固定収入

Highlights On a tactical horizon, underweight bonds versus cash, especially those bonds with deeply negative yields… …and underweight bonds versus equities. On a strategic horizon, remain overweight a 50:50 combination of U.S. T-bonds and Italian BTPs versus a 50:50 combination of German Bunds and Spanish Bonos, at either 10-year or 30-year bond maturities. Investors could also play the component pairs: overweight U.S. T-bonds versus German bunds; and overweight Italian BTPs versus Spanish Bonos. New recommendation: switch Japanese yen long exposure into Swedish krona long exposure. Fractal trade: long SEK/JPY. Feature Chart of the WeekSwiss Bond Yields Have Found It Difficult To Go Down, But Easy To Go Up! Anybody who has dared to bet that JGB yields would rise has ended up being carried out of their job, feet first. Shorting Japanese government bonds (JGBs) is known as the widow maker trade. Over the past 20 years, any investment manager who has dared to bet that JGB yields would rise – whether starting from 2 percent, 1 percent, or even 0.5 percent – has ended up being carried out of their job in a box, feet first. Today, the Bank of Japan’s policy of ‘yield curve control’ means that JGB yields are constrained within a tight range around zero, limiting their immediate scope to break higher. The European equivalent of the widow maker trade has been to short Swiss government bonds. Just as with JGB’s during the past two decades, anybody who has dared to bet that Swiss government bond yields would rise – whether starting from 2 percent, 1 percent, or 0.5 percent – has been proved fatally wrong (Chart I-2). Chart I-2Widow Makers: Shorting Japanese And Swiss Bonds That is, until this year, when Swiss government bond yields reached -1 percent. The Lower Bound To Bond Yields Is Around -1 Percent According to several senior central bankers who have spoken to us, the practical lower bound to the policy interest rate is -1 percent, because “-1 percent counterbalances the storage cost of holding physical cash and/or other stores of value”. They argue that if bank deposit rates were to fall much below -1 percent, it would be logical for bank depositors to flee wholesale into physical cash, and such a deposit flight would destroy the banking system.1 Still, couldn’t central banks just abolish physical cash, forcing us all into ‘digital cash’ with unlimited negative interest rates? No, because that would just push us into other stores of value: for example, gold, or the rapidly growing ‘decentralised’ cryptocurrency asset-class. The common counterargument is that cryptocurrencies’ volatility makes them a poor store of value. But that is also true for gold: during a few months in 2013, gold lost one third of its value (Chart I-3). Yet who has ever argued that gold cannot be a store of value just because its price is volatile! Chart I-3Gold Is A Store Of Value ##br## Despite Its Volatility The practical lower bound to the policy interest rate is around -1 percent because the central bank policy rate establishes the banking system’s funding rate – for example, the Eonia rate in the euro area (Chart I-4). If the funding rate fell well below the rate that the banks were paying on deposits, the banking system would come under severe strain and ultimately go bust. The lower bound of the policy rate also sets the lower bound of the bond yield, because a bond yield is just the expected average policy rate over the bond’s lifetime. Chart I-4The Policy Interest Rate Establishes The Banking System's Funding Rate There is one important exception. If bond investors price in the possibility of being repaid in a different and more valuable currency, the bond yield will carry a further redenomination discount as an offset for the potential currency gain. This is relevant to euro area bonds because there remains the remote possibility of euro disintegration. Bonds which would expect to see a currency redenomination gain – notably, German bunds – therefore carry an additional discount on their yields. But for bonds where no currency redenomination is possible, the practical lower bound to bond yields is around -1 percent. Overweight High Yielding Bonds Versus Low Yielding Bonds To state the obvious, the closer that a bond yield gets to the -1 percent lower bound, the more limited becomes the possibility for a further yield decline (capital gain), while the possibility for a yield increase (capital loss) stays unlimited. This unattractive lack of upside combined with plenty of potential downside is called negative skew or negative asymmetry. It follows that, close to the lower bound of yields, the cyclicality or ‘beta’ of bond prices also becomes asymmetric. In risk-off phases, the bond prices cannot rally; while in risk-on phases, bond prices can plummet. Making such bonds a ‘lose-lose’ proposition. Case in point: Swiss bond yields have found it difficult to go down this year, but very easy to go up (Chart of the Week). Because their yields were already so close to -1 percent, Swiss bond yields could not decline much during the bond market’s recent strong rally – meaning, Swiss bond prices were very low beta on the way up. But in the recent reversal, Swiss bond yields have risen much more than others – meaning, Swiss bond prices are high beta on the way down (Chart I-5).   Chart I-5Swiss Bond Prices Are Low Beta Going Up, But High Beta Going Down Does this mean the widow maker trade can finally work? Yes, but only on a tactical horizon. For the full rationale, which we will not repeat here, please see Growth To Rebound In The Fourth Quarter, But Fade In 2020. However in summary, expect bond yields to edge modestly higher, and especially those yields that are deeply in negative territory. Also on a tactical horizon, prefer equities over bonds.  On a longer term horizon, a much safer way to play the asymmetric beta is to short low yielding bonds in relative terms. In other words, overweight high yielding bonds versus low yielding bonds.2 Close to the lower bound of yields, the cyclicality or ‘beta’ of bond prices becomes asymmetric. Our strategic recommendation is to overweight a 50:50 combination of U.S. T-bonds and Italian BTPs versus a 50:50 combination of German Bunds and Spanish Bonos, at either 10-year or 30-year bond maturities. Since initiation five months ago, the recommendation at the 30-year maturity is already up by almost 7 percent. Nevertheless, it has a lot further to go (Chart I-6). Investors could also play the component pairs: overweight U.S. T-bonds versus German bunds; and overweight Italian BTPs versus Spanish Bonos (Chart I-7 and Chart I-8), but the combined two bonds versus two bonds recommendation has better return to risk characteristics. Chart I-6Expect High Yielding Bonds To Outperform Low Yielding Bonds Chart I-7Expect Yield Spread Convergence At 10-Year Maturities... Chart I-8...And At 30-Year ##br##Maturities Switch Into The Swedish Krona   Bond yield spreads are also an important driver of currency moves. The currency corollary of overweighting high yielding versus low yielding bonds is to tilt towards low yielding currencies, because these are the currencies that have the most scope for substantial upside. Our favourite low yielding currency has been the Japanese yen, and this has worked very well. Since early 2018, the yen has been the strongest major currency, and is up 16 percent versus the euro. But our favourite currency is now changing to the Swedish krona, for three reasons: The SEK is depressed from a valuation perspective. For example, it is the only major currencies that is weaker than the GBP compared to before the Brexit vote in 2016 (Chart I-9). Chart I-9The Swedish Krona Has Underperformed The Pound Despite Brexit Unlike other major central banks, the Riksbank is seeking to normalise the policy rate upwards. The SEK is technically oversold on its 130-day fractal dimension, signalling over-pessimism in the price (Chart I-10), while the JPY is showing the opposite tendency. Chart I-10The Swedish Krona Is Due A Countertrend Move Bottom Line: switch Japanese yen long exposure into Swedish krona long exposure. Fractal Trading System* (Chart 1-11) As just discussed, this week's recommended trade is long SEK/JPY. Set the profit target at 1.5 percent with a symmetrical stop-loss. In other trades, long NZD/JPY has started off very well and long Spain versus Belgium achieved its 3.5 percent profit target, at which it was closed, leaving five open positions. For any investment, excessive trend following and groupthink can reach a natural point of instability, at which point the established trend is highly likely to break down with or without an external catalyst. An early warning sign is the investment’s fractal dimension approaching its natural lower bound. Encouragingly, this trigger has consistently identified countertrend moves of various magnitudes across all asset classes. Chart I-11 The post-June 9, 2016 fractal trading model rules are: When the fractal dimension approaches the lower limit after an investment has been in an established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore, open a countertrend position. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetrical stop-loss. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks. Use the position size multiple to control risk. The position size will be smaller for more risky positions. For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated December 11, 2014, available at eis.bcaresearch.com.   Dhaval Joshi Chief European  Investment Strategist dhaval@bcaresearch.com Footnotes 1 The cost of holding physical cash is the cost of its safe storage. 2 Please see the European Investment Strategy Weekly Report ‘Growth To Rebound In The Fourth Quarter, But Fade In 2020’, October 3, 2019 available at eis.bcaresearch.com. Fractal Trading Model Cyclical Recommendations Structural Recommendations Fractal Trades Trades Closed Trades Asset Performance Currency & Bond Equity Sector Country Equity Indicators Bond Yields Chart II-1Indicators To Watch - Bond Yields Chart II-2Indicators To Watch - Bond Yields Chart II-3Indicators To Watch - Bond Yields Chart II-4Indicators To Watch - Bond Yields   Interest Rate Chart II-5Indicators To Watch - Interest Rate Expectations Chart II-6Indicators To Watch - Interest Rate Expectations Chart II-7Indicators To Watch - Interest Rate Expectations Chart II-8Indicators To Watch - Interest Rate Expectations  

