2021全球宏观策略展望：对复苏保持信心.docx

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1、GLOBAL INSIGHTMorgESEAContents 6 Cross-asset strategy: Keep faith in the recovery10 Top trades across asset classes11 Global equities: Strong growth, strong returns16 G10 rates: Reflation versus liquidity19 G10 FX: Global recovery = USD weakness22 Global EM fixed income: Modest upside25 Global credi

2、t: Early-cycle crossroads28 Global securitized products: Dont change the channel31 Munis: Healing is a process33 Commodities: Macro versus fundamentals36 Global volatility: Moving to a lower-vol regime37 Global quant: Riding the recoveryWhat we debated41 Where do our forecasts diverge most from hist

3、orical relationships?42 Expected returns and risk/rewardMorgan Stanley key economic forecasts45 Morgan Stanley global currency forecastsMorgan Stanley government bond yield/spread forecasts46 Valuation methodology and risksWhafs changedWhats changed in our forecasts - economicsWhats changed in our f

4、orecasts - assetsOLD FORECASTSNEW FORECASTSA from Last Forecast202M2021。zozoe2021。ZOZDe20216Real GDPGlobal (%Y)-3 66.3356.4010.1GIO (%Q, SAAR)-5 64.7-5.45.10.2MUS-3G55355.9010.4Euro Area-7 25.D5.00.0D.OjApan5 817622.4060.7UK-11.74.4-11.45.30.3D.9EM (%Y)777.4-2.07.4Cl?D.OChina2.38.92.39.00.00.1India5

5、09.5-5.79.80.7D.3BrazilY b3.6-4.04.3u -0.7Russia4 B3.3403.4a.BD.lCPI(%Y)GtobaJ2.32.62.22.145GIO0.71.50.71.20.0-U.3US1.12.21.21.8n 1n 4Euro Area0.41.10.30.9Q 2Japann.i0.20.1.0.2GODOUKu.a1.60.81.3U.O0.3EM3.42.43.32.8.Q 6China2.93.12.61.6-0.3-lbIndia6.14.46.54.5G.4D.lBrazil3.0363.14.0010.4Russia3.13.23

6、.23.6a.iD.4Source： Morgan Sm旬 Pesearcn fcrecas:s Old fcrecasis ；o iBtes: puc -shed forecasts, as c； NC7Trb12.2020Sc/s Stanley Peseaxh f-sts Nue Clc forecasts refer。latest publis田 forecasTs as of12 g20Whats Changed - AssetsBase Case ForecastsOLDNEW from last feastQ2 2021Q4 2021EquitiesS&P 5003.3503,9

7、0016%MSCI Europe1,6101,7307%lopix1,5501,87021%MSCI EMlrM01,25025%FXUSD/JPY112105O aOFUR7USD1.201.254%GBP/USD1.251.326%Rates 倘 percent)UST 10yr1.001.4545DBR lOyr0.05-0.20-25UKI lUyr0.450.7025JGB IDyr0.000.000Credit (bps)(bp A)US IG135100-35US HY550350-200EURIG8060-20EURHY400350-50Italy lOyr9085-5EM S

8、cvs400360-40USCMBS AAA957025Exhibit 21:Sector and style recommendations by regionSource: Morgan Stanley ResearchSector & Style PreferencesS&P 500MSCI EuropeTOPIXMSCI EMOW: Financials, Industrials, Materials, HealthcareOW: Financials, Materials, Consumer Services, UtilitiesOW: Comm. & W/Sale Trade, P

9、harma, Steel & Non-ferrousOW: Discretionary, Materials, Healthcare, InternetSector PreferencesUW: Staples, UtilitiesUW: Staples, Healthcare, Energy, SoftwareUW: Transport/Logistics, Energy, Electric Power & GasUW: Energy, Financials, Communic. ServicesStyle Preferences1) OW Re-opening / Cyclicals .2

10、) OW GARP3) UW Expensive Defensives and Expensive Growth1) OW Cyclical Value as befits an early cycle set-up2) UW Expensive Quality3) OW Financials.1) Blue Paper Innovation Leaders2) Self-Help Beneficiaries3) Quality and Cyclicals1) APxJ-EM Best Business Models v82) Quality and GARP3) Cyclicals, FCF

11、 and RevisionsUSShow me the money: We see upside into 2021 on the back of robust earnings, not valuations. With nominal US GDP growth of 7%Y and global GDP growth of 9%Y, we expect the top line to rebound with powerful flow-through to earnings, given corporates focus on costs. This recovery is no di

12、fferent from others and well pass peak earnings before peak sales as margins lead the way. Evidence for the rebound has been mounting, with most parts of the market outside of a few areas more directly impacted by COVID-19 already seeing a return to year-on-year operating profit growth as cost cuts

