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Highlights Policy Responses To The Virus: Markets are now pricing in significant monetary policy easing in response to the growth shock from the COVID-19 outbreak and related financial market instability. It is not yet clear, however, that central banks will NOT ease by as much as currently discounted in the low level of bond yields – especially as risk assets will riot anew if policymakers are not dovish enough. Duration: Raise overall global duration exposure to neutral on a tactical basis (0-3 months) until there is greater clarity on the full magnitude of the hit to global growth from the virus. Spread Product: The widening of global corporate bond spreads during last week’s equity market correction was relatively modest, suggesting that the COVID-19 outbreak has not become a credit event that raises downgrade/default risks. Maintain an overall overweight allocation to global corporates versus government bonds. Downgrade US MBS to neutral, however, given the risk of higher prepayments from falling mortgage rates. Feature What a wild ride it has been for investors. Equity markets worldwide corrected sharply last week as investors were forced to downgrade global growth expectations with the COVID-19 outbreak spreading more rapidly outside of China. US equities were particularly savaged with the S&P 500 shedding -11% of its value in a mere five trading sessions, with the VIX index of implied equity volatility spiking over 40, evoking comparisons to some of the darkest days of the 2008 financial crisis. Chart of the WeekCOVID-19 Concerns Causing Market Jitters Government bond yields have collapsed alongside plunging equity values, with the benchmark 10-year US Treasury yield hitting an all-time intraday low of 1.04% yesterday. Investors are betting on aggressive rate cuts by global central bankers to offset weak growth momentum and disinflationary pressures that were already in place before the arrival of COVID-19. At the same time, corporate credit spreads widened worldwide last week, but the moves were relatively subdued and do not signal growing concern over future default losses (Chart of the Week). In this report, we discuss how to best position a global bond portfolio given these competing messages from government bond and credit markets. We conclude that maintaining selective strategic (6-12 months) overweights in global spread product versus governments, while also maintaining a neutral tactical (0-3 months) overall duration exposure - as a hedge against a more “U-shaped” recovery from the virus-driven downturn in global growth - is the best way to position for a backdrop where policymakers will need to be as easy as possible in a more uncertain world. What To Do Next On … Duration Risk assets were staging a massive rebound yesterday as we went to press, after policymakers worldwide signaled the need for stimulus measures to offset the COVID-19 growth shock. Both Fed Chairman Jerome Powell and Bank of Japan (BoJ) Governor Haruhiko Kuroda promised to ease monetary policy, if necessary, to stabilize markets. Meanwhile, looser fiscal policy may finally be on the way in Europe. The government of virus-stricken Italy announced a €3.6 billion stimulus package, while the German Finance Minister has hinted at a temporary suspension of Germany’s constitutional “debt brake” on deficit spending. A true coordinated global easing of both monetary and fiscal policy, would be very bullish for beaten-down growth-sensitive assets like equities and industrial commodities that have been focused on the shutdown of China’s economy in February to combat the spread of the virus. A true coordinated global easing of both monetary and fiscal policy, would be very bullish for beaten-down growth-sensitive assets like equities and industrial commodities that have been focused on the shutdown of China’s economy in February to combat the spread of the virus (Chart 2). It’s a different story for government bonds, however, as a rebound in yields from current depressed levels is not assured, even if monetary policy is eased further. This is because central bankers must maintain a dovish bias until the virus-driven uncertainty over global growth begins to fade, or else risk assets will riot once again. It’s all about financial conditions now, especially in the US where COVID-19 and the stock market selloff have become front-page news in a presidential election year. Chart 2How Quickly Will China Rebound? For example, the entire US Treasury curve now trades below the mid-point of the fed funds target range, with the market now pricing in a very rapid dovish move by the Fed (Chart 3). Chart 3A Big Grab For Global Duration Yield curves are now very flat in other major developed market (DM) economies, as well. This is partly due to the risk aversion bid for safe assets, which is evident in the deeply negative term premium component of bond yields. Flat curves also reflect a more long-lasting component, with markets pricing in lower equilibrium rates in the future. Investors are not only demanding immediate rate cuts to boost growth and stabilize financial markets, but also see little chance of those cuts eventually being reversed in the future. Chart 4Markets Increasingly Pricing In Global ZIRP Our simple proxy for the market expectation of the nominal terminal rate- the 5-year overnight index swap (OIS) rate, 5-years forward – is between 0-1% for all major DM countries (Chart 4). The implication is that investors are not only demanding immediate rate cuts to boost growth and stabilize financial markets, but also see little chance of those cuts eventually being reversed in the future. Chart 5Our Central Bank Monitors Say More Easing Is Needed Chart 6Global Yields Reflect Dovish Rate Expectations At the moment, our global Central Bank Monitors – a compilation of economic and financial variables that influence monetary policy decisions – are all signaling a need for rate cuts (Chart 5). This is a function of sluggish growth & weak inflation. The plunge in global government bond yields already reflects that dovish shift in market expectations for central banks. Our 12-month discounters, which measure the expected change in short-term interest rates over the next year as extracted from OIS curves, are all priced for lower policy rates in the US (-97bps as of last Friday’s close), the euro area (-15bps) the UK (-35bps), Japan (-17bps), Canada (-72bps) and Australia (-46bps) (Chart 6). In the US, the current level of the benchmark 10-year Treasury yield is consistent with the extended slump in US industrial activity – as measured by the fall in the ISM manufacturing index – and risk-off sentiment measures like the CRB Raw Industrials/Gold price ratio (Chart 7). Yet at the same time, financial conditions remain very accommodative despite last week’s selloff, suggesting that the US economy can potentially weather a bout of COVID-19 uncertainty – as long as the Fed does not disappoint by delivering fewer rate cuts than the market is demanding and creating another down leg in the equity market. Chart 7UST Yields Need To Stay Lower For Longer Outside the US, other central banks that have non-zero policy rates – like the Bank of Canada, Reserve Bank of Australia and Bank of England – can deliver on the rate cuts discounted in their OIS curves to fight a COVID-19 global growth downturn, if needed. Chart 8UST Bullishness Still Not At Historical Extremes The negative rate club of the ECB and BoJ, however, is far less likely to actually cut rates and will rely on greater asset purchases and forward guidance to try and provide more policy stimulus. We prefer to view duration exposure – on a tactical basis – as a hedge to owning risk assets like corporate bonds, where we see some value now opening up after last week’s selloff, rather than a way to express a directional view on interest rates where we have less visibility and conviction. So what should a bond investor do with duration exposure? It is a difficult call with so many uncertainties on global growth momentum, the spread of the virus outside China, the size of any monetary or fiscal policy stimulus measures, and the degree of risk aversion still evident in financial markets. We prefer to view duration exposure – on a tactical basis – as a hedge to owning risk assets like corporate bonds, where we see some value now opening up after last week’s selloff, rather than a way to express a directional view on interest rates where we have less visibility and conviction. Therefore, we are raising our recommended overall duration exposure to neutral this week on a tactical basis. At the same time, we are maintaining an underweight stance on government bonds versus an overweight on corporate debt. We think a true bottom in yields will be reached when there are more decisive signs that bond positioning has reached a bullish extreme, according to indicators like the JP Morgan duration survey and the Market Vane US Treasury bullish sentiment index (Chart 8). In our model bond portfolio, we are expressing that extension of duration by shifting exposure from shorter maturity buckets to longer duration buckets in most countries. While also increasing exposure to “higher-beta” government bond markets like the US and Canada, at the expense of lower-beta Japanese government bonds. Bottom Line: Raise overall global duration exposure to neutral on a tactical basis (0-3 months) until there is greater clarity on the full magnitude of the hit to global growth from the COVID-19 outbreak. Increase allocations to countries with higher yield betas, like the US and Canada, at the expense of low-beta markets like Japan. What To Do Next On … Spread Product Allocations Chart 9US HY Selloff Was Focused On Energy Names Last week’s equity market meltdown did spill over into corporate bond markets, with credit spreads widening for both investment grade and high-yield corporate debt in the US and Europe. In the US, however, the jump in high-yield spreads was particularly acute among Energy names, with the index option-adjusted spread (OAS) climbing over 1000bps as oil prices plunged (Chart 9). US high-yield ex-energy has been relatively more stable, with the spread climbing to 436bps, despite the surge in equity volatility. Stepping back and looking at US investment grade and high-yield corporates, more broadly, last week’s selloff has restored some value, most notably in high-yield. Stepping back and looking at US investment grade and high-yield corporates, more broadly, last week’s selloff has restored some value, most notably in high-yield.  According to our framework for calculating spread targets for global credit, last week’s selloff pushed US investment grade spreads back to our spread targets from very expensive levels (Chart 10).1 Baa-rated US investment-grade moved slightly above our spread target, but we would describe investment grade spreads as now overall fairly valued. US high-yield spreads, on the other hand, have widened well in excess of our spread targets across all credit rating tiers (Chart 11). Chart 10US Investment Grade Spreads Now Fairly Valued Chart 11US High-Yield Spreads Look Very Cheap In our framework, the spread targets are determined by looking at 12-month breakeven spreads – the amount of spread widening necessary to eliminate the yield cushion of owning corporates over government bonds on a one-year horizon – relative to their long-run history. We group those spreads according to phases of the monetary policy cycle, as defined by the slope of the US Treasury yield curve. The spread target is then calculated based on the median breakeven spread for that phase of the cycle. Currently, we are in “Phase 2” of the policy cycle, which means that the Treasury yield curve (10-year minus 3-year) is positively sloped between 0 and 50bps. In Charts 10 & 11, we add a new wrinkle to our existing way to present the spread targets. We also calculate the targets using the 25th and 75th percentile observations for the breakeven spreads for that phase of the monetary policy cycle. This gives us a range for the spread target that encompasses more of the historical data. Given the improved valuations in US junk bonds, however, we think increasing allocations in our model bond portfolio makes sense. The spread widening in US high-yield has very clearly restored value to spreads, which are well above the upper level of our spread target range. The same cannot be said for US investment grade, where spreads are in the middle of the target range. Chart 12European Corporates Now Offer Better Value Based on this analysis, we remain comfortable in maintaining our neutral recommended stance on US investment grade corporates and overweight stance on US high-yield. Given the improved valuations in US junk bonds, however, we think increasing allocations in our model bond portfolio makes sense. Thus, this week, we are adding to our recommended high-yield exposure (see Page 12). That increased allocation is “funded” by reducing our US Agency MBS exposure from overweight to neutral. Our colleagues at BCA Research US Bond Strategy are concerned that MBS spreads are likely to widen in the next few months to reflect the higher prepayment risk from the recent steep fall in US mortgage rates. One final note: our spread target framework for euro area corporates also indicates that last week’s global risk-off event also restored some value to European credit (Chart 12). Thus, we are maintaining our recommended overweights for both euro area investment grade and high-yield. Bottom Line: The widening of global corporate bond spreads during last week’s equity market correction was relatively modest, suggesting that the COVID-19 outbreak has not become a credit event that raises downgrade/default risks. Maintain an overall overweight allocation to global corporates versus government bonds. Downgrade US MBS to neutral, however, given the risk of higher prepayments from falling mortgage rates.   