Highlights Shifting Trends: The factors that have driven bond yields lower throughout 2019 – slowing growth, rising uncertainty, demand for safe assets and dovish monetary policy expectations – have all started to turn in a more bond-bearish direction. Duration & Country Allocation Strategy: Maintain a moderate below-benchmark stance on aggregate bond portfolio duration. Favor lower-beta countries with central banks that are more likely to stay relatively dovish as global yields drift higher, like core Europe, Australia and Japan. Credit Allocation Strategy: Stay overweight corporate bonds versus government debt in the U.S. and Europe, both for investment grade and high-yield. Maintain just a neutral stance on EM USD-denominated spread product, but look to upgrade if global growth improves further and the USD begins to weaken. Feature Chart of the WeekBond Yields Sniffing A Turn In Global Growth? It has been fifty days (and counting) since the 2019 low for the benchmark 10-year U.S. Treasury yield was reached on September 3. The year-to-date low for the benchmark 10-year German bund yield was seen six days before that on August 28. Yields have risen by a healthy amount since those dates, up +34bps and +37bps for the 10yr Treasury and Bund, respectively. This has occurred despite the significant degree of bond-bullish pessimism on global growth and inflation that can be found in financial media reporting and investor surveys. The fact that yields are now steadily moving away from the lows suggests that the 2019 narrative for financial markets – slowing global growth, triggered by political uncertainty and the lagged impact of previous Fed monetary tightening and China credit tightening, forcing central banks to turn increasingly more dovish – is no longer correct. If that is true, yields have more near-term upside as overbought government bond markets begin to “sniff out” a bottoming out of global growth momentum (Chart of the Week). In this Weekly Report, we take a look at the changing state of the factors that fueled the sharp decline in bond yields in 2019. We follow that up with a review of all our current recommended investment positions on duration, country allocation and spread product allocations in light of recent developments. We conclude that maintaining a below-benchmark duration exposure, while favoring lower-beta countries in sovereign debt and overweighting corporate debt in the U.S. and Europe, is the most appropriate fixed income strategy for the next 6-12 months. The timing of the bottoming of yields in the major developed markets (DM) should not be surprising, given the more bond-bearish turn of reliable leading directional yield indicators. Yields Are Rising At The Right Time, For The Right Reasons Chart 2Bond-Bullish Growth & Inflation Factors Are Turning The timing of the bottoming of yields in the major developed markets (DM) should not be surprising, given the more bond-bearish turn of reliable leading directional yield indicators. The diffusion index of our global leading economic indicator (LEI), which leads the real (ex-inflation expectations) component of DM bond yields by twelve months, is at an elevated level (Chart 2). At the same time, the slowing of the annual rate of growth in the trade-weighted U.S. dollar, which leads 10-year DM CPI swap rates by around six months, is signaling that bond yields have room to increase from the inflation expectations side. Finally, the rising trend of positive data surprises for the major DM countries is also pointing to higher yields. Breaking it down at the country level, the pickup in DM 10-year bond yields since the 2019 lows has been widespread (Charts 3 & 4). The range of yield increases is as low as +16bps in Japan, where the Bank of Japan (BoJ) is pursuing a yield target, to +46bps in Canada where the economy and inflation are both accelerating. Chart 3Pricing Out Some Expected Rate Cuts … Chart 4… Across All Developed Markets The increase in yields has also occurred alongside reduced expectations for easier monetary policy. Our 12-month discounters, which measure the expected change in short-term interest rates priced into Overnight Index Swap (OIS) curves, show that markets have partially priced out some (but not all) expected rate cuts in all major DM countries. The Three Things That Have Changed For Global Bond Markets So what has changed to trigger a reduction in rate cut expectations and an increase in global yields? The bond-bullish narrative that we refer to in the title of this report can be broken down into the following three elements, which have all turned recently: Slowing global growth (now potentially bottoming) Chart 5Global Growth Bottoming Out Current global growth is still trending lower, when looking at measures like manufacturing PMIs or sentiment surveys like the global ZEW index. Forward-looking measures like our global LEI, however, have been moving higher in recent months, suggesting that a bottom in the PMIs may soon unfold (Chart 5). We investigated that improvement in our global LEI in a recent report and concluded that the move higher was focused almost exclusively within the emerging market (EM) sub-components that are most sensitive to improving global growth.1 This fits with the improvement shown in the OECD LEI for China, a bottoming of the annual growth rate of world exports, and the general acceleration of global equity markets – the classic leading economic indicator. Rising political uncertainty (now potentially fading) The U.S.-China trade war (including the implications for the upcoming 2020 U.S. presidential election) and the U.K. Brexit saga have been the main sources of bond-bullish political uncertainty over the past several months. Yet recent developments have helped reduce the odds of the most negative tail risk outcomes, providing a bit of a boost to global bond yields. The U.S. and China have agreed (in principle) to a “phase one” trade deal that, at a minimum, lowers the chances of a further escalation of the trade dispute through higher tariffs. Meanwhile, the momentum has shifted towards a potential final Brexit agreement between the U.K. and European Union that can avoid an ugly no-deal outcome. Our colleagues at BCA Research Geopolitical Strategy believe that developments are likely to continue moving away from the worst-case scenarios, given the constraints faced by policymakers.2 U.S. President Donald Trump is now in full campaign mode for the 2020 elections and needs a deal (of any kind) to deflect criticism that his trade battle with China is dragging the U.S. economy into recession. Already, there has been a sharp decline in income growth for workers in swing states that could vote for either party’s candidate in next year’s election (Chart 6). Trump cannot afford to lose voters in those states, many of which are in the U.S. industrial heartland (i.e. Ohio, Michigan) that helped put him in the White House. In other words, he is highly incentivized to turn down the heat on the trade war or else face a potential loss next November. While these political uncertainties have not been fully resolved by these latest developments, the shift in momentum away from worst-case scenarios has likely been enough to reduce the safe-haven bid for DM government bonds, helping push yields higher. Meanwhile, China is facing a slowing economy and rising unemployment, but with reduced means to fight the downtrend given high private sector debt that has impaired the typical response between easier monetary conditions and economic activity (Chart 7). While the Chinese government does not want to be seen as caving in to U.S. pressure on trade policy, its desire to maintain social stability by preventing a further rise in unemployment from the trade war provides a powerful incentive to try and ratchet down tensions with the U.S. Chart 6Political Reasons For Trump To Retreat On Trade In the U.K., a no-deal Brexit is an economically painful and politically unpopular outcome that would severely damage the re-election chances of Prime Minister Boris Johnson and his Conservative party. Thus, even a hard-line Brexiteer like Johnson must respond to the political constraints forcing him to try and get a Brexit deal done (Chart 8). Chart 7Economic Reasons For China To Retreat On Trade Chart 8Political Reasons To Retreat On A No-Deal Brexit While these political uncertainties have not been fully resolved by these latest developments, the shift in momentum away from worst-case scenarios has likely been enough to reduce the safe-haven bid for DM government bonds, helping push yields higher. Bull-flattening pressure on yield curves (now turning into moderate bear-steepening) The final leg down in bond yields in August had a technical aspect to it, fueled by the demand for duration and convexity from asset-liability managers like European pension funds and insurance companies. Falling yields act to raise the value of liabilities for that group of investors, forcing them to rapidly increase the duration of their assets to match the duration of their liabilities (the technique used to limit the gap between the value of assets and liabilities). That duration increase is carried out by buying government bonds with longer maturities (and higher convexity), but also through the use of interest rate derivatives like long maturity swaps and swaptions. The end result is a bull flattening of yield curves (both for government bonds and swaps) and a rise in swaption volatility (i.e. the price of swaptions). Those dynamics were clearly in play in August after the shocking imposition of fresh U.S. tariffs on Chinese imports early in the month. Bond and swaption volatilities spiked, and bond/swap yield curves bull-flattened, in both Europe and the U.S. (Chart 9). That effect only lasted a few weeks, however, and volatilities have since declined and curves have steepened. This suggests that the “convexity-buying” effect has run its course and is now starting to work in the opposite direction, with asset-liability managers looking to reduce the duration of their assets as higher yields lower the value of their liabilities. This is putting some upward pressure on longer-maturity global bond yields. Chart 9Signs Of Reduced Convexity-Related Bond Buying Chart 10Bull-Flattening Yield Curve Pressures Easing Up A Bit Chart 11Fed & ECB Actions Should Help Steepen Up Curves The steepening seen so far must be put in context, however, as yield curves remain very flat across the DM world (Chart 10). Term premia on longer-term bonds remain very depressed, although those should start to increase as global growth stabilizes and the massive safe-haven demand for global government debt begins to dissipate. Some pickup in inflation expectations would also help impart additional bear-steepening momentum to yield curves – a more likely result now that the Fed and ECB have both cut interest rates and, more importantly, will start provide additional monetary easing by expanding their balance sheets (Chart 11). Bottom Line: The factors that have driven bond yields lower throughout 2019 – slowing growth, rising uncertainty, demand for safe assets and dovish monetary policy expectations – have all started to turn in a more bond-bearish direction. Reviewing Our Recommended Bond Allocations In light of these shifting global trends described above, the fixed income investment implications are fairly straightforward: Yields are rising around the world, suggesting that the current move is a shift higher driven by non-country-specific factors like more stable future global growth prospects. Duration: A moderate below-benchmark overall duration stance is warranted for global fixed income portfolios, with yields likely to continue drifting higher over at least the next six months. A big surge in yields is unlikely, as central banks will need to see decisive evidence that global growth is not only bottoming, but accelerating, before shifting away from the current dovish bias. Given the reporting lags in the economic data, such evidence is unlikely to appear until the first quarter of 2020 at the earliest. Yet given how flat yield curves are across the DM government bond markets, the trajectory of forward rates is quite stable relative to spot yield levels, making it much easier to beat the forwards by positioning for even a modest yield increase. Country Allocation: Yields are rising around the world, suggesting that the current move is a shift higher driven by non-country-specific factors like more stable future global growth prospects. In that case, using yield betas to the “global” bond yield is a good way to consider country allocation decisions within a fixed income portfolio. We looked at those yield betas in an August report, using Bloomberg Barclays government bond index data for the 7-10 year maturity buckets of individual countries and the Global Treasury aggregate (Chart 12).3 The rolling 3-year betas were highest in the U.S. and Canada, making them good countries to underweight within a global government bond portfolio in a rising yield environment. The yield betas were lowest in