セクター

Chart 1Chart 1 Not only did the pandemic claim millions of human lives and cause irreparable suffering, but it also permanently damaged a number of macro series and indicators, some of which we highlight in today’s Sector Insight report. Easy monetary and fiscal policies especially given the proverbial helicopter drop (stimulus checks) made nearly every consumer series unusable be it unit labor costs, average hourly earnings, unemployment insurance claims, etc. Chart 1 highlights that retail sales, the savings rate, and select inflation data are also rendered useless. As it is widely quoted in the media, the rise in fiscal spending was World War II-like, but M1 money supply plotted on a year-over-year growth rate basis dwarfs government largess (Chart 2). With all that money having to flow somewhere, select commodities are going through five standard deviation moves relative to their 50-year mean! Nevertheless, WTI crude oil trumps all else: it managed the unthinkable and traded down to roughly negative $40/bbl, before rebounding to the current $65/bbl level (Chart 3). Finally, BCA’s boom/bust indicator is just that, bust as the COVID-19 recession wreaked havoc to a previously dependable indicator which gauged different stages of the business cycle (Chart 3). Bottom Line:  Further mean reversion looms in economic data across the board including a 4-6% fiscal cliff that will likely come in 2022 (as we highlighted in yesterday’s Webcast) making us wary about the near-term prospects of the US equity market that has likely priced in all the good news. Chart 2Chart 2 Chart 3Chart 3​​​​​​​

特別レポート

Highlights The ECB is not repressing interest rates and penalizing savers. The Eurozone shows none of the symptoms associated with financial repression. Global excess savings are keeping US rates depressed. If US rates are low, then European rates must be lower because of structural problems in the region’s economy, independent of the ECB’s preferences. Structurally, there is still no case for European yields to rise meaningfully compared to the rest of the world. Despite positive forces over the next year or two, European financials will remain long-term underperformers. European utilities will outperform US ones. The euro is transforming into a safe haven like the yen and the Swiss franc. Feature By maintaining negative short rates, the European Central Bank is conducting severe financial repression, which distorts rates of return and penalizes savers. This is a common refrain among many insurers and pension plan managers investing in Europe and among a large number of the region’s politicians. Chart 1The ECB's Financial Repression? At first glance, this criticism is apt. For the past five years, negative policy rates have forced safe-haven Bund yields to trade well below the Euro Area’s nominal GDP growth (Chart 1). Moreover, the real ECB deposit rate remains well below the Holston, Laubach-Williams estimate of R-star (the real neutral rate of interest). If we go beyond these superficial observations, it is far from clear that the ECB is conducting financial repression or distorting market rates any more than other major global central banks. Is It Financial Repression? The ECB is not conducting financial repression; rather, it is responding to powerful economic forces in Europe and beyond that are depressing interest rates. The definition of financial repression is crucial to this assessment. Financial repression involves monetary authorities actively suppressing interest rates to the advantage of the borrowers and users of capital at the expense of the savers, whose risk-free investments then provide subpar rates of returns. Following this definition, financial repression shows these clear symptoms: A low savings rate. Suppressed interest rates do not adequately compensate savers to forgo consumption. Thus, they are less likely to put money aside. A significant build-up of debt. Real interest rates are below fair market value, which subsidizes borrowing. A significant expansion of the money supply. Money supply expands rapidly in response to strong credit demand in the economy. Plentiful capital expenditures. Savers must take on more financial risk to make appropriate returns on their assets, which compresses risk premia. Depressed internal rates of return boost the net present value of investment projects and thus cause investments to account for a large share of output. A current account deficit. A nation’s current account balance equals its savings minus its investments. By depressing savings and stimulating investments, financial repression results in a current account deficit or a sharply deteriorating current account balance. Above-trend GDP growth. By depressing savings and boosting investments, financial repression lifts cyclical spending and forces the GDP to rise above its potential. The problem for commentators who argue that the ECB is conducting financial repression is that the Euro Area meets none of these criteria. First, Eurozone money and credit growth has run well below that of the US ever since the euro crisis, despite ECB policy rates that are constantly lower than the Fed Funds rate. Moreover, since the ECB cut rates to zero, the pace of money and credit creation has decelerated significantly compared to their pre-crisis trends (Chart 2). Second, the Euro Area’s real GDP per capita, nominal GDP per capita, and the GDP deflator have also fallen 4.6%, 5.2% and 5%, respectively, behind those of the US, since the ECB has cut interest rates to zero (Chart 3). Moreover, the growth of these variables has also decelerated significantly over this period, which is consistent with depressed credit demand. Additionally, despite the inferior performance of European activity metrics compared to those of the US since the introduction of the common currency, European government bonds have performed exactly in line with those of the US (Chart 3, bottom panel) and have therefore outperformed in real terms. This is inconsistent with financial repression by the ECB. Chart 2Europe's Money And Credit Trends Are Too Tame... Chart 3... So Are Output Volume And Price Trends Finally, the Euro Area runs a current account surplus of 2.3% of GDP, which has grown by 4.1% of GDP since late 2008. This is the clearest sign that Eurozone savings have become excessive relative to investment, despite