全球资产配置：2020年的10大交易.docx

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1、Global Cross-Asset Strategy11 December 2019Global Cross-Asset Strategy Nikolaos Panigirtzoglou AC (44-20)7134-7815nikolaos.panigirtzogloujpmorgan Bloomberg JPMA FLOW J.P. Morgan Securities plcMarko Kolanovic, PhD AC (1-212) 272-1438marko.kolanovicjpmorgan J.P. Morgan Securities LLCJohn Normand AC(44

2、-20)7134-1816john.normandjpmorgan J.P. Morgan Securities plcMika Inkinen AC(44-20) 7742 6565mika.j.inkinenjpmorgan J.P. Morgan Securities plcJ. R MorganGlobal Asset AllocationTop 10 trades for 2020StrategyWe remain OW equities and modestly OW in commodities vs. UW bonds. Our UW in bonds is focused o

3、n higher-quality HG corporate bonds which in our mind are more vulnerable to a potentially big downshift in bond fund demand next year. This is also consistent with our Black-Litterman portfolio optimization which has HG corporate bonds as the biggest UW. Our risk-on asset allocation stance is suppo

4、rted by the improvement in growth indicators over the past couple of months that represent in our opinion an inflection point for both the macro and market picture, favoring steeper government bond curves and value exposures in equities into 2020. The biggest risk for 2020 is the US presidential ele

5、ction for which we recommend hedges.Out top 10 trades for next year are:Trading ThemesOW equities vs. higher quality HG corporate bonds1. Short Gold via puts taking advantage of its cheap implied volatilityFavor EM equities via buying 6M 102.5% call on the outperformance of EEM over S&P 500, conting

6、ent on S&P 500 finishing higher2. Favor German equities via buying 20-Mar-20 ATM call on the outperformance of DAX SPX, quanto USD, contingent on SPX up at expiryBuy Japanese banks outright and vs. TOPIX index3. Monetize the widening gap between equity and credit cost of protection on European banks

7、 by selling SX7E 5Y 60% puts vs. buying protection on iTraxx Sub Fin 5Y CDSReach down the rating spectrum in credit by OW BBBs vs. As and Bs vs.BBs4. Switch from Non-financials into Financials in Euro HG creditLong Indonesia, Russia and South Africa local bonds5. Hedge against 2020 US presidential e

8、lection risk via going long Mar20 95% puts on the Progressive Democratic Agenda Basket JPAMPROG basket vs. short 95% puts on the S&P 500 and in FX via longs in 3M3M USD/CHFvolAsset AllocationMajor Asset ClassesActive WeightsPrior MonthAEquities9%9%Govt. Bonds-3%-6%分Corp. Bonds-8%-5%Commodities2%2%Ca

9、sh0%0%Source: J.P. Morgan.I UW I ovSee page 44 for analyst certification and important disclosures, including non-US analyst disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict

10、of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. jpmorganmarkets Long-Only Asset AllocationMajor Asset ClassesActive Weights Prior Month AUW|OWEquities9%9%Govt. Bonds-3%-6%介Corp. Bonds-8%-

11、5%。1rCommodities2%2%Cash0%0%Major Sectors within each Asset Class Active Weights Prior Month AUW|OWvs. US BenchmarkEquities Countries US0.0%0.0%EMU1.0%1.0%J 叩 an0.0%0.0%UK-2.0%-2.0%Note Tracking Error (%) 1.58%vs. BenchmarkNote Yield (bp)4.0Dur(months)-1.50Tracking Error (%) 0.37%EM1.0%1.0%Other0.0%

12、0.0%Govt. BondsCountries US Nominal-3.0%0.0%US Tl Ps0.0%0.0%Europe Core-3.0%-2.0%QEurope Periphery2.0%2.0%J 叩 an0.0%0.0%UK0.0%0.0%EM Local1.0%0.0%介Australia3.0%0.0%介Other0.0%0.0%vs. BenchmarkCorp. Bonds HGUS-2.0%2.0%gEurope-1.0%1.0%。UK0.0%0.0%HYUS2.0%-1.0%介Europe1.0%-2.0%介US Loans0.0%0.0%EMSovereign

13、s0.0%0.0%Corporates0.0%0.0%Note Yield (bp)9.5Duration (months) -1.0Tracking Error (%) 1.14%vs. BenchmarkNote Tracking Error (%) 1.60%CommoditiesEnergy1.0%2.0% UIndustrial metals1.0%1.0%Agriculture1.0%1.0%Precious metals-3.0%-1.0%Livestock0.0%-3.0%介IFor detailed within-EM local bond allocation recomm

14、endations, see EM Local Markets Recommendations Roundup, Oct 1 st Source: J.P. Morgan.Long-Only Portfolio PerformancePerformance for November 2019 GAA Long-only portfolioIn bps.GAA Long-only portfolio performance(2)Cross asset class allocation-4-756(3)Within asset class allocation-2-148(2)Cross asse