Robert Robis, CFA Chief Fixed Income Strategist rrobis@bcaresearch.com Footnotes 1 We presented our framework for calculating global corporate spread targets, which builds on the work from our US Bond Strategy sister service, back in January. Please see BCA Research Global Fixed Income Strategy Special Report, "How To Find Value In Global Corporate Bonds", dated January 21, 2020, 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 The near-term path for the DXY remains up. Uncertainty about the trajectory of global growth is a potent tailwind. Central bank ammunition will eventually put a floor under global growth, but it remains a powerless weapon until animal spirits are revived. The signal on when to sell the DXY will originate from the internal dynamics of financial markets. We elaborate on a few key indicators in this report. Long-yen bets remain cheap insurance against a rise in FX volatility. Remain short USD/JPY and CHF/JPY. Until recently, the CAD had proved resilient amid the recent market turmoil. With close ties to the US, the safe-haven umbrella had sheltered the CAD from the vicious downdraft in other commodity currencies. The forces of mean reversion will pressure the CAD at the crosses. We were stopped out of our long AUD/USD trade with a loss of 2.9%. The important lesson is to stand aside when markets start to deviate from fundamentals. Feature Chart I-1Mixed Messages From Bond And Currency Markets Various market participants will look at the recent market action through different lenses. Long equity investors could easily consider this to be a healthy correction necessary to sustain the bull market in stocks. After all, the S&P 500 remains 29% above its 2018 lows, making the 10% peak-to-trough decline essential to flush out stale longs. Bond investors could see the decline in yields through two lenses: 1) a goldilocks scenario where growth eventually rebounds but central banks remain accommodative or 2) a malignant scenario where the cascading resurgence of the virus outside of Wuhan, China tethers the global economy to recession. The inversion of the yield curve in the US certainly supports  scenario 2. As for currency markets, it is becoming more and more evident that pro-cyclical pairs are pricing in an Armageddon scenario (Chart I-1). It is implausible to accurately discern the collective data being discounted in financial markets, especially when the turnover of information is as fluid and rapid as today. That said, there have been a few key market signals that have been sending a consistent message that one can pay heed to. The collective assessment is to stand aside on the dollar (and risk assets) for now. The Message From Financial Markets As a countercyclical currency, the message from high frequency growth/liquidity indicators is that the path of least resistance for the DXY remains up over the next few weeks. Chart I-2Mixed Messages From Stocks And Currencies Chart I-2 shows that the rise in global stocks was already discounting an improvement in global manufacturing in an order of magnitude similar to the 2012 and 2016 episodes. However, currency markets had been discounting a much more subdued recovery (bottom panel). What has become evident in recent days in that the stock market got the story wrong, at least in terms of timing. Currently, stocks are still pricing a continued cyclical bounce in global manufacturing activity (albeit less impressive), while currency markets are pricing in outright deterioration. So directionally, both markets are sending the same message, but they disagree in terms of magnitude.  What is remarkable is that over the past few days, currency markets that were already poised for a malignant growth outcome are still selling off indiscriminately, with our favorite greed/fear barometers making fresh lows. If we had a strong certainty that global growth was on a path toward a V-shaped recovery, then currency performance could be interpreted as a sign of capitulation. But given the uncertainty now tainted around the nascent recovery we witnessed early this year it also warns against bottom-fishing at current levels. For example, peak-to-trough, the AUD/JPY, a key barometer of greed versus fear in currency markets, is down 28% and on the verge of breaking below the key 70-72 support zone. The performances of even more high-octane currency pairs such as the RUB/JPY, the ZAR/JPY or even the BRL/JPY have been dismal. As these pairs break through key support zones, it could trigger a flurry of sell orders that would reinforce the downtrend. Europe, Asia and emerging markets have a much higher concentration of cyclical stocks in their bourses compared to the US. Thus, whenever cyclical sectors are underperforming defensives at the same time that non-US markets are underperforming US ones, it is a clear sign that the marginal dollar is rotating towards the US. In a nutshell, the performance of more cyclical currencies will require confirmation of a breakout in their relative equity market performance. This applies to both emerging and developed market currencies (Chart I-3). So far, this has not been the case. The backdrop could be extremely attractive valuations, but the catalyst will have to be capitulation from current sellers of cyclical stocks. The performance of more cyclical currencies will require confirmation of a breakout in their relative equity market performance. Chart I-3ACapital Keeps Flowing Out Of Cyclical Markets Chart I-3BCapital Keeps Flowing Out Of Cyclical Markets The 2015-2016 roadmap was instructive on when such a capitulation might occur. Even as the market was selling off, certain cyclical sectors such as industrials started to outperform defensives ones (Chart I-4). This was a clear sign that selling pressure in cyclical sectors had been exhausted. The overall market bottomed eight months later, along with a peak in the dollar. The signal from bond yields is that non-US currencies should be outperforming. This is reflected by the fact that the drop in bond yields has been much more pronounced in the US across the curve spectrum. Currencies tend to rise with relative yields for the simple reason that markets need to make an investor indifferent between buying the currency today or in the future. If yields are higher today, the forward rate will be lower, discounting expected depreciation in the higher-yielding currency. Since the financial crisis, it has been rare that this correlation breaks down (Chart I-5). The only way one can square falling US rates with a rising dollar today is that Federal Reserve rate cuts will be most potent on the US domestic sector, helping the US consumer charge the eventual rebound in global growth. My colleague Mathieu Savary argues that this could indeed be the backdrop for the dollar over the next two-to-three years. Chart I-4Pay Heed To Subtle Divergences Chart I-5Interest Rates And The Dollar As for the near term, what is clear is that US growth continues to outperform, which is supportive of the dollar. The sharp drop in the economic surprise index for the G10 relative to the US supports this view (Chart 6). In commodity markets, the copper-to-gold and oil-to-gold ratios are breaking down along with government bond yields. This clearly signifies that the liquidity-to-growth transmission mechanism is impaired (Chart I-7). “Force majeures” are rare, so the fact that China has already issued more than 1,600 certificates covering copper, liquefied natural gas, and coal imports reveals an inherent belief that the slowdown will be genuine and meaningful. Chart I-6The US Still Has Positive Growth ##br##Surprises Chart I-7Commodity Markets Are Sending A Distress Signal Earnings revisions are heading lower across a swathe of geographies. Bottom-up analysts are usually less certain about the level of earnings but spot on about the direction (Chart I-8). Not surprisingly, the downgrades have been driven by emerging markets, meaning that return on capital will be best sought in less-cyclical bourses such as the US. Momentum-wise, being long the US dollar is becoming a captivating trade. 75% of currencies are currently falling versus the dollar. The history of this indicator is that it has usually required a move into overbought conditions before a bet on a playable reversal can be justified (Chart I-9). Chart I-8Earnings Revisions In EM Have Fallen Off A Cliff Chart I-9A Growing Consensus Of Short Dollar ##br##Trades On a cyclical horizon (over the next year), we remain dollar bears given our inherent belief that the shock from the virus will soon dissipate, and green shoots from global growth will reemerge. However, for more tactical investors, momentum currently favors the greenback. In addition to the indicators above, we are also monitoring global growth economic barometers on when to time a shift away from the DXY. On Volatility And Safe Havens The dollar is expensive across most measures of purchasing power, but less so when other fundamental factors such as interest-rate differentials and productivity trends are taken into consideration. The risk is that, as a reserve currency, the dollar rally continues unimpeded by valuation and sentiment concerns for the time being (Chart I-10). This is not our base case, but the probability of such a scenario is not zero. More importantly, currency volatility remains near record lows as the latest dollar rally simply supercharges a trend in place over the past decade (Chart I-11). Every seasoned investor does and should pay attention to low volatility. Over the last three episodes where volatility dropped to these levels, the dollar soared and pro-cyclical currencies suffered severe losses. Everyone remembers 1997-1998, 2007-2008, and 2014-2015. So far, the risk is that this time will be the same. Chart I-10The Dollar Is Expensive, But Not Excessively So Chart I-11Currency Volatility Remains ##br##Depressed Most clients acknowledge that recent US dollar purchases have been on an unhedged basis. This means as long as nominal US yields remain above those in the rest of the world, this trend can continue. That said, the prospect for real capital losses should the consensus long-dollar trade be wrong is non-negligible. The dollar has been in a bull market since 2011, but the shift in valuations has simply unwound the undervaluation gap. The dollar tends to run in long cycles, and a decisive move into much overvalued territory is possible (though again, not our base case). US Treasurys have started to outperform gold, suggesting the US dollar is becoming, at the margin, the currency of preference for safety (Chart I-12).   