通貨
The once-reliable negative correlation between gold and the USD was indefinitely suspended beginning in 4Q18 by the pervasive economic uncertainty we identified last week as the culprit holding back global oil demand growth via a super-charged dollar.1 This uncertainty is most pronounced in the U.S. and Europe vis-à-vis gold, and partly explains the performance of safe havens, particularly the USD, which has soared to new heights on a trade-weighted goods basis, and gold (Chart of the Week). So far, gold has held its ground after breaking above $1,500/oz from the low $1,200s in mid-2018, indicating investors are much more concerned about economic risks arising from economic policy uncertainty than inflation and other diversifiable risks gold typically hedges (Charts 2A, 2B). Cyclically we remain positive on gold prices on the back of a lower dollar and rising inflation pressure in the U.S. Chart of the WeekDemand For Safe Havens Soars As Economic Policy Uncertainty Rises Economic policy uncertainty in Europe and the U.S. supports gold prices. Even so, we are putting a $1,450/oz stop-loss on our long gold portfolio hedge to cover tactical risks showing up in our technical indicators. In addition, as is the case with oil demand, if the ceasefire we are expecting in the Sino-U.S. trade war materializes in 1H20 and limited trade – mostly in ags and energy – is forthcoming, demand for safe-haven assets could weaken gold prices at the margin. Fiscal and monetary stimulus globally also could revive economic growth and commodity demand, pushing global yields higher, which would put negative pressure on gold at the margin, as well, given the high correlation between real rates and gold prices. Chart 2AU.S., Euro Economic Uncertainty Correlated With Gold Prices Chart 2BU.S., Euro Economic Uncertainty Correlated With Gold Prices Highlights · Energy: Overweight. Saudi Arabia and Kuwait are on the verge of signing an historic pact to restart production from the Neutral Zone. Kuwait expects to sign the pact within 30 to 45 days. Potential production from the jointly operated fields – Khafji and Wafra – is estimated at ~ 500k b/d. Ramping up production at the Wafra field could take up to 6 months. Importantly, both countries are expected to respect their production quota mandated under the OPEC 2.0 agreement expiring in 1Q20.2 Separately, Chevron’s waiver to operate in Venezuela was extended for three months from the Trump administration this week. · Base Metals: Neutral. Chile copper production was up 1% and 11% y/y in July and August, according to the World Bureau of Metal Statistics. Earlier this week, the Union of workers at Chile’s Escondida copper mine – the world’s largest – held a strike in support of broader protests sparked by the increase of metro fare last Friday. Chile’s President suspended the fare hike on Saturday, but the protests are still ongoing and have now caused 15 deaths.3 · Precious Metals: Neutral. The gold/silver ratio fell 9% since July 2019. Our tactical long spot silver recommendation is up 3% since inception in August 2019, and our strategic long gold position is up 21%. Cyclically, we remain positive on both silver and gold prices, more on this below. A tactical pullback is possible; money managers have started liquidating some of their long gold positions, dropping by 67k contracts from September levels, according to CFTC data. · Ags/Softs: Underweight. According to USDA data, corn and soybean harvest are 30% and 46% complete, lagging behind their respective 47% and 64% five-year average pace. For corn, the USDA rates 54% of the U.S. crop good or excellent, vs. 66% a year earlier. For beans, 56% of the crop is rated good or excellent, vs. 68% last year. Separately, China announced waivers allowing up to 10mm MT of U.S. soybeans to be imported by domestic and international crushing concerns. The waivers are in place until March 2020. Feature The once-reliable negative correlation between gold and the USD will remain muted over the short-term tactical horizon – 3 to 6 months – as economic policy uncertainty continues to stoke global demand for safe havens.4 The once-reliable negative correlation between gold and the USD will remain muted over the short-term. This can be seen in the elevated correlations between the USD’s broad trade-weighted goods index with the Baker-Bloom-Davis (BBD) Economic Policy Uncertainty (EPU) indexes for the U.S. and Europe (Chart 3).5 Rising economic uncertainty – particularly since 4Q18 – has created a rare environment in which both the USD and gold trended up simultaneously and continue to move in the same direction. The implication of this is that gold’s correlation with both the USD and EPU is weaker than before because economic policy uncertainty now is positively correlated with the dollar. Chart 3Strong USD, EPU Correlation Chart 4Correlation of Daily Gold, USD Returns Also Moving Sharply Higher There is a possibility global policy uncertainty could be reduced later this year if the U.S. and China can agree on a trade ceasefire... The typically negative correlation between daily returns of gold and the USD also is weakening, moving toward positive territory (Chart 4), as both the USD and gold trend higher simultaneously (Chart 5). Chart 5Gold and USD Levels Trending Higher ...If this occurs, the risk premium supporting gold will ease, and markets will once again turn their attention to possible inflationary consequences of the global stimulus. Our short-term technical indicator is signaling an overbought gold market (Chart 6), and our fair-value model indicates gold should be trading ~ $1,450/oz (Chart 7). The latter signal off our fair-value model is less concerning, given the demand for safe-haven assets like the USD and gold now dominates gold’s typical drivers. Chart 6Gold Technical Indicators Signal Overbought Market Chart 7High USD Correlation Throws Off Fair-Value Model However, to be on the safe side, we are placing a $1,450/oz stop-loss on our long-term gold position, which as of Tuesday’s close was up 21% since inception on May 14, 2017. This is a precautionary measure, which recognizes the possibility global policy uncertainty could be reduced later this year if the U.S. and China can agree on a trade ceasefire, and global fiscal and monetary policy are successful in reviving EM income growth, which would revive commodity demand generally, pushing up global bond yields. If this occurs, the risk premium supporting gold will ease, and markets will once again turn their attention to possible inflationary consequences of the global stimulus. During that period, the monetary and fiscal aggregates we track as explanatory variables for gold prices will reassert themselves as the dominant drivers of gold prices (see below). This could produce tension between a falling USD and rising real rates as growth picks up, which would send us to a risk-neutral setting re gold, given the current high correlation between gold and real rates, which should remain strong until the Fed starts hiking rates again, most likely in 2020 (Chart 8). This is part of the reason we are including the stop-loss at $1,450/oz for our existing gold position: During this risky period going into 1H20 economic uncertainty could dissipate, and real rates could rise. Although the USD depreciation would mute these effects, rising real rates would be a risk