the surge in government deficits in the wake of the COVID-19 pandemic. Excess savings are not typically associated with central banks artificially distorting interest rates. Bottom Line: The economic developments in the Euro Area do not correspond to what would be anticipated if the ECB were repressing interest rates. The growth rate of money and credit has structurally slowed both in absolute terms and compared to that of the US. The same deceleration is evident in both real and nominal output per person, as well as in price levels. Finally, the Eurozone’s current account surplus has widened, which highlights that savings have grown in excess of investments. The Eurozone Needs Lower Interest Rates Than The US The ECB must set appropriately low interest rates, if US yields are low across the curve. In a way, the case that the Federal Reserve is conducting financial repression is stronger than the case against the ECB. Over the past twelve years, nominal and real output per capita have grown more robustly in the US, while money as well as credit expansion and inflation have also been stronger. The US runs a persistent current account deficit of 3.1% of GDP, which also indicates that it is not awash in excess domestic savings. Chart 4Maybe The Fed Is Repressing Interest Rates We could even argue that the case for the Fed repressing interest rates is growing stronger. The federal budget deficit has expanded to 19% of GDP, even as the unemployment rate tumbles (Chart 4). Moreover, US quarterly GDP growth has averaged 8.5% since the fourth quarter of 2020 and, according to Bloomberg consensus estimates, is anticipated to average 6.3% for the remainder of the year. US inflation is also strong. Annual core CPI Inflation hit 3% in April; monthly core inflation was 0.92%, or an annualized rate of 11.6%, the strongest reading in almost 40 years. Yet, even in the US, the argument that the Fed is repressing interest rates is ultimately weak, despite the aforementioned economic strength. The Fed is accommodating global market pressures that are greater than those of the US economy. In other words, even if the Fed did not set short rates, US interest rates would be low across the curve because of global excess savings. Chart 5Too Much Savings, Everywhere Excess savings around the world constitute an exceptionally strong gravitational force that anchor global rates at low levels. As Chart 5 shows, since the early 1990s, global private savings have outpaced investments by a cumulative 163% of GDP. Accumulated government deficit, which has accounted for 99% of global GDP, has been far too small to absorb fully this surplus of savings. The resulting imbalance places downward pressure on global inflation (a consequence of demand falling short of supply) and real interest rates, which means it depresses nominal interest rates across the curve. US interest rates also feel the yield-compressing effect of these excess global savings, even if the US economy does not generate excess savings itself (it runs a current account deficit). The major DM central banks are removing a greater proportion of the float of safe-haven from their jurisdictions than the Fed (Chart 6). The resulting scarcity of safe-haven securities means that US fixed-income products remain the natural outlet for global investors seeking safety and liquidity. Thus, despite the US lack of excess savings, Treasury yields have traded below nominal GDP growth 55% of the time over the past 30 years, no matter how strong US activity is or how wide federal deficits become. If the Fed has little choice but to accept low US interest rates, then the Eurozone must accept even lower interest rates because of its large excess savings. As Chart 7 illustrates, the 2-year and 10-year interest rate spreads (both in nominal and real terms) between the Eurozone and the US track the gap between the US current account deficit and the Europe’s current account surplus. Chart 6Treasurys Are The World Only Plentiful Safe-Haven Chart 7Europe's Excess Savings Justify Lower Rates Across The Curve The Eurozone lower rate of return on capital is another force depressing rates relative to the US (Chart 8). This lower return on capital reflects the following structural problems with the European economies: Excess capital stock. The Eurozone peripheral nations have abnormally large capital stocks in relation to their GDPs (Chart 9). As we previously argued, this feature means that Europe suffers from large amounts of misallocated capital, which hurt the return on capital. Chart 8Capital Is Not Rewarded In Europe Chart 9Too Much Capital! Ageing capital stock. Not only is the Eurozone capital stock too large relative to the size of its economy, it is also older than that of the US (Chart 10). An ageing capital stock, especially in a world where ICT spending is one of the key sources of innovation and growth, further hurts the Euro Area’s return on capital. Lower incremental output-to-capital ratio (Chart 11). The Euro Area generates significantly less output per unit of investment than the US. This confirms the notion that capital is misallocated and that it is used less productively than in the US. Chart 10Europe's Capital Is Ageing Too Chart 11Poor Capital Utilization Chart 12Europe's Inferior Productivity Problem The final force limiting European interest rates compared to the US is the Euro Area’s inferior potential growth rate. The Eurozone’s population is ageing, and it will start to contract in 2030. Moreover, multifactor productivity growth is weaker than in the US (Chart 12). A lower potential GDP growth accentuates the discount in the Euro Area neutral rate of interest compared to the US. Bottom Line: Despite the relative economic vigor of the US, global excess savings lower US rates across the curve. The ECB has no choice but to accept even lower European rates, because the European economy suffers from greater excess savings than the US: its return on capital is inferior, and its neutral rate of interest is hampered by its lower potential GDP growth. Investment Conclusions For European rates to avoid the fate of Japan and to circumvent suffering many more decades wedged near zero, some important changes must take place. First, at the global level, excess savings must recede. This will allow global interest rates to increase, especially those of the US. Even if Eurozone rates continue to trade at a discount to the US, safe-haven yields in Europe would nonetheless climb in absolute terms. The fall in the global ratio of workers relative to dependent people, most notably in China where the 2020 population census has just highlighted the trend, is one factor pointing toward a potential gradual decline in global savings. For the moment, absorbing excess savings means that global fiscal policy must remain accommodative. Although fiscal authorities around the world continue to display greater profligacy than they did in the wake of the Great Financial Crisis, there is no guarantee that they will not revert to their old ways. In fact, BCA’s Global Investment Strategy service recently showed that the US fiscal policy is set to become more of a constraint on growth next year than it has been in 2020 and 2021 (Chart 13).  