15、t class allocation-4-756(3)Within asset class allocation-2-1480-2024-9sum二SS41DBenchmark(bps) WTDMTD1DGMOS portfolio WTDMTD1DActive (bps) WTDMTDEQ-13-2481-8-205954-22Govt Bonds-1112401324020Corp Bonds-1693-11494081CO4343-64138-10-1-5-4FX000000Portfolio-4-556-2-44621-10Note: (1) the leftmost columns

16、are the absolute returns ofthe benchmark portfolio. The center columns are the absolute returns ofthe GMOS portfolio. The rightmost columns are the relative performance ofthe GMOS portfolio versus the benchmark. If these are positive then the GMOS portfolio outperformed the benchmark. (2) The leftmo

17、st columns are the absolute returns ofthe benchmark assetclasses with activeassetallocation weights. The rightmost columnsaretherelativeperformanceoftheactiveassetallocation versus thebenchmark. Ifthese are positive then active allocation outperformed the passive index. (3) The leftmost columns are

18、the absolute returns ofthe active asset classes with benchmark asset weights. The rightmost columns are the relative performance of this portfolio versus the benchmark. Ifthese are positive then active asset classes with benchmark weights outperformed the passive index.Source: J.P. MorganNikolaos Pa

19、nigirtzoglouJohn NormandGlobal(44-20) 7134-7815(44-20) 7134-181611 December 2019nikolaos.panigirtzogloujpmorgan john.normandjpmorgan Marko Kolanovic, PhD(1-212) 622-3677marko.kolanovicjpmorgan JPMorganJPMorganTrade RecommendationsCross AssetTrade Inception DateStay long Global Equities vs. DM credit

20、Apr, 19EquitiesLong EM vs DM equitiesDec19Monetize the ste印 S&P 500 volatility skew via KI risk reversals and skew locksDec19Long our SMID “underdogs” basket vs. our SMID Set-to-fair5Dec19Long Energy Recovery vs. SPXDec19Long Healthcare Laggards vs. SPXDec19Long Seasonal Cyclicals vs. SPXDec19Long 5

21、G Thematic vs. SPXDec19Short Expensive Defensives vs. SPXDec19Short Disconnected ESG vs. SPXDec19Long Russia vs. South AfricaNov19Long Asia Top Ideas vs Asia ex-JapanNov) 19Long Russell 2000 vs. short S&P 500 conditional varianceNov* 19Long Euro vs USOct19Trade US SMid over Large cap via outperforma

22、nce optionsSep19Long Japan vs MSCI WorldJul19Long US Value vs. Low Vol StocksJul19Long India vs. Asia ex Japan for structural relative outperformance on reformsJun19Long Brazil vs. Mexico EquitiesMay19Long Banks (SX7E Index vs. SXXP Index)May119Long Mining (SXPP Index vs. SXXP Index)Mar19Position fo

23、r outperformance of China consumption stimulus beneficiariesMar19Long Basket of EM Countries vs. EM EquitiesFeb19Long China/Trade Sensitive Basket vs. SPXFeb19Long our SMid bulletproof vests basket vs. Short our SMid roller coasters basketFeb19Stay long Euro STOXX 50 Dec-20 puts structures for long-

24、term tail hedgingDec18Stay long US Small-caps vs. Large-capsMar18Stay long Euro Stoxx 50 vs. S&P500 volatilityFeb18Stay long Euro area vs. UKNov17Fixed IncomeEnter 5s/30s UST curve steepenersDec19Long 10y Australia vs USDec19Longs in EM local bonds via high yielders Indonesia, Russia and South Afric

25、a, FX unhedgedDec19Long 10y SEK and EUR vs. NOK and CAD swapsAug19Long 30y Italy vs. GermanySep19Long 10y Spain vs. FranceMay19CreditBuy 3-5y EUR BBB and hedge into USD using 3-month FX forwardsApr19FXLong digital EUR call/USD putDec19Long EUR/USD call spread vs. short EUR/NOK call spreadDec19Long b

26、ullish CHF/JPY seagullDec19Buy 3Mx3M USD/CHF FVADec19Long AUD/CHF put spread, short AUD/NZD 1.03 putDec19Short in EUR/CNH vol via 2M 7.65-8.0 strangleNov,19Stay long in dollar/yen vol via 1-year forward starting1-year ATMstraddlesAug19CommoditiesStay long CBOT Corn March 20 470-550 call spread, shor

27、t 420putJul19Stay long Agriculture commodity complexOct17Source: J.P. MorganCross-Asset Trading ThemesStay long Global Equities vs. DM creditSigns of improvement in the global industry cycle have continued, with the global manufacturing PMI improving for a fourth month in a row. This, along with con

28、tinued signs of resilience in the US labor market in particular, have reduced recession risks and keeps us with an OW stance in equities. At the same time, the relative flow picture is turning more bearish for bonds, particularly among retail investors, which poses a risk fbr HG credit given the hig

29、h share of corporate and mixed funds. In addition, funding the equity OW with a credit UW provides some protection against the risk of sudden re-escalations in trade rhetoric.Nikolaos Panigirtzoglou AC (44-20) 7134-7815J.P. Morgan Securities PLCMika Inkinen AC(44-20) 7742-6565J.P. Morgan Securities