to gold prices Chart 8Rising Real Rates Could Weaken Gold Prices Economic Uncertainty Dominates Gold’s Fundamentals At present, economic policy uncertainty overwhelms the other factors we typically use as explanatory variables when modeling gold prices. In Table 1, we collect the variables we consider when assessing gold’s fair value. At present, economic policy uncertainty overwhelms the other factors we typically use as explanatory variables when modeling gold prices. This variable broadly falls in the geopolitical risk we regularly account for in our analysis of gold markets. Table 1Fundamental And Technical Gold-Price Drivers If the uncertainty captured by the EPU indexes is resolved, we would expect the dollar to fall and the negative gold-USD correlation to reassert itself and strengthen. Checking off each of these groups, we see: · Demand for inflation hedges remaining muted over the short-term, as inflationary pressures remain weak. In line with our House view, however, we do expect inflation could move higher toward the end of next year and overshoot the Fed’s 2% target for the U.S. This would support gold prices. · Monetary and financial aggregates are working less well as explanatory variables for gold prices in a market dominated by economic policy uncertainty. The USD-gold correlation continues to be disrupted by strong demand for safe-haven assets. As inflation picks up next year, we expect nominal bond yields to rise. Real rates, however, could remain subdued, as long as the Fed is not aggressively raising rates to get out ahead of a possible revival of inflation (Chart 9). Later in 2020, the correlation between rates and gold should be supportive for gold prices – the correlation fades when the Fed tightens, which creates a demand for safe-haven assets like gold. All the same, an increase in real rates would be a risk to gold prices in 1H20. · At present, demand for portfolio-diversification assets via safe-haven assets is a powerful force in gold’s price evolution. It is worthwhile pointing out, however, that if global economic uncertainty is resolved and global growth does rebound, recession fears will diminish, thus reducing the marginal impact of geopolitical shocks. On the other hand, if the uncertainty captured by the EPU indexes is resolved, we would expect the dollar to fall and the negative gold-USD correlation to reassert itself and strengthen. Should that happen, short-term volatility in gold will rise (Chart 10). Chart 9Bond Yields Should Rise As Inflation Revives In 2H20 Chart 10Investors Expect Large Positive Moves In Gold And Silver Prices Investment Implications As India’s and China’s economic growth picks up, we expect income to grow, which would support physical gold demand in EM countries. Over a tactical horizon – i.e., 3 to 6 months – we expect global economic policy uncertainty to remain elevated. Going into 2020 – and particularly in 2H20 – we expect the USD to weaken on the back of global monetary accommodation policies and increased fiscal stimulus. We also are expecting a ceasefire in the Sino-U.S. trade war, which will revive trade somewhat and support EM income growth and commodity demand. These assumptions, which we’ve laid out in previous research, will be bullish cyclical factors supporting commodities generally. Bottom Line: A ceasefire in the Sino-U.S. trade war, coupled with global fiscal and monetary stimulus, will reduce some of the economic uncertainty dogging aggregate demand. This should be apparent in the data in 1H20. As a result, we continue to expect rising EM income growth to be cyclically bullish for commodities generally. This will allow inflation to revive – again, assuming the Fed does not become aggressive in raising rates. Chart 11EM Income Growth Will Support Demand For Gold Net, this will be bullish for gold: As India’s and China’s economic growth picks up, we expect income to grow, which would support physical gold demand in EM countries (Chart 11). Robert P. Ryan Chief Commodity & Energy Strategist rryan@bcaresearch.com Hugo Bélanger Senior Analyst Commodity & Energy Strategy HugoB@bcaresearch.com Footnotes 1 Please see our report entitled “Policy Uncertainty Lifts USD, Stifles Global Oil Demand Growth,” published October 17, 2019. It is available at ces.bcaresearch.com. 2 Please see “Kuwait Sees Neutral Zone Oil Pact With Saudis Within 45 Days,” published by Bloomberg.com on October 19, 2019. 3 Please see “Chile lawmakers call for social reforms as protests mount,” published by reuters.com on October 22, 2019. 4 We expect a ceasefire in the Sino-US trade war to be announced in 1H20, which will defuse – but not eliminate – an important risk for global growth in our analytical framework. We expect this will allow the relationship between the USD and gold to move back to its previous equilibrium in 1Q20 or 2Q20. 5 For more info on the Baker-Bloom-Davis index, please see policyuncertainty.com Investment Views and Themes Recommendations Strategic Recommendations Tactical Trades TRADE RECOMMENDATION PERFORMANCE IN 2019 Q3 Commodity Prices and Plays Reference Table Trades Closed in 2019 Summary Of Trades Closed In 2018 Summary Of Trades Closed In 2017 Summary Of Trades Closed In 2016
Highlights On a tactical horizon, underweight bonds versus cash, especially those bonds with deeply negative yields… …and underweight bonds versus equities. On a strategic horizon, remain overweight a 50:50 combination of U.S. T-bonds and Italian BTPs versus a 50:50 combination of German Bunds and Spanish Bonos, at either 10-year or 30-year bond maturities. Investors could also play the component pairs: overweight U.S. T-bonds versus German bunds; and overweight Italian BTPs versus Spanish Bonos. New recommendation: switch Japanese yen long exposure into Swedish krona long exposure. Fractal trade: long SEK/JPY. Feature Chart of the WeekSwiss Bond Yields Have Found It Difficult To Go Down, But Easy To Go Up! Anybody who has dared to bet that JGB yields would rise has ended up being carried out of their job, feet first. Shorting Japanese government bonds (JGBs) is known as the widow maker trade. Over the past 20 years, any investment manager who has dared to bet that JGB yields would rise – whether starting from 2 percent, 1 percent, or even 0.5 percent – has ended up being carried out of their job in a box, feet first. Today, the Bank of Japan’s policy of ‘yield curve control’ means that JGB yields are constrained within a tight range around zero, limiting their immediate scope to break higher. The European equivalent of the widow maker trade has been to short Swiss government bonds. Just as with JGB’s during the past two decades, anybody who has dared to bet that Swiss government bond yields would rise – whether starting from 2 percent, 1 percent, or 0.5 percent – has been proved fatally wrong (Chart I-2). Chart I-2Widow Makers: Shorting Japanese And Swiss Bonds That is, until this year, when Swiss government bond yields reached -1 percent. The Lower Bound To Bond Yields Is Around -1 Percent According to several senior central bankers who have spoken to us, the practical lower bound to the policy interest rate is -1 percent, because “-1 percent counterbalances the storage cost of holding physical cash and/or other stores of value”. They argue that if bank deposit rates were to fall much below -1 percent, it would be logical for bank