One factor to monitor is the international shift in voters’ preferences toward left-wing economic policies, which often results in more generous fiscal spending. If this trend persists, then global fiscal deficits will close more slowly than the private sector savings will decline. This process will both be inflationary over the long run and impose upward pressure on real interest rates worldwide. But the fiscal excesses of the current moment may force opposition parties to restrain spending whenever they come into power. Chart 13Will Global Fiscal Policy Morph Into a Headwind? Second, to narrow the spread between the Eurozone and US interest rates, the Euro Area must tackle its low rate of return on capital. Practically, this means that much of the excess capital stock weighing on European rates of returns must be written down. Doing so will require more cross border mergers and acquisitions within sectors in the Eurozone. However, the loss-recognition process on nonviable capital will be deflationary. Thus, to facilitate these asset write-downs, the region’s fiscal policy and monetary policy must first remain extremely accommodative. It is far from certain that European authorities will resist reverting to their old ways. A structural underweight on European financial equities remains appropriate. Even if the Eurozone enacts the reforms necessary to invite the peripheral asset write-downs required to boost rates of return in the long-run, in the interim, these reforms will be deflationary. Consequently, no matter what, Eurozone yields will remain well below the US for years to come. Moreover, European credit demand is unlikely to outperform the rest of the world for the coming few years. In this context, the RoE of European banks will remain low. Therefore, our current recommendation to overweight this sector is only valid as a near-term play on the global economic recovery and is not a strategic recommendation. By contrast, European utilities will structurally outperform their US counterparts. European utilities offer higher RoE than US ones and have healthier leverage (Chart 14). Moreover, European utilities trade at discounts to US firms on a price-to-book, price-to-cash flow, price-to-sales and dividend yield basis (Chart 15). Additionally, as yield plays, structurally lower European yields relative to those of the US will advantage European utilities on a long-term basis. Chart 14European Utilities Offer More Appealing Operating Metrics... Chart 15... And Are More Attractively Priced Than US Ones Finally, the euro will increasingly trade as a safe-haven currency like the yen and the Swiss franc. First, after a decade of trial by fire, EU integration and solidarity have gained rather than lost momentum and the EU break-up risk has proved to be limited to Brexit. Second, although the Eurozone economy is pro-cyclical, so are the Swiss and Japanese economies. Instead, the Euro Area’s structurally elevated savings rate and current account balance are transforming this economy into a net creditor, with a positive net international investment position equal to -0.1% of GDP. Moreover, the bloc’s low inflation will continue to put upward pressure on the euro’s long-term fair value. If we add the Euro Area’s low interest rates to the mix, then the euro is likely to behave increasingly as a funding currency. Thus, while the euro will benefit from the USD’s weakness forecasted by our Foreign Exchange Strategists, it will underperformed more pro-cyclical currencies such as the SEK, the NOK, or the GBP, which do not suffer from the same ills as the Eurozone.   Mathieu Savary, Chief European Investment Strategist Mathieu@bcaresearch.com

図表 1 チャート 1 チャート 1 4月下旬、バイデン大統領が次々と財政パッケージを打ち出していることを受け、当社のインフラ・バスケットを見直しました。BCAの見解も引き続き、米国政治におけるポピュリズムの台頭は始まったばかりであり、今後も何らかの形でさらなる財政パッケージが出てくる可能性が高い、というものです。ここで問題となるのは、どれだけが既に織り込まれているのか、そして財政の波に乗るのは既に手遅れではないか、という点です。 下段の 図表 1 は、当社のインフラ・バスケットが12か月先のフォワードP/S比率で割高になってきていることを示していますが、参考にできる過去のデータは乏しく、景気循環は2回分しかないことに留意しています。 一方で、中段の 図表 1 はフォワードP/E比率で見るとインフラ・バスケットは妥当に評価されていることを示しています。現在はゼロラインや過去平均の両方から数ピクセルしか離れておらず、当バスケットは投資家の株式ポートフォリオにとって魅力的な追加となります。 結論：我々は景気循環的および構造的なユーズ・インフラ・バスケットへのオーバーウェイト推奨を改めて表明します。補足として、下の 図表 2〜5 は当バスケットをGICS4レベルの構成銘柄に分解したものです。   図表 2 チャート2 チャート2 図表 3 チャート3 チャート3   図表 4 チャート 4 チャート 4 図表 5 チャート5 チャート5        

ハイライト グローバル株式は大きな調整に非常に脆弱である。しかし景気循環的には米連邦準備制度（FRB）はインフレの上振れを容認する姿勢を取っており、世界経済は回復している。 中国の財政・信用インパルスが急低下しており、これによりグローバルの景気循環株およびコモディティは下押しを受けやすい。 短期を越えれば、中国の政治的安定の必要性が過度な政策引き締めを防ぐはずだ。リスクは前倒しになっている。 中国の国勢調査は当社のメガテーマの一つを裏付けている：中国の国内政治は不安定であり、ネガティブなサプライズをもたらし得る。 インドの州選挙は大規模なCOVID-19の波の最中に実施されたが、与党が2024年にも依然有利であることを示唆している。これは政策の継続を意味する。 景気循環派の強気バイアスを維持するが、中国が政策ミスを犯した場合には方針転換する準備をしておくこと。 特集 チャート 1 インフレ再浮上 インフレが頭をもたげる インフレが頭をもたげる 今週、米国のコアインフレが強く出たことと、長く眠っていたインフレが再び頭をもたげることへの幅広い懸念を受けて、グローバル市場は震撼した（チャート 1）。 景気循環的には、世界経済の回復に伴い投資家は米国株から国際株へローテーションし、米ドルは下落すると引き続き見ている（チャート 2）。しかしこの見方は、新興国株が先進国株に対してアウトパフォームし始めるべきだということも含んでおり、今年これまでのところはそれが実現していない。新興市場はテクノロジーに偏っており、米国の長期金利上昇に脆弱なだけでなく、中国の景気刺激がピークに達した今、さらに困難に直面している。 チャート 2 株式市場の動揺 株式市場が動揺 株式市場が動揺 チャート 3 世界経済とセンチメントの回復 世界経済とセンチメントは回復しつつある 世界経済とセンチメントは回復しつつある チャート 4 景気循環株対ディフェンシブの揺らぎ グローバルのシクリカル株とディフェンシブ株が揺らいでいる グローバルのシクリカル株とディフェンシブ株が揺らいでいる 我々が頼れる一つの事実は、COVID-19ワクチンの展開が続くことで世界的な成長回復を後押しするという点である（チャート 3）。米ドルもそれを示唆している。ドルは第1四半期に米国の相対的成長優位で反発したが、その後は下落に転じている。ドル安はディフェンシブに対して景気循環株にとってポジティブだが、景気循環株は短期的にはリフレーショントレードが過熱していることを示している（チャート 4）。 中国の成長が今や重要な焦点になる。中国の政策ミスは強気の景気循環見通しを覆すだろう。中国の金融・財政政策の引き締めは、今年我々が強調してきた主要なグローバルな政策リスクであり、今まさに顕在化している。しかし我々は引き締めの制約も指摘してきた。