The gap between the USD/JPY and real rates has opened up a rare arbitrage opportunity. The yen provides valuable portfolio insurance at this economic crossroads. One of the most potent moves in rate markets has been the +135-basis-point move in favor of Japanese yields (Chart I-13). More importantly, the gap between the USD/JPY and real rates has opened up a rare arbitrage opportunity. Should a selloff in global risk assets materialize, the yen will strengthen. On the other hand, if global growth does eventually accelerate, the yen will surely weaken on its crosses but could still strengthen vis-à-vis the dollar. Chart I-12The Signal From Bonds Versus Gold Chart I-13JGBs Are Becoming Attractive This win-win situation for the yen hinges on three key pivotal developments: For most of the past five years, the Bank of Japan was one of the most aggressive central banks in terms of asset purchases. This was a huge catalyst for a downturn in the trade-weighted yen (Chart I-14). With renewed expansion of the Fed’s balance sheet, monetary policy is tightening on a relative basis in Japan. Movements in the yen are as influenced by external conditions as what is happening domestically, given Japan’s huge export sector. For example, the yen reacts very potently to moves in the VIX (Chart I-15). The yen is a very cheap currency, and the latest selloff has all but assured further depreciation into undervalued territory. As we will illustrate in an upcoming report, it pays to be contrarian when it comes to currency valuations, albeit over the longer term (Chart I-16). Chart I-14The BoJ And QE: No More Bullets Chart I-15The Yen Is Still A Risk Off Currency Chart I-16A Win-Win Dynamic For Long Yen Positions In a situation where global growth does improve, the yen will tend to weaken, given that it is usually used to fund carry trades. That said, our contention is that the yen will surely weaken at the crosses but could still strengthen versus the dollar. This is because the USD/JPY and the DXY tend to have a positive correlation, since the dollar drives the yen most of the time. More conservative investors can remain short CHF/JPY. The authorities at the Swiss National Bank must be pacing up and down over the impact of a strong currency in a deflationary world. Given that Swiss interest rates are the lowest in the G10, the CHF becomes the only tool of adjustment to inflate domestic prices. Selling the franc and loading up on US and international stocks as they correct is a foolproof way cushion the business cycle in Switzerland. Meanwhile, inflation differentials with the US have been lower in Japan compared to Switzerland, but the franc has been stronger. This suggests that, as a safe haven, the franc is incrementally more expensive than the yen. Bottom Line: The yen is the most attractive safe-haven currency at the moment. Remain short USD/JPY and CHF/JPY. We are widening our stops on both trades to account for the rise in market volatility.    Chester Ntonifor Foreign Exchange Strategist chestern@bcaresearch.com Currencies US Dollar Chart II-1USD Technicals 1 Chart II-2USD Technicals 2 Recent data in the US have been mostly positive: The Markit preliminary manufacturing PMI decreased to 50.8 from 51.9 in February. New home sales jumped by 7.9% month-on-month in January.  Consumer confidence increased slightly to 130.7 from 130.4 in February. Durable goods orders slipped 0.2% month-on-month while nondefense capital goods orders excluding aircraft grew 1.1% month-on-month in January. The DXY index depreciated by 1.2% this week. Markets sold off dramatically on the back of renewed fears about Covid-19. While markets are pricing in 71 basis points of easing over the next 12 months, Fed Vice Chair Clarida emphasized a wait-and-see approach. Fed inaction places a near-term bid on the dollar, though longer term, we remain bearish. Avoid outright dollar bets for now.   Report Links: On The DXY Breakout, Euro, And Swiss Franc - February 21, 2020 Building A Protector Currency Portfolio - February 7, 2020 Currency Market Signals From Gold, Equities And Flows - January 31, 2020   The Euro Chart II-3EUR Technicals 1 Chart II-4EUR Technicals 2 Recent data in the euro area have been positive: The Markit manufacturing PMI improved to 49.1 from 47.9 while the services PMI increased to 52.8 from 52.5 in January. This nudged the composite PMI further into expansion territory at 51.6. Core CPI came in at 1.4% year-on-year in January. Sentiment improved in the euro area this week. In February, the economic sentiment indicator increased to 103.5 from 102.6, the business climate indicator improved to -0.04 from -0.19, and the industrial confidence moved up to -6.1 from -7.    In Germany, the closely watched IFO survey bounced to 96.1, driven by the expectations component. So far, the V-shaped recovery in European manufacturing expectations appears un-derailed. The euro appreciated by 1.4% against the US dollar this week. Following the powerful upward momentum that we saw in the DXY index over the last few days, some specter of mean reversion is not a surprise. This week, President Lagarde reiterated the need for fiscal measures to combat climate change, which will also be euro-bullish beyond Covid-19.    Report Links: On The DXY Breakout, Euro, And Swiss Franc - February 21, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 On Money Velocity, EUR/USD And Silver - October 11, 2019 The Yen Chart II-5JPY Technicals 1 Chart II-6JPY Technicals 2 Recent data in Japan have been mostly negative: The national CPI grew by 0.7% in January, decreasing slightly from 0.8% the previous month. More instructive will be the Tokyo CPI print released as we go to press. The Jibun Bank manufacturing PMI declined to 47.6 from 48.8 in February. The coincident index decreased to 94.1 while the leading economic index increased to 91.6 in December. The Japanese yen appreciated by 2% against the US dollar this week. As we go to press, Japan is temporarily closing all schools to temper the spread of the coronavirus. Domestically, data were weak already with the PMI weighed down by new orders and output prices. Tourism, a key source of domestic demand, has also been hit hard. As a safe-haven currency, a risk-off scenario will only trigger repatriation flows benefitting the yen.   Report Links: Building A Protector Currency Portfolio - February 7, 2020 Currency Market Signals From Gold, Equities And Flows - January 31, 2020 Portfolio Tweaks Before The Chinese New Year - January 24, 2020 British Pound Chart II-7GBP Technicals 1 Chart II-8GBP Technicals 2   Recent data in the UK have been positive: The Markit manufacturing PMI increased to 51.9 from 50 while the services PMI decreased to 53.3 from 53.9 in February. That still underpinned a solid composite PMI at 53.3. The BRC shop price index declined by 0.6% year-on-year in January.   The British pound was flat against the US dollar this week. BoE deputy governor Cunliffe took a somewhat hawkish tone, stating that “there is not much monetary policy can do” in the case of a supply shock from Covid-19. Uncertainty over monetary policy, Brexit and Covid-19 are now compounding influences on pound volatility.  Our bias is a trading range for GBP-USD between 1.28-1.32 until a clear catalyst emerges.   Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 A Few Trade Ideas - Sept. 27, 2019 United Kingdom: Cyclical Slowdown Or Structural Malaise? - Sept. 20, 2019 Australian Dollar Chart II-9AUD Technicals 1 Chart II-10AUD Technicals 2 Recent data in Australia have been mixed: The value of construction work done in Q4 2019 contracted by 3% quarter-on-quarter, improving from a contraction of 7.4% the previous quarter. Private capital expenditure contracted by 2.8% quarter-on-quarter in Q4 2019, worsening from a contraction of 0.4% the previous quarter. The Australian dollar depreciated by 0.6% against the US dollar this week. Australia is more exposed to negative developments regarding Covid-19, given strong ties to China. Weak data on investment and consumption have also suppressed the Australian dollar recently. Notwithstanding, AUD/USD, now at post-crisis lows, looks deeply oversold. We were stopped out of our long AUD/USD trade for a loss of 2.9%. For risk management purposes, we are standing aside.   Report Links: On AUD And CNY - January 17, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 A Contrarian View On The Australian Dollar - May 24, 2019   New Zealand Dollar Chart II-11NZD Technicals 1 Chart II-12NZD Technicals 2 Recent data in New Zealand have been mixed: Exports decreased to NZD 4.7 billion from NZD 5.5 billion while imports were flat at NZD 5.1billion in January. The monthly trade balance was in a deficit of NZD 340 million in January.   The ANZ business confidence indicator worsened to -19.4 from -13.2 in January. Retail sales grew by 0.7% quarter-on-quarter in Q4 2019, declining from a 1.7% expansion in Q3 2019. The New Zealand dollar depreciated by 0.1% against the US dollar this week. Like its antipodean partner, New Zealand is highly exposed to the slowdown in the Chinese economy. In the short-term, tourism will be hit hard, as will other service industries. This environment will not be favorable for long NZD trades.      Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 Place A Limit Sell On DXY At 100 - November 15, 2019 USD/CNY And Market Turbulence - August 9, 2019   Canadian Dollar Chart II-13CAD Technicals 1 Chart II-14CAD Technicals 2 Recent data in Canada have been mixed: Retail sales growth remained flat month-on-month at 0.5% in December, slowing significantly from growth of 1.1% the previous month. Wholesale sales grew by 0.9% month-on-month in December, improving from a contraction of 1.1% the previous month. The current account deficit narrowed to CAD 8.76 billion from CAD 10.86 billion in Q4 2019. We get GDP data this Friday morning, and we anticipate a nascent recovery put at risk from Covid-19.  The Canadian dollar depreciated by 0.7% against the US dollar this week. In addition to global risk-off flows, the Canadian dollar was hurt by the sharp decline in oil prices, which are now close to 2019 lows. Uncertainty has led markets to price in 52 basis points of further easing from the BoC. This will support our long EUR/CAD trade going forward.   Report Links: The Loonie: Upside Versus The Dollar, But Downside At The Crosses Updating Our Balance Of Payments Monitor - November 29, 2019 Making Money With Petrocurrencies- November 8, 2019   Swiss Franc Chart II-15CHF Technicals 1 Chart II-16CHF Technicals 2 There is scant data out of Switzerland this week: The expectations component of the ZEW survey declined to 7.7 from 8.3 while the current situation component declined to 15.4 from 29.2 in February. The Swiss franc appreciated by 1.5% against the US dollar this week. This must be sending shock waves along SNB corridors. Domestic data remain weak but, as with the Japanese yen, the franc was propped up by safe-haven flows. In the near-term, expect the franc to trade more on global sentiment rather than economic fundamentals. EUR/CHF strengthened slightly over the past few days but remains close to historic lows. The SNB will be watching carefully for signs of sustained strength in the franc and will act as needed to prevent rampant appreciation.   Report Links: On The DXY Breakout, Euro, And Swiss Franc - February 21, 2020 Currency Market Signals From Gold, Equities And Flows - January 31, 2020 Portfolio Tweaks Before The Chinese New Year - January 24, 2020   Norwegian Krone Chart II-17NOK Technicals 1 Chart II-18NOK Technicals 2 Recent data in Norway have been positive: The unemployment rate decreased to 3.9% from 4% in December.  Retail sales grew by 0.5% month-on-month in January, improving from a contraction of 2% in the previous month. The Norwegian krone depreciated by 0.7% against the US dollar this week. The petrocurrency was hurt by falling oil prices which triggered a 9.7% decline in the Oslo Bors All-Share Index this week. At 1.5%, the Norway’s policy rate is among the highest in developed markets. If the economy remains weak and there is another global easing cycle, the Norges Bank will feel the pressure. We remain short USD/NOK but acknowledge that this trade could continue to underperform in the next few days.    Report Links: Building A Protector Currency Portfolio - February 7, 2020 On Oil, Growth And The Dollar - January 10, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019   Swedish Krona Chart II-19SEK Technicals 1 Chart II-20SEK Technicals 2 Recent data in Sweden have been positive: Consumer confidence improved to 98.5 from 92.6 in February. The producer price index contracted by 0.4% year-on-year in January. The trade balance moved into a surplus of SEK 9.9 billion from a deficit of 2.3 billion. Retail sales grew by 2.7% year-on-year in January, slowing slightly from 2.8% the previous month. Capacity utilization decreased to -2.1% in Q4 2019 from 0.5% the previous quarter. The Swedish krona appreciated by 1.3% against the US dollar this week. Usually, when a currency is cheap, the undervaluation starts to show up in external balances as was the case with Sweden trade data. The key concern for the Riksbank at the moment will be the impact of the negative oil price shock on its inflation forecast as well as the impact of Covid-19 on external demand.   Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 Where To Next For The US Dollar? - June 7, 2019 Balance Of Payments Across The G10 - February 15, 2019   Footnotes Trades & Forecasts Forecast Summary Core Portfolio Tactical Trades Limit Orders Closed Trades