depositors to flee wholesale into physical cash, and such a deposit flight would destroy the banking system.1 Still, couldn’t central banks just abolish physical cash, forcing us all into ‘digital cash’ with unlimited negative interest rates? No, because that would just push us into other stores of value: for example, gold, or the rapidly growing ‘decentralised’ cryptocurrency asset-class. The common counterargument is that cryptocurrencies’ volatility makes them a poor store of value. But that is also true for gold: during a few months in 2013, gold lost one third of its value (Chart I-3). Yet who has ever argued that gold cannot be a store of value just because its price is volatile! Chart I-3Gold Is A Store Of Value ##br## Despite Its Volatility The practical lower bound to the policy interest rate is around -1 percent because the central bank policy rate establishes the banking system’s funding rate – for example, the Eonia rate in the euro area (Chart I-4). If the funding rate fell well below the rate that the banks were paying on deposits, the banking system would come under severe strain and ultimately go bust. The lower bound of the policy rate also sets the lower bound of the bond yield, because a bond yield is just the expected average policy rate over the bond’s lifetime. Chart I-4The Policy Interest Rate Establishes The Banking System's Funding Rate There is one important exception. If bond investors price in the possibility of being repaid in a different and more valuable currency, the bond yield will carry a further redenomination discount as an offset for the potential currency gain. This is relevant to euro area bonds because there remains the remote possibility of euro disintegration. Bonds which would expect to see a currency redenomination gain – notably, German bunds – therefore carry an additional discount on their yields. But for bonds where no currency redenomination is possible, the practical lower bound to bond yields is around -1 percent. Overweight High Yielding Bonds Versus Low Yielding Bonds To state the obvious, the closer that a bond yield gets to the -1 percent lower bound, the more limited becomes the possibility for a further yield decline (capital gain), while the possibility for a yield increase (capital loss) stays unlimited. This unattractive lack of upside combined with plenty of potential downside is called negative skew or negative asymmetry. It follows that, close to the lower bound of yields, the cyclicality or ‘beta’ of bond prices also becomes asymmetric. In risk-off phases, the bond prices cannot rally; while in risk-on phases, bond prices can plummet. Making such bonds a ‘lose-lose’ proposition. Case in point: Swiss bond yields have found it difficult to go down this year, but very easy to go up (Chart of the Week). Because their yields were already so close to -1 percent, Swiss bond yields could not decline much during the bond market’s recent strong rally – meaning, Swiss bond prices were very low beta on the way up. But in the recent reversal, Swiss bond yields have risen much more than others – meaning, Swiss bond prices are high beta on the way down (Chart I-5). Chart I-5Swiss Bond Prices Are Low Beta Going Up, But High Beta Going Down Does this mean the widow maker trade can finally work? Yes, but only on a tactical horizon. For the full rationale, which we will not repeat here, please see Growth To Rebound In The Fourth Quarter, But Fade In 2020. However in summary, expect bond yields to edge modestly higher, and especially those yields that are deeply in negative territory. Also on a tactical horizon, prefer equities over bonds. On a longer term horizon, a much safer way to play the asymmetric beta is to short low yielding bonds in relative terms. In other words, overweight high yielding bonds versus low yielding bonds.2 Close to the lower bound of yields, the cyclicality or ‘beta’ of bond prices becomes asymmetric. Our strategic recommendation is to overweight a 50:50 combination of U.S. T-bonds and Italian BTPs versus a 50:50 combination of German Bunds and Spanish Bonos, at either 10-year or 30-year bond maturities. Since initiation five months ago, the recommendation at the 30-year maturity is already up by almost 7 percent. Nevertheless, it has a lot further to go (Chart I-6). Investors could also play the component pairs: overweight U.S. T-bonds versus German bunds; and overweight Italian BTPs versus Spanish Bonos (Chart I-7 and Chart I-8), but the combined two bonds versus two bonds recommendation has better return to risk characteristics. Chart I-6Expect High Yielding Bonds To Outperform Low Yielding Bonds Chart I-7Expect Yield Spread Convergence At 10-Year Maturities... Chart I-8...And At 30-Year ##br##Maturities Switch Into The Swedish Krona Bond yield spreads are also an important driver of currency moves. The currency corollary of overweighting high yielding versus low yielding bonds is to tilt towards low yielding currencies, because these are the currencies that have the most scope for substantial upside. Our favourite low yielding currency has been the Japanese yen, and this has worked very well. Since early 2018, the yen has been the strongest major currency, and is up 16 percent versus the euro. But our favourite currency is now changing to the Swedish krona, for three reasons: The SEK is depressed from a valuation perspective. For example, it is the only major currencies that is weaker than the GBP compared to before the Brexit vote in 2016 (Chart I-9). Chart I-9The Swedish Krona Has Underperformed The Pound Despite Brexit Unlike other major central banks, the Riksbank is seeking to normalise the policy rate upwards. The SEK is technically oversold on its 130-day fractal dimension, signalling over-pessimism in the price (Chart I-10), while the JPY is showing the opposite tendency. Chart I-10The Swedish Krona Is Due A Countertrend Move Bottom Line: switch Japanese yen long exposure into Swedish krona long exposure. Fractal Trading System* (Chart 1-11) As just discussed, this week's recommended trade is long SEK/JPY. Set the profit target at 1.5 percent with a symmetrical stop-loss. In other trades, long NZD/JPY has started off very well and long Spain versus Belgium achieved its 3.5 percent profit target, at which it was closed, leaving five open positions. For any investment, excessive trend following and groupthink can reach a natural point of instability, at which point the established trend is highly likely to break down with or without an external catalyst. An early warning sign is the investment’s fractal dimension approaching its natural lower bound. Encouragingly, this trigger has consistently identified countertrend moves of various magnitudes across all asset classes. Chart I-11 The post-June 9, 2016 fractal trading model rules are: When the fractal dimension approaches the lower limit after an investment has been in an established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore, open a countertrend position. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetrical stop-loss. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks. Use the position size multiple to control risk. The position size will be smaller for more risky positions. For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated December 11, 2014, available at eis.bcaresearch.com. Dhaval Joshi Chief European Investment Strategist dhaval@bcaresearch.com Footnotes 1 The cost of holding physical cash is the cost of its safe storage. 2 Please see the European Investment Strategy Weekly Report ‘Growth To Rebound In The Fourth Quarter, But Fade In 2020’, October 3, 2019 available at eis.bcaresearch.com. Fractal Trading Model Cyclical Recommendations Structural Recommendations Fractal Trades Trades Closed Trades Asset Performance Currency & Bond Equity Sector Country Equity Indicators Bond Yields Chart II-1Indicators To Watch - Bond Yields Chart II-2Indicators To Watch - Bond Yields Chart II-3Indicators To Watch - Bond Yields Chart II-4Indicators To Watch - Bond Yields Interest Rate Chart II-5Indicators To Watch - Interest Rate Expectations Chart II-6Indicators To Watch - Interest Rate Expectations Chart II-7Indicators To Watch - Interest Rate Expectations Chart II-8Indicators To Watch - Interest Rate Expectations