現時点で中国は我々のベンチマークによれば過度な引き締めの瀬戸際に立っている。さらなる引き締めが行われれば、我々は本質的によりディフェンシブな見方に転じるだろう。 本レポートではまた、中国の国勢調査の結果と、最新の大波のCOVID-19感染のもとで行われたインドの最近の州選の含意を検討する。我々はまだインドに対する強気見解を変更していないが、注視している。 中国：過度引き締めリスク 中国の問題は、対外貿易依存から内需依存への経済モデルの継続的な変化に起因している。これは習近平国家主席の台頭以前に共産党が採った戦略的決定であり、習はそれを体現し、戦略的ビジョンと米国との対立を通じて強化してきた。 北京の目標は滑らかで安定した移行を管理することだった。2015年の金融混乱や2018-19年の貿易戦争はその目標を危うくしたが、政策当局は最終的に持ちこたえた。そこへCOVID-19が発生し、1970年代以来の本格的な経済縮小をもたらした。中国はウイルスを抑え込み、貿易戦争開始から2021年のピークまでにGDP比13.8%に上る別の大規模な刺激で回復したが、今やさらに困難な移行に直面している。 チャート 5 中国の上昇する貯蓄傾向 中国の貯蓄傾向の高まり 中国の貯蓄傾向の高まり 潜在GDPが鈍化していることを考えると生活水準の改善の必要性は一層切迫している。債務の大幅な増加に鑑みると体系的な金融リスクを抑制する必要性も一層切迫している。米国が中国に対抗する民主諸国の連合を形成している今、経済の多角化の必要性も高まっている。長期預金比率などで測られる中国の家計・企業の「限界貯蓄性向」の急上昇は、国が困難に直面しアニマルスピリッツが抑えられていることの兆候である（チャート 5）。 2018-21年の大規模拡大の後、中国の財政・信用インパルスは低下に転じている。政策当局は昨年以降、緊急的な刺激を引き揚げるシグナルを出しており、その影響はハードデータに現れている。中国のマネー、クレジット、そして財政とクレジットを合わせたインパルスはいずれも、6〜9か月のラグの後に経済成長と相関する。これは中国のマネーとクレジットサイクルや経済活動を測る指標がどれであれ当てはまる（チャート 6Aおよびチャート 6B）。中国の経済モメンタムはピークに達しており、世界がワクチンと経済再開の追い風を享受しているにもかかわらず、今年後半から2022年にかけて世界経済にとって逆風となるだろう。 チャート 6A 中国の財政・信用インパルスが急落 … 中国の財政・信用インパルスが急落… 中国の財政・信用インパルスが急落… チャート 6B … マネー・アンド・クレジットのインパルスも同様に低下 ... マネー・アンド・クレジットのインパルスも同様である ... マネー・アンド・クレジットのインパルスも同様である 財政・信用インパルスのダウンシフトは、特に国内消費向けに中国が輸入するコモディティ、マテリアル、およびその他財の需要の鈍化を予示している（中国の輸出向け製造に投入される部品や中間財の輸入は、世界の回復とともに比較的健全に見える）。このシフトは、スウェーデン株などの中国関連プレイや急騰している金属価格が調整なしに上昇を続けることを困難にするだろう（チャート 7）。投機筋のポジショニングは現時点でコモディティに偏っている。中国とそれが支配する金属市場との乖離は短期的には耐え難いように見える（チャート 8）。 チャート 7 中国のリフレーショントレードはピーク付近 中国のリフレーショントレードはピーク付近 中国のリフレーショントレードはピーク付近 チャート 8 マネーサイクルとコモディティ価格の衝突 マネーサイクルとコモディティ価格の衝突 マネーサイクルとコモディティ価格の衝突 世界的なグリーンや再生可能エネルギーシステムへの移行（すなわち脱炭素化）は銅をはじめ金属にとって強気だが、短期的には中国の需要減を補うことはできないことを、我々のエマージング・マーケッツ・ストラテジーが示している。中国の建設・産業向けの銅の国内需要は世界総需要の約56.5%を占める一方、グリーンエネルギー競争（太陽光パネル、風力発電、電気自動車の生産等）は世界需要の約3.5%にすぎない。 この数値は既存のシステムや構造の再調整やレトロフィット（例：電力網）も見込まれているためグリーン計画をやや過小評価している面はある。しかし要点は、米国および欧州の消費が大幅に増加しても、中国の銅消費が減少すればそれに逆行することだ。特に米国のインフラ計画が早くても2022年まで本格的に始動しないことを考えれば、今後12か月で中国の影響で世界の銅需要は減速するだろう。 中国の政策当局はまだ過度な引き締めを懸念している、あるいは新たに政策を緩和する意思を示したわけではない。4月末の政治局会議は12月の中央経済工作会議や3月の政府活動報告から大きな政策変更を含んでいなかった（表 1）。しかしもし差異があるとすれば、昨年の緊急感をさらに後退させつつも、地方政府幹部を隠れ債務に対して説明責任を負わせるような何らかの仕組みを示唆した点にある。含意は引き続き引き締め的な政策であり、したがって過度の引き締めリスクは依然として大きい。 表 1 中国の最近のマクロ経済政策表明：刺激の縮小 中国は過度な金融引き締めの瀬戸際にある 中国は過度な金融引き締めの瀬戸際にある チャート 9 中国の政策引き締めのベンチマーク 中国の政策引き締めのベンチマーク 中国の政策引き締めのベンチマーク 確かに4月会議の「お茶の葉」は様々に読み取ることができる。4月の声明はマクロ経済政策指針から「必要な政策支援を維持する」という文言を外しており、これは経済への支援を減らすことを意味する可能性がある。しかし同時に、マネーサプライ（M2）とクレジット成長（社会融資総量）を名目GDP成長に合わせるという目標も外れており、これはクレジット成長の新たな上振れを許容するものと見なすこともできる。とはいえ中国人民銀行は第1四半期の金融政策報告書でこのクレジット目標を維持しており、確信は持てない。このルーブリックによれば、中国は我々がリスクを測るために用いる「過度引き締め」の瀬戸際にあることに注意されたい（チャート 9）。 過去20年の中国の政策運営に基づけば、我々は重大な転換点の発表は4月ではなく7月の政治局会議で行われると予想する。したがって4月は先の会合からの大きな変更とは見なしていないし、我々のチャイナ・インベストメント・ストラテジーも同様に見ていない。従って過度な政策引き締めは今後12か月で中国および世界経済に対する現実的なリスクであり、我々の過度引き締めチェックリストはこの点を強調している（表 2）。 表 2 中国の政策引き締めチェックリスト 中国、過度の引き締め寸前 中国、過度の引き締め寸前 中国の財政・信用のダウンシフトは、第20回党大会を控えて進行している。党大会は2022年を通じて行われ、秋に最高指導部（政治局常務委員）の交代で頂点に達する。共産党の100周年に当たる今年7月1日に向けて経済は十分に刺激されているため、政策当局は過剰を防ぐことに集中している。金融リスクの予防、反独占規制、不動産バブルの抑制が当面の命題である。企業および政府の債務不履行や破産の増加は、指導部が経済構造改革と改革を推し進める意志を裏付けており、近年これが確認されている（チャート 10）。 チャート 10 中国における創造的破壊 中国、過度な引き締め寸前 中国、過度な引き締め寸前 投資家は党大会があるからといって指導部が政策を緩和するだろうと想定してはならない。2017年の党大会の前にはむしろその逆のことが起きた。しかし、投資家はまた、中国が重要なイベントの前に自国経済を沈めるほど過度に引き締めるとも安易に想定してはならない。安定が目標となるだろう（2017年や以前の党大会でもそうであったように）──これは現行の引き締めが財政的・経済的にあまりにも痛みを伴う場合には政策緩和がいつか行われることを意味する。政策当局が転換点に達するまでは、中国関連資産は短期的に脆弱である。 ちなみに、第20回党大会の接近は政治的な暗闘や衝撃的な出来事を引き寄せるだろう。最高指導者は通常、党大会前に派閥の勢力を示すために有力なライバルを解任する。政府はまたメディア統制を強化し、事件の周辺で声を上げるか抗議するかもしれない反体制派を取り締まる。しかし2022年はその利害が一層高い。 習主席は当初2022年に退任すると見られていたが、今は退任しない見込みであり、これは少なくとも一部の反対を喚起するだろう。さらに習政権下で中国は三つの歴史的な政策革命を遂げた：強力な指導者モデルを採用し、前二代の集団指導モデルを損なったこと、経済の自給自足を重視して自由化と開放を犠牲にしたこと、そして大国としての地位を強調し米国や同盟国との協調を犠牲にしていることだ。 まとめ：中国の政策引き締めにより、グローバル株式、コモディティ、そして「中国プレイ」は大幅な調整リスクに直面している。当社のベースケースは中国が過度な引き締めを回避するというものだが、最新のマネーおよびクレジットの数値はその見方を変更する閾値に達している。これらの指標がさらに急落すれば見解を変更する必要がある。 中国の消えゆく労働力 最終的に過度な引き締めを抑制する制約の一つは、労働年齢人口の縮小による中国の潜在GDP成長の低下である。中国の第7回国勢調査が今週公表され、国とその経済に影響する深い構造変化を裏付けた。 過去10年の人口増加率は5.4%に鈍化し、1953年の最初の国勢調査以降で最低となった。出生率は2020年に1.3まで下落し、2.1の人口置換水準や2016年に一人っ子政策を緩和した際の目標1.8を下回っている。出生率は世界銀行の推計（2019年で1.7）や日本の数値よりも低い。人口1000人当たりの出生数も減少し、2020年の新生児数は1961年（大飢饉の年）以来の低水準となった。出生率は高所得国の水準に収束しており、経済発展が中国でも出産抑制の同じ効果をもたらしていることを示唆しているが、中国はこれらの国より発展段階が低い。 チャート 11 1990年代の日本より速く減少する中国の労働人口 中国、過度な金融引き締めの瀬戸際に立つ 中国、過度な金融引き締めの瀬戸際に立つ 最年少コホートの比率は16.6%から17.95%に上昇し、最年長コホートは2010年の8.9%から現在13.5%へ上昇、働き手層は75.3%から68.6%に低下した。労働年齢人口は2010年にピークに達し、過去10年で6.79ポイント減少した。対照的に日本の労働年齢人口は1992年にピークを迎え、その後の10年で2.18ポイント低下した（チャート 11）。 言い換えれば、中国は1990年代初頭に日本が経験した人口転換を経験しているが、中国の労働年齢人口はさらに速く減少する可能性がある。中国は日本が達したより低い1人当たり所得水準でこの大規模な社会経済的変化を経験している。 人口動態の課題は中国の社会経済的および政治的システムに圧力をかけるだろう。中国の奇跡は、他のアジアの奇跡と同様に、輸出製造により大量の貯蓄を生み出し、それを国家開発に再投資することを前提としていた。労働年齢人口の減少は経済発展と重なり、長期的には貯蓄率の低下をもたらすだろう。これはチャート 12に示されたように、二つの異なる中国の労働人口の図と国民貯蓄率を並べたものである。扶養比率が上昇するにつれて貯蓄率は低下し、再目的化に使える資金が減少する。資本コストは上昇し、経済構造改革は加速するだろう。 日本の場合、人口変化は1990年の金融危機と全国的な経済行動の変化と同時に起きた。貯蓄率は経済の変化とともに低下したが、生成された貯蓄は依然として投資を上回っており、これは民間需要の不足と大きな債務負担の圧力によるものであった。企業は投資と生産の拡大よりも債務圧縮に注力した（チャート 13）。これらは外部環境が良好だったときに起きたが、中国は地政学的緊張による経済的圧力が高まる文脈で同様の人口問題に直面している。 チャート 12 希少化する中国の労働者 中国の労働者が希少になりつつある 中国の労働者が希少になりつつある チャート 13 高貯蓄が債務拡大を可能にするが、やがて債務が圧倒する 高い貯蓄が借入拡大を促し、債務が耐え難くなるまで続く 高い貯蓄が借入拡大を促し、債務が耐え難くなるまで続く 中国はこれまで破滅的な金融危機や不動産価格の崩壊を回避しており、深刻な流動性の罠に陥る事態は避けている。中国当局は不動産バブルの危険を痛感しており、したがって金融の過剰を防ぎバブル的活動を抑制することに注力している。これが過度の引き締めリスクを重大なものにしている。しかしどちらか一方の誤りはデフレへの滑落を招き得る。習政権は活動が過度に減速したり金融の不安定性が手に負えなくなりそうな時は経済を刺激してきたが、これは難しいバランス行為であり、故に我々は過度引き締めリスクを綿密に監視している。 中国の国勢調査からのその他の注目点は以下の通りである： 二人っ子政策は現時点では成功していない。 COVID-19は出生率に悪影響を与えた可能性はあるが、タイミングの点で出生数を大きく歪めるほどではない。したがってトレンドはパンデミックだけで説明できない。 急速な都市化が続いており、都市化率は64%に達し、2010年から14ポイント上昇した。 政策議論は定年年齢の引き上げ、出産に対する財政的インセンティブの提供、子育てをより手頃にするための各種価格統制（特に不動産バブルの抑制）、および地方からの移住が続く中で中小都市の不動産価格が急落しないようにする措置を強調している。 中国の少数民族人口は総人口の9%を占め、過去10年で9%成長したのに対し、漢民族は91%で5%成長にとどまった。少数民族は一人っ子（二人っ子）政策の免除対象である。しかし、新疆のような自治区では民族間緊張が発生しており、中国の少数民族政策に対する国際的な監視が強まっている。 中国の人口動態上の課題は広く知られているが、最新の国勢調査はその規模を再確認させる。中国の潜在成長率は低下しており、上昇する扶養比率は政府に対する要求を強める社会変化を示している。より大きな財政・社会支出の必要は困難な経済的トレードオフと不人気な政治的決定を必要とするだろう。経済変化と人の移動は地域間および富の格差を深めるだろう。 これらすべての点は、我々の一貫したジオポリティカル・ストラテジーのメガテーマの一つを裏付けている：中国の国内政治リスクは過小評価されている。 まとめ：中国の2020年国勢調査は、中国の上昇する社会経済的・政治的課題の根底にある人口減少を強く裏付けるものである。中国は強力な中央政府を持ち、単一支配政党の下で権力が集約され、近年様々な課題を管理してきた実績はあるが、それでも現在進行中の変化の規模は圧倒的であり、ネガティブな経済的・政治的サプライズを招くだろう。 インド：州選はモディに対する転換点ではない インドで第2波のCOVID-19がピークにあった時期に、5州で選挙が行われた。中でも西ベンガル州の結果が最も重要だった。