Highlights For stock markets, the best inoculation against Covid-19 is ultra-low bond yields. Our tactical underweight to equities versus bonds achieved its 5 percent profit target and is now closed. We are now awaiting the fractal signal to go tactically overweight (Chart of the Week). Price to sales is a much better predictor of 10-year returns than is price to earnings, especially when profit margins are stretched as they are now. New long-term recommendation: overweight Swedish equities versus bonds. Germany and Switzerland also offer attractive excess 10-year equity returns over bonds. Fractal trade: the 130 percent outperformance of palladium versus nickel in just six months is now technically stretched. Chart of the WeekStocks Are Approaching Oversold – Stay Tuned For Stock Markets, The Best Inoculation Against Covid-19 Is Ultra-Low Bond Yields A global slowdown, exacerbated by the Covid-19 virus contagion, is dominating the news and financial headlines. There are worries that the stock market is still in denial and has a long way to fall – rather like Wile E. Coyote suspended in disbelief as he runs over the cliff-edge. In fact, some of the most economically sensitive equity sectors have already fallen a long way. For example, the oil and gas sector is down by 20 percent (Chart 2). Chart I-2Economically Sensitive Sectors And Bond Yields Have Plunged Meanwhile, bond yields have plunged to new lows, and in some cases all-time lows. Hence, we are pleased to report that our tactical underweight to equities versus 10-year bonds, initiated on January 9, has achieved its 5 percent profit target and is now closed.1 We are now awaiting the fractal signal to go tactically overweight. Bond yields have plunged to new lows. Having said that, when the world economy is set to grind to a halt in the first quarter, and halfway to a recession, is a 5 percent underperformance of equities versus bonds enough? There is certainly scope for some further downside, but for investors with a multi-year horizon, equities still win the ugly contest versus bonds. Where bond yields are approaching the lower limit to their yields – around -1 percent – it means they are approaching the upper limit to their prices. Hence, bonds become a ‘lose-lose’ proposition. Bond prices cannot rise much further, even in an economic slump, but they can fall a lot if sentiment suddenly recovers. As the riskiness of bonds rises relative to equities, the prospective return that investors will accept from equities rapidly collapses to the ultra-low level of bond yields. And as valuation is just the inverse of prospective return, this underpins and justifies an exponentially higher valuation of equities. How can we best gauge the prospective (long-term) returns that equities now offer? To answer this question, we need to take a Japanese lesson. A Japanese Lesson: Price To Sales Is The Best Predictor Of Prospective Return A great advantage of being a European investor is that the difficult investment questions have already been asked and answered by our friends in Japan – so we just need to take some Japanese lessons. One of the most important lessons is that the Japanese stock market’s price to sales multiple has a near-perfect predictive record for Japanese 10-year returns since the 1980s.2 For world equities, market capitalisation to GDP (which broadly equates to price to sales at a world level) also has a near-perfect predictive record for 10-year returns since the late 1990s.3 The corollary lesson is that the price to earnings multiple – either based on 12-month trailing or 12-month forward earnings – is not such a good predictor of prospective return. Price to earnings wrongly pinpointed Japan’s highest valuation in 1994 rather than at the peak of the bubble in 1989. Moreover, since 2000, price to earnings has suggested that Japan’s stock market is cheaper than it truly is, and grossly overestimated prospective returns. Price to earnings made the same mistake for world equities in the mid-noughties, understating valuations and thereby overestimating prospective returns. The trouble with price to earnings is that it takes no account of the likely evolution of profit margins – treating a stock market multiple of, say, 30 on a high profit margin the same as 30 on a low profit margin. The problem is that when the market is trading at 30 on a low margin it has the capacity for higher profit growth through margin expansion – and thereby a higher prospective return – than when it is trading at 30 on a high margin (Chart 3). Chart I-3Price To Earnings Takes No Account Of Changing Profit Margins It follows that a high price to earnings on a low profit margin makes the market appear more expensive than it truly is, and thereby underestimates prospective returns. In 1994, Japan appeared to be more expensive than at the peak of the bubble in 1989 because profit margins halved through 1989-94. The trouble with price to earnings is that it takes no account of the likely evolution of profit margins. Conversely, a low price to earnings on a high profit margin makes the market appear less expensive that it truly is, and thereby overestimates prospective returns (Chart 4 and Chart 5). Chart I-4Price To Sales Has An Excellent Predictive Record In Japan… Chart I-5…Whereas Price To Earnings Has Made Many Mistakes   In the mid-noughties, Japan appeared to be less expensive than it truly was because profit margins surged through 2001-07. The same was true for world equities. Hence, price to earnings grossly overestimated the prospective long-term return in 2007 (Chart 6). Chart I-6Profit Margins Are At Generational Highs Price to sales avoids the mistakes of price to earnings by removing profit margins from the equation. Put another way, it is like using price to earnings with a constant long-term profit margin. This tends to be more prudent – especially today when margins are close to generational highs and facing several threats in the coming years. One threat to profit margins comes from a growing populist backlash against record high corporate profitability, especially in the most profitable sectors. The threat manifests through populist politicians or parties which vow to rein in runaway profitability through higher taxes and/or regulation and/or nationalisation. Think Bernie Sanders. A second threat comes from environmental, social, and corporate governance (ESG). Think carbon taxes. A third threat comes the possible break-up of the pseudo-monopoly tech behemoths, killing both their pricing power and market penetration. Think antitrust suit against Google or Facebook. Admittedly, this is likely to be a US focussed threat, but the impact on stock markets would be felt worldwide. Given these threats, long-term investors should assume some pressure on profit margins from today’s generational highs. Accordingly, just as in 2007, price to sales is likely to be a much better predictor of prospective returns than is price to earnings (Chart 7 and Chart 8). Chart I-7At A World Level, Market Cap To GDP Has An Excellent Predictive Record… Chart I-8…Whereas Price To Earnings Was Very Wrong In 2007 Sweden Is An Attractive Long-Term Opportunity Price to sales predicts that stock markets, on average, are set to deliver feeble single-digit total nominal returns over the coming decade. Nevertheless, with bond yields even closer to zero, and the riskiness of bonds much higher at ultra-low yields, equities still beat bonds in the ugly contest of long-term prospective returns. In fact, in those countries where bond yields are approaching their lower limit of around -1 percent – meaning bond prices are approaching their upper limit – equities win the contest more handsomely. On this basis, the stock markets in Germany and Switzerland offer attractive excess 10-year returns over their bond markets. But the most attractive long-term opportunity is Sweden. Based on its price to sales multiple, Sweden’s stock market is set to deliver around 6 percent a year over the coming decade (Chart 9). Chart I-9Sweden’s Stock Market Is Set To Deliver 6 Percent A Year Given that Sweden’s 10-year bond yield is negative, Sweden’s stock market takes the honour of offering one of the world’s highest excess 10-year returns over its bond market (Chart 10). Chart I-10Sweden’s Stock Market Has The Highest Excess Return Over Bonds Accordingly, we are adding Sweden to our existing structural overweight to equities versus long-dated bonds in Germany, in a 50:50 combination. Fractal Trading System* As discussed, we are pleased to report that underweight S&P 500 versus the 10-year T-bond achieved its 5 percent profit target and is now closed. Elsewhere, the palladium price has surged. In just six months, palladium has outperformed nickel by 130 percent, making its 130-day fractal structure extremely fragile. Accordingly, this week’s recommended trade is short palladium versus nickel, setting a profit target of 32 percent with a symmetrical stop-loss. The rolling 1-year win ratio now stands at 60 percent. 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.   Dhaval Joshi Chief European Investment Strategist dhaval@bcaresearch.com   * 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 Footnotes 1 Our expression of this was underweight S&P 500 versus US 10-year T-bond. 2 Prospective returns are nominal total (capital plus income) 10-year returns, shown as an annualised rate. 3 Price/sales per share = (price*number of shares)/(sales per share * number of shares) = market capitalisation/total sales. At a global level, total sales broadly equal GDP, so price/sales per share = market capitalisation/GDP. But note that this does not apply at a regional or country level because sales can originate from outside the domestic economy.. Fractal Trading System Cyclical Recommendations Structural Recommendations 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 The elevated uncertainty about global growth stemming from the COVID-19 virus in China has not only made investors more anxious, but central bankers as well. This means that, only six weeks into the year, policymakers may already be having to rethink their expected strategies for 2020 - which were, for the most part, sitting on hold after the monetary easing in 2019. This has important implications for the direction of global bond yields, which were starting to see a cyclical increase before the viral outbreak. In this report, we present what we see as the most important data for investors to focus on in the major developed markets to get the central bank call correct. This is based on our interpretation of recent speeches, press conferences and published research. We also provide our own suggested data series to watch for each country – which do not always line up with what central bankers are saying they are most worried about. We conclude that it is still not clear that the global growth backdrop has turned sustainably more bond bullish, but there is no pressure on any of the major central banks to move away from extremely accommodative policy settings. Feature Over the past four weeks, all of the major central banks have had the opportunity to formally communicate their current views to financial markets. Whether it was through post-policy- meeting press conferences or published monetary policy reports, central bankers have tried to signal their intentions about future changes in the direction of interest rates, given the heightened uncertainties about the momentum of global growth. At the moment, our global leading economic indicator (LEI) is still signaling that 2020 should see some rebound in global growth – and bond yields – after the sharp 2019 manufacturing-led slowdown (Chart 1). Unfortunately, the latest read on the global LEI uses data as of December, so it does not include what is almost certainly to be a very severe slowdown in the Chinese (and global) economy in the first quarter of 2020 due to the COVID-19 virus outbreak. Underlying stories within each developed market economy – on growth, inflation and potential financial imbalances – suggest that the additional interest rate cuts now discounted globally may not come to fruition if the China shock is contained to the first quarter of the year.  