Selling NZD/SEK is the optimal vehicle to play any Swedish krona rebound. USD/SEK and NZD/SEK are often highly correlated; since the SEK has a higher beta to global growth than the kiwi (Sweden exports 45% of its GDP versus 27% for New Zealand). On a relative…
Based on the pre-Brexit relationship between relative real interest rates and the pound’s exchange rate, we can quantify the ‘Brexit discount’. Absent this discount, the pound would now be trading close to €1.30 and well north of $1.40. We do not claim to…
ハイライト
通貨市場は短期的な期待と長期的な要因の点で二分されている。スウェーデンクローナ、ノルウェークローネ、英ポンドは長期的には堅調に買いだが、短期的には非常にボラタイルなままでいる可能性がある。
我々はドルの単純な押し目買いよりもクロス通貨に引き続き注目している。SEK/NZD、GBP/JPY、NOK/SEKはロングを維持。利益保護のためGBP/JPYのロスカットを引き締める。
世界的な成長が改善すればEUR/SEKは天井を打つはずだ。
先週のレポートで推奨した通り、金/銀比率を90で売る。1
特集
Chart I-1
2018年以降の一方通行
2018年以降の一方通行
2018年以降の一方通行
我々が注目するG10通貨の中で、最も不可解なのはおそらくスウェーデンクローナだ。リクスバンクは今年利上げを行った数少ない中央銀行の一つだが、クローナは依然としてG10で最も弱い通貨である。確かにスウェーデンの製造業のパフォーマンスはみじめで、特に9月はそうだったが、これはスウェーデンだけの話ではない。製造業の深刻な景気後退を経験しているユーロ圏の方が、よりハト派な欧州中央銀行（ECB）にもかかわらず通貨のパフォーマンスは良好だった。
クローナのアンダーパフォーマンスは、世界的な製造業の景気後退が長引くことを示しているのか、それともスウェーデン固有の内生的な問題を示しているのかという疑問を投げかける。言い換えれば、USD/SEK（さらにはUSD/NOK）の上昇を牽引してきたのはドル高なのか、それともより国内的な要因なのか（Chart I-1）？ もし後者であれば、反転が近づいている場合に注目すべき重要な指標は何か？
ソフトデータ対ハードデータの議論
スウェーデンにとって大きな問いは、製造業がただボラタイルに底打ちしているだけなのか、それともこれからさらに大きく収縮するのか、という点だ。鉱工業生産は現在前年比で4％成長しているが、ソフトデータのシグナルは二桁の縮小を示唆している（Chart I-2、上段）。したがって、投資家の認識と現実の間に大きな乖離があるか、あるいは我々がはるかに深刻な製造業の落ち込みの瀬戸際にいるかのどちらかだ。為替は幅広い経済データの織り込みが極めて流動的であり、スウェーデンの場合は世界成長の見通しを織り込む傾向にある。しかし、EUR/SEKが10.8、USD/SEKが9.7（後者は2008年の高値を大きく上回る）であることを踏まえれば、深刻な不況以外の結果であればクローナは強くなると見て差し支えない。
スウェーデン製造業の底を示す比較的一貫した指標の一つは新規受注対在庫比率だ（Chart I-2、下段）。9月の低下は不安を誘う。しかし、製造業PMIとは異なりこの比率は新たな安値を付けていない点は注目に値し、我々が長期的な落ち込みではなくボラタイルな底打ちプロセスにあるかもしれないという暫定的な証拠である。我々がこのような発散を最後に見たのは2011/2012年の欧州債務危機の最中であり、その際にはスウェーデンのハードデータが最終的に経済全体の正しいシグナルを送った。
製造業の悪化は、まだ国内消費一般や労働市場には影響を与えていない。
製造業の悪化は、まだ国内消費一般や労働市場には影響を与えていない。PMI指数の輸入項目は輸出のそれを大きく上回っている。一方で、PMIの雇用項目は今年の中頃から安定化し始めており、雇用成長は約1％前後で底打ちするはずだ（Chart I-3）。スウェーデンの輸出は多くの先進国よりも製造業の上位サプライチェーンに位置しており、自動車は重要な役割を果たす。しかしこれまでのところ、スウェーデン経済は自動車の減速を比較的うまく耐え抜いており、生産は依然として年率約7％で推移している。
Chart I-2
ソフトデータがはるかに悪い
ソフトデータははるかに悪化している
ソフトデータははるかに悪化している
Chart I-3
国内需要は堅調に持ちこたえている
国内需要は堅調に推移している
国内需要は堅調に推移している
スウェーデンの失業率の上昇は問題だが、我々はこれが労働市場のダイナミクスに重大な変化をもたらしたとは考えていない。スウェーデンは多くの他の欧州諸国よりも亡命希望者や難民に対して開放的である歴史が長い。数年前のシリア危機は例外的な急増を引き起こし、亡命希望者数は15万人を超え、総人口のほぼ1.5％にまで達した（Chart I-4）。歴史的に移民はスウェーデンに大きな労働力の恩恵をもたらし、成長は米国やユーロ圏を上回ってきた。ただし、新たな移民が労働力に統合される過程で摩擦的失業も生じている。
Chart I-4
統合される必要のある新たな労働力プール
統合しなければならない新たな労働力のプール
統合しなければならない新たな労働力のプール
外国生まれの労働者は現在総人口の約20％を占め、その大部分が新しい言語を学び新たなスキルを習得する必要がある（Chart I-5A）。この成長のメリットは今後何年にもわたって享受されるだろう。統合は政治的に敏感な問題であり、2016年中頃に採択された高度に制限的な亡命・再統合法は移民ブームの後退を意味する可能性が高い。2018年9月の選挙で反移民派のスウェーデン民主党が台頭したのはその典型例だ。しかし、民主主義国の有権者が右寄りに向かう動きは世界的な現象であり、相対的に見ればスウェーデンにとってそれほどネガティブではない。つまり、ほとんどの先進国と比較して、スウェーデンの人口見通しは依然として比較的良好だ（Chart I-5B）。
Chart I-5A
巨大な労働力の恩恵
巨額の労働配当
巨額の労働配当
Chart I-5B
明らかな人口の崖は見えない
明らかな人口の崖は見られない
明らかな人口の崖は見られない
移民の流入はインフレに対して混合的な影響を与える。賃金が低い就業比率の上昇により賃金を押し下げる圧力がある一方で、労働者数の増加に応じて住宅と消費には上押し圧力が掛かる。これは政府が社会サービスに支出を増やす財政刺激にもつながる。一方で、外国生まれの人々の失業率は約15％に達している。これはフィリップス曲線が最初の数年間は平坦で、その後急勾配になることを意味する。しかし新たな労働力が最終的に経済に吸収されれば、賃金圧力を生み出し始めるはずだ。
リクスバンクはこれらのダイナミクスを明確に理解しており、だからこそ過去数年はスウェーデン経済が比較的持ちこたえている局面でもハト派の姿勢を取ってきた。金利は2015年にマイナス領域に引き下げられ、2016年から2017年の世界的な回復期を通じて-0.5％に据え置かれた（ECBの政策金利より低い）。また量的緩和はECBの資産購入プログラムの再開発表よりも早く2020年まで延長された。これらは弱い通貨を通じて含め、スウェーデンの金融状況を大いに緩和した。今後、クローナの下値抵抗が薄く上昇しやすいと考える主要な理由がいくつかある：
弱いクローナは通常12か月のラグをもって製造業を助けてきた。
弱いクローナは通常12か月のラグをもって製造業を助けてきた。マイナスの乖離は深刻な不況の前にしか起こらない傾向がある。現在がまさにそのような状況でない限り、比較的安価になったスウェーデン製品（ボルボ対BMWを想起せよ）への需要が強まれば、クローナは強含みになるはずだ（Chart I-6）。
確かにRiskbankは量的緩和を実施してきたが、バランスシートの拡大ペースはここ数四半期で鈍化している。USD/SEKはリクスバンクとフェドの相対的なバランスシート動向を追う傾向があるが、クローナに有利な大きな差が開きつつある（Chart I-7）。一方で、フェドがバランスシートを再拡大しようとしていることも、USDに対してSEKを強める方向に働くはずだ。
Chart I-6
スウェーデンクローナと製造業
スウェーデン・クローナと製造業
スウェーデン・クローナと製造業
Chart I-7
USD/SEKと相対的バランスシート
USD/SEKと相対的バランスシート
USD/SEKと相対的バランスシート
スウェーデンの住宅市場はリクスバンクにとって悩みの種になりつつある。2015年にマイナス金利が導入された際、住宅価格は前年比で15％という急上昇を見せた（Chart I-8）。最近では移民抑制がある程度の冷却をもたらしたが、スウェーデンの家計のレバレッジは依然として非常に高い。1990年代の住宅危機の記憶が鮮明なため、現行の政策スタンスにリクスバンクは強い違和感を抱いている。
キャリーコストは米ドルをショートするよりNZDをショートする方が低い。
我々のバイアスは、ステファン・イングベス総裁ができるだけ速やかに政策を正常化したがっている一方で、彼が扱っているのは貿易がGDPの約45％を占める小規模開放経済であり、外部条件に翻弄されやすいという点だ。SEKはG10の中で最も割安な通貨であり、世界成長の底打ちを示すいかなる弱い証拠に対しても急反発する可能性がある。さらに、世界的な成長が上向けば資源利用がひっ迫し、スウェーデンの基調的なインフレ圧力が高まるはずだ（Chart I-9）。
Chart I-8
スウェーデンの住宅価格##br## バブル気味
スウェーデンの住宅価格はバブル状態にある
スウェーデンの住宅価格はバブル状態にある
Chart I-9
スウェーデンの資源利用とインフレ
スウェーデンにおける資源の活用とインフレ
スウェーデンにおける資源の活用とインフレ
SEKの取引ストラテジーに関しては、USD/SEKとNZD/SEKは高い相関を示す傾向にある。SEKはキウイよりも世界成長に対するベータが高い（スウェーデンはGDPの45％を輸出、ニュージーランドは27％）。相対的に見ると、スウェーデン経済は米国よりも底打ちしているように見え、SEK/NZDはUSD/SEKの下落をプレーする魅力的な手段だ。一方、キャリーコストは米ドルをショートするよりもNZDをショートする方が低い（Chart I-10）。EUR/SEKについては、当面現水準で推移したのち下落に向かう可能性があるが、最終的には世界成長が再加速するとピークを打つだろう。
Chart I-10
SEK/NZDはロングを維持
SEK/NZDのロングを維持
SEK/NZDのロングを維持
結論：我々は相対価値プレーとしてSEK/NZDを引き続きロングしているが、真の上昇余地はSEK/USDクロスにある。ソフトデータの失望に市場が注目していることがSEK安の主因である一方、ハードデータは比較的耐性を示しているというのが我々の見方だ。調査が示すほど世界成長環境が危うくないことが明確になれば、クローナは急反発する可能性がある。
事務連絡
我々のGBP/JPYロングは今週5%の含み益となった。利益を守るためストップを138に引き締める。EUR/NOKショートは2%の損失でロスカットされた。現時点では様子見である。EUR/NOKは現在2008年のリセッション時の水準を上回っており、それは長期化した景気後退のみで正当化されうるが、リスク管理の観点からは当面忍耐が必要だ。続報を待たれたい。
チェスター・ントニフォア, 外国為替ストラテジスト chestern@bcaresearch.com
脚注
1 詳細はForeign Exchange ストラテジー 週次レポート、題名「マネー回転率、EUR/USD、そして銀」（2019年10月11日付）を参照。fes.bcaresearch.comで入手可能
通貨
米ドル
Chart II-1
USDテクニカル 1
USD テクニカル 1
USD テクニカル 1
Chart II-2
USDテクニカル 2
米ドルテクニカル 2
米ドルテクニカル 2
米国の最近のデータは軟調である：
9月の小売売上高は前月比-0.3％。鉱工業生産は前月比-0.4％。
9月の輸出物価・輸入物価はともに前年比-1.6％下落。
ミシガン消費者信頼感指数は10月に96まで上昇、前月の93.2から上昇。
NYエンパイア・ステート製造業指数は10月に4に上昇、9月の2から。
9月の建築許可と住宅着工はそれぞれ前月比-2.7％、-9.4％と減少したが、住宅回復は維持されている。
10月11日終了週の新規失業保険申請件数は214Kに増加。
DXY指数は今週0.7％下落した。最新のベージュブックは米経済が緩やか〜中程度のペースで拡大しているとまとめた。製造業の減速は依然として最大のリスクであり、貿易摩擦は企業心理と設備投資意向に重しをかけ続けている。最近の貿易協議における“合意”は、夏を通じて続いてきた高い不確実性からの転換点を示す可能性がある。
レポートリンク：
マネー回転率、EUR/USD、そして銀 - 2019年10月11日
暴動ポイントにおける資本保全 - 2019年9月6日
通貨の風景は変わったか？ - 2019年8月16日
ユーロ
Chart II-3
EURテクニカル 1
EUR テクニカル分析 1
EUR テクニカル分析 1
Chart 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低調のままである：
9月の総合インフレ率は前年比0.8％に低下し、約3年ぶりの低水準となった。ただしコアインフレは前年比1％に上昇した。
ユーロ圏の鉱工業生産は8月に前年比-2.8％と引き続き縮小した。
ユーロ圏のZEW景況感は10月にさらに低下し-23.5となったが、これは予想の-33を大きく上回る。ドイツのZEW期待指数も10月に-22.8に低下した。期待は現状に比べて改善している点は注目に値する。
ユーロ圏の貿易収支は8月に203億ユーロに改善、7月の下方改定された175億ユーロから上昇した。ただしこれは主に輸入の縮小によるものだ。
EUR/USDは今週0.9％上昇し、広範なドル安が一因となった。ユーロ圏の貿易動向は依然憂慮すべきで、8月の輸出は前年比-2.2％、輸入は前年比-4.1％と大きく落ち込んだ。注目すべきは、年初来で対米のEUの貿易黒字が1年前の910億ユーロから1030億ユーロに拡大する一方、中国との貿易赤字は1160億ユーロから1270億ユーロにさらに拡大している点だ。