Japan, Germany and Australia, making them good overweight candidates. The U.K. was a unique case of having a relatively high historical yield beta prior to the 2016 Brexit referendum and a lower yield beta since then - making the U.K. allocation highly conditional on the resolution of the Brexit uncertainty. Spread Product Allocation: The backdrop described in this report, where global growth is bottoming out but where central banks maintain a dovish bias, is a perfect sweet spot for global spread product like corporate bonds and Peripheral European government debt. Thus, an overweight stance on overall global spread product versus governments is warranted. The backdrop described in this report, where global growth is bottoming out but where central banks maintain a dovish bias, is a perfect sweet spot for global spread product like corporate bonds and Peripheral European government debt. With regards to our current strategic fixed income recommendations and model bond portfolio allocations, we already have much of the positioning described above in place. We are below-benchmark on overall duration, underweight higher-beta U.S. Treasuries; overweight government bonds in lower-beta Germany, France, Japan and Australia (Chart 13); overweight investment grade corporate bonds in the U.S., euro area and U.K.; and overweight high-yield corporate bonds in the U.S. and euro area. Chart 12Favor Lower-Beta Government Bond Markets There are areas where our positioning could change, however. Chart 13Lower-Beta Laggards Should Start To Outperform In terms of government bonds, we are currently overweight the U.K. and neutral Canada. A final Brexit deal would justify a downgrade of Gilts to at least neutral, if not underweight, as the Bank of England has signaled that rate hikes would be justified if the Brexit uncertainty was resolved. A downgrade of higher-beta Canadian government debt to underweight could also be justified, although the Bank of Canada is not signaling that a change in monetary policy (in either direction) is warranted. For now, we will hold off on any change to our U.K. stance, as it is now likely that there will be another extension of the Brexit deadline beyond October 31. As for Canada, we remain neutral for now but will revisit that stance in an upcoming Weekly Report. With regards to spread product, we are only neutral EM USD-denominated sovereign and corporate debt, as well as Spanish sovereign bonds; and underweight Italian government debt. An EM upgrade to overweight would require two things that are not yet in place: a weaker U.S. dollar and accelerating Chinese economic growth. Chart 14Stay Overweight Corporates In The U.S. & Europe As for Peripheral governments, we have preferred to be overweight European corporate debt relative to sovereign bonds in Italy and Spain. The recent powerful rally in the Periphery, however, has driven the spreads over German bunds in those countries down to levels in line with corporate credit spreads (Chart 14). We will maintain these allocations for now, but will investigate the relative value proposition between euro area Peripheral sovereigns and corporates in an upcoming report. Bottom Line: Maintain a moderate below-benchmark stance on aggregate bond portfolio duration. Favor lower-beta countries with central banks that are more likely to stay relatively dovish as global yields drift higher, like core Europe, Australia and Japan. Stay overweight corporate bonds versus government debt in the U.S. and Europe, both for investment grade and high-yield. Maintain just a neutral stance on EM USD-denominated spread product, but look to upgrade if global growth improves further and the USD begins to weaken. Robert Robis, CFA Chief Fixed Income Strategist rrobis@bcaresearch.com   Footnotes 1 Please see BCA Research Global Fixed Income Strategy Weekly Report, “What Is Driving The Improvement In The BCA Global Leading Economic Indicator?”, dated October 2, 2019, available at gfis.bcaresearch.com. 2 Please see BCA Research Geopolitical Strategy Weekly Report, “Five Constraints For The Fourth Quarter”, dated October 11, 2019, available at gps.bcaresearch.com. 3 Please see BCA Research U.S. Bond Strategy/Global Fixed Income Strategy Weekly Report, “Where’s The Positive Carry In Bond Markets?", dated August 20, 2019, available at usbs.bcaresearch.com and gfis.bcaresearch.com. Recommendations The GFIS Recommended Portfolio Vs. The Custom Benchmark Index Duration Regional Allocation Spread Product Tactical Trades Yields & Returns Global Bond Yields Historical Returns

ハイライト デュレーション: 貿易に関する不確実性が調査による経済センチメント指標を押し下げている一方で、実体経済のハードデータは比較的堅調である。今後2か月の間に貿易戦争が落ち着き始めると見込んでいるため、調査データは反発し、債券利回りは上昇するだろう。 フェド: インフレ期待が低い状況では、フェドは金融環境を緩和的に維持し、景気回復が順調に進むことを確保しなければならない。これは、フェドが市場の期待に応じて来週利下げを行うことを意味する。その先については、成長が十分に改善するため、さらなる利下げは不要になると予想している。 ネガティブ・コンベクシティ: 今年の大幅な利回り低下は、リスク調整後の観点でネガティブ・コンベクシティ資産の魅力を高めた。投資家はインベストメント・グレードよりもハイイールドを優先すべきである。また、Aaa、Aa、A 格の社債よりもエージェンシーMBSを優先すべきである。 特集 チャート 1 ハードデータがもたらすポジティブなサプライズ Positive Surprises Driven By The Hard Data Positive Surprises Driven By The Hard Data 今後2か月は米国経済にとって重要である。企業側と消費者側の両方で示されるセンチメント指標は景気後退を示すシグナルを発している。しかし、実際の経済活動を示す指標はより穏やかな状況を描いている（チャート 1）。この「ハード」データと「ソフト」データの乖離は、今後数か月以内に解消される可能性が高く、その解消の方向性は米中貿易交渉の結果が大きく左右するだろう。 「ハード」と「ソフト」データについて 最近は投資家向けに大量の経済データが公開されているが、これらは一般的に「ソフト」か「ハード」のいずれかに分類できる。着工件数や小売売上高のような実際の経済活動を測る指標を我々は「ハード」データと呼ぶ。これらは国のGDP算出に使われる種類の指標である。一方、企業や消費者に対して活動が改善しているか悪化しているか、将来に対してより楽観的か悲観的かを尋ねる調査指標を「ソフト」データと呼ぶ。PMI調査や消費者信頼感の指標などがソフトデータの例である。 どちらの種類の指標も価値がある。ソフトデータは通常タイムリーであり、ハードデータより先行することが多い。しかし、その分フリップフロップ（振れ）を起こしやすい。ハードデータはより信頼性が高い傾向にあるが、実行可能な先行時間を必ずしも提供するとは限らない。 ソフトデータとハードデータは全く異なるシグナルを発している。 現時点では、ソフトデータとハードデータは非常に異なるシグナルを発している。消費者側では、コア小売売上高は堅調に前年同期比4.8%のペースで拡大しているが、消費者信頼感は過去1年で低下している（チャート 2）。 企業側では、ISM製造業PMIは9月に47.8と、2009年以来の最低水準に達した。しかし鉱工業生産は過去1年でわずか0.1%の減少にとどまっている。鉱工業生産の成長は2015/16期にISMがより高い水準にあった際に-4%まで低下したことがある（チャート 3）。同様に、コア耐久財受注の実績はほとんど縮小していない一方で、CEOの信頼感は景気後退水準にある（チャート 3、パネル2）。稼働率も2016年の底を大きく上回る水準で比較的強いままである（チャート 3、下段）。 チャート 2 ハード vs ソフトデータ：消費者側 Hard Vs. Soft Data: On The Consumer Side Hard Vs. Soft Data: On The Consumer Side チャート 3 ハード vs ソフトデータ：企業側 Hard Vs. Soft Data: On The Business Side Hard Vs. Soft Data: On The Business Side 住宅は、現在ハードとソフトのデータの間に二分法を示していない唯一のセクターである。全ての住宅活動指標は強く伸びており、昨年の弱さからの急速な回復を示している（チャート 4）。 チャート 4 住宅活動の概要 Housing Activity Summary Housing Activity Summary 貿易交渉が重要な鍵を握る ソフトデータがハードデータに遅れ始めたのは、昨年にグローバル経済政策不確実性指数が急上昇したのとほぼ同時期であった（チャート 5）。これにより、貿易戦争の負の影響への懸念がセンチメントと信頼感の指標を急落させたと結論づけられる一方で、貿易戦争のハードデータに対する実際の影響は小幅にとどまっている。 これが11月の米中貿易協議の結果が極めて重要である理由だ。新たな関税が導入されないことが明確になる合意が得られれば、ソフトデータは十分に改善してハードデータと収斂すると予想される。しかし、交渉が決裂すれば、ネガティブな調査データが最終的にハードデータを押し下げることになるだろう。 住宅は、現在ハードとソフトのデータの間に二分法を示していない唯一のセクターである。 現時点での感触では、迫り来る2020年の米国選挙が両者にとって合意を成立させる十分なインセンティブを提供していると考えているが、結果はどちらに転んでもおかしくない。先週金曜に公表した当社のグローバル・インベストメント・ストラテジーサービスのレポートでは、貿易交渉の見通しをより詳しく論じている。1 債券投資家にとって、貿易不確実性の除去はISM製造業PMIやCRB Raw Industrials指数のような重要なソフトデータの反発につながると確信している。これらの指標の上昇は債券利回りを急上昇させるだろう。CRB Raw Industrials指数と金の比率は10年米国債利回りを引き続き緊密に追跡している（チャート 6）。 チャート 5 貿易戦争の懸念が##br##センチメントに影響 Trade War Worries Affecting Sentiment Trade War Worries Affecting Sentiment チャート 6 貿易不確実性が薄れると債券利回りは急騰する Bond Yields Will Shoot Higher Once Trade Uncertainty Dissipates Bond Yields Will Shoot Higher Once Trade Uncertainty Dissipates 結論: 貿易に関する不確実性が調査による経済センチメント指標を押し下げている一方で、実体経済のハードデータは比較的堅調である。今後2か月の間に貿易戦争が落ち着き始めると見込んでいるため、調査データは反発し、債券利回りは上昇するだろう。 来週のフェド ハードとソフトの二極化は、フェドが今年大部分で述べてきた経済見通しの説明とよく整合する。すなわち、ベースラインの見通しは好ましいが下振れリスクがあるという認識だ。その見通し自体は直ちに政策対応を示唆するものではないが、インフレ期待が低いことは今後数か月のフェドの取るべき行動をかなり明確にしている。 5年/5年フォワードTIPSのブレークイーブン・インフレ率は現在1.68%であり、フェドのインフレ目標と整合する2.3%〜2.5%のレンジを大きく下回っている（チャート 7）。さらに、ニューヨーク連銀の消費者期待調査における3年物のインフレ予想の中央値は史上最低を更新した（チャート 7、下段）。フェドはインフレ期待を高めるために適切な行動を取らなければならない。現状では、景気回復が続くように金融環境を緩和的に保つことを確実にする必要がある。最終的に継続的な景気回復は実際のインフレの上昇をもたらし（チャート 7、パネル2）、インフレ期待は実際のインフレに追随して上昇するだろう。 チャート 7 インフレ期待の低さ＝緩和的なフェド Low Inflation Expectations Equals Accommodative Fed Low Inflation Expectations Equals Accommodative Fed 金融環境を緩和的に保つために、フェドは少なくとも市場の現時点での利下げ期待に合わせる必要がある。10月の利下げはほぼ完全に織り込まれており、したがって来週フェドが利下げを行う可能性は非常に高い。その後、市場は12月に4度目の利下げが行われる確率を概ね50/50で織り込んでいる。しかし、これらの期待は11月の貿易協議の結果や今後の経済データ次第で変化するだろう。 最終的には、今から12月までの間に十分な好材料が出て4回目の利下げは不要になると予想している。しかし、より重要なメッセージは、インフレ期待が低い限りフェドは市場の期待を裏切るリスクを取らないということである。 バランスシート更新 フェドは改定されたバランスシート政策の公表を来週まで待たない決断をした。先日報告したマネー・マーケットの混乱を考えれば、時間的余裕がなかったのは明らかである。2 我々のレポートの主な結論は、フェドが金利をコントロールし続けたいのであれば銀行準備金を市場により多く供給する必要があるということだ。これがまさにフェドが今後行うであろう措置である。フェドは短期国債の買い入れを遅くとも2020年第2四半期まで継続すると発表し、当初は月600億ドルのペースで開始する。さらに満期を迎える国債やMBSの償還金は新発の国債へ再投資し続ける。 継続する景気回復は実際のインフレ上昇につながる。 月600億ドルのペースが維持され、非準備金負債の成長率など他の仮定を置くと、フェドの措置により準備金の供給は来年6月までに1.53兆ドルから1.63兆ドルに増加し、証券保有は3.59兆ドルから4.05兆ドルに増加すると予測する（チャート 8および表 1参照）。 チャート 8 フェドのバランスシートの推移 The Fed's Balance Sheet Over Time The Fed's Balance Sheet Over Time 表 1 フェドのバランスシート：予測 Crisis Of Confidence Crisis Of Confidence これまで主張してきたように、フェドのバランスシートと金利政策の連動が切断された今、フェドの新しいバランスシート戦略から投資上の示唆は見出せない。債券投資の黄金律に従えば、フィードファンド金利の期待との相対的変化が引き続き債券利回りを駆動する。3 フェドのバランスシート戦略は将来の金利方針について何も教えてくれないため、概ね無視してよいだろう。 結論: インフレ期待が低い状況では、フェドは金融環境を緩和的に維持し、景気回復が順調に進むことを確保しなければならない。これは、フェドが市場の期待に応じて来週利下げを行うことを意味する。その先については、成長が十分に改善するため、さらなる利下げは不要になると予想している。 ネガティブ・コンベクシティを買う好機 過去数週間にわたり、我々はハイイールド債とエージェンシーMBSの魅力を繰り返し指摘してきた。これらのセクターに共通するのはネガティブ・コンベクシティである。つまり、ほとんどのフィクスト・インカム商品とは異なり、これらのデュレーションは利回りと正の相関を持つ。 その結果、今年の利回りの大幅な低下はハイイールド債とエージェンシーMBSの双方でデュレーションの大幅な低下を招いた（チャート 9）。しかしこのデュレーション低下にもかかわらず、ジャンクスプレッドは比較的横ばいを維持し、MBSスプレッドは実際に拡大している。言い換えれば、ネガティブ・コンベクシティ証券に内在するリスクが顕著に低下したにもかかわらず、期待リターンは下がっていない。 チャート 9 ネガティブ・コンベクシティ商品は魅力的 Negatively Convex Products Are Attractive Negatively Convex Products Are Attractive 先週、我々は米国スプレッド商品向けの新たなリスク測定法を発表した。4 「100ベーシスポイントを失うリスク」は、あるセクターが期間一致の米国債に対して100ベーシスポイント以上のアンダーパフォーマンスを示すために必要な年次スプレッド変化の標準偏差の数と考えられる。値が高いほど、そのセクターが100bpを失うリスクは低いことを意味するし、その逆もまた同様である。 チャート 10は、新しいリスク指標をインベストメント・グレードおよびハイイールドのクレジットティア、ならびに従来の30年エージェンシーMBSの期待リターンに対してプロットしたものである。縦軸は各セクターの12か月の期待超過リターンで、我々はこれをOASから期待デフォルト損失の調整分を差し引いて算出している。横軸は「100ベーシスポイントを失うリスク」を示している。 最近の市場の動きを文脈化するために、スプレッドが最後にボトムをつけた約1年前から各セクターがチャート10内でどのように動いたかを示している。注目すべき点は、昨年10月にはBa格およびB格のジャンク債がBaa格の社債よりも同等のリスクで高い期待リターンを提供していたことだ。現在ではBa格とB格は同様のリターン優位性を提供しているが、リスクははるかに小さくなっている。Caa格ジャンクは現在、リスクとリターンの両面でBaaセクターを明確に上回っている。 チャート 10 リスク・リワードのトレードオフはネガティブ・コンベクシティ証券に有利 Crisis Of Confidence Crisis Of Confidence エージェンシーMBSに目を向けると、デュレーションの大幅な低下が昨年10月以降の大幅なリスク削減につながっていることが再び確認される。これが、我々が最近エージェンシーMBSをAaa、Aa、A 格の社債に替えてアップグレードすることを推奨した理由である。5 結論: 今年の大幅な利回り低下は、リスク調整後の観点でネガティブ・コンベクシティ資産の魅力を高めた。投資家はインベストメント・グレードよりもハイイールドを優先すべきである。また、Aaa、Aa、A 格の社債よりもエージェンシーMBSを優先すべきである。 Ryan Swift 米国債券ストラテジスト rswift@bcaresearch.com 脚注 1 当社のグローバル・インベストメント・ストラテジー週次レポート「Kumbaya」（2019年10月18日付）を gis.bcaresearch.com でご覧ください 2 当社のU.S. ボンド・ストラテジー週次レポート「What’s Up In U.S. Money Markets?」（2019年9月24日付）を usbs.bcaresearch.com でご覧ください 3 当社のU.S. ボンド・ストラテジー特別レポート「The Golden Rule Of Bond Investing」（2018年7月24日付）を usbs.bcaresearch.com でご覧ください 4 当社のU.S. ボンド・ストラテジー週次レポート「A Perspective On Risk And Reward」（2019年10月15日付）を usbs.bcaresearch.com でご覧ください 5 当社のU.S. ボンド・ストラテジー週次レポート「Two Themes And Two Trades」（2019年10月1日付）を usbs.bcaresearch.com でご覧ください フィクスト・インカム・セクターのパフォーマンス 推奨ポートフォリオ仕様