西ベンガルは大きな州であり、インド国会の議員のほぼ10分の1を占めている。ナレンドラ・モディ首相の与党バラティヤ・ジャナタ党（BJP）は294議席中約70%を獲得するとの目標を公言していた。 実際には、西ベンガルは地域政党であるオール・インディア・トリナムール会議（AITMC）の圧勝となった。AITMCは2期の反イナカム任期に直面していたにもかかわらず、議席数は過去最高を記録した。多くの予測を上回る結果であり、多くの世論調査が予想していなかったことが示された。 投資家はこの重要州でのBJPの敗北をどう受け止めるべきか。これはモディのパンデミック対応への反発か。2024年の総選挙で政権交代や国家政策の変更を予告するものか。そうとは言えない。ここで我々は三つの主要な示唆を挙げる： 示唆その1：BJPの成果は注目に値する チャート 14 インド：西ベンガルで足がかりを得たBJP 中国、過度な引き締めの瀬戸際 中国、過度な引き締めの瀬戸際 BJPは西ベンガルで目標には届かなかったが、この州はBJPの地盤ではない。BJPは英語で言えばヒンディー語圏で自然な支持基盤を持つとされ、西ベンガルは非ヒンディー語圏であり、伝統的にBJPは「外部勢力」と見なされてきた。またこの州は変化を受け入れにくいことで知られている。例えばAITMC以前は左派が34年という記録的な長期政権を維持していた。このような状況下で、BJPが2021年に77議席に増やしたことは注目に値する（2016年は3議席）（チャート 14）。 この成果によりBJPは西ベンガルで主要な野党となった。これはBJPが時間をかければ伝統的な強みを持たない州でも足場を築けることを示している。歴史的に弱い州でこの成果を上げたことは、BJPが依然として無視できない勢力であることの表れだ。 示唆その2：BJPの人気は後退したが、2024年に政権を維持する見込みは依然強い BJPに対する不満はCOVID-19対応の不手際とそれに伴う経済的困窮により高まっているが、国家レベルでBJPに代わる現実的な選択肢は存在しない。 最近の州選は、西ベンガルだけでなく、野党のインド国民会議（INC）がまだ体制を整えていないことを確認した。コングレスは西ベンガルで44議席から0議席に崩壊した。より重要なのは、コングレスが大衆にアピールする内部指導者を任命・選出する必要性と、識別可能な政策アジェンダを策定する必要性という二つの重要課題をまだ解決していない点である。 コングレスの弱さは、BJPの議席数が2019年のピークから減少する可能性があっても、我々の2024年のベースケースは依然としてBJP主導の政権がインドの政権を維持するというものであることを意味する。政策の継続性とある程度の構造改革の可能性がベースケースだ。 示唆その3：インドの地域政党の台頭 過去10年のBJPの台頭は、コングレスと地域政党の議席減少と同時に進んだ。しかし最近の州選は、BJPが地域政党の議席シェアを劇的に圧縮できないことを示している。例えば西ベンガルではBJPは単独で77議席を獲得したが、これはこの州で支配的なAITMCの犠牲になって得たものではない。一方、同月に選挙が行われた別の大州であるタミル・ナードゥでは二大地域政党の間で支配が揺れ続けている。 チャート 15 インド：BJPは2019年にピークを迎えたが2024年にも有力 中国は過度な引き締めの瀬戸際にある 中国は過度な引き締めの瀬戸際にある 2019年の総選挙では地域政党（BJPとコングレスを除く全党）のシェアは約40%から35%に低下した（チャート 15）。2024年の選挙では、BJPのピーク議席数が2019年の高水準から低下することにより、地域政党の議席シェアがやや上昇する可能性がある。 インドの地域政党の今後の台頭は単純な力学に根ざしている。BJPが2024年に二期目の現職となる可能性があるので、全国レベルでBJPに対する代替がない限り、有権者は差分的に地域政党を支持する選択をするだろう。 BJPは2024年に単独最大党として過半数を超える議席を獲得するポジションに留まるだろう。しかし与党が過半数を確保するために地域政党を取り込むシナリオも十分にあり得る。ただし2024年までは長い時間がある。COVID-19とその経済的影響への対応が、BJPが2019年の成果を超えることを難しくするだろう。次の重要な州選は2022年2月に予定されており、インド最大の州ウッタル・プラデーシュで選挙が行われる。ここでの結果は、BJPがパンデミックと経済ショックによる反イナカム効果をいかに緩和できるかを示すだろう。 結論：インドにおけるBJPの人気は揺らいでいるが劇的に崩れたわけではない。BJPは依然として2024年に過半数を超える単独最大政党になる位置にある可能性が高い。したがって当面この新興市場で政権不安は懸念されない。 中国の国内政治リスクとインドの政治的継続性を踏まえ、当面インド向けのトレードを維持する（チャート 16Aおよびチャート 16B）。ただし我々はインド全体のレビューを進めており、今後の特別レポートで顧客に結論を共有する予定である。 チャート 16A 新興国に対してインド債をロングで保有 インド債券を新興国（EM）に対してロングで維持する インド債券を新興国（EM）に対してロングで維持する チャート 16B インドロング／中国ショートを堅持 インドをロング、中国をショートで貫く インドをロング、中国をショートで貫く 投資上の示唆 短期的な安全資産トレードを維持する。天然ガス先物のロングは19.8%の利得でクローズ。 景気循環（12か月）の強気ポジションを維持し、グロースよりバリューを優先する。レアアースを含むコモディティおよび新興市場のロングを維持する。ただし、中国が我々のベンチマークに従って過度の引き締めを行った場合にはこれらのトレードをカットする準備をすること。 当面は新興国同業と比較してインドのローカル通貨建て債をオーバーウェイトし、インド株を中国株に対してロングする。だがインドに対する強気姿勢は精査中である。 チャート 17 テック売りの中で回復するサイバーセキュリティ株 サイバーセキュリティ株がテック株の暴落の中で反発 サイバーセキュリティ株がテック株の暴落の中で反発 サイバーセキュリティ株はロングで保有を継続すべきだが、地政学的「職場復帰」トレードとしてはサイバーよりも航空宇宙・防衛を引き続き好む。先週の一般的なテック売りの中でサイバーセキュリティ株はテックセクターに対して持ち直した。米国で発生した大規模なColonial Pipelineのランサムウェア攻撃は、東海岸の燃料供給の約45%を支える主要ネットワークを一時的に停止させた（チャート 17）。それでも重要インフラに対する攻撃はサイバーセキュリティが長期的なテーマであることを浮き彫りにしており、投資家はエクスポージャーを維持すべきである。サイバー株はワクチン発見以降、テック全体をアウトパフォームしている（チャート 18）。 チャート 18 サイバーセキュリティは構造的テーマである サイバーセキュリティは長期的なテーマである サイバーセキュリティは長期的なテーマである Matt Gertken バイスプレジデント 地政学ストラテジー mattg@bcaresearch.com Yushu Ma リサーチ・アソシエイト yushu.ma@bcaresearch.com Ritika Mankar, CFA 編集者／ストラテジスト Ritika.Mankar@bcaresearch.com

オーバーウェイト 流れに逆らってバイオテクノロジー株を買え 流れに逆らってバイオテクノロジー株を買え 先週の ストラテジー・レポート において、ヘルスケア領域内でいくつかの変更を行いました。具体的にはファーマをニュートラルに格下げし、バイオテック株をオーバーウェイトに引き上げたことで、S&Pのヘルスケア・セクターの配分がベンチマークを上回る水準となりました。この動きは当社のポートフォリオ全体のポジショニングに対するヘッジとなります。 バイオテック株に関しては、この高度に細分化された業界は統合（コンソリデーション）の対象として適していると考えています。大型株で構成されるS&P500のバイオテック指数でさえ、さらなるM&Aの余地があります。 業界内の合併に限らず、現金を潤沢に保有しパイプラインの拡充を強く望むビッグファーマが影に潜み、蓄えた現金を投入する準備を整えています。すでにミニM&Aブームが進行中であり、COVID-19ワクチン開発のレースにおける最近のバイオテック企業の成功例を受けて、これら企業は投資銀行の意思決定の場で高い注目を集めています（図参照）。 示唆されるのは、M&Aブームがさらに勢いを増すにつれて投資家が取得可能な株式の供給が実質的に減少し、結果として価格が上昇するという点です。 要点: 改めてS&Pのバイオテック指数をオーバーウェイトへ格上げしたことを再表明します。この指数の構成銘柄のティッカー・シンボルは次の通りです: BLBG: S5BIOTX– AMGN, ABBV, GILD, VRTX, REGN, ALXN, BIIB, INCY.​​​​​​​

Chart 1 Fourteen months ago we penned a report titled “20 Reasons To Buy Equities” and now that the SPX is up 2,000 points since that trough, the risk/reward tradeoff is to the downside and we are compelled to book gains and raise some cash. On May 3 we upgraded health care to overweight and added some defensive exposure to our portfolio and last week we highlighted five technical reasons not to chase equities higher in the near term. What follows are 10 reasons to lighten up on stocks and therefore await a better entry point to deploy fresh capital later this summer: 1. The Fed and other developed global central banks’ easing has reached a peak. In fact, taper has started at the BoC and the BoE announced a quasi-taper, the ECB is rumored to commence decreasing asset purchases this summer and the Fed will likely taper by yearend (Chart 1). 2. US fiscal easing has also hit an apex and a large fiscal cliff looms in 2022 a mid-term election year (Chart 2). 3. The bulls have taken full control of the equity market and our Risk Appetite Indicator recently touched the four standard deviations line (Chart 2). 4. The ISM manufacturing survey peaked near 65 and the non-manufacturing hit an all-time high (Chart 2). 5. China’s is in a slowdown mode and BCA’s total social financing projections indicate a further deceleration in the back half of the year (Chart 1). Chart 2 Chart 3 6. Equity market internals have been signaling trouble since February, warning that this bifurcated market is in desperate need of a breather (Chart 3). 7. The VIX in mid-April had a 15 handle for the first time since early last year, warning that investors are complacent (Chart 3). 8. Similarly, the junk bond option adjusted spread is at cyclical lows, and financial conditions are as good as they get probing all-time lows (Chart 2). 9. SPX profit growth is slated to jump 34% in calendar 2021, according to the latest I/B/E/S estimates with EPS on track to hit an all-time high level of $188 (Chart 3). 10. Finally, valuations remain lofty with the forward P/E ratio hovering near 22 an historically high level (Chart 3). Bottom Line: The easy money has been made since the March 23, 2020 trough when the SPX was 2,000 points lower. Our sense is that the next 10% move in the SPX is lower (close to 3,800) rather than higher and a healthy and much needed reset looms. Thus, we recommend investors book some gains, raise some dry powder and be prepared to deploy fresh capital later this summer.