レポートリンク：
マネー回転率、EUR/USD、そして銀 - 2019年10月11日
いくつかのトレードアイデア - 2019年9月27日
中央銀行の対決 - 2019年6月21日
日本円
Chart II-5
JPYテクニカル 1
JPYのテクニカル分析 1
JPYのテクニカル分析 1
Chart II-6
JPYテクニカル 2
JPY テクニカル指標 2
JPY テクニカル指標 2
日本の最近のデータは引き続き失望的である：
8月の鉱工業生産は前年比-4.7％。
8月の稼働率は前月比-2.9％低下。
日本円は今週対米ドルで0.8％下落した。黒田総裁は経済状況がさらに悪化し続ければ躊躇なく行動すると改めて強調した。一方で、フェドやECBが資産買入を通じてバランスシートを拡大する方向にある中で、日銀がイールドカーブコントロールを超えてどれだけ追加で打ち手を講じられるかは不透明である。我々は日銀が攻撃的に動くには「リーマン級の瞬間」が必要だと考えており、円をロングで保有している。
レポートリンク：
いくつかのトレードアイデア - 2019年9月27日
通貨の風景は変わったか？ - 2019年8月16日
薄い夏場の取引に向けたポートフォリオ調整 - 2019年7月5日
英ポンド
Chart II-7
GBPテクニカル 1
GBP テクニカル指標 1
GBP テクニカル指標 1
Chart 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概ねネガティブである：
ILO失業率は8月にわずかに上昇して3.9％に。平均賃金の四半期成長率は3.8％に鈍化したが、予想の3.7％を上回った。
小売物価指数は9月に前年比2.4％と、前月の2.6％から減速。
総合インフレ率は9月に前年比1.7％で横ばい、コアインフレは1.5％から1.7％に上昇。
小売売上高は9月に前年比3.1％増、前月の2.6％から上昇。
GBP/USDは欧州理事会のブレグジットに関する楽観が高まったことで今週3.3％急騰した。バリュエーションの観点からは、ポンドはそのフェアバリューに対して大きく割安で取引されている。ブレグジットに関するポジティブなニュースが続けば、ポンドはさらに上昇し得る。我々はGBP/JPYをロングしており含み益は5％超。ストップを138に引き上げる。
レポートリンク：
いくつかのトレードアイデア - 2019年9月27日
英国：循環的減速か構造的停滞か？ - 2019年9月20日
中央銀行の対決 - 2019年6月21日
豪ドル
Chart II-9
AUDテクニカル 1
AUD テクニカル 1
AUD テクニカル 1
Chart II-10
AUDテクニカル 2
AUD テクニカル分析 2
AUD テクニカル分析 2
豪州の最近のデータは穏やかである：
NAB企業景況感はさらに-2に低下したが、Q3の活動状況は1に改善した。
労働市場では9月の失業率が5.2％に低下。14.7Kの雇用が創出され、うち26.2Kがフルタイム、11.4Kがパートタイムの減少だった。
AUD/USDは今週0.4％上昇した。今週初めにRBA議事録が公表されたが、低金利の効果について鋭い論争が示されている。一方では低金利は完全雇用とインフレ目標達成のため理論的に正当化される。だが他方で、一部のRBAメンバーは低金利が既に高騰している住宅価格をさらに煽ることを懸念している。したがってRBA議事録後、追加利下げの確率は低下した。
レポートリンク：
豪ドルに関するコントラリアンの見解 - 2019年5月24日
限界効用逓減に注意 - 2019年4月19日
まだ安全圏を脱していない - 2019年4月5日
NZドル
Chart II-11
NZDテクニカル 1
NZD テクニカル分析 1
NZD テクニカル分析 1
Chart II-12
NZDテクニカル 2
NZドルのテクニカル分析 2
NZドルのテクニカル分析 2
ニュージーランドの最近のデータはネガティブである：
観光客到着数は8月に前年比1.8％増と、前月の2％からわずかに低下。
第3四半期の総合インフレ率は前年比1.5％に鈍化。
NZD/USDは今週ほぼ横ばいで推移した。世界成長に密接に結びつくニュージーランドドルは米中貿易の見出しの浮き沈みに伴って変動している。両国は先週部分合意に達したが、詳細はまだあいまいだ。キウイはハイベータ通貨である一方、クロスではアンダーパフォームするはずだ。我々は引き続きオーストラリアドルとスウェーデンクローナを通じてキウイの弱さをプレーしている。
レポートリンク：
USD/CNYと市場の動揺 - 2019年8月9日
米ドルは次にどこへ向かうか？ - 2019年6月7日
まだ安全圏を脱していない - 2019年4月5日
カナダドル
Chart 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
Chart II-14
CADテクニカル 2
CADのテクニカル 2
CADのテクニカル 2
カナダの最近のデータは比較的強い：
9月の失業率はさらに低下し5.5％に。さらに平均時給は前年比4.3％の伸びを続け、前月の3.8％から加速した。最後に9月の雇用者数は53.7Kの増加で、予想の10Kを大きく上回った。
9月の総合インフレ率とコアインフレ率はともに前年比1.9％で横ばいだった。
カナダドルは先週公表された好調な雇用データを受けて対米ドルで1％の上昇となった。今月の総選挙はカナダのエネルギーセクターと環境政策の将来にとって重要となり得る。
レポートリンク：
暴動ポイントにおける資本保全 - 2019年9月6日
薄い夏場の取引に向けたポートフォリオ調整 - 2019年7月5日
金、原油、暗号通貨について - 2019年6月28日
スイスフラン
Chart II-15
CHFテクニカル 1
CHF テクニカル分析 1
CHF テクニカル分析 1
Chart II-16
CHFテクニカル 2
CHF テクニカル 2
CHF テクニカル 2
スイスの最近のデータは良好である：
貿易黒字（貴金属除く）は9月に急拡大し28.8億CHFとなった。特に化学・製薬製品の販売増によりスイスの輸出は月次で8.2％増の203億CHFとなった。輸入は月次で1.4％減の174億CHFだった。
生産者物価と輸入物価は9月に前年比-2％のまま推移した。
USD/CHFは今週1％下落した。スイスフランは防御的通貨としての性格と、SNBによる操作ツールとしての性格の綱引きにさらされ続けるだろう。我々の推定ではEUR/CHF1.06が究極のストレスポイントである。グローバルポートフォリオは構造的にアウトパフォームするという単純な理由からスイスフランを保険として保有すべきだ。
レポートリンク：
SNBに関する注記 - 2019年10月4日
スイスフランへの対処法 - 2019年5月17日
限界効用逓減に注意 - 2019年4月19日
ノルウェークローネ
Chart II-17
NOKテクニカル 1
NOKのテクニカル指標 1
NOKのテクニカル指標 1
Chart II-18
NOKテクニカル 2
NOK テクニカル 2
NOK テクニカル 2
ノルウェーの最近のデータは低迷している：
貿易収支は9月に12億NOKの赤字に転じた。これは前年比で240億NOKの減少である。
ノルウェークローネは今週対米ドルでほぼ1％下落した。エネルギー価格はここ数週間低迷している。さらにノルウェーの貿易収支は2017年11月以来初めて赤字に転じた。輸出はエネルギー製品の販売減により前年比-19.5％と急落し、一方で輸入は前年比+12.9％と増加した。メッセージは明確だ――ノルウェーは国内的には比較的堅調だが、石油輸出への依存が成長見通しにボラティリティをもたらしている。BCAは2019年の原油価格見通しを引き下げており、これがノルウェークローネの魅力をそいでいる。続報にご期待ください。
レポートリンク：
いくつかのトレードアイデア - 2019年9月27日
薄い夏場の取引に向けたポートフォリオ調整 - 2019年7月5日
金、原油、暗号通貨について - 2019年6月28日
スウェーデンクローナ
Chart II-19
SEKテクニカル 1
SEK テクニカル 1
SEK テクニカル 1
Chart II-20
SEKテクニカル 2
SEK テクニカル 2
SEK テクニカル 2
スウェーデンの最近のデータは中立的である：
9月の失業率は7.1％で横ばいだった。
USD/SEKは今週1.1％下落した。今年に入って最もパフォーマンスが悪いG10通貨として、スウェーデンクローナは現在そのフェアバリューに対して大きく割安に取引されている。今週の本文前半でスウェーデン経済とクローナに関する詳細分析を提示しているので参照されたい。
レポートリンク：
米ドルは次にどこへ向かうか？ - 2019年6月7日
G10全体の国際収支 - 2019年2月15日
通貨の単純な魅力度ランキング - 2019年2月8日
トレード＆予測
予測サマリー
コアポートフォリオ
タクティカルトレード
指値注文
決済済み取引
Highlights New structural recommendation: long GBP/USD. The substantial Brexit discount in the pound makes it a long-term buy for investors who can tolerate near-term volatility. The most powerful equity play on a fading Brexit discount would be the U.K. homebuilders. Specifically, Persimmon still has a further 25 percent of upside. Take profits in long Euro Stoxx 50 versus Shanghai Composite. Within Europe, close the overweight to Switzerland and the underweight to the Netherlands. Stay overweight banks versus industrials. Stay overweight the Euro Stoxx 50 versus the Nikkei 225. Fractal trade: long NZD/JPY. Feature Chart of the WeekThe Pound Has Substantial Upside If The Brexit Discount Fades Carnival Says The Pound Is Cheap Carnival, the world’s largest cruise liner company, lists its shares on both the London and New York stock exchanges. But there is an apparent riddle: in London the shares trade on a forward PE of 8.8, while in New York they trade on 9.4. How can Carnival trade at different valuations on the two sides of the Atlantic when the market should instantly arbitrage the difference away? The answer to the riddle is that the London listing is quoted in pounds, the New York listing is quoted in dollars, while Carnival’s sales and profits are denominated in a mix of international currencies. Neither Brexit developments nor a potential Jeremy Corbyn led government will prevent the pound from rallying in the longer term. Carnival is trading on a higher valuation in New York versus London because the market is expecting its mixed currency earnings to appreciate more in dollar terms than in pound terms. Put another way, the valuation differential is expecting the pound to appreciate versus the dollar to a ‘fair value’ of around $1.40 (Chart I-2). Likewise, BHP Billiton shares are trading on a higher valuation in their Sydney listing compared to their London listing. This valuation differential is expecting the pound to appreciate versus the Australian dollar to around A$2.00 (Chart I-3). Chart I-2Carnival Says The Pound Is Cheap Chart I-3BHP Billiton Says The Pound Is Cheap In other words, the market believes that neither Brexit developments nor a potential Jeremy Corbyn led government will prevent the pound from rallying in the longer term. We tend to agree. The Wrong Way To Pick Stock Markets… And The Right Way Before continuing with the pound’s prospects, let’s wander into the wider investment landscape. One important lesson from dual-listed companies like Carnival and BHP Billiton is that a multinational’s valuation will appear attractive in a market where the currency is structurally cheap.1 This lesson has deep ramifications. Today, multinationals dominate all the major stock markets, meaning that the entire stock market will appear cheap if its currency is cheap. The stock market will also appear cheap if it is skewed towards lower-valued sectors. But sectors trade on a low valuation for a reason – poor long-term growth prospects. Through the past decade, Japanese banks seemed a relative bargain, trading on a forward PE of less than half of that on personal products companies (Chart I-4). Yet Japanese banks were not a relative bargain. Quite the contrary. Through the past decade Japanese personal products have outperformed the banks by 500 percent! (Chart I-5) Chart I-4Japanese Banks Seemed A Relative Bargain... Chart I-5...But Japanese Banks Were Not A Relative Bargain Hence, beware of picking stock markets on the basis