ハイライト 先週お会いした投資家は朗報を聞く準備ができていました： 当社が3日間のクライアントミーティングで語った建設的なシナリオはコンセンサス見解よりも楽観的ですが、クライアントはそれを検討する用意がありました。 世界的な経済減速と米国景気後退の高まるリスクが主要な懸念事項でした、…： 当社のグローバル・インベストメント・ストラテジー同僚が示唆するように、世界の製造業が本当に底を打ったこと、そして米国が景気後退の瀬戸際にいないことを投資家が確信するには時間がかかるでしょう。 … 次に貿易摩擦と企業の債務水準、…： 当社の小さなサンプルでは、投資家は米中対立の日々の増減に対して感覚が鈍くなっている可能性がありますが、企業経営陣の頭の中では依然として大きな懸念事項であると考えています。 … しかしエリザベス・ウォーレンの台頭が引き起こす不安には及びません： すべてのクライアントがウォーレン政権の可能性について尋ねました。 特集 先週の大半を、ウェルスマネジメントやファミリーオフィスのクライアントの一部と面会して過ごしました。彼らは相対リターンより絶対リターンに重点を置いていますが、主要な懸念点は相対リターン重視の仲間とほぼ同一でした。我々の会合では、景気拡張の行方、株式ブルマーケット、世界成長、米中貿易交渉について幅広い疑問が取り上げられました。クライアントはまたクレジット見通しやインフレが警戒すべきかどうかも尋ねましたが、全ての会合で最も熱心に話題にしたのはウォーレン氏またはサンダース氏の大統領就任の見込みでした。 Q: 債券市場は何を伝えていますか？ 我々は債券市場を金利（米国債）とクレジット（スプレッド商品）という2つの明確な要素に分けて考えています。2016年7月の底以来、10年物米国債利回りの定期的な戻りを見慣れてきましたが、昨年11月の3.25%から今年8月の1.5%へと急低下するのを目の当たりにして、米国経済に対する我々の建設的見解は試されました。しかし、利回りの低下が必ずしも差し迫った経済トラブルを示しているとは限らないため、景気後退が発生するのは2021年末〜2022年初を待たないと起きない、という見方を維持しています。 我々は今年の米国債利回りの低下を、景気減速の同時的な反映と見ており、景気後退の前兆とは考えていません。 純粋に国内要因だけを見れば、利回り低下の主因は金融政策期待の変化でした。FRBのハト派転換はもちろんどこか真空の中で起きたわけではありません。景気減速の明確な兆候が、ここでも海外でも緩和的な政策の舞台を整えました。FRBが常に相手をしていたかどうかにかかわらず、12か月先のフォワードフェドファンド金利期待の3回の段階的低下は、いずれも市場に緩和政策を予想させるように誘導されたタイミングで発生しました：3月のFOMC前（FRB関係者がインフレ期待の下振れリスクについて警告し始めた頃）、5月（利下げの準備が進められていた頃）、そして7月の会合後に7月の利下げが単発ではない可能性が示唆された時です（チャート 1）。 チャート 1 FRBのハト派転換、... FRBのハト派的転換、... FRBのハト派的転換、... 各国の利回りは完全に国内要因で決まるわけではなく、米国債利回りの弱さの多くは世界の他地域の利回りの軟調さを反映しています。今年これまで、10年物主権債利回りは大西洋の両側で足並みをそろえて動いており（チャート 2）、通貨ヘッジ済みの米国債、ギルト、ブンデンにおける裁定の余地は保たれています。原油価格も別のグローバル変数であり、その下落はインフレ期待のブレークイーブン（金利差）を押し下げ（チャート 3）、米国債買い手が要求するインフレ補償を抑制しました。金利の観点では、債券市場は世界成長が減速し、中央銀行が金融緩和姿勢を強め、原油価格が下落したことを伝えています。それは必ずしも成長にとって理想的な状況ではありませんが、拡張の終焉を意味するものでもありません。 チャート 2 ... そして欧州主権債の重力が米国債利回りを引き下げた ...そして欧州国債の牽引力が米国債利回りを押し下げている ...そして欧州国債の牽引力が米国債利回りを押し下げている クレジット市場も同意見です。拡張が危機に瀕しているという気配はまったく見られません。スプレッドは昨年の第4四半期のスパイクを速やかに解消し、その後はポスト危機以来の低水準付近に張り付いています（チャート 4）。非金融企業は拡張期を通じて負債を増やしてきましたが、利回りが史上低水準にあるため債務のサービスは決して過重ではありません（チャート 5）。当社のU.S. ボンド・ストラテジーサービスの独自のコーポレート・ヘルス・モニターは企業のバランスシートが弱まっていることを示唆しています（チャート 6、第3パネル）が、スプレッドの意味のある拡大に必要な他の要素――金融引締めサイクルの完了1（チャート6、第2パネル）や貸出基準の引き締め（チャート 6、下パネル）――はまだ整っていません。 チャート 3 原油安がインフレ懸念を抑え込んだ 原油価格の下落がインフレ懸念を抑え込んだ 原油価格の下落がインフレ懸念を抑え込んだ チャート 4 スプレッドはタイト、... スプレッドはタイト… スプレッドはタイト…   チャート 5 ... そして債務サービスは容易 ...そして債務返済は簡単です ...そして債務返済は簡単です Q: クレジットエクスポージャーを削減する時期ではありませんか？タイトなスプレッドは逆張りの警告サインかもしれません。 株式よりもはるかに安いならば企業の資金調達負担を債務に一部移すのは合理的ですが、債務負担の増加と契約条項の劣化を組み合わせるのは懸念材料です。低金利は債務サービスコストが負担にならないようにし、当面はデフォルトを抑える助けになりますが、債券市場は次第に脆弱になっています。 チャート 6 スプレッド拡大の条件はまだ整っていない スプレッド拡大の条件はまだ整っていない スプレッド拡大の条件はまだ整っていない チャート 7 インカム投資家は出番なし インカム投資家は対象外 インカム投資家は対象外 その脆弱性はあるものの、次のデフォルトサイクルが到来しても、住宅バブルの影響に比べればはるかに限定的でしょう。なぜなら銀行への直撃はほとんどないからです。米国の銀行システムは一戸建て住宅を担保にしており、企業債はレバレッジのかかっていない多様な投資家群が保有しています。レバレッジをかけていない投資家にとって損失は厳しいものですが、全体経済に大きな波紋を広げることはありません。今日の企業借入の蓄積は2006〜07年の住宅ローンの汚染地帯には相当せず、逆の主張は根拠が乏しいです。 企業レバレッジの高まりは脆弱性ですが、投資家が脆弱性を見つけるだけでは十分ではなく、それが破綻する触媒を特定する必要があります。非金融企業の債務水準は亀裂ですが、契約条項の緩みでその亀裂は長くなっています。市場が苦しむのは、その亀裂が十分に長く広がり、投資家が無視できない亀裂に変わった時です。我々の見方では、緩和的な金融環境は少なくとも数か月はその亀裂を視界と記憶から遠ざけ続けるでしょう。 デフォルトは借り手が満期債務を再資金調達できない時にのみ発生します。少なくとも一つの貸し手が管理可能な条件で新規融資を延長する意思がある限り、借り手は破綻しません。現在の金融政策の背景は、主要経済の多くでゼロ/マイナス金利政策が存在し、融資意思のある貸し手の安定供給をほぼ確実にしています。保険会社、年金基金、債務を相殺するために収益を必要とする基金は、収益を確保するためにリスクを取らざるを得ませんでした（チャート 7）。その結果、多少脆弱なクレジットに対して追加で50〜75ベーシスポイントを提供する貸し手の列ができあがっています。 世界の製造業はすでに景気後退に陥っていますが、サービス部門の堅調さが先進国経済の拡張を維持しています。 最も脆弱なクレジットは救済を見つけられないでしょうが、多くの怪しいものは救済を受けるでしょう。現在の超緩和的金融政策環境は、デフォルトが本格的に増加するような背景ではありません。中央銀行がもう少し寛容でなくなるまでは、限界貸し手は選別的にならず、盤は回り続け、スプレッド商品は現金や米国債に対して超過リターンを生み続けるでしょう。 Q: 米国外の状況はより悪く見えます。世界の成長見通しはどうですか？ チャート 8 製造業は底打ちかもしれない、... 製造業は底打ちの可能性がある… 製造業は底打ちの可能性がある… 世界の製造業セクターはリセッションにありますが、世界全体の経済はそうではありません（チャート 8）。製造業のリセッションが必ずしも全面的な景気後退につながるわけではなく、先進国のはるかに大きなサービス部門の継続的な拡張は製造業の苦戦に対して強力な防波堤を提供しています（チャート 9）。世界活動がいつ加速するかを結論づけるにはまだ時期尚早ですが、当社のグローバル先行経済指標とそれを導く拡散指標は、底打ち過程にあることを示唆しています（チャート 10）。 チャート 9 ... そしてサービスは減速を止めたかもしれない ... ... そしてサービスは減速が止まったかもしれない ... ... そしてサービスは減速が止まったかもしれない ... チャート 10 ... 先行指標が足場を固めたなら ... 先行指標が足場を固めたなら ... 先行指標が足場を固めたなら チャート 11 向かい風から追い風へ 逆風から追い風へ 逆風から追い風へ 当社のチャイナ・インベストメント・ストラテジーチームは、地方政府が今年末まで北京によって課された予算制約から解放される来年第1四半期に中国成長が勢いを取り戻す余地があると見ています。なお、9月のマネー・クレジット成長は予想を上回り、政策当局は預金準備率の引き下げなどささやかな景気刺激策を講じています。中国のクレジット成長の変化は、中国のクレジット依存の輸入チャネルを通じて世界の成長の変化に先行します（チャート 11）。中国の輸入は欧州、日本、アジア新興国、オーストラリア、ブラジル、チリの輸出です。彼らの輸出が増えれば総需要も増え、好循環が自己強化的に生まれます。 Q: ウォーレン氏が大統領になったら市場には何を意味しますか？ ウォーレン氏が大統領になることへの投資家の懸念はもっともです；ウォーレン上院議員は銀行、防衛関連企業、製薬企業、フラッキングに関与する石油会社、大手ハイテク企業に対して公然と、しばしば陽気に敵意を示しています。それは相当なリストであり、S&P500の時価総額のかなりの割合を占めます。ウォーレン政権は株式投資家にとって友好的ではないと言って差し支えありませんが、資産を清算して国外に逃げる前に念頭に置くべき点がいくつかあります。 彼女に民主党の指名を早々に与えるのは時期尚早です。2007年10月、賢明な投資家はヒラリー・クリントンがすでに決勝戦の座を確保したと確信していました。まだ知名度の低かったイリノイ州の新人上院議員は2004年大会での演説以外にあまり知られていませんでしたが、彼はオバマ大統領になりました。2月3日のアイオワ党員集会までにまだ多くのことが起こり得ます。 現職大統領を打倒するのは大きな挑戦です。景気が今から来年11月までにリセッションに入らず、政権が高プロファイルの政策失敗を被らずに政策成果を達成できる限り、当社のジオポリティカル・ストラテジー同僚はトランプが2020年選挙の推定勝者であるべきだと主張します。彼らの見立ては、誰が民主党の指名を獲得するかにかかわらず当てはまります。米国有権者は時間とともに左寄りにシフトしていますが（チャート 12）、それでもです。 ワシントンを根本的に変えるのは口で言うほど簡単ではありません。建国の父たちは連邦政府を大幅な変化に対してかなり耐性のあるものに設計しました。選挙人団は大統領選で国民感情の高まりを抑え、議会と裁判所は行政府の権力を制限します。上下両院で多数派を持つ政権でも、一つの大きな立法イニシアティブを達成して政治資本を使い果たすと（オバマ政権と医療保険制度改革のように）欲しいほどの自由は得られないことが常です。たとえ来年11月に民主党がウォーレン氏の追い風で議会を制圧したとしても、保守的またはスウィング地区・州の議員は彼女の提案全体に躊躇するでしょう。 チャート 12 民主党有権者はより左に傾いている 旅先からの質問 旅先からの質問 投資への示唆 我々のより楽観的な世界経済見通しは、世界各地域・ブロックにおける株式のより建設的な配分に反映されます。BCAのハウス・ビューは、戦術的（0〜3か月）および景気循環的（3〜12か月）の時間軸で、グローバル株式ポートフォリオ内で新興市場とユーロ圏へのイコールウェイト配分を推奨します。世界成長が加速し始めたら、我々は新興市場とユーロ圏の株式をオーバーウェイトに格上げし、米国株をオーバーウェイトから格下げすることを期待しています。また、データが我々のベースケースの成長シナリオを検証する態勢であれば、ドルに対してハイアベータの通貨を好み、円やスイス・フランのようなローアベータ通貨へのエクスポージャーは制限または回避することを支持します。 BCAの推奨は特にデータ依存的になっています。世界の投資家は明確に「証拠を見せてほしい（show-me）」モードに入っているようです。当社として、そして先週の会合から受けた印象に支えられた感触として、投資家は成長見通しやリスク資産に対して容易に楽観できないでいます。貿易関連のツイートに心をすり減らされ、最近の異例な金融政策措置が成長やインフレに目に見える影響を及ぼすとは懐疑的であり、転換の決定的な証拠を見て初めてポートフォリオポジションを調整したがります。この慎重さは、事業サイクル後期に出る矛盾するシグナルや地政学的不確実性の高止まりも反映しています。 もし我々の見通しどおり世界経済がまもなく反転するなら、世界の投資家はサイクリックなエクスポージャーをポートフォリオに追加する準備をしておくべきです。例えエリザベス・ウォーレンが民主党指名の現時点の有力候補として地位を固めたとしてもです。 この慎重さから、我々は0〜3か月の戦術的時間軸ではフィクスト・インカム・ポートフォリオにベンチマークのデュレーションエクスポージャーを推奨し続けていますが、近い将来を越えた金利エクスポージャーにはほとんど意欲がなく、3〜12か月の景気循環的および12か月超の戦略的時間軸ではベンチマーク以下のデュレーションです。12か月全体では、成長が強まれば良好な米国企業がより信用力のあるクレジットになると期待し、ZIRP/NIRPは残余の一部を引き続き保護すると見ているため、スプレッド商品を引き続き好みます。我々は相対的な米国株のリターンが鈍化する可能性を支持しますが、世界成長は絶対的な株式リターンを押し上げるはずであり、バランスド・ポートフォリオでは少なくともイコールウェイトの株式を維持することを推奨し続けます。 Doug Peta, CFA チーフ米国投資ストラテジスト dougp@bcaresearch.com 脚注 1 我々はパウエル議長が述べた見解に同意しており、今回の利下げはサイクルの中間で行う利下げであって、新たな緩和サイクルの始まりではないという認識です。

Highlights Duration & Fed: Our late-1990s & 2015/16 roadmap for the economy still holds, but risks are mounting. Despite the risks, we expect that trade tensions will calm enough for the economic data to improve during the next few months. The result will be one more Fed rate cut this month, followed by an extended on-hold period. Investors should keep portfolio duration low in that environment. Junk Quality Spreads: This year’s divergence between the Caa/Ba quality spread and the high-yield index spread is highly unusual, but has more to do with movements in Treasury yields and changing index duration than with broader concerns about corporate credit quality. Investment Grade Risk & Reward: We present a novel approach for assessing the risk/reward trade-off among investment grade corporate bond sectors. We note that Saudi Arabian and Mexican Sovereign bonds, Foreign Agency bonds and Conventional 30-year Agency MBS look particularly attractive in risk-adjusted terms. Feature Contagion? This publication has repeatedly pointed to the late-1990s and the 2015/16 periods as appropriate comparables for today’s global growth slowdown. That is, we expect that the current spate of weakness will stay confined within the manufacturing sector and will not spread into the broader economy, leading the U.S. into recession. This call is important from an investment perspective because it implies that the Fed is not currently engaged in an easing cycle that will bring the funds rate back to zero. Rather, we anticipate only three rate cuts this year (we’ve already seen two), followed by the eventual resumption of hikes. Bond yields will not make new lows in that environment. Chart 1Manufacturing Weakness Spreading? Chart 2"Hard" Data Still Firm But some data received this month challenge our economic narrative. Specifically, September’s drop in the ISM Non-Manufacturing PMI from 56.4 to 52.6 and the year-over-year decline in the Conference Board’s survey of consumer confidence (Chart 1). Both are sending tentative signals that economic weakness might be spreading from the manufacturing sector into the broader U.S. economy. The Fed is worried about the same thing, as evidenced by this passage from the September FOMC minutes: One risk that the economy faced was that the softness recorded of late in firms’ capital formation, manufacturing, and exporting activities might spread to their hiring decisions, with adverse implications for household income and spending. Participants observed that such an eventuality was not embedded in their baseline outlook; however, a couple of them indicated that this was partly because they assumed that an appropriate adjustment to the policy rate path would help forestall that eventuality. This passage makes two important points. First, it stresses the risk of contagion from manufacturing into services and consumer spending as a precondition for recession. This risk has clearly increased, but we are not yet ready to abandon our base case outlook. For one thing, Chart 1 shows that the ISM Non-Manufacturing survey printed at 51.8 for one month in 2016, before rebounding sharply. Second, the “hard” economic data paint a much rosier picture that the “soft” survey data (Chart 2). Industrial production has already bounced off its lows and, unlike the ISM Manufacturing PMI, has not yet approached 2015/16 levels. Similarly, new orders for capital goods are much stronger than during the 2015/16 period. As for consumer spending, it continues to grow at a rapid pace despite the drop in confidence. Chart 3Expect One Rate Cut In October The most logical explanation for the divergence between “hard” and “soft” data is that business and consumer sentiment are being pulled down by concerns about the ongoing trade war. Our sense is that some positive news on that front is now required to bring the survey data back into line with the “hard” numbers. On that note, we anticipate that the looming 2020 election will provide enough incentive for President Trump to reach some sort of détente with China. In fact, as we go to press, optimism about a potential trade deal has pushed the 10-year Treasury yield up above 1.70%. If this optimism is not vindicated, then weak survey data will eventually drag the “hard” data lower. The economy is at a critical and highly uncertain juncture. Amidst so much uncertainty, and with so much hinging on near-term political decisions, how should we expect the Fed to respond? The above passage from the September FOMC minutes gives us a strong clue. It illustrates that the Fed believes that sufficiently accommodative monetary policy will help mitigate the risk of contagion from manufacturing into services and consumer spending. In other words, the Fed must help weather the current storm by ensuring that financial conditions remain supportive. This means refraining from delivering hawkish surprises to market expectations.1 The Fed believes that sufficiently accommodative monetary policy will help mitigate the risk of contagion from manufacturing into services and consumer spending. With that in mind, we note that the market has mostly priced-in an October rate cut (Chart 3), and we expect the Fed to deliver on that expectation. Assuming an October cut, the market is only pricing-in a 28% chance of another cut in December. Overall, the market is priced for 59 basis points of rate cuts during the next 12 months. We anticipate a 25 bps cut this month, followed by an improvement in the economic data that will make further cuts unnecessary. Bottom Line: Our late-1990s & 2015/16 roadmap for the economy still holds, but risks are mounting. Despite the risks, we expect that trade tensions will calm enough for the economic data to improve during the next few months. The result will be one more Fed rate cut this month, followed by an extended on-hold period. Investors should keep portfolio duration low in that environment. High-Yield Quality Spreads: Less Than Meets The Eye Corporate bonds have generally performed quite well this year, but oddly, the lowest