Central bankers are in the same spot as investors, trying to ascertain the extent of the hit to global growth from the virus, both in terms of size and, more importantly, duration. This comes at a time when many central banks were already formally rethinking how to meet their own individual inflation-targeting mandates given the persistence of low global inflation alongside tight labor markets (Chart 2). Chart 1Global Bond Yields: Think Globally, Act Locally Chart 2Common Worries For All CBs: China & Global Inflation That all sounds potentially very bond-bullish, but a lot of bad economic news is already discounted in the current low level of global bond yields. More importantly, the underlying stories within each developed market economy – on growth, inflation and potential financial imbalances – suggest that the additional interest rate cuts now discounted globally may not come to fruition if the China shock is contained to the first quarter of the year. In this Weekly Report, we provide a brief synopsis of what we believe are the biggest concerns for each of the major developed economy central banks. This is based on our read of recent policy decisions and central banker statements, as well as our own understanding of the current reaction function of policymakers. Our intention is to provide a short list of indicators to watch for each central bank, to help cut through the noise of data and news during this current period of unusual uncertainty, as well as our own assessment of what policymakers should be focusing on more. We conclude that it is still too soon to expect a new wave of bond-bullish global monetary policy easings in 2020. It will take evidence pointing to an extended shock to global growth from the COVID-19 virus to reverse the bond-bearish signal from other indicators like our global LEI. Federal Reserve Chart 3Federal Reserve: Focus On Financial Conditions & Inflation Expectations Currently, the Fed’s commentary suggests a policy bias that can be described as “neutral-to-dovish”, but it is giving no indication that additional rate cuts are likely in 2020 after the 75bps of cuts last year. Markets remain skeptical, however, with -42bps of cuts over the next twelve months now priced into the USD overnight index swap (OIS) curve according to our Fed Discounter (Chart 3). What the Fed seems most focused on: Fed officials seem focused on measures of market-based inflation expectations, like TIPS breakevens, as the best indication that current policy settings are appropriate (or not) relative to the growth outlook of investors. While FOMC members have expressed concern about TIPS breakevens being persistently below the 2% inflation target, they would not necessarily respond to a further decline in breakevens with more rate cuts without first seeing the US Treasury curve becoming inverted for a prolonged period, just like in 2019 (middle panel). Right now, with the 10-year TIPS breakeven at 1.67% and the 10-year/3-month US Treasury curve now at only -1bp, another decline in longer-term inflation expectations will likely invert the Treasury curve. What the Fed should be more focused on: US financial conditions are highly stimulative, with equity indices back near all-time highs and corporate credit spreads remaining well-contained at tight levels. Given the usual lead times of financial conditions indices to US cyclical growth indicators like the ISM manufacturing index (bottom panel), a continuation of the most recent bounce in the ISM is still the most likely result – even allowing for a near-term hit to global growth from China. While FOMC members have expressed concern about TIPS breakevens being persistently below the 2% inflation target, they would not necessarily respond to a further decline in breakevens with more rate cuts without first seeing the US Treasury curve becoming inverted for a prolonged period, just like in 2019. Bottom Line: The incoming US growth data is critical to determine the Fed’s next move. If there is no follow through from easy financial conditions into faster growth momentum, the odds increase that the Treasury curve will become more deeply inverted for a longer period of time – an outcome that would likely prompt more rate cuts, especially if equity and credit markets also begin to sell off as growth disappoints. European Central Bank Chart 4ECB: Focus On Manufacturing & Inflation Expectations The ECB has been clearly signaling that it still has a dovish bias, although central bank officials have acknowledged that the options available to them to ease further are limited with policy rates already in negative territory. The market agrees, as there are only -7bps of cuts over the next twelve months now priced into the EUR OIS curve according to our ECB Discounter (Chart 4). What the ECB seems most focused on: The ECB has been paying the most attention to the contractions in euro area manufacturing data (like PMIs) and exports seen in 2019. Rightly so, as nearly all of the two percentage point decline in year-over-year euro area real GDP growth since the late-2017 peak has come from weaker net exports. The central bank has also been concerned about the depressed level of inflation expectations, with the 5-year EUR CPI swap rate, 5-years forward, now at only 1.23% - far below the ECB’s inflation target of “at or just below” 2%. What the ECB should be more focused on: We agree that the focus for the ECB should be most concerned about the weakness in manufacturing/exports and low inflation expectations – the latter having not yet responded to extremely stimulative euro area financial conditions (most notably, the weak euro). The euro area economy is highly leveraged to Chinese demand, with exports to China representing 11% of total euro area exports. This makes leading indicators of Chinese economic activity, like the OECD China LEI and the China credit impulse, critically important indicators in determining the future path of European export demand. The COVID-19 outbreak in China could not have come at a worse time for the ECB, as there have been tentative signs of stabilization in cyclical euro area indicators like manufacturing PMIs in recent months. Bottom Line: The COVID-19 outbreak in China could not have come at a worse time for the ECB, as there have been tentative signs of stabilization in cyclical euro area indicators like manufacturing PMIs in recent months. If the China demand shock to euro area exports is large enough, the ECB will likely be forced to deliver a modest interest rate cut – or an expansion of the size of its monthly asset purchases – to try and boost growth. Bank Of England Chart 5Bank Of England: Focus On Business Sentiment & Labor Costs The Bank of England (BoE) has a well-deserved reputation as having an unpredictable policy bias under outgoing Governor Mark Carney, but the central bank does appear to be currently leaning on the moderately dovish side of neutral. Short-term interest rate markets also feel the same way, with -19ps of easing over the next twelve months priced into the GBP OIS curve according to our BoE Discounter (Chart 5). What the BoE seems most focused on: The BoE has been paying a lot of attention to indicators of UK business sentiment, which had been negatively impacted by both Brexit uncertainty and global trade tensions in 2019. The BoE has focused on the link from depressed business sentiment to weak investment spending and anemic productivity growth as an important reason why UK potential GDP growth has been so low and why UK inflation expectations have been relatively high. What the BoE should be more focused on: We agree that business sentiment should be the BoE’s greatest area of focus. Sentiment has shown a solid improvement of late, after the signing of the “phase one” US-China trade deal in December and the formal exit of the UK from the EU on January 31. The CBI Business Optimism survey (measuring the net balance of optimists versus pessimists) soared from -44 in October to +23 in January – the biggest quarterly jump ever recorded in the series. It remains to be seen if this improvement in confidence can be sustained and begin to arrest the steady decline in UK capital spending and productivity growth, and the associated surge in unit labor costs and inflation expectations, that has taken place since the 2016 Brexit vote. Bottom Line: The BoE’s next move, under the new leadership of incoming Governor Andrew Bailey, is not clear. Inflation expectations remain elevated but the recovery in business sentiment is still fragile. One potential risk to watch: UK Prime Minister Boris Johnson may choose to take a bolder stand on trade negotiations with the EU after his resounding election victory in December, risking an outcome closer to the “no-deal Brexit” scenario that was most feared by UK businesses. Bank Of Japan Chart 6Bank of Japan: Focus On Exports & The Yen The Bank of Japan (BoJ) seems to have had a perpetually dovish bias since the 1990s. Yet the current group of policymakers under Governor Haruhiko Kuroda, realizing that they have run out of realistic policy options after years of extreme stimulus, has not been signaling that fresh easing measures are on the horizon, even with economic growth and inflation remaining very weak in Japan. Markets have taken the hint, with only -6bps of rate cuts over the next twelve months priced into the JPY OIS curve according to our BoJ Discounter (Chart 6). What the BoJ seems most focused on: The BoJ has been vocally concerned about the recent slump in Japanese consumer spending, which declined -2.9% (in real terms) in Q4 after the sales tax hike last October. That blow to consumption was expected, but could not have come at a worse time for a central bank that was already worried about plunging Japanese manufacturing activity and exports – the latter declining by -8% in nominal terms as of December 2019. There is little hope for a near-term rebound given the certain hit to global growth and export demand from virus-stricken China. What the BoJ should be more focused on: Given that Japan is still an economy with a large manufacturing sector that is levered to global growth, the BoJ should remain focused on the path for Japanese exports. A bigger risk, however, comes from the Japanese yen, which has remained very stable over the past year. It has proven very difficult to generate any rise in Japanese inflation without some yen weakness, and with headline CPI inflation now only at +0.2%, a burst of yen strength would likely tip Japan back into outright deflation. Bottom Line: The BoJ is now stuck in a very bad spot, with no real ability to provide a major monetary policy stimulus for the stagnant Japanese economy. At best, all the central bank could do is deliver a small interest rate cut and hope for a quick rebound in global manufacturing activity and/or some yen weakness to boost flagging inflation. Bank Of Canada Chart 7Bank of Canada: Focus On Housing & Capital Spending The Bank of Canada (BoC) surprised many observers by keeping policy on hold last year, even as central banks worldwide engaged in various forms of monetary easing to offset the effects of the global manufacturing downturn. The BoC’s recent messaging has been relatively neutral, in our view, although Governor Stephen Poloz has not completely dismissed the possibility of rate cuts in his speeches. The markets are strongly convinced that the BoC will need to belatedly join the global easing party, with -32bps of rate cuts now priced into the CAD OIS curve according to our BoC Discounter (Chart 7) What the BoC seems most focused on: The BoC remains highly concerned over the high level of Canadian household debt, especially given how Canadian consumer spending has been highly geared towards trends in house price inflation over the past few years. This is likely why the BoC has been reluctant to cut policy rates as “insurance” against the effects of a prolonged global growth slump, to avoid stoking a new Canadian housing bubble. Interestingly, the commentary from BoC officials has taken on a bit more dovish tone whenever USD/CAD has threatened to break down below 1.30, suggesting some fears of unwanted currency appreciation. What the BoC should be more focused: The BoC should continue to monitor developments in the Canadian housing market, given the implications for consumer spending and, potentially, financial stability if there is another boom in house prices. The central bank should also pay even greater attention than usual to the subdued level of oil prices, which has triggered a deep slump in the oil-rich Alberta province that has weighed on the overall level of Canadian business investment spending. Persistently soft oil prices would also force the BoC to continue resisting strength in the Canadian dollar. It would likely take a breakdown in oil prices, or an outright decline in house prices, for the rate cut expectations currently discounted in the CAD OIS curve to come to fruition. Bottom Line: The BoC appears under no pressure to make any near-term interest rate adjustments, especially with realized inflation now sitting at the midpoint of the BoC’s 1-3% target band. It would likely take a breakdown in oil prices, or an outright decline in house prices, for the rate cut expectations currently discounted in the CAD OIS curve to come to fruition. Reserve Bank Of Australia Chart 8Reserve Bank Of Australia: Focus On Underemployment & Housing The Reserve Bank of Australia (RBA) has been very transparent over the past year, loudly signaling a dovish bias and following through with 75bps of rate cuts that took the Cash Rate to