of observations such as ‘European stocks are cheaper than U.S. stocks’. Given that a stock market valuation is the result of its currency valuation and its sector composition, assessing relative value across major stock markets is extremely difficult, if not impossible. To repeat, Carnival appears to be trading at a valuation discount in London versus New York, but the cheapness is illusory. Here’s the right way to pick major stock markets. Identify your preferred sectors and currencies, and then pick the regional and country stock markets that are skewed to these preferred sectors and currencies. In this regard, large underweight sector skews also matter. For example, China and EM have a near-zero exposure to healthcare equities, so their performances tend to correlate negatively with that of the global healthcare sector – albeit the causality could run in either direction. Identify your preferred sectors and currencies, and then pick the regional and country stock markets that are skewed to these preferred sectors and currencies. In early May, we noticed that the extreme outperformance of technology versus healthcare was at a critical technical point at which there was a high probability of a trend reversal. This high conviction sector view implied overweight Europe versus China, as well as overweight Switzerland and underweight Netherlands within Europe (Chart I-6 and Chart I-7). Chart I-6When Tech Underperforms Healthcare, China Underperforms Switzerland Chart I-7When Tech Underperforms Healthcare, The Netherlands Underperforms Switzerland Given that this sector trend reversal has played out exactly as anticipated, it is time to bank the profits: Close long Euro Stoxx 50 versus Shanghai Composite. And within Europe, close the overweight to Switzerland and the underweight to the Netherlands. Right now, it is appropriate to overweight banks versus industrials. It is the pace of the bond yield’s decline that has weighed on bank performance this year. But if the sharpest decline in bond yields is behind us, as seems likely, then banks should fare better versus other cyclicals (Chart I-8). Chart I-8If The Sharpest Decline In Bond Yields Is Over, Banks Will Outperform Industrials Once again, this sector view carries an equity market implication: stay overweight the Euro Stoxx 50 versus the Nikkei 225 (Chart I-9). Chart I-9Euro Stoxx 50 Vs. Nikkei 225 = Global Banks In Euros Vs. Global Industrials In Yen The Pound Is A Long-Term Buy Back to the pound. The message from the dual listings of Carnival and BHP Billiton is that the pound is cheap, and this is neatly corroborated by the relationship between relative interest rates and the pound versus the euro and dollar. Based on the pre-Brexit relationship between relative real interest rates and the pound’s exchange rate, we can quantify the ‘Brexit discount’. Absent this discount, the pound would now be trading close to €1.30 and well north of $1.40 (Chart of the Week and Chart I-10). Chart I-10The Pound Has Substantial Upside If The Brexit Discount Fades In the Brexit psychodrama, we do not claim to know exactly how the next few days or weeks will play out. In the short term, Brexit is a classic non-linear system, and non-linear systems are inherently unpredictable. However, in the longer term we expect the Brexit discount to fade in any sort of transitioned resolution that allows the U.K. to adapt to a new trading relationship with the world, or alternatively to stay in a relationship broadly similar to the current one. Whatever the eventual endpoint is, the key requirement to remove the Brexit discount is to avoid a cliff-edge. We expect the Brexit discount to fade in any sort of transitioned resolution. The stumbling block to a resolution is that the three key actors – the EU, the U.K. government, and the U.K. parliament – have conflicting red lines, so the Brexit ‘Venn diagram’ has had no overlap. The EU will not countenance a customs border that divides Ireland; the current U.K. government wants a Free Trade Agreement, which implies casting away Northern Ireland into the EU customs union; and the current U.K. parliament – unless its intentions suddenly change – wants the whole of the U.K., including Northern Ireland, to remain in the EU customs union. Given that the EU will not budge its red line, the only way to a lasting resolution is for the government and parliament red lines to realign, This could happen via parliament being willing to sacrifice Northern Ireland, via a second referendum, or via a general election in which the government’s intentions and/or the composition of parliament changed. Given a long enough investment horizon – 2 years or more – it is likely that the government and parliament will realign their red lines to a Free Trade Agreement or to a customs union, one way or another. On this basis, the substantial Brexit discount in the pound makes it a long-term buy for investors who can tolerate near-term volatility. Accordingly, today we are initiating a new structural recommendation: long GBP/USD. For equity investors, the most powerful play on a fading Brexit discount would be the U.K. homebuilders (Chart I-11). Specifically, if the pound reached $1.40, Persimmon still has a further 25 percent of upside. Chart I-11U.K. Homebuilders Have Substantial Upside If The Brexit Discount Fades Fractal Trading System* Based on its collapsed fractal structure, we anticipate a countertrend rally in NZD/JPY within the next 130 days. Accordingly, go long NZD/JPY setting a profit target of 3 percent and a symmetrical stop-loss. Chart I-12 For any investment, excessive trend following and groupthink can reach a natural point of instability, at which point the established trend is highly likely to break down with or without an external catalyst. An early warning sign is the investment’s fractal dimension approaching its natural lower bound. Encouragingly, this trigger has consistently identified countertrend moves of various magnitudes across all asset classes. The post-June 9, 2016 fractal trading model rules are: When the fractal dimension approaches the lower limit after an investment has been in an established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore, open a countertrend position. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetrical stop-loss. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks. Use the position size multiple to control risk. The position size will be smaller for more risky positions. * For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated December 11, 2014, available at eis.bcaresearch.com. Dhaval Joshi, Chief European Investment Strategist dhaval@bcaresearch.com Footnotes 1 There are also several companies with dual listings in the U.K. and the euro area. Unfortunately, these valuation differentials have been temporarily distorted by the risk of a no-deal Brexit, in which EU27 investors may have been forbidden from trading in the U.K. listed shares. Fractal Trading System Cyclical Recommendations Structural Recommendations Fractal 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
Ever since the European debt crisis, the velocity of money in the euro area has collapsed relative to that in the U.S. Relative long bond yields have followed suit in tight correlation. In a nutshell, precautionary demand for money in the Eurozone has been…