tier of junk has not kept pace (Chart 4). Investment grade excess returns have followed a typical risk-on pattern. That is, the lowest rated / riskiest credit tiers have performed best in a bull market. However, in the high-yield space, Caa-rated debt has bucked the trend and actually underperformed the duration-matched Treasury index by 33 bps. Chart 4Caa-Rated Junk Is Not Keeping Pace Is this a potentially worrying sign for corporate spreads more generally? To consider the question, we looked at the historical relationships between quality spreads – the spread differential between low-rated and high-rated credit tiers – and the overall index spreads for both investment grade and high-yield. We found a strong positive correlation in both cases, but no leading or lagging properties. That is, quality spreads tend to follow the same trend as the overall index spread, but do not flag signs of trouble before the overall index. Nonetheless, the current divergence between the Caa/Ba quality spread and the high-yield index spread is highly unusual (Chart 5). Our sense, however, is that the divergence has less to do with concerns about credit quality and more to do with this year’s large moves in Treasury yields and changes to bond index duration. Chart 5De-Coupling In Quality Spreads... Chart 6...Is Due To Duration   Specifically, we note that this year’s large decline in Treasury yields has caused junk index duration to plunge, but the drop has been greater for the Ba credit tier than the Caa credit tier (Chart 6). Ba index duration has fallen by 0.8 this year (from 4.4 to 3.5), while Caa index duration has fallen by 0.6 (3.4 to 2.8). The result is that if we control for changes in duration by looking at a 12-month breakeven spread instead of the average index option-adjusted spread (OAS), we see that the quality spread widening is roughly consistent with the overall index (Chart 6, panel 3).2 In other words, the steep drop in Treasury yields has not led to the same reduction in risk in the Caa credit tier as it has in the other junk credit tiers. Caa spreads have widened on a relative basis, as a result. This year’s large decline in Treasury yields has caused junk index duration to plunge. It’s also interesting to note that the opposite dynamic is afoot within the investment grade corporate space. The Baa/Aa quality spread is more or less consistent with the overall index spread in OAS terms (Chart 5, top panel), but the quality spread widening is exacerbated when the impact of changing duration is considered (Chart 6, panels 1 & 2). That is, index duration has lengthened by more for the upper credit tiers than it has for the Baa credit tier. This makes Baa corporates look particularly attractive in risk-adjusted terms, as we have noted in prior research.3 From a big picture perspective, it is unusual for Treasury yields to fall so much without a concurrent widening in credit risk premiums. Eventually, this anomaly will be resolved by either: Higher Treasury yields in the event that recession is avoided, or Wider credit spreads in the event of a contraction in U.S. economic activity But in the meantime, negatively convex sectors such as high-yield corporates and Agency MBS look particularly attractive on a risk-adjusted basis. These sectors have benefited from the drop in Treasury yields by seeing their durations fall. They should perform well as long as the current environment of low Treasury yields and stable credit spreads persists. We take a more detailed look at the prospects for risk-adjusted performance within the different investment grade bond sectors in the next section. Risk And Reward In Investment Grade Bond Sectors As mentioned above, in this week’s report we present a novel approach for considering the risk/reward trade-off between different investment grade sectors of the U.S. bond market. We consider 23 sectors in total: 4 corporate credit tiers Conventional 30-year Agency MBS and Agency CMBS Aaa-rated non-Agency CMBS, credit card ABS and auto loan ABS Domestic and Foreign Agency bonds Supranationals Local Authority bonds (mostly taxable munis and USD-denominated Canadian provincial debt) USD-denominated Sovereign bonds for 10 different emerging markets Reward First, we consider the reward side of the equation. We do not impose any macro view, but instead, use the average index OAS as the best estimate for each sector’s 12-month expected excess returns relative to a duration-matched position in Treasuries. Chart 7 shows the expected excess returns for each sector. Right away, the attractiveness of Mexican sovereign debt is apparent. Mexico carries an A rating, but offers a greater spread than the Baa corporate index. Chart 7Expected Returns Risk We decided to assess risk using a breakeven spread framework. We calculate a 12-month breakeven spread for each sector. This spread represents the basis point spread widening required for each sector to break even with a duration-matched position in Treasury securities on a 12-month horizon. We calculate the breakeven spread using the following equation: 0 = OAS – D(B) + 0.5*CVXs*(dYs)2 - 0.5*CVXT*(dYT)2 Where: OAS = the sector’s option-adjusted spread D = the sector’s duration B = the breakeven spread CVXs = the sector’s convexity CVXT = the convexity of a duration-matched Treasury security dYs = trailing 1-year volatility of the sector’s yield dYT = trailing 1-year volatility of the duration-matched Treasury yield Chart 8 shows each sector’s 12-month breakeven spread, and it illustrates that the breakeven spread is a sub-optimal measure of risk. In theory, the highest breakeven spreads should be the least likely to see losses, but this is obviously not the case. Baa-rated South African Sovereign debt carries the largest breakeven spread, but it should be among the riskiest of the sectors. Chart 812-Month Breakeven Spreads The missing piece of the puzzle is spread volatility. South African sovereign spreads need to widen by 39 bps before losses are incurred, while Aaa-rated credit card ABS spreads only need to widen by 13 bps. However, if spread volatility is much higher for South African sovereigns than for credit card ABS, then the sovereign sector still might be more likely to see losses. To control for this difference we calculate the standard deviation of annual spread changes for each sector, starting from May 2014 when all sectors have available data. We then divide each sector’s breakeven spread by the result. This calculation gives us a volatility-adjusted 12-month breakeven spread. In other words, it is the number of standard deviations of spread widening required for each sector to see losses on a 12-month horizon (Chart 9). Chart 912-Month Volatility-Adjusted Breakeven Spreads Risk & Reward We bring risk and reward together in Charts 10-12. Chart 10 shows expected returns on the y-axis and the vol-adjusted 12-month breakeven spread on the x-axis. Sectors plotting near the top-right of the chart give the best returns and lowest risk of losses, while sectors plotting near the bottom-left provide low expected returns and high risk of losses. Immediately, Saudi Arabian sovereigns and Foreign Agency debt stand out as offering high expected returns for their risk levels. Note that South African sovereigns plot off the charts, toward the top-left of Charts 10-12, as indicated by the arrows. Chart 10Expected Returns Vs. Risk Of Negative Excess Returns Chart 11Expected Returns Vs. Risk Of Losing 100 BPs Chart 12Expected Returns Vs. Risk Of Losing 200 BPs In Charts 11 and 12 we make one further refinement to our risk measure. In these charts, instead of calculating 12-month breakeven spreads, we calculate the spread change necessary for each sector to underperform Treasuries by 100 bps and 200 bps, respectively. Saudi Arabian sovereigns and Foreign Agency debt stand out as offering high expected returns for their risk levels. This adjustment arguably gives a more useful perspective on risk. For example, because spreads are quite narrow in the Supranational and Domestic Agency sectors, the risk of negative returns versus Treasuries is quite elevated. However, these sectors also carry high credit ratings and low spread volatility, making it exceedingly unlikely that they would deliver losses of 100 bps or more. Considering Charts 11 and 12, we look for sectors that clearly dominate other ones, i.e. plotting both higher and further to the right. Once again, Foreign Agencies and Saudi Arabian sovereigns both look very appealing. Mexican sovereign debt also offers very high expected return, and less risk that the Baa corporate sector. We would also like to point out the attractiveness of Agency MBS. As we noted in a recent report, Agency MBS offer considerably less risk than high-rated corporate debt, and similar expected returns. Note that this analysis doesn’t impose any macroeconomic view, and our sense is that the macro back-drop is more favorable for MBS spreads than for corporates.4 All in all, we reiterate our recommendation to favor Agency MBS over Aaa-, Aa- and A-rated corporate bonds. We will continue to refine this approach to measuring the risk/reward trade-off in the coming weeks, including incorporating high-yield debt into our analysis. Stay tuned. Ryan Swift, U.S. Bond Strategist rswift@bcaresearch.com Footnotes 1 For further discussion on this topic please see U.S. Bond Strategy Weekly Report, “Act As Appropriate”, dated August 27, 2019, available at usbs.bcaresearch.com 2 The 12-month breakeven spread is the spread widening required on a 12-month horizon to break even with a duration-matched position in Treasury securities. It can be approximated by dividing the option-adjusted spread by duration, as is done in Chart 6. 3 Please see U.S. Bond Strategy Weekly Report, “Two Themes And Two Trades”, dated October 1, 2019, available at usbs.bcaresearch.com 4 Please see U.S. Bond Strategy Weekly Report, “Two Themes And Two Trades”, dated October 1, 2019, available at usbs.bcaresearch.com Fixed Income Sector Performance Recommended Portfolio Specification