Feature Chinese stocks remain in limbo despite robust economic data in April and early May (Chart 1).  Onshore equities are pricing in policy tightening risks and a peak in the domestic economic cycle. Meanwhile, a regulatory clampdown on the tech sector continues to curb global investors’ enthusiasm towards Chinese investable stocks.  The PBoC has not changed its course of policy normalization. The falling 3-month SHIBOR since March likely reflects softening demand for interbank liquidity rather than monetary easing (Chart 2). Chart 1Stay Underweight Chinese Stocks Chart 2No Easing In Monetary Policy Fiscal policy has also been consolidating with a renewed focus on reducing local government debt load and financial risks. A delay in local government bond issuance in Q1 could potentially boost bond sales in the second half of the year. However, as we noted late last month, without a synchronized policy push for more bank loans and loosened regulations on provincial government spending, an increase in special-purpose bond issuance alone will not make a significant difference in infrastructure investment nor economic growth. We still expect China's economy, which lags the credit cycle by six to nine months, to start weakening by mid-2021 (Chart 3A & 3B). Chart 3ADomestic Economic Growth Set To Slow Chart 3BPolicy Tightening Will Weigh On Earnings Growth In 2H21   Qingyun Xu, CFA Associate Editor qingyunx@bcaresearch.com   Our BCA Li Keqiang Leading Indicator continues to fall despite a marginal improvement in the Monetary Conditions Index (MCI) component. The deceleration in both money supply and credit growth has more than offset a small uptick in the MCI (Chart 4). Furthermore, a rising RMB in trade-weighted and real terms will not help the profit outlook for China’s exporters (Chart 5). Overall, monetary conditions remain unfavorable for risk assets. This is consistent with the poor performance of Chinese stocks Chart 4Falling Credit And Money Growth More Than Offset A Minor Improvement In The MCI Chart 5Strengthening RMB Will Not Help The Profit Outlook For Chinese Exporters   A sharp jump in state-owned enterprise (SOE) defaults since late last year is due to deteriorating corporate balance sheets. The defaults have exposed the weakened fiscal positions of local governments (Chart 6 & 7). SOE bond defaults have surpassed the number of private bond defaults this year. The more restrictive policy on local government financing, together with an acceleration in SOE defaults, will weigh on spending by local governments, local government financing vehicles (LGFVs) and SOEs.  Chart 6Returns On SOE Assets Remain In Deep Contraction Chart 7SOE Bond Defaults Have Surpassed Private Bond Defaults The Politburo meeting on April 30 established new guidelines to reduce local government leverage, both on- and off-balance sheet debt. According to the new rules, local governments are strictly prohibited from obtaining “hidden debts” for new investment projects directly or through their affiliated SOEs, which include LGFVs. The directives also state that the assets of LGFVs with defaulted loans should be restructured or liquidated if companies are unable to repay their debts. In addition, financial institutions should not accept government guarantees when making decisions on lending to LGFVs or government related entities.  Moreover, stricter measures in the property market have further dampened local governments’ fiscal situations since land sales account for 53% of local government fiscal revenues. Growth in government expenditures decelerated in recent months along with slowing land auctions (Chart 8). Scaled down fiscal supports will lead to subdued infrastructure investment growth this year (Chart 9). Chart 8Fiscal Stance Has Tightened Chart 9Subdued Growth In Infrastructure Investments   In addition to policy tightening in the domestic economy, Chinese offshore stocks continue to face regulatory headwinds to root out monopolies in technology, media, and telecom (TMT) companies. The antitrust investigations and fines extending from Alibaba and Tencent to Meituan highlight China’s aim to curb platform oligopolies and monopolies. Meanwhile, Chinese tech firms listed on US exchanges are facing another regulatory threat on their accounting reporting standards, which could potentially result in their delisting from the US bourses.  Moreover, elevated valuations and a weakening in the earnings outlook will generate more downside risks for TMT stocks (Chart 10). Given that TMT stocks account for around 50% of the MSCI China Index’s market capitalization, Chinese investable stocks are disproportionally vulnerable to a selloff in TMT stocks (Chart 11). Chart 10ATMT Stocks: From Tailwind To Headwind Chart 10BTMT Stocks: From Tailwind To Headwind Chart 11MSCI China Is Highly Concentrated In TMT Stocks   China’s official PMI and the Caixin China PMI moved in opposite directions in April due to the nature of the two surveys. The Caixin PMI covers smaller, more export-oriented businesses while the NBS Manufacturing PMI includes larger, more domestically exposed companies. The divergence highlights that the domestic economy is losing speed while external demand remains robust (Chart 12). Given the dominance of domestic demand in China’s economy (investment expenditures, household spending and government spending), strong external demand will not fully offset the deceleration in domestic growth.  New orders and production subcomponents in the official PMI moderated in April from March, which indicates a slowing momentum in economic activity (Chart 13). Moreover, construction PMI fell to 57.4 from 62.3 in March, corresponding with weaker infrastructure spending and more policy tightening in the real estate sector (Chart 13, bottom panel). Chart 12Conflicting Messages From The NBS And Caixin PMIs Chart 13Slowing Momentum In China's Economic Activity   The moderating momentum in China’s economy is also reflected in April’s trade data, which showed a strengthening external sector and a slowing domestic demand. A few observations support our view: First, strong imports since early this year were partly due to robust re-exports. Solid external demand boosted processing imports, which in turn contributed to China’s overall import growth (Chart 14). Secondly, Chinese imports of commodities in volume, such as copper and steel products, have plunged recently. Chinese domestic demand for commodities will likely peak in the coming months, therefore, inventory destocking pressures and weakness in underlying consumption will threaten commodities prices (Chart 15). Finally, the strengthening of coal imports in volume terms may be related to China’s increasingly stringent environmental policies. A temporary cutback in domestic coal supply boosted the demand for imports. However, in the long run, China’s push for green energy will be bearish for Chinese coal imports (Chart 16). Chart 14Solid External Demand Boosted Processing Imports Chart 15Demand Of Commodities May Be Approaching A Cyclical Peak Chart 16China's Coal Imports Likely To Decline In The Long Run   Housing prices in tier-one cities continue to post major gains despite a slew of tightening regulations in the property sector introduced since the second half of last year (Chart 17). The Politburo meeting last month reiterated authorities’ concerns over a bubble in housing. We expect authorities to impose additional regulations to constrain both financing supply and demand in the property sector. In the meantime, the existing policies have successfully started to cool the real estate market.  Chart 17Skyrocketing Housing Prices In First-Tier Cities Chart 18Real Estate And Mortgage Loans Tumbled Under More Restrictive Borrowing Regulations Both mortgage loans and loans to real estate developers tumbled under more restrictive borrowing policies (Chart 18). Growth in home sales has also started to roll over (Chart 19). Housing completed has dropped significantly, which confirms that construction activity is decelerating. Looking forward, the reduced expansion rate of new projects due to shrinking land transfers and stricter borrowing regulations will further dampen construction activities in the second half of this year (Chart 20).   Chart 19Home Sales Growth Started To Ease Chart 20Real Estate Investments Are Set To Slow Further Table 1China Macro Data Summary Table 2China Financial Market Performance Summary​​​​​​​   Footnotes Cyclical Investment Stance Equity Sector Recommendations

Dear client, Next Monday May 17,  instead of sending you a Strategy Report we will be hosting our quarterly webcast “From Alpha To Omega With Anastasios” at 10am EST with two special guests, addressing the recent market moves and discussing the US equity market outlook. Kind Regards, Anastasios   In this Monday’s Special Report, we attempted to quantify the border between deflation and inflation. We relied on empirical data and examined the relationship between core CPI inflation and equites. We found that the S&P 500 P/E multiple typically peaks when core CPI inflation reaches 2.3% and begins to decline once inflation climbs above 2.5% (see chart). The only adjustment we made to the 2.5% number was instead of looking at a specific inflection level, we turned it into a range of 2.3-2.7%. To confirm our 2.3-2.7% estimate, we also examined the relationship between core CPI inflation and fixed income, which can be found on page 3 of our most recent Special Report along with a discussion on select GICS1 level sector positioning during periods of “true” inflation, as opposed to reflation.