Highlights Portfolio Strategy The trade-weighted U.S. dollar’s appreciation along with the still souring manufacturing data are weighing on SPX profit growth, at a time when heightened geopolitical uncertainty and a looming reversal in financial conditions has the potential to wreak havoc on stock prices. Stay cautious on the prospects of the broad equity market on a cyclical 9-12 month time horizon. Firming operating metrics, the resilient U.S. dollar, compelling valuations and depressed technicals, all signal that there is an exploitable tactical trading opportunity in a long S&P industrials/short S&P tech pair trade, irrespective of the trade war outcome. A tentative tick up in EM and China data along with improving relative operating metrics signal that the time is ripe to initiate a long machinery/short semis pair trade. Recent Changes Initiate a long S&P Industrials/short S&P Tech pair trade on a tactical three-to-six month time horizon, today. Initiate a long S&P Machinery/short S&P Semiconductors pair trade on a tactical three-to-six month time horizon, today. Feature The S&P 500 oscillated violently again last week, as the barrage of declining economic data, heightened trade war-related volatility and political upheaval dominated the news flow. While the Fed remains the backstop of last resort, we doubt additional interest rate cuts, which are already aggressively priced in the bond market, will boost lending and entice CEOs to invest in capital expenditure projects. Investors have to stay patient and disciplined, let this economic slowdown play out and allow for the natural healing of the economy. As a reminder, the ISM manufacturing index has been decelerating for twelve months and only been below the boom bust line for two. If history is an accurate guide, an additional three-to-six months of manufacturing pain are in store before a definitive bottom is in place (bottom panel, Chart 1). Such a macro backdrop, still warrants caution on the prospects of the broad equity market. Chart 1Allow Time For Economic Healing Beginning in August, a number of BCA publications became a tad more cautious on risk assets. Following our October editorial view meeting last week, this cautiousness was cemented with a tactical downgrade of global equities to neutral from previously overweight in the BCA House View matrix. While this marks a clear shift toward this publication’s less sanguine view of the U.S. equity market adopted during the summer, BCA's cyclical 12-month House View remains overweight global equities. Worryingly, the majority of the indicators we track continue to emit distress signals and warn that the SPX has further downside (Chart 2), especially absent profit growth. Importantly, we first correctly posited last May that the back half of the year global growth reacceleration was in jeopardy and would go on hiatus courtesy of rising policy uncertainty.1 Such a backdrop would boost the U.S. dollar and simultaneously take a bite out of SPX EPS.2 Chart 2Soft Data Red Flag Last week we highlighted that the U.S. dollar is the most important indicator to monitor given its global deflationary/reflationary properties. Were the greenback to maintain its year-to-date gains, it will continue to dent SPX profitability via P&L translation loss effects and likely sustain the profit recession into early 2020 (trade-weighted U.S. dollar shown inverted, bottom panel, Chart 3). Chart 3Greenback Weighing On Profits U.S. Equity Strategy’s S&P 500 four-factor macro EPS growth model remains downbeat (middle panel, Chart 4). Were we to isolate the U.S. dollar as a single variable and re-run the regression it is clear that additional greenback appreciation will further weigh on SPX profit growth (bottom panel, Chart 4). Meanwhile, the easing in financial conditions and drubbing of the 10-year Treasury yield since the Christmas Eve lows is already reflected in the 23% jump in the forward PE multiple, which explains over 90% of the SPX’s rise since the Dec 24, 2018 trough (top & middle panels, Chart 5). In other words, for multiples to expand anew, financial conditions would have to further ease, which in our view is a tall order (bottom panel, Chart 5). Chart 4EPS Model Warrants Caution Chart 5Financial Conditions Are The Forward P/E This week we are initiating two related pair trades to exploit the mispricing of the trade war within the deep cyclical sector universe. Thus, we would lean against the narrative that easy financial conditions are not fully reflected into stocks. In contrast, our worry is that junk spreads are on the verge of a breakout and such a backdrop would tighten financial conditions and aggravate an SPX drawdown (junk OAS shown inverted, Chart 6). Adding it all up, the trade-weighted U.S. dollar’s appreciation along with the still souring manufacturing data are weighing on SPX profit growth, at a time when heightened geopolitical uncertainty and a looming reversal in financial conditions has the potential to wreak havoc on stock prices. Stay cautious on the prospects of the broad equity market on a cyclical 9-12 month time horizon. This week we are initiating two related pair trades to exploit the mispricing of the trade war within the deep cyclical sector universe. Chart 6Watch Junk Spreads Initiate A Long Industrials/Short Tech Pair Trade… Ever since the Sino-American trade war started in March 2018, the market has punished industrials, but tech has escaped unscathed. While the global growth soft patch preceded the U.S./China trade spat, courtesy of the Fed’s tightening cycle and Chinese policymakers’ slamming on the brakes, the trade war has served as a catalyst to aggressively shed deep cyclical equities except for tech stocks (Chart 7). We think this misalignment presents a playable opportunity to generate alpha by going long industrials/short tech, irrespective of the trade war’s outcome. In other words, this market neutral trade will be in the black either because the trade spat gets resolved or because there will effectively be no “real” deal including intellectual property and the tech sector. If the two sides manage to iron out their differences and strike a deal, industrials stocks should benefit from a greater catch-up phase because they have been depressed over the past two years, while tech stocks are near relative all-time highs. In contrast, a “no deal” scenario, should also re-concentrate investors’ minds and lead to a relative selling in tech stocks versus their already beaten-down deep cyclical peers: industrials. Chart 7Bifurcated Deep Cyclicals Market Chart 8Lots Of Bad Trade War News Reflected In Prices Chart 8 shows the drubbing in relative share prices as three key macro drivers have felt the trade war’s wrath. In more detail, were a deal to get struck, growth expectations will reverse course and a bond market sell-off will almost immediately reflect such an improvement in the global macro backdrop. Rising interest rates on the back of a reflationary/inflationary impulse are a boon for industrials and a bane for high growth tech stocks (top panel, Chart 8). Similarly, the middle panel of Chart 8 highlights that the ISM manufacturing survey should climb above the boom/bust line and outshine the San Francisco Fed’s Tech Pulse Index (that comprises “coincident indicators of activity in the U.S. information technology sector”3) on news of a successful deal. Finally, relative