30、PLCEquities Trading ThemesMonetize the steep S&P 500 volatility skew via KI risk reversals and skew locksAs discussed in our 2020 Equity Derivatives Outlook, S&P 500 longer-dated (e.g. 9M-2Y) skew is near record highs, and the index retains the steepest skew among major global indices, supported by

31、protection demand, supply from yield seeking strategies, more limited structured product supply, and dealer capital constraints. We recommend monetizing the rich skew risk premium via the following structures:1) Add asymmetric delta exposure by buying an SPX 1Y 107% call funded by selling a 90% put

32、that knocks in at 70% (daily barrier observation) for zero cost, indicatively-this structure is only exposed to losses if the index trades down more than 30% (i.e., below 220(), a level not seen since late 2016).2) S&P 500 Jun20 90-110% skew locks at a 2.7v spread. This structure involves going long

33、 110% down var and short 90% up var. The investor collects carry of 2.7v while spot remains in the range (i.e., between +/- 10% of the spot level at inception), but if the market sells off 10% you become short down var, and if it rallies 10% you become long up var. See p.62-63 of our Outlook report

34、for an illustration and hypothetical backtest of the structure. Assuming a skew lock had been entered at current implied levels historically, it would have earned the max carry 49% of the time, returned an average P/L of +2.1 v, and delivered a positive P/L 95% of the time over the last five years.B

35、ram KaplanAC (1-212)272-1215 J.P. Morgan Securities LLCStay long outperformance of US Small over Large cap via outperformance optionsAs discussed in our 2020 Equity Derivatives Outlook, US small caps offer better risk-reward than large caps as they represent a GARP and Value play relative to large c

36、aps and could see multiple re-rating on M&A and an improving growth and credit outlook. The extreme positioning and record valuation divergence between Value and Low Vol styles likely peaked in August and has begun to reverse over the past few months, contributing to the outperformance of US small c

37、aps vs. large caps (e.g., Russell 2000 outperformed the S&P 500 by 2% over the past three months). However, we believe this rotation is still in its early stages, and even factoring in its recent outperformance, the Russell 2000 is still underperforming the S&P 500 by 20% over the past-1.5 years. In

38、 addition to further short covering by HFs, a larger rotation by real money managers will likely happen after the phase one trade deal is signed. Seasonality could also provide a boost to small caps early next year given the well-documented January effect”. We thus recommend staying with this theme

39、via (limited-loss) outperformance options on the Russell 2000 vs. the S&P 500.Bram KaplanAC (1-212) 272-1215 J.P. Morgan Securities LLCLong US Value vs. Low Vol StocksIn recent months, we have highlighted the increasing likelihood of rotation into Value from Momentum/Low Vol triggered by a combinati

40、on of better than expected economic data, monetary and fiscal stimulus, easing trade tensions, stabilization in yields, all at a time when factor positioning (long Momentum and Short Value) was extreme (see Rotation to Value, Value Conundrum, Market Commentary). For the past two months (Aug 27 - Nov

41、 5), Momentum and Low Vol (long/short, sector normalized S&P 500 quintiles) have sold off-15.9% and -11.0% respectively while Value has rallied 15.4%. We continue to recommend this trade.While the valuation spread of Low Vol versus Value has retreated partially, it still remains close to cycle high.

42、 The correlation between Value and Momentum, once near 30- year lows, has partly reversed (to 18%-tile from 7%-tile), but still signifies considerably oversold positioning for Value. By contrast, Low Vol remains overbought with the correlation between Low Vol and Momentum near a 30-year high (90%-ti

43、le). A synchronized upturn in leading indicators of the global cycle (i.e., JPM US, Europe and Asia QMIs) suggests that the relative Value trade still has some room to run. The biggest risk to this pair trade comes from intensification of the tariff war that may stall nascent manufacturing recovery

44、and ultimately spill over into the broader services economy. A possible implementation can be Long JPRPULVA Index and Short JPRPULBE Index or please contact us for the latest style stock screens, an updated version of those published in Rotation to Value.Alternatively, investors can position for thi

45、s expected convergence between Value and Low Vol/the market via limited-loss option structures. See p.45 of our 2020 Equity Derivatives Outlook, Dec 9 for details.Dubravko lMkos-BujasAC (1-212) 622-3601J.P. Morgan Securities LLCBram KaplanAC (1-212)272-1215 J.P. Morgan Securities LLCLong Russia vs.

46、South AfricaUW SA equities driven by: Disappointing MTBPS (minibudget) confirms rising debt-GDP ratio with no solutions in sight. Domestic growth fears continue; 2020 will be likely be the 7th straight year of sub-2% growth and the recent electricity load-shedding could push the economy into recessi

47、on. SARB should be cutting, but we doubt it will do enough (-25 bps priced into FRAs) to change GDP or earnings trajectory. SA is positively geared to the global value trade, but so is Russia as well as a host of other countries and sectors with fewer problems. Valuations on SA equities have de-rated consistently over the last four years, and we cannot see a catalyst to reverse that barring the global value trade. OW Russia equities on: sustainable dividend yields and stable EPS forecasts rem