and monetary policy support ended,then reversed.The result was a tempest;if it ended today,2022 would be the first year that US stocks and long-term bonds are both down more than 10%in the last 150 years.and both markets are down much more than 10%.Exhibit 1:Underperformance in both bonds and equities is rare 2022 was unprecedented18711891191119311951197119912011-60%-40%-20%0%20%40%60%-40%-30%-20%-10%0%10%20%30%40%Equity Annual ReturnBond Annual Return2022 YTDSource:Bloomberg,NBER,Jord-Schularick-Taylor Macrohistory Database,Morgan Stanley Research;Note:Data back to 1871.Bond return is return on long-maturity UST.As of November 9,2022.The losses of 2022 make it tempting to look back in awe,in frustra-tion,in anger.Dont.We expect 2023 to look different for the economy and markets:growth will be worse,inflation will be lower,and cross-asset returns especially in fixed income will look much better.Cheaper starting valuations,wrought by this years poor per-formance,are a big part of this story.Weaker growth cooler inflation policy pauseThis outlook is a close collaboration with Morgan Stanley econo-mists,who see a deeper global slowdown arriving early next year(1Q23).Europe goes into recession,China waits until spring to end Covid-zero,and the US barely skirts recession as housing activity plummets.The silver lining is that this weakness is short and shallow;global growth bottoms around March/April,and improves thereafter.Andrew SheetsAndrew.S+44 20 7677-2905 Morgan Stanley&Co.International plc+Phanikiran NaraparajuPhanikiran.N+44 20 7677-5065Morgan Stanley&Co.International plc+Serena TangSerena.T+1 212 761-3380Morgan Stanley&Co.LLCSoham SenSoham.S+91 22 6514-3422 Morgan Stanley India Company Private Limited+Exhibit 2:Morgan Stanley growth,inflation and policy forecastsGDP(%YoY)Core Inflation(%YoY)2023 4QE2023 4QE4QE 20234QE 2024US0.32.94.3752.375Euro Area-0.12.52.5002.000China5.11.22.0002.000Policy Rate(%)Source:Morgan Stanley Research forecasts MGlobal Insight6Slower growth masks a larger mix shift in consumption.The post-Covid rebound saw a remarkable boom in goods relative to services(a lot of households bought BBQs but stopped going to the dentist,so to speak).That was great for corporate profitability,which is more goods-sensitive.As this normalizes,we expect a payback that will be tough for profits,a reason why our forecasts for US and European EPS look cautious versus our GDP estimates or consensus.Exhibit 3:Further normalization of goods versus services is a headwind to EPS758595105115125135Jan-17Jan-18Jan-19Jan-20Jan-21Jan-22US PCEGoodsOverallServicesSource:Bloomberg,Morgan Stanley ResearchInflation moderates and central banks pauseSlower growth is a function of tighter monetary policy.The last 12 months have seen the largest change in the fed funds rate since 1981,in the ECB target rate since the eurozone was created,and the broadest tightening of global central bank policy since at least 1980.That tightening was so aggressive because inflation kept beating expectations.Going forward,this changes.Our economists expect core inflation to moderate across EM and DM,allowing the global tightening cycle to pause,then reverse.Why does inflation finally retreat?Skepticism here is understand-able;inflation forecasting hasnt exactly covered itself in glory.But we see several specific supports:In the US,core goods prices can show outright declines as used car prices fall,overshooting goods consumption moderates(see above),and high inventories invite discounting.Trends in shelter look more balanced as rates on new leases cool.In the eurozone,large base effects in food and energy should reverse,while our economists forecast of a recession eases core price pressures.Inflation in EM should generally improve,while inflation in DM Asia is already more muted.Less core inflation finally gives central banks license to pause(and then reverse)the tightening cycle.We expect the Fed and ECB to make their final hikes in January and March 2023,respectively,with the Fed cutting by 4Q23.Meanwhile,several large EM central banks,which were well out in front of their DM counterparts,start to ease materially.By end-2023,we forecast that policy rates decline by 275bp in Brazil,250bp in Hungary,and 475bp in Chile.Exhibit 4:DM policy rates to pause their rise,then reverse over 2023-24-0.50.00.51.01.52.02.53.03.54.0Jan-22Jun-22Nov-22Apr-23Sep-23Feb-24Jul-24Dec-24Average of US and EU Policy Rate(%)MS ForecastSource:Bloomberg,Morgan Stanley Research forecastsThe battle between downturn and the last hikeFor markets,this presents a very different backdrop.2022 was marked by resilient growth,high inflation,and hawkish policy.2023 sees weaker growth,disinflation,and rate hikes end/reverse,all with very different starting valuations.It seems reasonable to think well see different outcomes.Yet one debate looms large:Should investors focus on the fact that a hot economy slowing(the downturn regime of our cycle indi-cator)tends to be tough for cyclical assets like equities and high yield(Exhibit 5)?Or should they focus on the end of central bank