capital expenditure outlays should also veer in favor of industrials as previously mothballed infrastructure projects will come out of hibernation (bottom panel, Chart 8). In contrast, tech capex has been resilient of late with analytics, security and cloud computing being the most defensive capex corner, leaving little room for additional relative capex gains. Taking the opposite side i.e. a “no deal”, we doubt the metrics we depict in Chart 8 would sink that much further. If anything we believe that there is an element of exhaustion and relative share prices would jump on news of a breakdown in trade talks as tech sector fire sales would trump the sell-off in already depressed industrials. Meanwhile, the U.S. dollar and relative share prices have been steeply diverging recently and this gap will likely narrow via a catch-up phase in the latter (top & middle panels, Chart 9). According to Factset’s latest data the S&P industrials sector garners 37% of its sales from abroad, whereas the S&P information technology sector’s foreign exposure stands at 57% of total revenues.4 Therefore, given this 20% delta, a rising greenback should be beneficial to the more domestically geared industrials stocks (bottom panel, Chart 9). On the operating front, industrials also have the upper hand. The relative wage bill is sinking like a stone (shown inverted, middle panel, Chart 10) at a time when relative selling price inflation is holding its own (top panel, Chart 10). The upshot is that a relative profit margin jump is in store in the coming months which should boost the relative share price ratio (bottom panel, Chart 10). Chart 9Unsustainable Divergence Chart 10Industrials Have The Upper Hand U.S. Equity Strategy’s proprietary relative Cyclical Macro Indicators and relative profit growth models capture all these drivers and both signal that an industrials versus tech earnings-led outperformance phase looms into year end (Chart 11). Chart 12 shows that the relative earnings breadth and relative net earnings revisions are both deep in negative territory. In terms of technicals, the relative percentage of groups trading with a positive 52-week rate of change has hit the lowest level in the past two decades (second panel, Chart 12) and our composite relative technical indicator is roughly one standard deviation below the historical mean (bottom panel, Chart 11). Chart 11Profit Models And... Chart 12...Washed Out Breadth Say Buy Industrials At The Expense Of Tech Finally, relative valuations are also bombed out. Our relative valuation indicator has been in a six-year uninterrupted drop, falling from two standard deviations above the mean to one standard deviation below the mean (fourth panel, Chart 11). Such entrenched bearishness in relative value is unwarranted. Bottom Line: Firming operating metrics, the resilient U.S. dollar, compelling valuations and depressed technicals, all signal that there is an exploitable tactical trading opportunity in a long S&P industrials/short S&P tech pair trade, irrespective of the trade war outcome. …And A Long Machinery/Short Semis Pair Trade A more speculative and higher octane vehicle to explore this trade war-related mispricing is via a long S&P machinery/short S&P semiconductors pair trade. Most of the drivers mentioned above also hold true in this subsector market-neutral trade. However, in this section we will drill deeper in the China/EM drivers. The Emerging Asia leading economic indicator (EALEI) has plummeted to levels last hit around the 1998 LTCM bailout (top panel, Chart 13). While more pain is likely in the coming months as global trade has ground to a halt, we doubt the carnage in the EALEI can continue indefinitely. In fact, a tentative trough in the Emerging Markets (EM) manufacturing PMI heralds a brighter outlook for relative share prices (bottom panel, Chart 13). Chart 13Same Trade War Theme, Different Vehicles To Play It Chart 14China... Encouragingly, China’s fiscal and credit impulse also signals that a bottom in relative share prices is likely already in place. If this leading indicator proves accurate in the coming months, then relative share prices can spike 20% near the late-2018 highs (Chart 14). Chinese money supply growth is showing some signs of life and capital committed to infrastructure spending is coming out of hibernation. Goldman Sachs’ China current activity indicator is on a similar upward trajectory, underscoring that the path of least resistance is higher for relative share prices (Chart 15). Chart 15...Holds The Key Chart 16Firming Final Demand... On the operating front, relative new orders and relative shipment growth have both ticked higher (top & middle panels, Chart 16). Importantly, our relative demand proxy suggests that the relative end-demand backdrop is also firming. Using Caterpillar’s global sales to dealers data compared with global chip sales reveals that a wide gap has formed between relative share prices and our relative demand gauge (bottom panel, Chart 16). If our thesis pans out in the upcoming three-to-six months then machinery will trounce semis. Finally, relative pricing power corroborates that machinery demand has the upper hand versus semiconductor final demand. The Commodity Research Bureau’s raw industrials index is climbing relative to Asian DRAM prices. The upshot is that the compellingly valued relative share price ratio will gain steam in the months ahead (Chart 17). In sum, a tentative up-tick in EM and China data along with improving relative operating metrics signal that the time is ripe to initiate a long machinery/short semis pair trade. Bottom Line: Initiate a long S&P machinery/short S&P semiconductors pair trade today. The ticker symbols for the stocks in the S&P machinery and S&P semis indexes are: BLBG – S5MACH – CAT, DE, ITW, IR, CMI, PCAR, PH, SWK, FTV, DOV, XYL, IEX, WAB, SNA, PNR, FLS, and BLBG – S5SECO – INTC, TXN, NVDA, AVGO, QCOM, MU, ADI, AMD, XLNX, QRVO, MCHP, MXIM, SWKS, respectively. Chart 17...Is A Boon To Relative Pricing Power Key Risk To Monitor One important risk to both of our newly recommended market-neutral trades is China. We recently touched base with our ex-Chief Geopolitical Strategist and currently Chief Strategist at the Clocktower Group, Marko Papic. He warned us that all bets would be off because: “I think we will look back at the recession of 2020 and it will be known as the “China recession”. Basically, China just decided to stop playing, pick up its toys, and go home”. If Marko’s wise words were to ring true, then such a Chinese policy shift will truly be a game changer with negative global economic growth implications. With regard to our pair trades, they would both be offside. Anastasios Avgeriou, U.S. Equity Strategist anastasios@bcaresearch.com Footnotes 1 Please see BCA U.S. Equity Strategy Weekly Report, “Consolidation” dated May 21, 2019, available at uses.bcaresearch.com. 2 Please see BCA U.S. Equity Strategy Weekly Report, “On Edge” dated May 13, 2019, available at uses.bcaresearch.com. 3 https://www.frbsf.org/economic-research/indicators-data/tech-pulse/ 4 https://www.factset.com/hubfs/Resources%20Section/Research%20Desk/Earnings%20Insight/EarningsInsight_100419A.pdf Current Recommendations Current Trades Size And Style Views Stay neutral cyclicals over defensives (downgrade alert) Favor value over growth Favor large over small caps (Stop 10%)