a record low of 0.75%. The latest messaging has been a bit more balanced, while still leaving the door to additional rate cuts if the economy worsens. Markets are expecting at least one more easing, with -24bps of rate cuts over the next twelve months priced into the AUD OIS curve, according to our RBA Discounter (Chart 8). What the RBA seems most focused on: The RBA’s main concerns have centered around the persistent undershoot of Australian inflation, with core inflation remaining below the central bank’s 2-3% target band since the beginning of 2016. The central bank has attributed this to persistent excess capacity in the Australian labor market, as evidenced by the elevated underemployment rate. The RBA is also paying close attention to the Australian housing market and its links to consumer spending, with house prices already responding positively to last year’s RBA rate cuts. The outlook for exports is also on the RBA radar, particularly after the recent surge that lifted the Australia trade balance into surplus but is now at risk from a plunge in Chinese demand. What the RBA should be more focused on: We agree that the labor market should be the main focus for the RBA, particularly the underemployment rate which is still high at 8.3%, signaling that core CPI inflation should remain subdued (bottom panel). We also see the RBA as potentially being more sanguine about the risks of a renewed upturn in the housing market than many observers expect, since that would provide a potential offset to a likely pullback in exports which are now a record 25% of GDP (middle panel). Bottom Line: The RBA still has a clear dovish bias, even though they are currently on hold to assess the impact of last year’s easing. RBA Governor Philip Lowe noted in a recent speech that more cuts may be necessary “if the unemployment rate deteriorates”, suggesting that the labor market is the main area of focus for the central bank. Reserve Bank Of New Zealand Chart 9Reserve Bank Of New Zealand: Focus On The Terms Of Trade & Non-Tradeables Inflation The Reserve Bank of New Zealand (RBNZ) was one of the more dovish central banks in 2019, cutting the Cash Rate by 75bps to a record low of 1%. The overall tone of the central bank’s recent commentary remains cautious, but has taken on a more balanced tone. Markets are priced appropriately, with only -13bps of rate cuts over the next twelve months discounted in the NZD OIS curve according to our RBNZ Discounter (Chart 9). What the RBNZ seems most focused on: The latest messaging from the RBNZ has highlighted the downside risks to New Zealand from weak global growth, but those are now more manageable since the central bank estimates the economy is operating at full employment. In its latest Monetary Policy Statement (MPS), the RBNZ noted that the economy has been able to weather the weakness in global growth thanks to the positive terms of trade effect from elevated New Zealand export prices – a trend that the central bank expects will persist in 2020 even if external demand remains sluggish (middle panel). The central bank has also expressed some concern over the recent pickup in domestically-driven inflation measures, with core CPI inflation back above 2% (bottom panel). What the RBNZ should be more focused on: The RBNZ is right to focus on global growth, particularly given the coming demand shock from virus-stricken China. While the New Zealand dollar has always been a critical variable for the RBNZ in its policy decisions, the currency now takes on added importance given the central bank’s expectation that export prices and the terms of trade will remain elevated. If the latter turns out to be wrong, the RBNZ will be far more likely to take actions to ensure that the Kiwi dollar stays undervalued. Bottom Line: The RBNZ still has a dovish policy bias, but the hurdle to deliver additional rate cuts after last year’s easing seems a bit higher now. It would likely take a major downturn in global growth, combined with a decline in New Zealand export prices and some cooling of domestic inflation, to get the RBNZ to cut again in 2020. Investment Conclusions Based on our “whirlwind tour” of the major developed market central banks in this report, we can make the following conclusions regarding the expected path of interest rates, and bond yields, in these countries: There are no central banks with anything resembling a hawkish bias – not surprising in the current slow global growth environment with heightened uncertainty. The least dovish central banks are the BoC and the RBNZ, which are not signaling any urgency to cut rates. The most dovish central bank is the RBA, which is indicating a clear willingness to cut again if domestic growth deteriorates. The Fed and the BoE are somewhere in the middle of the “dovishness” spectrum, with both likely willing to ease policy but only under a specific set of circumstances. The ECB and BoJ are clearly boxed in having policy rates already below the zero bound, limiting their ability to ease further if needed. In our view, the rate cut probabilities in the US and Canada seem a bit too aggressive, as we are not anticipating major growth slowdowns in either country over the next 6-12 months.  Looking back at our Central Bank Discounters, the largest amount of rate cuts over the next year are now discounted in the US (-42bps), Canada (-32bps), Australia (-24bps) and the UK (-19bps). At the same time, the fewest cuts are priced in Japan (-6bps), the euro area (-7bps) and New Zealand (-13bps). In our view, the rate cut probabilities in the US and Canada seem a bit too aggressive, as we are not anticipating major growth slowdowns in either country over the next 6-12 months. The odds seem more “fair” in the other countries, in terms of the size of rate cut expectations versus the probability of those cuts actually being delivered because of domestic economic considerations. What does this all mean for global bond investing this year? For that we can turn to our Global Golden Rule framework, which links expected returns of government bonds versus cash to the difference between actual and expected rate cuts.1 US Treasuries and Canadian government bond yields are most at risk of underperforming their global peers in 2020 as the Fed and BoC disappoint the current dovish rate cut expectations discounted in interest rate markets.   Robert Robis, CFA Chief Fixed Income Strategist rrobis@bcaresearch.com Footnotes 1 Please see BCA Research Global Fixed Income Strategy Special Report, "The Global Golden Rule Of Bond Investing", dated September 25th 2018, 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 A currency portfolio comprised of the US dollar, the Japanese yen and the Norwegian krone is likely to outperform a more diversified basket over multiple macroeconomic scenarios. Our work suggests that valuation matters for currencies over the long term. The cheapest currencies in our universe are the Norwegian krone, the Swedish krona and the Japanese yen, although the pound and euro are also attractive. Tactical investors should remain short the DXY index, but also have a higher concentration of dollar-neutral trades given the uncertainty surrounding global growth. Feature A currency investor can construct a long-term portfolio based on three criteria. The first task is to figure out what macroeconomic environment she or he is residing in. During inflationary periods, “hard” currencies tend to do best, since they are usually associated with countries where the private sector is running surpluses. The lack of excess demand in these countries leads to lower inflation, which tends to boost real rates. Examples in recent history include the deutschemark during the 1970s or the Japanese yen throughout most of the ‘80s. In a disinflationary world, the high-yielders tend to be the outperformers. This is not only because the lack of an inflationary pulse leads to very positive real rates, but these are also the countries that tend to be at the forefront of the disinflationary boom, leading to rising demand for their currencies. For example, the 2000s saw emerging market and commodity currencies as the outperformers on the back of a resources boom, while the ‘90s saw the dollar rise on the back of a US productivity boom. Over the long term, a currency portfolio should include a combination of both “hard” and carry currencies. Over the long term, a currency portfolio should include a combination of both “hard” and carry currencies, with the weights adjusted based on investor preferences. For example, the risk to the world economy today remains deflation. Looking at core inflation across countries, most prints are below the magical 2% target level (Chart I-1).  Inflation aside, the biggest catalyst for an investor to favor the disinflationary camp is the sequence of events we have experienced over the last two years – a trade war, Chinese deleveraging, a protracted economic expansion, bear markets in everything from sugar futures to energy stocks, and a virus outbreak. With the US 10-year versus 3-month yield curve having inverted anew, the obvious corollary is that a recession in the next few years (even of the stagflationary variety), will benefit the “hard” currencies. If we assume that the US 10-year CPI swap is a good reflection of investors’ perceptions of an inflationary versus deflationary world, then there are two crucial observations today. The first is that the British pound is the currency most attune to inflation today, while the Japanese yen thrives in deflation (Chart I-2). The second is that both the US dollar and the euro have been very indifferent to inflationary or deflationary risks over the past three years (Chart I-2, bottom panel). Using a very simple rule, an equally weighted basket of the British pound, US dollar1 and Japanese yen will make sense in this macroeconomic framework Chart I-1A Big F For Central ##br##Banks Chart I-2Inflation And Deflation Protection Are Important The Value Factor Our work suggests that valuation matters for currencies over the long term, a point we will discuss in an upcoming report. Therefore, the next challenge in building a protective portfolio is choosing currencies with the potential for long-term appreciation. While we look at a wide swathe of currency valuation models, we tend to adhere to the very simple and time-tested purchasing power parity (PPP) model. Our in-house PPP models have made two crucial adjustments. In order to get closer to an apples-to-apples comparison across countries, we divide the consumer price index (CPI) baskets into five major groups. In most cases, this breakdown captures 90% of the national CPI basket: food, restaurants and hotels (1), shelter (2), health care (3), culture and recreation (4), and energy and transportation (5). The second adjustment is to run two regressions with the exchange rate as the dependent variable. The first regression (call it REG1) uses the relative price ratios of the five subgroups grouped as independent variables. This allows us to observe the most influential price ratios that help explain variations in the exchange rate. The second regression (call it REG2) uses a weighted-average combination of the five groups to form a synthetic relative price ratio. If, for example, shelter is 33% in the US CPI basket, but 19% in the Swedish CPI basket, relative shelter prices will represent 26% of the combined price ratio. This allows for a uniform cross-sectional comparison, compared to using the national CPI weights. Our in-house PPP models have made two crucial adjustments. The results show that the cheapest currencies today are the Swedish krona, the Norwegian krone and the Japanese yen (Chart I-3). This is good news. The Japanese yen was already favored in our simple macroeconomic framework, and so it remains in the portfolio. However, given that the Swedish krona, the Norwegian krone, and the British pound tend to be highly correlated, it may be useful to reduce the list. Of all three, the Norwegian krone has the same macroeconomic attributes as the pound (most correlated to rising nominal rates), but comes at a cheaper price (Chart I-4). And so, it replaces the British pound in the portfolio. Chart I-3Lots Of Value In NOK, SEK And JPY Chart I-4NOK And USD Remain Carry Currencies The Sentiment Factor Sentiment is difficult to measure in currency markets, since it is hard to find an exhaustive list that encompasses investor biases. Speculative positioning tends to be our favorite contrarian indicator, but has limitations as a timing tool. Meanwhile, certain currencies tend to be momentum plays, while others are mean-reversion plays. In general, when both positioning and momentum are at an extreme and rolling over, this is generally a potent signal for a currency cross. Being long Treasurys and the dollar