Highlights In this Weekly Report, we present our semi-annual chartbook of the BCA Central Bank Monitors. All of the Monitors are now below the zero line, indicating a growing need to ease global monetary policy (Chart of the Week). Central bankers have already gone down that path in several countries over the past few months (the U.S., the euro area, Australia and New Zealand), helping sustain the powerful 2019 rally in global bond markets. Feature With the global manufacturing & trade downturn now threatening to spill over into domestic demand in the major developed markets, policymakers will need to stay dovish to stave off recession. This will keep global bond yields at depressed levels in the near term, at least until widely-followed data like manufacturing PMIs stabilize and/or there is positive news on U.S.-China trade negotiations. Chart of the WeekStrong Pressures To Ease Global Monetary Policy Yields already discount a lot of bad economic news, however, and there is a ray of hope visible in the bottoming out of our global leading economic indicator. A sustainable bottom in global bond yields, though, will require some change in the current downward growth or inflation momentum highlighted in our Central Bank Monitors. Yields already discount a lot of bad economic news, however, and there is a ray of hope visible in the bottoming out of our global leading economic indicator. A sustainable bottom in global bond yields, though, will require some change in the current downward growth or inflation momentum highlighted in our Central Bank Monitors.  An Overview Of The BCA Central Bank Monitors* Chart 2Low Bond Yields Are Consistent With Our CB Monitors The BCA Central Bank Monitors are composite indicators designed to measure the cyclical growth and inflation pressures that can influence future monetary policy decisions. The economic data series used to construct the Monitors are not the same for every country, but the list of indicators generally measure the same things (i.e. manufacturing cycles, domestic demand strength, commodity prices, labor market conditions, exchange rates, etc). The data series are standardized and combined to form the Monitors. Readings above the zero line for each Monitor indicate pressures for central banks to raise interest rates, and vice versa. Through the nexus between growth, inflation, and market expectations of future interest rate changes, the Monitors do exhibit broad correlations to government bond yields in the Developed Markets (Chart 2). All of the Monitors are currently pointing in a bond-bullish direction, making them less useful as a country allocation tool within global bond portfolios. With easing pressures most intense in the euro area, given that the ECB Monitor has the lowest reading, our recommended overweight stance on core euro area government bonds (hedged into U.S. dollars) remains well supported. In each BCA Central Bank Monitor Chartbook, we include a new chart for each country that we have not shown previously. In this edition, we show the components of the Monitors, grouped into those focusing on economic growth and inflation, plotted against our central bank discounters that indicate the amount of rate cuts/hikes priced into global Overnight Index Swap (OIS) curves. Fed Monitor: Signaling A Need For More Cuts Our Fed Monitor has fallen below the zero line (Chart 3A), indicating that the Fed’s summer rate cuts were justified with more easing still required. The Monitor, however, has not yet fallen to levels seen during U.S. recessions and is more consistent with the below-trend growth periods in 2016 and the late-1990s. The views of the FOMC on U.S. monetary policy are more deeply divided now than has been seen in many years. The doves can point to slumping global growth, persistent trade uncertainty, contracting capital spending and falling inflation expectations as reasons to continue cutting rates. The hawks can look at continued labor market tightness, elevated asset prices and realized inflation rates holding near the Fed’s 2% inflation target (Chart 3B) as reasons to keep monetary policy steady. That mixed picture can be seen in the components of our Fed Monitor, with the growth components showing the biggest pressure for more rate cuts compared to more stable readings from the inflation and financial components (Chart 3C). Chart 3AU.S.: Fed Monitor Chart 3BU.S. Realized Inflation Holding Firm Chart 3CGreatest Pressure For Fed Rate Cuts From Growth Components Of Our Fed Monitor The U.S. Treasury market may have gotten ahead of itself after the latest decline in yields, which looks stretched versus the Fed Monitor. The U.S. Treasury market may have gotten ahead of itself after the latest decline in yields, which looks stretched versus the Fed Monitor (Chart 3D). We still expect the Fed to deliver just one more rate cut at the FOMC meeting at the end of October, as the “hard” U.S. data is outpeforming the “soft” data like the weak ISM surveys. That leaves Treasury yields vulnerable to some rebound if global growth stabilizes, although that is conditional on no new breakdown of the U.S.-China trade negotiations – a factor that continues to weigh on U.S. business confidence. Chart 3DTreasury Yields More Than Fully Discount Fed Easing Pressures BoE Monitor: Easier Policy Needed Our Bank of England (BoE) Monitor, which was in the “tighter money required” zone from 2016-18, has been below the zero line since April of this year (Chart 4A). The market agrees with the message from the Monitor and is now pricing in -12bps of rate cuts over the next twelve months. The relentless uncertainty surrounding Brexit has triggered sharp downgrades of growth expectations and weakened business confidence, which the BoE is now factoring into its own projections. In the August Inflation Report, the BoE lowered its 2020 inflation forecast to below 2% - no surprise given the sharp fall in realized inflation that has already occurred even as economic growth has still not yet fallen substantially below trend (Chart 4B). Chart 4AU.K.: BoE Monitor Chart 4BFalling U.K. Inflation Opens The Door To A BoE Ease Still, weakening growth components have been the main driver of the BoE Monitor into rate cut territory (Chart 4C). While a strong jobs market is helping support consumer spending, the Brexit turmoil is having a lasting impact on future growth. Since the 2016 Brexit referendum, business confidence and real business investment have collapsed which, in turn, has hurt productivity growth, as we discussed in a Special Report last month.1 Chart 4CBrexit Uncertainty + Slumping Growth = Pressure For BoE Rate Cuts The uncertainty around Brexit dominates the economic outlook and any future BoE decisions. Our Geopolitical Strategy service anticipates that Brexit will be delayed beyond October 31st. As a result, uncertainty will continue to weigh on Gilt yields, even though yields have already fallen in line with our BoE Monitor (Chart 4D). We continue to recommend an overweight stance on U.K. Gilts. Chart 4DGilt Yields Have Fallen In Line With Our BoE Monitor ECB Monitor: Intense Pressure For Easier Monetary Policy Our European Central Bank (ECB) Monitor is now well below the zero line, signaling a strong need for easier monetary policy (Chart 5A). The global manufacturing downturn has hit the export-dependent economies of the euro area hard, with Germany now likely in a technical recession. Our European Central Bank (ECB) Monitor is now well below the zero line, signaling a strong need for easier monetary policy. Despite the weaker growth momentum, there remains far less spare capacity in the euro area economy than at any time since before the 2009 global recession (Chart 5B). This is keeping realized inflation in positive territory, in contrast to what was seen during the previous downturn in 2015-16. Chart 5AEuro Area: ECB Monitor Chart 5BEuro Area Inflation Is Subdued, Despite Tight Labor Markets The ECB has already responded to the weakening growth & inflation pressures, introducing a new TLTRO program back in March and then cutting the overnight deposit rate and restarting its Asset Purchase Program in September. The latest policy moves were reported to be more contentious, with the “hard money” northern euro area countries opposed to restarting bond purchases. The new incoming ECB President, Christine Lagarde, will likely have her hands full trying to gain consensus on any further easing measures from here, even as both the growth and inflation components of our ECB Monitor indicate that more stimulus is needed (Chart 5C). Chart 5CA Consistent Message On The Need For Future ECB Easing From Growth & Inflation The big decline in euro area bond yields, which has pushed large swaths of sovereign yields into negative territory, does not look particularly stretched relative to the plunge in the ECB Monitor (Chart 5D). Without signs that the global manufacturing downturn is ending, however, euro area yields will stay mired at current deeply depressed levels. We recommend a moderate overweight on core European government bonds, on a currency-hedged basis into U.S. dollars. Chart 5DBund Rally Looks In Line With The ECB Monitor BoJ Monitor: A Rate Cut On The Horizon? Our Bank of Japan (BoJ) Monitor has drifted slightly below the zero line into “rate cut required” territory (Chart 6A). Over the past few years, the BoJ’s monetary policy has remained unchanged for the most part and its messaging has grown less dovish, citing an expanding economy. However, recent Japanese economic data shows widespread deterioration in growth momentum, as the nation has been hit hard by the global manufacturing and trade recession. Yet even with weaker growth, Japan’s unemployment rate keeps hitting all-time lows. This has not helped boost inflation much, though, with Japan’s CPI inflation still struggling to reach even the 1% level (Chart 6B). Still, the latest leg lower in our BoJ Monitor has been driven by the growth, rather than inflation, components (Chart 6C). Chart 6AJapan: BoJ Monitor Chart 6BNo Spare Capacity In Japan, But Still No Inflation Weakening confidence has resulted in significant declines in both consumer spending and business investment. Due to the struggling domestic economy, it was expected that the Abe government would postpone the scheduled consumption tax hike, but it was finally initiated on October 1st. The timing could not be worse given the ongoing contraction in global manufacturing and trade activity that has clearly spilled over into Japan’s export and industrially-focused economy. Chart 6CThe Slumping Japanese Economy Could Use Some More BoJ Assistance The BoJ will likely try and deliver some sort of easing in the next few months, but its options are limited after years of already hyper-easy policy. A modest rate cut is likely all that will be delivered, on top of a continuation of the Yield Curve Control policy. That will be enough to keep JGB yields at depressed levels (Chart 6D), even if global yields were to begin climbing. Chart 6DJGB Yields Look Fairly Valued Vs The BoJ Monitor BoC Monitor: Rate Cuts Needed, But Will The BoC Deliver? The Bank of Canada (BoC) Monitor has been below zero since April of this year, indicating a need for easier monetary policy (Chart 7A). Although the BoC has maintained its policy rate at 1.75%, dovish Fed policy and softening domestic economic growth are making it harder for the BoC to continue sitting on its hands Although the Canadian labor market remains solid, household consumption has continued to weaken alongside falling consumer confidence. However, the inflation rate for both headline and core CPI measures is still hovering near the mid-point of BoC 1-3% target range (Chart 7B). Chart 7ACanada: BoC Monitor Chart 7BRising Inflation Making The BoC’s Job Harder At the moment, our BoC Monitor is more influenced by weaker growth components than stabilizing inflation components (Chart 7C). Similar mixed messages are also evident in other data. According to the latest BoC Business Outlook Survey, the overall outlook has edged up to the historical average,2 but real capex growth remains in negative territory and manufacturing new orders are still falling. In contrast, the Canadian labor market remains tight and both wage and price inflation are holding firm. Chart 7CBoC Growth & Inflation Components Signaling Moderate Pressure To Ease Canadian government bonds have rallied strongly this year, but the yield momentum has appeared to overshoot the decline in our BoC Monitor (Chart 7D). The Canadian OIS curve is discounting -27bps of rate cuts over the next twelve months, but the BoC is not signaling that they will ease. We upgraded our recommended stance on Canadian government bonds to neutral back in May, and we see no need to alter that view without further evidence of more deterioration in Canadian growth or inflation data.3 Chart 7DCanadian Bond Rally Looks A Bit Stretched RBA Monitor: Expect Another Cut The Reserve Bank of Australia (RBA) Monitor has been below the zero line since September 2018, indicating a need for easier monetary policy (Chart 8A). The RBA has already delivered on that signal this year, cutting the Cash Rate twice to an all-time low of 0.75%. Markets are still expecting more, with the Australian OIS curve discounting another -29bps of cuts over the next year, although most of those cuts are expected to occur within the next six months. The signal from our RBA Monitor suggests that Australian bond yields should remain under downward