13、have offset top-line declines. Our base case for additional fiscal stimulus even in a divided government scenario supports the consumer balance sheet and a path to reopening from the end of 1Q. As such, we think that earnings growth will be explosive and surprise to the upside. Higher back-end rates

14、 will be a headwind to valuation, but we expect a partial offset from falling equity risk premium. On net, we see upside as earnings growth exceeds multiple compression.Higher conviction in the longer term: Normally, uncertainty rises with time, but today we have higher conviction in our 6-12-month

15、view than our 3-month view. Near term, we think that the market will still need to work through COVID-19s second wave, doubts around fiscal stimulus and the US Senate race. Ultimately, we expect fiscal support to come through and see the size of support as correlated with the impact of the virus. In

16、 other words, we see a fiscal put around COVID-19Js economic fallout and take 2020*8 lesson that concerted fiscal and monetary policy can be an effective support for the economy. In the near term, with markets fully valued and a seasonal gap in data points to confirm better earnings, we see the mark

17、et as range-bound with risks skewed lower. We advise using pullbacks to add risk, particularly to assets with cyclicality.Sector/style preferences: In line with our recession playbook, we retain our preference for small-caps over large-caps and cyclicals over defensives. High-quality and certain sec

18、ular growth stocks remain richly valued and are likely to re-rate relatively lower as interest rates rise at the back end. We continue to recommend a barbell of reasonably priced growth stocks with cyclicals that w川 flourish in the recovery. At the sector level, we are overweight financials, industr

19、ials, materials and healthcare. We are underweight staples and utilities.EuropeStrong growth rebound: 2020 looks set to go down as the worst year for European relative performance since the 1980s, reflecting the regions materially weaker economic and profit growth out-turn as per Exhibit 15 . Howeve

20、r, poor performance this year should set Europe up for a strong bounce-back next year and into 2022 as well -we forecast EPS growth of 30% in 2021 and 20% in 2022.Catalysts to keep valuations at the top end of the historical range: Given that COVID-19 has had a more significant impact on the Europea

21、n economy than elsewhere the region, it should be a relative beneficiary of positive vaccine news, while a further increase in the ECBs QE program should drive a further meaningful decline in Italian bond spreads. The EU recovery fund should also be formally signed off in due course, with proceeds s

22、tarting to be distributed in 2H21 and supporting materially above-trend GDP growth in 2022 and 2023. Europes relative valuation characteristics also mean that it is less vulnerable to a de-rating driven by higher global yields.Cyclical Value expensive Quality: Within Europe, we prefer cyclicals over

23、 defensives and selected Value sectors over expensive Quality stocks; reopening beneficiaries look attractive to us as a source of cheap cyclicality with an impending catalyst. We are overweight financials, materials and consumer services; we are underweight consumer staples, healthcare, energy and

24、software. ESG should also remain an important theme and we remain overweight utilities in that regard.Asia/EM & JapanReversion to the mean* thinking is particularly dangerous in an era of profound and accelerating structural challenge including technological disruption, COVID-19/healthcare, climate

25、change/ESG and the investment implications of a shift to a Multipolar World.While we are making some important changes today - for example downgrading IT hardware to E/W and upgrading India to 0/ W - we are leaving several key core preferences unchanged. Most notably, we still expect Japan and China

26、 (specifically A-shares) to continue to outperform versus Asia/EM over the cycle, with energy and banks lagging. We think that Quality in the form of our Best Business Models approach will also continue to outperform other styles over the cycle.Our 2021 outlook top trades are: 1) Continue to prefer

27、China and Japan to EM ex China; 2) Upgrade India to 0/W given structural reforms and a strong expected growth recovery; 3) Stay 0/W Australia, Korea and Brazil versus U/W Taiwan; downgrade Singapore to E/W but move 0/W Hong Kong; 4) Transition to late-cycle plays versus early-cycle plays in China an

28、d continue to prefer A-shares versus offshore China; 5) Stay 0/W internet/software, discretionary, materials and industrials and remain U/W energy and financials; 6) Downgrade tech hardware and semiconductors to E/W, upgrade healthcare to 0/W; 7) Maintain a balanced Growth/Value position but favor c

29、yclicals over defensives; 8) We launch our APxJ-EM Best Business Models v8 list and generally favor Quality as a through-the- cycle style preference; 9) In Japan, we reiterate our focus on Productivity and Innovation Leaders v2 launched in September.Exhibit 22:Performance of MSCI China versus EM ex

30、China and 5 selected larger EMs* we stay 0/W China but expect a smaller extent of outperfor- mance in 2021-20%-40%Jan-10 Jul-11 Jan-13 Jul-14 Jan-16 Jul-17 Jan-19 Juk20Source: RIMES, MSCI, Morgan Stanley Research; Data as of October 28, 2020. ,5 selected EMs refer to Brazil, Indonesia, Russia, South