has been a consensus trade for many years now. According to CFTC data, this has been expressed mostly through the aussie and the yen, although our bias is that the Swedish krona and Norwegian krone have been the real victims (Chart I-5). That said, long positioning in the dollar has been greatly reduced over the past several weeks. Flow data supports this view. Net foreign purchases of US Treasurys by private investors are still positive, but the momentum of these flows is clearly rolling over. This is being more than offset by official net outflows. As interest rate differentials have started moving against the US, so has foreign investor appetite for Treasury bonds. Being long Treasurys and the dollar has been a consensus trade for many years now. The US dollar is a momentum currency, and the crossover between the 50-day and 200-day moving average has been good at signaling shifts in its intermediate trend (Chart I-6). Despite the recent uptick in the DXY, this still suggests downside in the coming months. Chart I-5Lots Of USD Longs Chart I-6Watch The DXY Technical Pattern So What? Chart I-7Who Will Be The Leaders In 2022? Regular readers of our bulletin are well aware that we are dollar bears. However, in constructing a currency portfolio that will stand resilient in the face of multiple macroeconomic shocks, our recommendation is an equal-weighted basket of the US dollar, the Japanese yen and the Norwegian krone. How has this protector portfolio performed over time? Not so well. Since the financial crisis, the basket has underperformed the DXY index, but has been relatively flat over the last half decade, while generating a positive carry (Chart I-7). In the aftermath of the Great Financial Crisis, positive returns on the Norwegian krone and Japanese yen offset dollar weakness, an environment that could be replayed once global growth bottoms. Obviously, this requires further research. Portfolio Calibration Our portfolio strategy for the last half year or so has focused on dollar-neutral trades, given the uncertainty that has been grappling currency markets. Most of these trades are agnostic to the three fundamental factors outlined above. Stick with them. Long AUD/NZD: This is a play on rising terms of trade between Australia and New Zealand, as well as a much more advanced housing downturn in Australia. Over the past five years, the cross has fluctuated between 1.02 and 1.12, currently sitting at the lower bound of this range. Increased agricultural exports from the US to China will hurt New Zealand at the margin, but long-term Aussie LNG imports and coal exports to China should remain relatively resilient. Long AUD/CAD: It is becoming clearer that the People’s Bank of China has a stronger incentive to stimulate its economy relative to the Fed. This will benefit the Chinese and Australian economies at the margin, and by extension the AUD/CAD cross (Chart I-8).  Short CAD/NOK: A play on diverging oil fundamentals between North Sea crude and Canadian heavy oil. A swift rebound in the European economy relative to the US will also benefit this cross.  Short USD/JPY: A top recommendation for the protector portfolio. It is noteworthy that this cross has a strong positive correlation to rising gold prices (and falling real rates).  Long SEK/NZD: A mean reversion trade, primarily based on valuation and relative fundamentals. The latest PMI print suggests a meaningful improvement in the Swedish economy in the months ahead (Chart I-9).   Chart I-8Stay Long AUD/CAD Buy ##br##AUD/CAD Chart I-9Bet On A Swedish (And European) Recovery A Tentative Bottom In Euro Area Data Short USD/NOK: A top recommendation for the protector portfolio as well as a play on rising oil prices.  Ditto for the petrocurrency basket. Long EUR/CAD: A swift rebound in the European economy relative to the US will benefit this cross, similar to short CAD/NOK positions.  Short CHF/JPY: Low-cost portfolio insurance negatively correlated to rising yields, and a strong positive correlation to rising gold prices (Chart I-10). Chart I-10The Yen Is Better Insurance   Chester Ntonifor Foreign Exchange Strategist chestern@bcaresearch.com Footnotes 1  We use the USD/EUR exchange rate since the carry is positive. Returns are unhedged.  Currencies U.S. Dollar Chart II-1USD Technicals 1 Chart II-2USD Technicals 2 Recent data in the US have been positive: The ISM manufacturing PMI soared to 50.9 while the Markit manufacturing PMI increased slightly to 51.9. The ISM non-manufacturing PMI increased to 55.5 and the Markit services PMI edged up to 53.4 in January. Nonfarm productivity grew by 1.4% quarter-on-quarter on an annualized basis in Q4 2019. Initial jobless claims fell to 202K from 217K for the week ended January 31st. The Johnson Redbook index of same-store sales grew by 5.7% year-on-year in January. The DXY index appreciated by 0.4% this week. In addition to coronavirus fears, a strong showing in domestic data has helped push up the USD. With the number of new coronavirus cases flattening outside of the Hubei province, it appears the rally in the DXY could end as early as mid to late-February. Report Links: Currency Market Signals From Gold, Equities And Flows - January 31, 2020 Portfolio Tweaks Before The Chinese New Year - January 24, 2020 On Oil, Growth And The Dollar - January 10, 2020 The Euro Chart II-3EUR Technicals 1 Chart II-4EUR Technicals 2 Recent data in the euro area have been mixed: GDP growth fell to 0.1% year-on-year from 0.3% in Q4 2019. The Markit manufacturing PMI moved up slightly to 47.9 while the services PMI increased to 52.5 in January. Retail sales growth slowed to 1.3% year-on-year from 2.3% in December. Core CPI inflation decreased slightly to 1.1% in January. The euro depreciated by 0.3% against the US dollar this week. While retail sales disappointed, the manufacturing and services PMI numbers beat expectations, confirming our expectations for a global growth rebound. With a European green deal on the horizon, and interest rates near the lower bound of negative territory, the euro is poised for recovery. Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 On Money Velocity, EUR/USD And Silver - October 11, 2019 A Few Trade Ideas - Sept. 27, 2019 The Yen Chart II-5JPY Technicals 1 Chart II-6JPY Technicals 2 Recent data in Japan have been mixed: The Markit manufacturing PMI declined to 48.8 from 49.3 in January while the services PMI increased to 51 from 49.4. Passenger vehicle sales continued to contract, going down 11.5% year-on-year in January. Construction orders rebounded strongly by 21.4% year-on-year in December, moving out of contractionary territory. The contraction in housing starts slowed to 7.9% year-on-year in December. The Japanese yen depreciated by 0.8% against the US dollar this week. The contraction in passenger vehicle sales can be largely attributed to extensive damage from typhoon Hagibis and typhoon Faxai. However, the Japanese economy will be buoyed by strong construction growth ahead of the summer Olympics, putting a floor under our short USD/JPY hedge. Report Links: Currency Market Signals From Gold, Equities And Flows - January 31, 2020 Portfolio Tweaks Before The Chinese New Year - January 24, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 British Pound Chart II-7GBP Technicals 1 Chart II-8GBP Technicals 2 Recent data in the UK have been positive: The Markit manufacturing PMI increased to 50 from 49.8 in January while the services PMI increased to 53.9 from 52.9. The GfK Group consumer confidence index ticked up to -9 from -11 in January. Consumer credit increased to GBP 1.22 billion in December from 0.66 billion in November. The British pound depreciated by 0.9% against the US dollar this week. In a speech delivered an hour before the UK left the European Union, PM Boris Johnson appeared defiant, rejecting EU rules on British industry and demanding a free trade agreement. Despite a decent uptick in the PMI numbers, the pound is weighed down by uncertainty about coming negotiations with the European Union. For option traders, pound volatility is set to rise. Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 A Few Trade Ideas - Sept. 27, 2019 United Kingdom: Cyclical Slowdown Or Structural Malaise? - Sept. 20, 2019 Australian Dollar Chart II-9AUD Technicals 1 Chart II-10AUD Technicals 2 Recent data in Australia have been positive: The Markit manufacturing PMI increased to 49.6 from 49.1 while the services PMI increased to 50.6 from 48.9 in January. Building permits grew by 2.7% year-on-year in December, moving out of contractionary territory. Exports grew by 1% month-on-month in December, slowing slightly from a growth rate of 1.3% the previous month. The Australian dollar appreciated by 0.5% against the US dollar this week. Despite concerns about coronavirus, and the bushfires, the Reserve Bank of Australia (RBA) decided to hold rates at 0.75%. The recovery in house prices now making its mark on building permits data, and the manufacturing PMI edging towards expansionary territory giving the RBA’s wiggle room in being patient. We are long AUD/NZD, AUD/CAD and AUD/USD. This makes a rebound in AUD one of our most potent bets. Stick with it. Report Links: On AUD And CNY - January 17, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 A Contrarian View On The Australian Dollar - May 24, 2019 New Zealand Dollar Chart II-11NZD Technicals 1 Chart II-12NZD Technicals 2 Recent data in New Zealand have been positive: Building permits soared by 9.9% month-on-month in December, from an 8.4% contraction the prior month.  The labor force participation rate moved down slightly to 70.1% in Q4 2019. The labor cost index grew by 2.4% year-on-year in Q4 2019, compared to growth of 2.3% in the previous quarter.  The unemployment rate fell slightly to 4% in Q4 2019. The New Zealand dollar depreciated by 0.2% against the US dollar this week. With the data remaining positive and cases of the coronavirus outside the Hubei province set to peak in the coming weeks, the downward pressure on the New Zealand Dollar should ease. Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 Place A Limit Sell On DXY At 100 - November 15, 2019 USD/CNY And Market Turbulence - August 9, 2019 Canadian Dollar Chart II-13CAD Technicals 1 Chart II-14CAD Technicals 2 Recent data in Canada have been solid: The Markit manufacturing PMI increased to 50.6 from 50.4 in January. Canadian GDP growth remained fairly flat at 0.1% month-on-month in November. Imports increased slightly to C$ 49.69 billion in December 2019 while exports moved up to C$ 48.38 billion. The raw material price index grew by 2.8% in December, picking up pace from November’s reading of 1.4%. The Canadian dollar depreciated by 0.5% against the US dollar this week. The growth in Canadian exports was led by crude oil exports, which posted a monthly gain of 18% following the resolution of a rupture in the Keystone pipeline in North Dakota. However, a widening trade deficit with countries other than the US will put downward pressure on the Canadian dollar at the crosses. Report Links: The Loonie: Upside Versus The Dollar, But Downside At The Crosses Updating Our Balance Of Payments Monitor - November 29, 2019 Making Money With Petrocurrencies - November 8, 2019 Swiss Franc Chart II-15CHF Technicals 1 Chart II-16CHF Technicals 2 Recent data in Switzerland have been mixed: The SVME manufacturing PMI decreased to 47.8 from 48.8 in January. Real retail sales grew by 0.1% year-on-year in December, slowing from 0.5% in November. The SECO consumer climate indicator for Q1 2020 printed slightly better at -9.4 from -10.3 in Q4 2019. The Swiss franc depreciated by 0.5% against the US dollar this week. Domestically, consumer sentiment was buoyed by the general outlook on economic growth. However, the outlook for households’ own budget remains gloomy. The decrease in global volatility will undermine the Swiss franc and with an uncertain domestic outlook, stealth intervention might be on the horizon. Report Links: Currency Market Signals From Gold, Equities And Flows - January 31, 2020 Portfolio Tweaks Before The Chinese New Year - January 24, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 Norwegian Krone Chart II-17NOK Technicals 1 Chart II-18NOK Technicals 2 Recent data in Norway have been mixed: The credit indicator, which measures growth in private sector debt, grew by 5.1% year-on-year in December, slowing from 5.6% the previous month. Registered unemployment (NSA) increased to 2.4% from 2.2% the previous month. The Norwegian Krone depreciated by 0.3% against the US dollar this week. However, the dramatic plunge in the NOK over the last few weeks, which has mirrored a similar drop in the WTI oil price, has taken contrarian investors by surprise. Our Commodity & Energy Strategists currently expect OPEC to respond with additional cuts of 500k barrels per day. In addition, if coronavirus cases peak sooner than expected, this will quicken the recovery in Asian economies, bolstering oil demand and driving up prices. Remain short USD/NOK. Report Links: On Oil, Growth And The Dollar - January 10, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 Making Money With Petrocurrencies - November 8, 2019 Swedish Krona Chart II-19SEK Technicals 1 Chart II-20SEK Technicals 2 Recent data in Sweden have been mostly positive: The Swedbank manufacturing PMI soared to 51.5 from 47.7 in January. Industrial production contracted by 3.2% year-on-year in December, compared to growth of 0.1% the previous month. Manufacturing new orders contracted by 4.7% year-on-year in December, deepening the contraction of 1.8% in November. The Swedish Krona remained flat against the US dollar this week. As we noted last week, the Swedbank PMI has risen in lockstep with the business confidence number. It is now in expansionary territory for the first time since August of last year. Within the Swedbank survey, the sub-indices for new orders and production posted the largest gains. While the hard data on production and new orders for the month of December was disappointing, we expect it to follow the soft data upwards in the coming months as global growth concerns fade. Report Links: Updating Our Balance Of Payments Monitor - November 29, 2019 Where To Next For The US Dollar? - June 7, 2019 Balance Of Payments Across The G10 - February 15, 2019 Trades & Forecasts Forecast Summary Core Portfolio Tactical Trades Limit Orders Closed Trades