hiking,which has historically brought relief(Exhibit 6)?Exhibit 5:Morgan Stanley cycle indicator peaking out-2.5-2.0-1.5-1.0-0.50.00.51.019851990199520002005201020152020US Cycle IndicatorExpansionDownturnRepairRecoverySource:Bloomberg,Datastream,Haver Analytics,Morgan Stanley Research;Note:Data as of October 31,2022.MGlobal InsightMorgan Stanley Research7Exhibit 6:Both stocks and bonds tend to do well after the last Fed hike9095100105110115120-260-195-130-65065130195260Business Days(Last Hike=0)Perf.Around Last Fed Hike(T0=100)S&P 500DXYUSD 10Y(Rtns)GoldSource:Bloomberg,Morgan Stanley Research;Note:Covers last Fed hikes May 1981,Aug 1984,Feb 1989,Feb 1995,Mar 1997,May 2000,Jun 2006,Dec 2018.Two points are important:1)The tension between slower growth is bad and the end of hiking is good often comes down to how bad the slowdown is.If a recession can be avoided(our US base case),a downturn from hot conditions has mattered less(think 1995).If a recession arrives,the end of hiking is much less helpful(think 2000).2)This tension doesnt matter as much to high-quality bonds,which outperform more consistently when the Fed stops hiking.High grade bonds performed well in both 1995 and 2000.Slowing growth and end of hiking mean that investors should be overweight high-quality bonds on a cross-asset basis.Uncertainty around how far growth falls in 1Q23 suggests that more patience is warranted in US equities and high yield,especially if the S&P 500 hits our strategists near-term tactical target of 4,000-4,150.Respect sequencingTo frame this a slightly different way,many assets can be filtered into one of two categories:Category 1:Assets worried about a continued overshoot of policy tightening and the uncertainty that comes with it.Treasuries,Bunds,US MBS,and US and EUR IG would all be examples,along with much of EM(where DM rate and FX volatility have been primary concerns).Category 2:Assets worried about the above,but that are also sensi-tive to a worse outcome for growth and earnings.Cyclical equities,high yield bonds,and leveraged loans would all be examples.We think that category 1 assets will trough before those in cate-gory 2,as markets gain confidence around the end of tightening before a bottom in growth.Investors should respect that sequencing,and favor category 1 assets going into 2023.This means that positioning for EM US equities,IG HY credit,a decline in DM yields,and less cross-asset volatility is attractive.This also shows up in our more micro recommendations.EM equities were one of the first asset classes to roll over in this cycle,with MSCI EM peaking way back in February 2021.Falling well ahead of the S&P 500,we think that EM stocks will trough ahead of the US,similar to the 2001 and 2008 bear markets.Its a reason why we now like early-cycle cyclicals within EM equities(OW semis,tech hardware),while we still favor late-cycle defensives in the US(OW healthcare,staples,utilities).Embracing incomeAs investors wait for this sequencing to play out,they should embrace income.We think that this is an exceptional environment for generating high single-digit returns from high-quality assets,an opportunity that hasnt presented itself for a long time.To show what we mean,imagine a multi-asset income fund that puts equal amounts into each of the five common income strategies:US Aggregate bonds,EM hard currency debt,global high-dividend equi-ties,EM FX and US TIPS.Outside a brief window in 2009,its the highest yield for income in 18+years.Exhibit 7:Yield on a multi-asset income portfolio has rarely been this attractive1234567Jan-04Jan-07Jan-10Jan-13Jan-16Jan-19Jan-22Yield(%)Average Yield of US Agg,EM Sovs,TIPS Real Yield,High Dividend Stocks,EM FX CarrySource:Bloomberg,Morgan Stanley Research Several factors align to create the income opportunity.Real and nominal yields have risen sharply.Credit spreads have widened.Bank deleveraging has driven yields on MBS and securitized assets wider.Cross-asset implied volatility is high(meaning income for vol sellers).Some commodity curves are steeply backwardated.Lower global equities have meant higher dividend yields.Our equity strategists like US defensives,EU banks/energy,and EM tech,all of which have high yields.MGlobal Insight8BBB rated bonds,for example.has increased by 300bp in the last year,from 3.3%to 6.3%.This shifts the calculus for public bonds rela-tive to other assets.Finally,bond supply may improve.Less housing activity will mean less MBS production.Wider spreads will mean fewer CLOs.Higher yields are already driving down corporate issuance,as many IG and HY com-panies were able to front-load their funding over the prior two years.Our recommendationsWith all this in mind,our advice to global investors is as follows:We expect positive returns across global equities,credit,and gov-ernment bonds.We expect high grade fixed income to outperform global equities(MSCI ACWI),especially through 1Q23,with significantly lower vola-tility.We no longer prefer cash.In equities,EM and Japan outperform while the US lags.Respect sequencing and embrace income by owning early-cycle cycl