特別レポート

In the previous Tinkering With Inflation Special Report, we outlined our structural view for US inflation, namely that over the next 10 years inflation will surprise to the upside largely driven by politicians re-discovering the magic of fiscal spending. In today’s Special Report, we look at structural GICS1 sector-level implications for portfolio allocation courtesy of the looming inflationary flux, but with a major caveat. Over the years we have published numerous reports answering the question of “what to buy and what to sell” when inflation comes and goes. But, the key criticism is that our previous inflationary analysis included data from the current disinflationary era. In other words, the data was capturing the effects of reflation (i.e. inflationary spikes within the broader deflationary megatrend), rather than effects of the pure-play inflation (i.e. inflationary spikes within the broader inflationary trend). Up until recently, such analysis was well-fit for the macro environment investors were in, but given our structurally inflationary view, it pays to take a closer look at the relative GICS1 sector performance during “true” inflationary periods. The shaded areas in Chart 1 display five pure-play inflationary periods that we analyse in this Special Report. Importantly, we also treat the very first iteration with a big grain of salt as it was catalyzed by a one-off event: excessive Department of Defense (DoD) Vietnam War and Star War spending, which in turn skewed relative sector performance results (similarly to how relative sector performance during the recent pandemic-induced recession is not indicative of the typical recessionary sector performance). The Line In The Sand Before we proceed with our sectorial analysis, we must first distinguish between moves in core CPI that constitute deflation and inflation. We rely on empirical data and examine in detail the relationship between core CPI inflation, interest rates, and equites. Starting with equites, we find that the S&P 500 P/E multiple typically peaks when core CPI inflation reaches 2.3% and begins to decline once inflation climbs above 2.5% (Chart 2). At this level the market no longer finds the prospect of investing in long duration assets attractive. The investment horizon shortens as well as the multiple market participants are willing to pay for future earnings. The only adjustment we make to the 2.5% number is instead of looking at a specific inflection level, we turn it into a range of 2.3-2.7%. Chart 1True Inflationary Episodes Chart 2Inflation And The P/E Multiple Next, we bring fixed income into the picture and look at the correlation between SPX returns and changes in the 10-year US Treasury yield. The changes in this correlation help to distinguish between deflationary and inflationary environments due to different causality routes that exist from bonds to stocks, versus from stocks to bonds. A concrete example will help to clarify the point. When bond yields rise, they push stock prices down resulting into a negative causal correlation from yields to stocks. On the other hand, if stocks fall, then the central bank has to cut rates to protect the stock market, and in doing so it lowers yields. The end result is a positive causal correlation from stocks to yields. Negative correlation: yields rise ➜ DCF discount factor rises ➜ stocks fall Positive correlation: stocks fall ➜ central bank cuts rates ➜ yields fall Every central bank has to make the choice in which one of these two structural casual loops they operate as they can only protect one asset: either the bond market from inflation or the stock market from deflation. The choice of that key asset reveals the inflationary vs. deflationary regime. The bottom panel of Chart 3 illustrates this interplay. The top panel of Chart 3 also plots our 2.3%-2.7% inflation/deflation core CPI inflection range. Every time core CPI approached this critical range, the correlation between SPX returns and changes in the 10-year yield snapped to zero in preparation for a structural paradigm shift. This empirical exercise further illustrates that the 2.3-2.7% band in core CPI is the border between inflation and deflation. Chart 3The Border Line What follows is a select GICS1 sector return/positioning analysis during bouts of actual inflation. We also mainly focus on cyclical sectors since positioning within defensive GICS1 sectors is not driven by inflation, but instead it is dictated by global growth dynamics, which are beyond the scope of this Special Report.   Arseniy Urazov Senior Analyst ArseniyU@bcaresearch.com   Positioning For True Inflation: S&P Consumer Discretionary It is no secret that consumers don’t like CPI inflation as it erodes purchasing power via a multitude of channels. High interest rates that go toe to toe with inflation make big item purchases more challenging due to the higher cost of credit, hence weighing on end-demand for consumer discretionary stocks. Also, there is only so much cost pressures companies can pass onto the US consumer. The implication is that there comes a time when the entire S&P consumer discretionary sector is forced to sacrifice margins and profits. Chart 4 shows our consumer drag indicator that encapsulates both of these factors. Our thesis is that should true inflation return, the underperformance period is likely to be more severe compared with previous historical episodes (Chart 6). The reason for such a grim forecast has to do with the present-day sector composition. Following the inclusion of TSLA in this GICS1 sector, the combined exposure to AMZN and TSLA is 53% (Chart 5). Chart 4Inflationary Headwinds Chart 5Overconcentration Chart 6Inflation & Consumer Discretionary Equities Both of these companies are effectively a long duration trade, which disproportionately benefited from low rates via the multiple expansion channel. Should inflation return to the system and end the era of low rates, both TSLA and AMZN will fall out of investor’s favor and heavily weigh on the overall S&P consumer discretionary sector. Finally, the bottom panel of Chart 6 shows the impressive run consumer discretionary stocks had since the beginning of the millennium rising by over 100% in relative terms. The rise is also in sharp contrast to the performance from 1975 to 2000 when the sector was range bound. The implication is that should an inflation-induced normalization period take root, the risk/reward in the S&P consumer discretionary sector will lie to the downside. Bottom Line: The S&P consumer discretionary sector will underperform in an inflationary world. Positioning For True Inflation: S&P Financials Similar to their early cycle brethren consumer discretionary stocks, investors should shy away from financials when the inflation genie is out of the bottle. Outside of the anomaly Vietnam War/Moon Landing period, Chart 7 reveals that inflation is a major headwind for financials. Chart 7Inflation & Financials Equities There are several avenues through which it hurts the sector. The first one is the yield curve. When the Fed raises short term rates to combat inflation, it flattens the curve. The end result is that the yield curve is flatter during an inflationary era, meaning that the spread between borrowing and lending narrows for the banking sector and results in a net interest margins squeeze. As a result, profitability drops, and stock prices fall (Chart 7, bottom panel). Inflation also hurts S&P financials due to the mismatch between banks' assets and liabilities. A typical bank has longer maturity for its receipts stream than for its liabilities. Consequently, as inflation rises, it reduces the future net inflow because creditors demand higher interest rates, while the returns earned by the bank on its current loan book is mostly fixed by existing contracts. The net result is lower bank equity and subsequently lower stock prices. The example below adds more color to the argument. Table 1 shows a stylized example of a balance sheet for a commercial bank over the course of three years with the following assumptions: Table 1The Effect Of Inflation Inflation from Year 1 to Year 2 is 5%, but it increases from Year 2 to Year 3 to 10% The bank's contracts with creditors mature in 1 year, while loans mature in 2 years Reserve requirements against all deposits are 10% Nominal interest rates on loans stand at 5% Interest rates on deposits stand at 4.5% Cash account is ignored as it doesn’t affect qualitative results The bank starts in Year 1 and extends $1,000 worth of loans maturing in two years with a 5% rate and receives $1,000 worth of deposits that grow at 4.5% per year and mature next year. The bank also has 10% ($100) of its liabilities in reserves. The difference between assets and liabilities is the bank’s equity or market value, which is also $100. Next year, the bank receives $50 (5% of $1000) in income from the loans it extended in Year 1, but a portion of this income has to be moved to reserves as the value of deposits increased by $45 (4.5% of $1000). Thus, the final value of loans is $1050 minus ($45 times the 10% reserve requirement), which equals $1045.5. The bank’s nominal equity value also increased to $105, but when adjusted for inflation it remains the same as in Year 1. Now, expected inflation for Year 3 