ハイライト ほとんどの中央銀行は依然として経済リスクを下方リスクに偏ったものと見なしている。 これは、世界的な成長が本格的に回復したとしても、今後3〜6か月は政策が据え置かれる可能性が高いことを意味する。 結論としては、今後数か月の為替の値動きは中央銀行の政策というよりも相対的な成長ファンダメンタルズが主導する可能性が高い。 我々のバイアスは、今年前半は米国以外で成長の勢いが最も強くなるというものだ。DXY指数はショートで構える。 今週の日銀の不作為は、為替ボラティリティの上昇に対する円ロングを安価な保険にしている。USD/JPYはショートを維持し、CHF/JPYはショートを取る。 ポンドは押し目買いだが、今後数か月はユーロに対してやや劣後する公算が大きい。EUR/GBPは0.88に達するはずだ。 カナダ銀行は利率を据え置いたが、我々の期待通りタカ派寄りではなくハト派寄りの判断を示した。CAD/NOKはショート、AUD/CADはロングを維持する。 我々のロングNOK/SEKポジションは1.8%の利益でストップにかかって決済された。より低い水準でこのクロスを買い戻すことを検討する。 特集 チャート I-1 為替市場は穏やかな回復を織り込んでいる 為替市場は穏やかな回復を織り込んでいる 為替市場は穏やかな回復を織り込んでいる 8月の安値以降の世界株式市場の強い反発は、多くの株価指数を買われ過ぎ領域に押し上げた。チャート I-1 は、世界株の上昇が既にグローバル製造業の改善を2012年や2016年の局面と同程度の規模で織り込んでいることを示している。一方で為替市場ははるかに穏やかな結果を織り込んでいる（下段）。 為替と株式のパフォーマンスの乖離は、過去のサイクルで見られたものとは大きく異なる。例えば、ボトムからピークにかけて、為替市場における強欲と恐怖の重要なバロメーターであるAUD/JPYは2012年の局面で40％、2016〜2017年で25％上昇し、株価も上昇した。RUB/JPY、ZAR/JPY、BRL/JPYのようなよりハイオクタンな通貨ペアのパフォーマンスは爆発的だった。今回のように通貨の動きが抑制されていることは、この回復の持続性に疑問符を付ける。 株式は長期資産であるため、2019年の金利低下が相対的な魅力を高め名目価値を押し上げたというのはもっともらしい説明だ。しかし、多くの債券市場でもここ数か月で利回りが上昇しており、この説明だけでは不十分とも言える。別の可能性としては、貿易緊張の緩和やFRBの流動性注入が国内投資家の動物的精神を呼び起こしたのかもしれない。あるいは、世界的な同期化した回復がG10の成長差を縮め、通貨の動きを抑えつつ株価を押し上げたのかもしれない。 世界株の上昇は既にグローバル製造業の改善を織り込んでいる。しかし、為替市場ははるかに穏やかな結末を織り込んでいる。 いずれにせよ、この不協和音の解決は、今後数か月で世界の経済データが著しく改善してプロシクリカル通貨を支持するか、株式市場の消化不良期（ボラティリティ上昇）を迎えるか、あるいはその両方の組み合わせによってもたらされるだろう。少なくとも、これらのダイナミクスを見越して通貨ポートフォリオを調整することを示唆している。 ボラティリティとドルについて 為替市場は相対的なトレンドに関するものだということは誰もが理解している。したがって、世界成長が加速すればドルが弱くなるという暗黙の前提は、この回復の震源地が米国外にあるということを意味する。チャート I-2 は、米国外で経済指標がまだ上振れを示しているわけではないことを示しているが、変化率ベースでは著しい改善が見られる。表面下では、最も強いデータサプライズはユーロ圏、スイス、ニュージーランド、オーストラリアで見られ、カナダと英国は予想外の失望があった。振り返れば、このチャートはカナダドルが2019年にG10で最も好調だった理由、スウェーデンクローナが最も弱かった理由も浮き彫りにしている。 チャート I-2 成長のばらつきは縮小した グロースの分散が減少した グロースの分散が減少した 経済の分散の低下は通貨ボラティリティをほぼ史上最低水準に押し下げている（チャート I-3）。経験豊富な投資家は低ボラティリティに注目し、注目すべきだ。なぜなら、ポートフォリオを破壊するのは熱狂ではなく慢心だからである。これは自明の理に聞こえるかもしれないが、過去3回ボラティリティがこれほど低下した局面ではドルは急騰し、プロシクリカル通貨は大きな損失を被った。誰もが1997〜1998年、2007〜2008年、2014〜2015年を覚えている。今回は同じだろうか？ 通常、ボラティリティの上昇はドル高と結びつくが、今回は3つの重要な相違点がある。 第一に、実質金利は2014年に米国がG10の同業国に対してプラスに転じた（チャート I-4）。これは、通常は資金調達通貨であった米ドル（準備通貨でもある）がキャリートレードの対象になったことを意味する。米国債に資金を振り向けたい資本は5年以上にわたり正の実質キャリーを享受してきたと言ってよい。現在米国の実質相対利回りが頭打ちになっている中で、資本はどちらに向かうだろうか？ チャート I-3 ボラティリティは史上最低水準付近 ボラティリティが記録的低水準に近い ボラティリティが記録的低水準に近い チャート I-4 米国の実質金利は低下 米国で実質金利が低下 米国で実質金利が低下 ドルは2011年以降ブル相場にあり、評価は高い四分位にシフトしている。これは、ドルが前の低ボラティリティ局面でより早い段階でブル相場にあった時とは大きく異なる（チャート I-5）。ドルは長いサイクルで動く傾向があり、ボラティリティの急騰はサイクルの始まりか終わりのいずれかを示すことがある。 以前のレポートで繰り返し強調してきたように、米ドルロングはコンセンサストレードである。我々の主な根拠はCFTCのポジショニングデータだ。しかし、よりタイムリーな先行指標として注視すべきは金と債券の比率だ。通貨は信認に関するものであり、米ドルへの信認の重要な尺度は米10年国債の総リターンと金地金の比率であり、これは崩れている（チャート I-6）。米国の財政赤字はこれから急拡大する見込みであり、過去のドル高の局面では赤字は低く減少傾向にあった。 チャート I-5 ドルは割高である ドルは高い ドルは高い チャート I-6 米国債と金の綱引き 米国債と金の綱引き 米国債と金の綱引き より重要なのは、通貨市場は相対的なファンダメンタルズに合わせて変動する可能性が高いということだ。世界経済の減速は製造業が主因であったため、平均回帰が期待できるのはこの分野だと考えるのが妥当だ。歴史的に見て、多くの経済における景気循環の振幅はサービス（消費）よりも製造業や輸出に牽引される傾向がある。 より具体的には、製造業の減速で最も痛手を被った通貨が最も早いリバーサルを経験する論理的な候補となる。これは既に、対米国での債券利回りの急上昇として現れているvis-à-vis 米国の利回りに対してである。例えば、ノルウェー、スウェーデン、スイス、日本の利回りはボトム以降、対米で大幅に上昇している。世界的な成長の同期回復は米国の利回り優位をさらに削ぐだろう。 通貨は信認に関するものであり、米ドルへの信認の重要な尺度は米10年国債の総リターンと金地金の比較である。 結論： DXY指数はショートを維持、当面のターゲットを90、ストップロスを100に設定する。 ポートフォリオ保険としての円 もし我々の2020年のドルに対する下落トレンドという仮説が正しければ、それは一直線には進まないだろう。したがって、ポートフォリオ保険を持つことが理にかなっている。 今週の日銀の不作為は気を逸らすためのものだった可能性がある。なぜなら近月の資産市場で最も強力な動きの一つは日本の利回りに有利な+130ベーシスポイントの動きだったからだ（チャート I-7）。USD/JPYと実質金利のギャップは希少な裁定機会を生んでいる。世界的なリスク資産の売りが顕在化すれば円は強くなるだろう。一方で、世界成長が最終的に加速すれば円は通貨クロスで弱含む可能性があるが、対ドルでは強まる可能性がある。これによりUSD/JPYのショートは「勝てば大きく勝つ、負けてもそれほど失わない」という好ましい構図になる。 日本の利回り上昇は、次の3つの重要な転換点で駆動されている： 過去5年間の大半で、日銀は資産買入れの点で最も積極的な中央銀行の一つだった。これは貿易加重の円安の大きな要因だった（チャート I-8）。FRBのバランスシートの再拡大により、日本との相対的な金融政策は引き締まりつつある。日銀の年間総資産買入れは現在約20兆円、JGB買入れは約15兆円の水準で推移している。これは目標の80兆円という緩やかな目標からはほど遠く、当面変わる見込みはない。 チャート I-7 日本の国債利回りは急騰した 日本の債券利回りが急騰している 日本の債券利回りが急騰している チャート I-8 円と量的緩和（QE） 円と量的緩和 円と量的緩和 円の動きは日本の巨大小売輸出セクターを考慮すると、国内要因と同様に外部環境の影響も大きい。景気循環的なセクターのクレジット・デフォルト・スワップスプレッドは新たな安値へと収縮しており、収益見通しの改善を示唆している（チャート I-9）。これは成長要因が日本の利回りを押し上げていることを示唆する（日本のCPIスワップは実際には横ばい）。これはアジアの景気循環セクターが防御的セクターに対して最近アウトパフォームしている動きとも一致する。 安倍政権は昨年、大規模な財政パッケージを発表した。これは壊滅的だった台風被害と来たる五輪に部分的に起因する。これにより日銀は最新の政策分科会で成長見通しを上方修正した。建設・エンジニアリング株の相対パフォーマンスは、資金が経済に流入しているかどうかの重要なバロメーターである（チャート I-10）。 チャート I-9 日本のデフォルトリスク緩和 日本でデフォルト・リスクが緩和 日本でデフォルト・リスクが緩和 チャート I-10 財政刺激と建設株 財政刺激策と建設株 財政刺激策と建設株 防御通貨としての円は、グローバル成長が改善すると資金調達通貨として使われるため通常は弱含む傾向がある。とはいえ我々の主張は、円はクロスでは確かに弱まるだろうが、対ドルではなお強くなり得るということだ。前述したように、その触媒の一つは実質金利との従来の関係からの乖離である。 より重要なのは、USD/JPYとDXYは正の相関を持つ傾向があることで、なぜならドルが多くの場合円を動かすからだ。一方で、円に対するネットショートポジションは逆張りの観点から魅力的に見える（チャート I-11）。極めて低いボラティリティを考えると、USD/JPYのショートはボラティリティ上昇をプレイする魅力的な手段となる。 チャート I-11 投資家は円をショートしている 投資家は円をショートしている 投資家は円をショートしている より保守的な投資家はCHF/JPYをショートすることもできる。最近のスイスフラン高はインフレ回復の芽を脅かしており（チャート I-12）、一方で円安は国内でのトレード可能財の価格を押し上げるだろう。これにより日銀よりもスイス国立銀行に対するプレッシャーが強まる。また、セーフヘイブンとして円はフランよりも割安である。これは当社の多数の社内モデルでも確認されている。 簡単に言えば、過去数十年で米国に対する相対的インフレは日本の方が低かったが、フランの方が強かった。 簡単に言えば、過去数十年で米国に対する相対的インフレは日本の方が低かったが、フランの方が強かった（チャート I-13）。一方で、過去2年間ではボラティリティ上昇はフランよりも円に有利に働いている。 チャート I-12 強いフランはスイスのインフレにとって逆風である 強いスイスフランはスイスのインフレにとって逆風だ 強いスイスフランはスイスのインフレにとって逆風だ チャート I-13 円はより割安 ##br##保険 円はより安い保険 円はより安い保険 結論： 現時点では円が最も魅力的なセーフヘイブン通貨である。USD/JPYはショートを維持し、CHF/JPYを売る。 ハウスキーピング 我々のロングNOK/SEKポジションは1.8%の利益でストップにかかって決済された。より低い水準でこのクロスを買い戻すつもりだ。このトレードは主にキャリーに関するものであり、我々はNOKとSEKの両方に対してポジティブである。したがってマーケットタイミングが重要になる。NOK/SEKが1.04なら魅力的だ。今週の各中央銀行会合の文脈ではノルゲス銀行からの新たな示唆はなかった。 我々はポンドを押し目買いで仕込む機会も探るが、EURまたはGBPのボラティリティを買う方が良い賭けかもしれない。今のところ、堅調な雇用報告にもかかわらず英国の経済サプライズは依然としてマイナスである（チャート I-14）。続報を注目してほしい。 チャート I-14 GBPは脆弱である 英ポンドは弱含み 英ポンドは弱含み Chester Ntonifor 外国為替ストラテジスト chestern@bcaresearch.com 通貨 米ドル チャート II-1 USD テクニカル 1 米ドルのテクニカル（1） 米ドルのテクニカル（1） チャート II-2 USD テクニカル 2 米ドルのテクニカル分析 2 米ドルのテクニカル分析 2 最近の米国のデータは混在している： 鉱工業生産は12月に前年同月比で1%減少した。 ミシガン大学消費者信頼感の速報値は1月に99.1へやや低下した。 MBA住宅ローン申請件数は1月17日までの週で1.2%減少した。しかし既存住宅販売は12月に月次で3.6%増加し予想を上回った。 シカゴ地区連銀の全国活動指数は12月に0.41から-0.35へ低下した。 新規失業保険申請件数は1月17日までの週で211Kに増加し、予想より良かった。 DXY指数は今週0.4%上昇した。中国のコロナウイルスが世界成長を大幅に押し下げるのではないかという懸念が高まっている。これは短期的にはつまずきに過ぎないが、我々は依然としてポジティブで、金融条件の緩和と貿易戦争リスクの後退により今年は世界成長が加速すると考えている。 レポートリンク： On Oil, Growth And The Dollar - January 10, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 Place A Limit Sell On DXY At 100 - November 15, 2019 ユーロ チャート II-3 EUR テクニカル 1 EURのテクニカル指標 1 EURのテクニカル指標 1 チャート II-4 EUR テクニカル 2 EURのテクニカル分析 2 EURのテクニカル分析 2 ユーロ圏の最近のデータは概ねポジティブである： 経常収支は11月に339億ユーロとなった。 ヘッドラインとコアのインフレ率はともに12月に前年比1.3%で横ばいだった。 ZEW景況感調査は1月に11.2から25.6へ急上昇した。 ユーロは今週対米ドルで0.8%下落した。木曜日にECBは政策金利を-0.5%で据え置いた。ECBの最大の示唆は、彼らが金融政策目標の見直しに取り組んでおり、それがより緩和的な姿勢の増加につながる可能性があるという点だ。明示的な2%インフレ目標への切り替えや量的緩和の判断に気候変動目標を組み入れることは、はるかにハト派的なECBの到来を告げる。長期のEUR/CADのストップを1.42へ引き締めている。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 On Money Velocity, EUR/USD And Silver - October 11, 2019 A Few Trade Ideas - Sept. 27, 2019 日本円 チャート II-5 JPY テクニカル 1 JPYのテクニカル1 JPYのテクニカル1 チャート II-6 JPY テクニカル 2 JPY テクニカル分析 2 JPY テクニカル分析 2 日本の最近のデータは軟調である： 鉱工業生産は11月に前年同月比で8.2%減少した。 貿易収支は12月に1525億円の赤字に拡大した。輸出入はそれぞれ前年同月比で4.9%および6.3%減少した。 全産業活動指数は11月に前月比0.9%上昇した。 一致指数と先行指数は11月にそれぞれ94.7と90.8に低下した。 日本円は今週対米ドルで0.3%上昇した。日銀は予想通り政策金利を据え置いた。より重要なのは、見通し報告が2020会計年度の成長見通しを0.7%から0.9%に上方修正したことだ。さらに日銀は原油安を受けてインフレ見通しを10ベーシスポイント下方修正した。日本円に関する詳しい分析は本号の前半を参照されたい。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 Signposts For A Reversal In The Dollar Bull Market - November 1, 2019 A Few Trade Ideas - Sept. 27, 2019 英ポンド チャート II-7 GBP テクニカル 1 GBP テクニカル 1 GBP テクニカル 1 チャート II-8 GBP テクニカル 2 GBP テクニカル分析 2 GBP テクニカル分析 2 英国の最近のデータはポジティブである： 小売売上高は12月に前年同月比で0.9%増加した。 Rightmoveの住宅価格指数は1月に前年同月比で2.7%上昇した。 ILO方式の失業率は11月に3.8%で横ばいだった。 平均賃金は11月に前年同月比で3.2%増加した。これは2019年の大半で低迷していた雇用報告の後、3か月で就業者が20.8万人改善したことに続く。 英ポンドは今週対米ドルで0.7%上昇した。今後数週間で欧州通貨の最大のボラティリティはEUR/GBPクロスで生じる可能性が高い。欧州の経済データはベース効果もあってここ数週間で最も良いポジティブサプライズを示している。しかし今週のECB議事録は通貨の強さに対して牽制する姿勢を示唆している。英国では当面ポンドは政治の影響を部分的に受けるだろう。GBPおよびEURのボラティリティを買うのは良い賭けに見える。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 A Few Trade Ideas - Sept. 27, 2019 United Kingdom: Cyclical Slowdown Or Structural Malaise? - Sept. 20, 2019 オーストラリアドル チャート II-9 AUD テクニカル 1 AUD テクニカル分析 1 AUD テクニカル分析 1 チャート II-10 AUD テクニカル 2 AUDのテクニカル分析 2 AUDのテクニカル分析 2 オーストラリアの最近のデータはポジティブである： Westpac消費者信頼感指数は1月に1.8%低下した。 消費者のインフレ期待は1月に4%から4.7%へ上昇した。 12月には28.9Kの雇用が創出され、コンセンサスを上回った。これは29.2Kのパートタイム雇用増だがフルタイムは0.3K減少した。 参加率は12月に66%で横ばい、失業率はさらに低下して5.1%となった。 オーストラリアドルは今週対米ドルで0.6%下落した。ポジティブな雇用報告はAUDを支えたが、コロナウイルスの懸念がヘッドラインを支配し始めるとすぐに薄れた。我々は先週AUDを詳述し、68セントで買い手だ。主な根拠は強力な逆張りの賭けであるためだ。 レポートリンク： On AUD And CNY - January 17, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 A Contrarian View On The Australian Dollar - May 24, 2019 ニュージーランドドル チャート II-11 NZD テクニカル 1 NZDテクニカル 1 NZDテクニカル 1 チャート II-12 NZD テクニカル 2 NZDテクニカル分析 2 NZDテクニカル分析 2 ニュージーランドの最近のデータは弱含みである： 訪問者数は11月に前年同月比で3.5%減少した。 純移民は11月に3400から2610へ減少した。 パフォーマンスサービス指数は12月に52.9から51.9へ低下した。 ニュージーランドドルは今週対米ドルで0.5%下落した。我々はキウイが世界成長の改善の中で今年は米ドルをアウトパフォームすると考えているが、純移民の減少など国内制約が上昇余地を制限する可能性がある。AUD/NZDとSEK/NZDはロングを維持する。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 Place A Limit Sell On DXY At 100 - November 15, 2019 USD/CNY And Market Turbulence - August 9, 2019 カナダドル チャート II-13 CAD テクニカル 1 CADのテクニカル分析 1 CADのテクニカル分析 1 チャート II-14 CAD テクニカル 2 CADのテクニカル指標 2 CADのテクニカル指標 2 カナダの最近のデータは軟調である： 製造業売上高は11月に前月比で0.6%減少した。 ヘッドラインのインフレ率は12月に前年比2.2%で横ばいだった。コアインフレは12月に1.9%から1.7%へ低下した。 新築住宅価格は12月に前年同月比で0.1%上昇した。 カナダドルは今週対米ドルで0.8%下落した。水曜日にカナダ銀行は利率を据え置くことを決めたが、カナダのデータが失望すれば今年後半に利下げの可能性を開く余地を残した。要するに他の多くの中央銀行と同様に、カナダ銀行もデータ依存だ。我々のCADに関するストーリーは単純で、成長リバウンドの震源地が米国外にあるならCADは対極の通貨に対して下振れするということだ。AUD/CADはロングを維持する。 レポートリンク： The Loonie: Upside Versus The Dollar, But Downside At The Crosses Updating Our Balance Of Payments Monitor - November 29, 2019 Making Money With Petrocurrencies - November 8, 2019 スイスフラン チャート II-15 CHF テクニカル 1 CHF テクニカル 1 CHF テクニカル 1 チャート II-16 CHF テクニカル 2 CHF テクニカルズ 2 CHF テクニカルズ 2 今週スイスからのデータは乏しかった： 生産者物価は12月に前年同月比で1.7%下落し、前月の2.5%減から改善した。 マネーサプライ（M3）は12月に前年同月比で0.7%増加した。 スイスフランは今週対米ドルでほぼ横ばいだった。我々は世界的リスクが持続する限りスイスフランを支持し続ける、コロナウイルスへの懸念を含めて。しかし、本レポート前半で議論したように、現時点では円の方がフランよりも優れたヘッジである。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 Notes On The SNB - October 4, 2019 What To Do About The Swiss Franc? - May 17, 2019 ノルウェークローネ チャート II-17 NOK テクニカル 1 NOK テクニカル指標 1 NOK テクニカル指標 1 チャート II-18 NOK テクニカル 2 NOK テクニカルズ 2 NOK テクニカルズ 2 今週ノルウェーからのデータは乏しかった： 労働力調査は11月に失業率が4%に上昇したと記録した。 ノルウェークローネは今週エネルギー価格の下落を受けて対米ドルで1.3%下落した。木曜日にノルゲス銀行は政策金利を1.5%で据え置き、広く予想されていたとおりだった。さらにオイステイン・オルセン総裁は「委員会の現在の見通しとリスクのバランス評価は、政策金利が当面現在の水準のままである可能性が高いことを示している」と述べ、短期的な政策変更の可能性を示唆しなかった。これは今後は政策決定よりも相対的なファンダメンタルズがNOKの進路を決めることを示唆している。我々のバイアスはバリュエーションのクッションがロングNOKの安全マージンを提供しているというものだ。USD/NOKとCAD/NOKはショートを維持する。 レポートリンク： On Oil, Growth And The Dollar - January 10, 2020 Updating Our Balance Of Payments Monitor - November 29, 2019 Making Money With Petrocurrencies - November 8, 2019 スウェーデンクローナ チャート II-19 SEK テクニカル 1 SEKのテクニカル1 SEKのテクニカル1 チャート II-20 SEK テクニカル 2 SEK テクニカル指標 2 SEK テクニカル指標 2 今週スウェーデンからのデータは乏しかった： 11月に6%から6.8%へ上昇した後、失業率は12月に6%へ戻った。 スウェーデンクローナは今週対米ドルで0.2%下落した。今後は世界成長の改善、貿易緊張の緩和、短期的な景気後退懸念の後退がスウェーデン経済とクローナを下支えする。SEKは世界的な製造業のリバウンドをプレイするための最も有力なG10クロスである。 レポートリンク： Updating Our Balance Of Payments Monitor - November 29, 2019 Where To Next For The US Dollar? - June 7, 2019 Balance Of Payments Across The G10 - February 15, 2019 トレードと予想 予想サマリー コアポートフォリオ タクティカルトレード 指値注文 決済済みトレード