31、 Africa and Mexico, on an equal-weighted basis. EM ex China is compiled on a market cap-weighted basis.G10 rates: Reflation versus liquidityMatthew Hornbach m+1 212 761-1837Guneet Dhingra m+1 212 761-1445Tony Small +44 20 7677-2571 Morgan Stanley & Co. International plc+Morgan Stanley & Co. LLCMorga

32、n Stanley & Co. LLCKoichi Sugisaki， +81 3 6836-8428Morgan Stanley MUFG Securities Co., Ltd.+David S. AdamsDavid.S.Adamsmorganstanley. com+1 212 761-1481Morgan Stanley & Co. LLCKey investment ideasWe suggest a duration underweight in USTs; curve steepeners in the US versus flatteners in the euro area

33、 semi-core and periphery; neutrality on UKTs; long ACGBs versus NZGBs; and long CAGBs versus USTs. We look for long-maturity Bunds to outperform USTs cross-market, and a gradual tightening of periphery and semi-core spreads. Long-maturity BTPs should provide investors with the strongest total return

34、 in the euro area in 2021. We look for gilts to remain stuck between the US and euro area - underperforming German Bunds, but outperforming US Treasuries. We remain constructive on JGBs and ACGBs relative to USTs and CAGBs. Top trades: UST 5s30s steepener; short UST 30y versus DBR 30y, ACGB 30y; BTP

35、 5s30s flattener; long ACGB lOy versus NZGB 10y; long CAGB lOy versus UST 10y.Government BondsUSEuropeUKJapanIn the US, we expect Treasury yields to move higher overthe forecast horizon. We see 10-year Treasury yields trading slightly below 1.5% by the end of 2021, and continuing to move higher into

36、 2022. A combination of a continued V-shaped economic recovery aided by vaccines, modest fiscal support and a dovish Fed allows Treasury yields to move higher in 2021, led by the back end. We see curve steepeners and breakeven wideners doing well in 1H21.The news on the Pfizer COVID-19 vaccine, whic

37、h showed a 90% efficacy in preventing cases, has prompted our pharmaceutical analysts to raise the probability of vaccine success from 65% to almost 100%, while also making it more likely that other vaccine candidates will succeed. A successful vaccine with high efficacy would continue to support th

38、e next leg of our V-shaped recovery narrative. We see Treasury yields rising in 1H21, as the vaccine starts to become widely available.Through 1H21, we see two themes within the moves in Treasury yields-curves steepen alongside higher yields, and breakevens lead the move higher while real yields sta

39、y low - both themes reflective of adovish Fed. Consistent with the Feds average inflation targeting approach, the Fed prefers to react to actual improvement in data, rather than expected improvement in data, particularly inflation. Within this reactive approach, our economists see a low likelihood t

40、hat the Fed makes substantive changes its summary of economic projections until June 2021, allowing the yield curve to steepen and breakevens to head towards 200bp.The role of fiscal policy takes a back seat in our Treasury yield fore- casts, given the relatively smaller fiscal stimulus expected und

41、er a likely divided government, as well as lowered needs for increasing coupon sizes in 2021, given the significant increases in coupon sizes in 2020. Moreover, our public policy strategists expect fiscal stimulus to be more reactive to economic or market weakness, rather than pro- active, further l

42、owering its impact on Treasury yields.Yield moves in 2022 are more reflective of the Fed looking to dial down accommodation, as our economists expect the Fed to move towards a tapering of Treasury purchases in 1Q22. We see real yields starting to rise in 2022, while breakevens stabilize. 10y yields

43、end 2022 at 1.85%.In the euro area, we see Bund yields rising gradually above current market levels with a modest steepening bias to the DBR 2s10s and 5s30s curves in 2021 and into 2022. We look for Bunds to continue to outperform Treasuries cross-market, particularly in the longer- maturity parts o

44、f the curve.Supply is likely to re-ramp in 1H21 across the euro area as sovereigns again look to front-load their issuance into the first half of the year. Additionally, the EU will continue to issue for SURE and eventually the NGEU, resulting in a greater amount of higher-rated paper hitting the ma

45、rket that could compete with core euro area issuance.However, the rise in gross supply in core markets in 1H21 afterthe lull in 4Q20 will be more than offset by a significant amount of Eurosystem purchases from both PEPP and APP. This, in turn, will lead to a continuation of the pronounced negative

46、net supply dynamic post-redemptions/Eurosystem purchases/EU funds in coupon ex bill issuance that has persisted since 2H20.We look for the ECB/NCBs to have approximately 800 billion of net purchasing power heading into next year before accounting for the 500 billion PEPPtop-upoureconomistsforesee in

47、 December2O2O.Our forecasts assume widespread distribution of a global vaccine by 2Q21, that the ECB will taper or end net purchase activity in PEPP by the end of 2021, that TLTRO sweetened terms will expire by the end of the year and that the ECB strategy review will memorialize symmetry or some form of AIT that will