pressure, although the yield momentum has been excessive relative to the fall in the Monitor. Both headline and core CPI inflation remain below the RBA’s 2-3% target range (Chart 8B), and the central bank continues to lower its inflation forecasts, suggesting an entrenched dovish bias. Chart 8AAustralia: RBA Monitor Chart 8BNo Inflation For The RBA To Worry About The latest downturn in our RBA Monitor is related to declines in both the inflation and growth components (Chart 8C). The weakness in the growth components is led by falling exports to Asia, in addition to the sharp drop in house prices in the major cities. The fall in the inflation components reflects both weak inflation expectations and spare capacity in labor markets. Chart 8CA Loud & Clear Message On The Need For RBA Easing The signal from our RBA Monitor suggests that Australian bond yields should remain under downward pressure, although the yield momentum has been excessive relative to the fall in the Monitor (Chart 8D). Australia’s economy will not begin to outperform again, however, until China’s current growth slump starts to bottom out, which is unlikely to occur until the first quarter of 2020 at the earliest. Thus, we expect the RBA to deliver another rate cut before the end of the year, justifying a continued overweight stance on Australian government bonds. Chart 8DA Lot Of Bad News Discounted In Australian Bond Yields RBNZ Monitor: More Easing To Come Our Reserve Bank of New Zealand (RBNZ) monitor remains well below zero, indicating that easier monetary policy is still required (Chart 9A). The central bank has already delivered two rate cuts this year: a -25bps cut in May and, more importantly, a shock rate cut of -50bps in August. Forward guidance remains dovish, with RBNZ Governor Adrian Orr signaling more easing is likely and even hinting at negative rates in the future. This rhetoric is reflected in the NZ OIS curve, which is pricing in a further -42bps of easing over the next twelve months. High inflation is not a constraint for the RBNZ. Both headline and core measures of inflation are currently at 1.7% (Chart 9B). As the RBNZ targets a 1-3% range over the medium term, the prospect of overshooting the 2% longer-term target will not restrict policymakers from acting as appropriate to boost growth. Chart 9ANew Zealand: RBNZ Monitor Chart 9BNZ Inflation Creeping Higher Most of the pressure to ease has come from the continued deterioration in the growth component of our RBNZ Monitor (Chart 9C), reflecting weakness in manufacturing and consumption. The manufacturing PMI is currently in contractionary territory at 48.4, having fallen almost five points since February of this year. Annual growth in retail sales has been slowing for the past two years while consumer confidence is at 7-year lows. Chart 9CWeak Growth Is The Reason RBNZ Rate Cuts Are Needed We feel confident in reiterating our bullish recommendation on NZ government bonds versus U.S. and German sovereign debt. The RBNZ Monitor suggests that policy will stay dovish for some time, while NZ yields still offer a relatively attractive yield, unlike deeply overbought Treasuries and Bunds (Chart 9D). Chart 9DStill A Bullish Case For New Zealand Government Bonds Riksbank Monitor: Watching And Waiting Our Riksbank Monitor remains very slightly below zero and the market is currently priced for -4bps of rate cuts over the next year (Chart 10A). The Riksbank has decided to hold the Repo Rate constant at -0.25% while forecasting a hike towards the end of this year or the beginning of 2020. Given the policy environment, rate cuts remain unlikely. At most, the Riksbank can further delay rate hikes if the data continues to disappoint. The Riksbank noted in its September Monetary Policy Report that the unexpectedly weak development of the labor market indicates that resource utilization will normalize sooner than expected. This is reflected in Chart 10B, where the unemployment gap is now negative. Meanwhile, inflation readings are giving a mixed signal for the central bank. While the headline CPI measure has declined precipitously year-to-date, owing to the dramatic fall in oil prices, core inflation has continued to climb steadily. Chart 10ASweden: Riksbank Monitor Chart 10BMixed Messages From Swedish Inflation As a result, the inflation components of our Riksbank monitor - driven by a spike in the Citigroup Inflation Surprise Index, wage growth hooking upward and inflation expectations holding firm around 2% - are signaling the need for tighter monetary policy (Chart 10C). However, the growth components – led by weak exports, employment, and manufacturing data - are exerting pressure in the opposite direction. This is evident in the Swedish Manufacturing PMI, which tumbled from 51.8 to 46.3 in September, deep into contractionary territory. Chart 10CThere Is A Reason Why The Riksbank Has Been On Hold Keeping in mind the inflation constraint, it remains unlikely that the Riksbank will cut rates unless the economic data disappoints more significantly to the downside. This should help put a floor under Swedish bond yields in the near term (Chart 10D). Chart 10DSwedish Yields Have Fallen Too Far, Too Fast Robert Robis, CFA Chief Fixed Income Strategist rrobis@bcaresearch.com   Ray Park, CFA Research Analyst ray@bcaresearch.com   Shakti Sharma Research Associate shaktis@bcaresearch.com Footnotes * NOTE: All information in this report reflects our knowledge of global events as of Thursday, October 10. 1 Please see BCA Global Fixed Income Strategy Special Report “United Kingdom: Cyclical Slowdown Or Structural Malaise?” dated September 20, 2019, available at gfis.bcaresearch.com. 2https://www.bankofcanada.ca/2019/06/business-outlook-survey-summer-2019/ 3 Please see BCA Global Fixed Income Weekly Report, “Reconcilable Differences” dated May 8, 2019, available at gfis.bcaresearch.com. Recommendations The GFIS Recommended Portfolio Vs. The Custom Benchmark Index Duration Regional Allocation Spread Product Tactical Trades Yields & Returns Global Bond Yields Historical Returns

Highlights Q3/2019 Performance Breakdown: Our recommended model bond portfolio underperformed the custom benchmark by -30bps during the third quarter of the year. Winners & Losers: The biggest underperformance came from underweight positions in U.S. Treasuries (-28bps) and Italian government bonds (-18bps) as yields plunged, dwarfing gains from overweights in corporate bonds in the U.S. (+11bps) and euro area (+4bps). Scenario Analysis For The Next Six Months: We are maintaining our current positioning, staying below-benchmark on duration while overweighting U.S. and euro area corporates vs. government debt. In our base case scenario, global growth will begin to stabilize but the Fed will deliver one more “insurance” rate cut by year-end, leading to corporate bond outperformance. Feature Global bond markets have enjoyed a powerful bull run throughout 2019, as yields have plummeted alongside weakening global growth and growing political uncertainty. Those two forces came to a head in the third quarter of the year, with U.S.-China trade tensions ratcheting up another notch after the imposition of higher U.S. tariffs in early August and global manufacturing PMI data moving into contraction territory – especially in the U.S. The result was a significant fall in government bond yields as markets discounted both lower inflation expectations and more aggressive monetary easing from global central banks, led by the Fed and ECB. The benchmark 10-year U.S. Treasury yield and 10-year German Bund yield plunged -40bps and -25bps, respectively, during the July-September period. Yet at the same time, global credit markets remained surprisingly stable, as the option-adjusted spread on the Bloomberg Barclays Global Corporates index was unchanged over the same three months. In this report, we review the performance of the BCA Global Fixed Income Strategy (GFIS) model bond portfolio during the eventful third quarter of 2019. We also present our updated scenario analysis, and total return projections, for the portfolio over the next six months. As a reminder to existing readers (and to new clients), the model portfolio is a part of our service that complements the usual macro analysis of global fixed income markets. The portfolio is how we communicate our opinion on the relative attractiveness between government bond and spread product sectors. This is done by applying actual percentage weightings to each of our recommendations within a fully invested hypothetical bond portfolio. Q3/2019 Model Portfolio Performance Breakdown: Good News On Credit Trumped By Bad News On Duration Chart of the WeekDuration Losses Dwarf Credit Gains In Q3/19 The total return for the GFIS model portfolio (hedged into U.S. dollars) in the third quarter was 2.0%, lagging the custom benchmark index by -30 bps (Chart of the Week).1 This brings the cumulative year-to-date total return of the portfolio to +7.8%, which has underperformed the benchmark by a disappointing –67bps. The Q3 drag on relative returns came entirely from the government bond side of the portfolio; specifically, the underweight allocation to U.S. Treasuries and Italian government bonds (Table 1). Those allocations reflected our views on overall portfolio duration (below benchmark) and a relative value consideration within European spread product (preferring corporates to Italy). Both those recommendations went against us as global bond yields dropped during Q3, with Italian yields collapsing (the benchmark 10-year yield was down –126bps) as investors chased any positive yield denominated in euros after the ECB signaled a new round of policy easing. The total return for the GFIS model portfolio (hedged into U.S. dollars) in the third quarter was 2.0%, lagging the custom benchmark index by -30 bps  Table 1GFIS Model Bond Portfolio Q3/2019 Overall Return Attribution Providing some partial offset to the U.S. and Italy allocations were gains from overweight positions in government bonds in the U.K., Australia and Japan. More importantly, our overweights in corporate debt in the U.S. and euro area made a strong positive contribution to the performance of the portfolio. The bar charts showing the total and relative returns for each individual government bond market and spread product sector are presented in Charts 2 and 3. The most significant movers were: Chart 2GFIS Model Bond Portfolio Q3/2019 Government Bond Performance Attribution Chart 3GFIS Model Bond Portfolio Q3/2019 Spread Product Performance Attribution By Sector Biggest outperformers Overweight U.S. high-yield Ba-rated (+4bps) Overweight U.S. high-yield B-rated (+3bps) Overweight U.S. investment grade industrials (+3bps) Overweight Japanese government bonds with maturity of 5-7 years (+2bps) Overweight euro area corporates, both investment grade (+2bps) and high-yield (+2bps) Biggest underperformers Underweight U.S. government bonds with maturity beyond 10+ years (-15bps) Underweight Italy government bonds with maturity beyond 10+ years (-10bps) Underweight U.S. government bonds with maturity of 7-10 years (-5bps) Underweight Japanese government bonds with maturity beyond 10+ years (-4bps) Underweight U.S. government bonds with maturity of 3-5 years (-4bps) Chart 4 presents the ranked benchmark index returns of the individual countries and spread product sectors in the GFIS model bond portfolio for Q3/2019. The returns are hedged into U.S. dollars (we do not take active currency risk in this portfolio) and are adjusted to reflect duration differences between each country/sector and the overall custom benchmark index for the model portfolio. We have also color-coded the bars in each chart to reflect our recommended investment stance for each market during Q3/2019 (red for underweight, blue for overweight, gray for neutral).2 Ideally, we would look to see more blue bars on the left side of the chart where market returns are highest, and more red bars on the right side of the chart were returns are lowest. Chart 4Ranking The Winners & Losers From The Model Bond Portfolio In Q3/2019 One thing that stands out from Chart 4 is that every fixed income sector generated a positive return, except for EM USD-denominated corporates. This is a fascinating outcome given the sharp falls in risk-free government bond yields which typically would correlate to a selloff in risk assets and widening of credit spreads. The soothing balm of looser global monetary policy seems to have offset the impact of elevated uncertainty on trade and future economic growth, allowing both bond yields and credit spreads to stay low. The soothing balm of looser global monetary policy seems to have offset the impact of elevated uncertainty on trade and future economic growth, allowing both bond yields and credit spreads to stay low.  