changes from 5% to 10%, and since deposits have matured, creditors renegotiate them at a new rate of 10%, while the loans that were issued in Year 1 remain contractually bind to the original 5%. Crunching the numbers for Year 3 using new interest rates reveals that both the nominal and real value of a bank’s equity decreased due to the maturity mismatch between its assets and liabilities. Of course, the bank could have extended new loans in Year 2 at the higher 10% rate, but it would have only reduced the drop in equity value, but not eliminated it, so for the sake of simplicity we ignored that option. What this exercise showed is the second avenue through which inflation weighs on banks, and by extension, financials equities. Bottom Line: It pays to shy away from the S&P financials sector during bouts of inflation. Positioning For True Inflation: S&P Energy The S&P energy index is a classic inflation beneficiary as true inflationary impulses are synonymous with oil price surges. Chart 8 highlights how this commodity-driven sector was quick to react to all six inflationary spurts, besting the market during each of them. Chart 8Inflation & Energy Equities Moreover, deglobalization is likely to provide a boost to relative energy prices over a multi-year time horizon as the number of proxy wars in South America and the Middle East will likely increase, undercutting global oil supply. Hence, the geopolitical risk premia in crude oil will also rise boosting the allure of energy stocks. Finally, for investors who are choosing between energy and materials equites to express their near-term inflationary view, we would recommend sticking to the S&P Energy index in light of our unfolding China slowing down view. Chart 9 also depicts how China's dominance in the materials market is nearly absolute compared to the one in energy space. Hence, materials equities are more sensitive to the China weakness story, and investors should at the margin prefer energy equities over materials. Stay tuned for an upcoming report that will explore this idea in greater depth and recommend a new intra-commodity complex pair trade. Bottom Line: The S&P energy sector will outperform the market should deflation recede. Chart 9China And Commodities   Positioning For True Inflation: S&P Industrials The S&P industrials sector is located in the middle of the economic value chain and thus it has diminishing power to pass on inflationary cost increases especially energy related ones. At the same time, capital goods producers have other corporations as their end-demand user, which means that they suffer less from inflation than sectors at the far end of the value chain like consumer discretionary. Chart 10 shows how relative performance of the S&P industrials sector is “neither here nor there” when examining inflationary spikes. Chart 10Inflation & Industrials Equities However, taking a closer look, we do note a shorter-term pattern that unfolds within every inflationary period. The S&P industrials index outperforms in the early stages of an inflationary spike, but then gives up its gains as inflation re-accelerates. There is an intuitive explanation for this dynamic. As deflation recedes giving way to inflation, industrial stocks are able to pass on the initial price increases to their customers thus preserving margins and profits. But as inflation persists, the fact that industrials companies are located in the middle of the economic value chain becomes a headwind as they are no longer able to pass on costs increases, which in turn gets reflected in falling relative stock prices. Bottom Line: Keep the S&P industrials index in the overweight basket early on into an inflationary spike, but do not overstay your welcome as inflation endures. Positioning For True Inflation: S&P Materials Typically, inflationary pressures first manifest themselves in higher raw material costs as rising demand from increased economic growth outpaces supply, benefiting materials equities. At the same time, the fact that materials stocks are the first link in the economic value chain allows them to efficiently pass on price increases, whereas other sectors at the end of the value chain like S&P consumer discretionary typically have the hardest time doing so (Chart 11). Chart 11Inflation & Materials Equities The current deflationary environment has proven rocky for the S&P materials sector as it sits at the second lowest level in history following the dotcom-formed “Mariana Trench”. Should our forecast for an inflationary revival prove accurate, materials producers will be prime beneficiaries with ample upside potential. The mean relative share price ratio during the previous inflationary cycle (1960-1996) is 0.25. Today, materials are sitting at the 0.12 mark, which makes a 100%+ rise a reasonable structural forecast. Bottom Line: Materials are a secular buy in an inflationary world. Positioning For True Inflation: S&P Technology On the surface, the S&P technology sector appears to be a textbook candidate to short during inflation, but empirical data disagrees with the theory. The top panel of Chart 12 shows that there have only been two clean periods when tech underperformed during true inflationary periods (1974-1976 and 1987-1990). On the other hand, in 1977 – the year that had a very significant inflationary spike – technology stocks managed to outpace the broad market by a wide margin. Chart 12Inflation & Technology Equities The reason for such inconsistent performance is due to the fact that the sector is sensitive to two opposing forces: multiple contraction and real economic growth. It is well-know that currently technology stocks represent the longest duration sector within the S&P 500, but they also enjoy inelastic demand profile. In other words, corporations cannot put their guard down and fully trim CAPEX and R&D expenses even during recessions because if they do, their competition will steam roll ahead. The same holds for the consumer sector. While some tech gadgets are luxury goods, consumers cannot simply postpone their PC, phone, and software related expenses as those are necessity goods. In short, the S&P technology index is not a pure-play cyclical sector as inelastic demand profile for its goods from other economic agents gives the sector some inflation-proof properties. Given that the upcoming inflationary impulse will be fiscal-driven, we would not rush to put tech stocks in the underweight basket. Instead, we opt to stick with a neutral allocation to underscore this tug of war effect between the two forces. Bottom Line: Relative technology performance in an inflationary world will depend on whether real economic growth can compensate for multiple contraction. Stick with a benchmark allocation. So What? In this Special Report we examined how investors should be positioned for true inflation rather than reflation. Some of the key differences are the following: financials switch from being a buy during reflation to a sell during true inflation, industrials are flat when looking at the entire inflationary spike, but they outperform in the early innings and underperform in the later stages of inflation, and finally technology is not a clear underperformer as this sector is caught between two opposing forces. Now circling back to our structural inflationary view, while it will take time for the current deflationary megatrend to make a full U-turn, the incoming post-recessionary spike driven by fiscal spending and heating up of the US economy will make for the right environment to test whether last century’s inflationary correlations will still hold. Our portfolio is appropriately positioned to test this hypothesis with an overweight toward inflationary winners and a neutral weight in inflationary losers (Table 2). As a reminder we have the S&P financials sector on downgrade alert. Table 2Current Portfolio Positioning For completion purposes, Chart A1 in the Appendix on the next page also provides historical performance for defensive GICS1 sectors during true inflationary periods. Bottom Line: Investors should overweight true inflationary winners as the incoming CPI flux will unlock excellent value in those sectors.   Appendix Chart A1Appendix         Footnotes  

This Monday we closed both our cyclical and high-conviction S&P pharmaceuticals underweights for a combined gain of 23%, since inception. We did not wish to overstay our welcome in this defensive industry as not only is the bearish story well-known and fully reflected in bombed out technicals (bottom panel) and valuations (not shown), but our short-term cautious outlook is also forcing us to add some defensive exposure to our portfolio. Encouragingly, our macro EPS growth models signal that pharma profits have a strong pulse and will outshine the overall market in the coming year, meaning that an underweight stance is no longer warranted and instead investors should augment exposure back up to a benchmark allocation (middle panel). Bottom Line: We crystalized 23% in combined gains (cyclical and high-conviction list) in the S&P pharma index and lifted exposure to neutral. The ticker symbols for the stocks in this index are: BLBG: S5PHARX– JNJ, PFE, MRK, LLY, BMY, ZTS, CTLT, VTRS, PRGO. Please refer to this past Monday’s Strategy Report for additional details. ​​​​​​​