We maintained an overweight stance on global spread product throughout Q3, as we felt that the monetary policy effect would continue to overwhelm uncertainty. We did, however, make some tactical adjustments to our duration stance after the U.S. raised tariffs on Chinese imports, upgrading to neutral on August 6th.3 We had felt that higher tariffs were a sign that a potential end to the U.S.-China trade conflict was now even less likely, which raised the odds of a potential risk-off financial market event that would temporarily push bond yields lower. We shifted back to a below-benchmark duration stance on September 17th, given signs of de-escalation in the trade dispute and, more importantly, some improvement evident in global leading economic indicators.4 Bottom Line: Our recommended model bond portfolio underperformed the custom benchmark index during the third quarter of the year, with the drag on performance from an underweight stance on U.S. Treasuries and Italian BTPs overwhelming the gains from corporate credit overweights in the U.S. and euro area. Future Drivers Of Portfolio Returns Looking ahead, the performance of the model bond portfolio will continue to be driven by two main factors: our below-benchmark duration bias and our overweight stance on global corporate debt versus government bonds. Chart 5Overall Portfolio Allocation: Overweight Credit In terms of the specific high-level weightings in the model portfolio, we currently have a moderate overweight, equal to eight percentage points, on spread product versus government debt (Chart 5). This reflects a more constructive view on future global growth. Early leading economic indicators are starting to bottom out and global central bankers are maintaining a dovish policy bias despite low unemployment rates – both factors that will continue to benefit growth-sensitive assets like corporate debt. Early leading economic indicators are starting to bottom out and global central bankers are maintaining a dovish policy bias despite low unemployment rates – both factors that will continue to benefit growth-sensitive assets like corporate debt. We are maintaining our below-benchmark duration tilt at 0.6 years short of the custom benchmark (Chart 6). We recognize, however, that the underperformance from duration in the model portfolio will not begin to be clawed back until there are signs of a bottoming in widely-followed cyclical economic indicators like the U.S. ISM index and the German ZEW. We think that will happen given the uptick in our global leading economic indicator (LEI), but that may take a few more months to develop based on the usual lead time from the LEI to the survey data like the ISM. The hook up in the global LEI does still gives us more confidence that the big decline in global bond yields seen this year is over, especially if a potential truce in the U.S.-China trade war is soon reached, as our political strategists believe to be increasingly likely. Chart 6Overall Portfolio Duration: Moderately Below Benchmark Turning to country allocation, we are sticking with overweights in countries where central banks are likely to be more dovish than the Fed over the next 6-12 months (Germany, France, the U.K., Japan, and Australia). We are staying underweight the U.S. where inflation expectations appear too low and Fed rate cut expectations look too extreme. The Italy underweight has become a trickier call. We have long viewed Italian debt as a growth-sensitive credit instrument rather than the yield-driven rates vehicle it became in Q3 as markets priced in fresh monetary easing measures from the ECB (including restarting government purchases). We will revisit our Italy views in an upcoming report but, until then, we will continue to view Italian BTPs within the context of our European spread product allocation. Thus, we are maintaining an overweight on euro area corporate debt (by 1% each in investment grade and high-yield) while having an equal-sized underweight (-2%) in Italian government bonds. Our combined positioning generates a portfolio that has “positive carry”, with a yield of 3.1% (hedged into U.S. dollars) that is +25bps over that of the custom benchmark index (Chart 7). That same portfolio, however, generates an estimated tracking error (excess volatility of the portfolio versus its benchmark) of 55bps - well below our self-imposed 100bps ceiling and still within the 40-60bps range we have targeted since the start of 2019 (Chart 8). Chart 7Portfolio Yield: Positive Carry From Credit Chart 8Portfolio Risk Budget Usage: Cautious Scenario Analysis & Return Forecasts In April 2018, we introduced a framework for estimating total returns for all government bond markets and spread product sectors, based on common risk factors.5 For credit, returns are estimated as a function of changes in the U.S. dollar, the Fed funds rate, oil prices and market volatility as proxied by the VIX index (Table 2A). For government bonds, non-U.S. yield changes are estimated using historical betas to changes in U.S. Treasury yields (Table 2B). Table 2AFactor Regressions Used To Estimate Spread Product Yield Changes Table 2BEstimated Government Bond Yield Betas To U.S. Treasuries This framework allows us to conduct scenario analysis of projected returns for each asset class in the model bond portfolio by making assumptions on those individual risk factors. In Tables 3A & 3B, we present our three main scenarios for the next six months, defined by changes in the risk factors, and the expected performance of the model bond portfolio in each case. The scenarios, described below, all revolve around our expectation that the most important drivers of future market returns will continue to be the momentum of global growth and the path of U.S. monetary policy. The scenario inputs for the four main risk factors (the fed funds rate, the price of oil, the U.S. dollar and the VIX index) are shown visually in Chart 9. Table 3AScenario Analysis For The GFIS Model Bond Portfolio For The Next Six Months Table 3BU.S. Treasury Yield Assumptions For The 6-Month Forward Scenario Analysis Chart 9Risk Factor Assumptions For The Scenario Analysis Base Case (Global Growth Bottoms): The Fed delivers one more -25bp rate cut by the end of 2019, the U.S. dollar weakens by -3%, oil prices rise by +10%, the VIX hovers around 15, and there is a bear-steepening of the UST curve. This is a scenario where the U.S. economy ends up avoiding recession and grows at roughly a trend-like pace. The Fed, however, still delivers one more “insurance” rate cut to mitigate the risk of low inflation expectations becoming more entrenched. Global growth is expected to bottom out as heralded by the global leading indicators. A truce (but not a full deal) is expected on the U.S.-China trade front, helping to moderately soften the U.S. dollar through reduced risk aversion. The model bond portfolio is expected to beat the benchmark index by +91bps in this case. Global Growth Strongly Rebounds: The Fed stays on hold, the U.S. dollar weakens by -5%, oil prices rise by +20%, the VIX declines to 12, there is a modest bear-steepening of the UST curve. In this tail-risk scenario, global growth starts to reaccelerate in lagged response to the global monetary easing seen this year, combined with some fiscal stimulus in major countries (China, the U.S., perhaps even Germany). The U.S. dollar weakens as global capital flows shift to markets which are more sensitive to global growth. The model bond portfolio is expected to beat the benchmark index by +106bps in this case. U.S. Downturn Intensifies: The Fed cuts rates by -75bps, the U.S. dollar is flat, oil prices fall by -15%, the VIX rises to 30; there is a bull-steepening of the UST curve. Under this tail-risk scenario, the current slowing of U.S. growth momentum gains speed, pushing the economy towards recession. The Fed cuts rates aggressively in response, helping weaken the U.S. dollar, but not before global risk assets sell off sharply to discount a worldwide recession. The model portfolio will underperform the benchmark by -38bps in this scenario. In terms of our conviction level among the main drivers of the model portfolio returns – duration allocation (across yield curves and countries) and asset allocation (credit versus government bonds) – we are most confident that credit returns will exceed those of sovereign debt over the next six months. In terms of our conviction level among the main drivers of the model portfolio returns – duration allocation (across yield curves and countries) and asset allocation (credit versus government bonds) – we are most confident that credit returns will exceed those of sovereign debt over the next six months. The underweight duration position, however, will also eventually begin to pay off if the message from the budding improvement in global leading economic indicators turns out to be correct. A collapse of the U.S.-China trade negotiations is the biggest threat to our base case, which would make the “U.S. Downturn Intensifies” scenario a more likely outcome. Bottom Line: We are maintaining our current positioning, staying below-benchmark on duration while overweighting U.S. and euro area corporates governments. In our base case scenario, global growth will begin to stabilize but the Fed will deliver one more “insurance” rate cut by year-end, leading to spread product outperformance.   Robert Robis, CFA, Chief Fixed Income Strategist rrobis@bcaresearch.com Ray Park, CFA, Research Analyst ray@bcaresearch.com Footnotes 1 The GFIS model bond portfolio custom benchmark index is the Bloomberg Barclays Global Aggregate Index, but with allocations to global high-yield corporate debt replacing very high quality spread product (i.e. AA-rated). We believe this to be more indicative of the typical internal benchmark used by global multi-sector fixed income managers. 2 Note that sectors where we made changes to our recommended weightings during Q3/2019 will have multiple colors in the respective bars in Chart 4. 3 Please see BCA Global Fixed Income Strategy Weekly Report, “Trade War Worries: Once More, With Feeling”, dated August 6, 2019, available at gfis.bcaresearch.com. 4 Please see BCA Global Fixed Income Strategy Weekly Report, “The World Is Not Ending: Return To Below-Benchmark Portfolio Duration”, dated September 17, 2019, available at gfis.bcaresearch.com. 5 Please see BCA Global Fixed Income Strategy Weekly Report, “GFIS Model Bond Portfolio Q1/2018 Performance Review: A Rough Start”, dated April 10th 2018, available at gfis.bcareseach.com. Recommendations The GFIS Recommended Portfolio Vs. The Custom Benchmark Index Duration Regional Allocation Spread Product Tactical Trades Yields & Returns Global Bond Yields Historical Returns