Investment Committee October 2015

Transcription

Investment Commitee
June 2016
Executive Summary
• Market action since the last Investment Strategy
• Current Asset Class Valuations

Economic cycle: fragile growth without inflation, Fed in waiting mode, ECB proactive

Asset Allocation: the asymmetric reaction expectations to the Brexit referendum suggest keeping the strategic equity
underweight to be increased immediately in case of a Leave victory or to be quickly but temporarily reduced in case of a
Remain victory.
 US Equities: some low quality upside
 EZ Equities: moderate upside with Brexit risk
 EM Equities: not currently attractive

Bonds:
 Govies core: risk-reward not attractive
 Govies EZ periphery: spread sensitive to Brexit vote
 HY: short-term vulnerability, partially to be reduced
 EM: risk-reward attractive, accumulate

Commodities:
 Gold: valuations are rich, with limited upside depending on Brexit
 Oil: a trading range is appearing

Currencies:
 In waiting mode on Brexit, both in the developed and emerging space
Investment Committee – June 2016
2
Recent market action in equities
A mixed period in equity markets.
Amongst the causes: the waiting mode approach of some central banks (Fed and BoJ), uncertainties on the economic cycle
fueled by fiscal policy actions (e.g., VAT increases in Japan postponed), some weakness in macro data (US payrolls
unexpected drop), political uncertainty (Brexit referendum and Eurogroup pending decision on the next round of financial
help for Greece).
Highlights include:
• US outperforming EZ, reinforcing the year-to-date trend
• Emerging outperforming Developed
• Japan is the worst market due to Yen strength
• Italy worst in EZ due to weakness of its banking sector
• Italy and China worst markets ytd, followed by Japan
• Brazil holding up and best market by a wide margin.
Variaz. (%)
prezzo
Indici Azionari
S&P 500
Nasdaq C omposite
Eurostoxx 50
Stoxx Europe 600
FTSE MIB
C AC 40
DAX 30
IBEX 35
FTSE 100
Swiss Market
NIKKEI 225
HANG SENG
Shanghai C omposite
India Sensex 30
Russian Micex Index
Brazil Bovespa
Varsavia Stock Exc.
Msci Developed
Msci Emerging
Msci World High Dividend
Msci Us Reit
Fonte: Bloomberg
20 giu/16
18mag-20giu
Ytd 2016
2015
2099,1
4877,7
2941,6
337,0
17351,2
4342,5
9966,8
8639,4
6201,2
7909,7
15965,3
20510,2
2888,8
26866,9
1896,8
50593,0
45421,4
1635,8
806,2
1044,0
1185,7
+2,5
+2,9
-0,5
-0,2
-2,0
+0,5
+0,2
-1,5
+0,6
-0,8
-4,1
+3,4
+2,9
+4,5
-1,1
+0,1
-2,5
-0,3
+1,5
-0,0
+4,5
+2,7
-2,6
-10,0
-7,9
-19,0
-6,4
-7,2
-9,5
-0,7
-10,3
-16,1
-6,4
-18,4
+2,9
+7,7
+16,7
-2,3
-1,6
+1,5
+2,6
+7,7
-0,7
+5,7
+3,8
+6,8
+12,7
+8,5
+9,6
-7,2
-4,9
-1,8
+9,1
-7,2
+9,4
-5,0
+26,1
-13,3
-9,6
-2,7
-17,0
-6,1
-1,5
Stima PE
rolling12m
S&P 500
16,8
Nasdaq C omposite
19,5
Eurostoxx 50
12,8
Stoxx Europe 600
14,7
FTSE MIB
12,7
C AC 40
13,7
DAX 30
11,9
IBEX 35
13,5
FTSE 100
15,4
Swiss Market
16,1
NIKKEI 225
15,2
HANG SENG
10,7
Shanghai C omposite
12,5
India Sensex 30
15,6
Russian Micex Index
6,7
Brazil Bovespa
11,7
Varsavia Stock Exc.
11,8
Msci Developed
15,6
Msci Emerging
11,6
Msci World High Dividend14,9
Msci Us Reit
33,9
3
Stima dvd
2016
2,20%
1,27%
4,13%
3,74%
4,40%
3,85%
3,35%
4,54%
4,25%
3,67%
2,08%
3,86%
2,16%
1,66%
4,43%
3,45%
3,74%
2,74%
2,83%
3,99%
4,29%
Stima ROE
2016
+15%
+22%
+8%
+7%
+6%
+8%
+11%
+7%
+7%
+12%
+9%
+12%
+12%
+14%
+4%
+8%
+7%
+10%
+9%
+11%
+7%
Stima P/B
2016
2,7
3,4
1,3
1,6
0,9
1,3
1,5
1,2
1,7
2,3
1,4
1,0
1,4
0,0
0,7
1,3
1,1
2,0
1,4
2,2
2,2
Vol. 90gg
11,9
14,7
21,8
19,2
27,9
20,8
22,2
23,8
17,8
17,2
30,3
20,4
24,0
17,2
15,7
30,7
15,9
11,3
15,7
11,0
14,8
Stima eps
16/15
+0%
+4%
-6%
-6%
-1%
-2%
-3%
-11%
-6%
-10%
+6%
-9%
-8%
+12%
-5%
+13%
-9%
-1%
-0%
+3%
+20%
Recent market action in bonds
Variaz. (bp)
tasso
A positive period for government bonds,
especially core markets, with yield
compression.
Best performance by Treasuries, due to the
Fed’s waiting mode and disappointing
monthly payrolls, followed by Bund
thanks to safe haven status and ECB
purchases.
Periphery yields lower as well after
Greece’s help package is approved, but
political uncertainty reduces the size of the
movement.
Breakeven rates falling again due to
growth concerns.
HY and EZ spreads are falling as well,
despite equivalent CDS rising, while the
opposite happens in EM debt, with yields
rising and CDS falling.
Tassi Benchmark
20 giu/16
Euribor 3 mesi
-0,27%
Treasury US 2-anni US$
0,71%
Bko 2-anni EUR
-0,59%
BTP 2-anni EUR
0,00%
Bonos 2-anni EUR
-0,02%
Treasury US 10-anni US$
1,67%
Bund 10-anni EUR
0,06%
BTP 10-anni EUR
1,43%
Bonos 10-anni EUR
1,48%
Spread 10-anni BTP-Bund
1,38%
Spread 10-anni Bonos-Bund
1,42%
EuroMTS Eurozone Gov Broad
3,40%
Us Breakeven Inflation 5 Year
1,46%
Italy Breakeven IT infl. 04/23/20
-0,08%
Italy Breakeven Eur inflat. 5 Year
0,48%
18mag-20giu
-1
-18
-8
+5
+5
-18
-11
-6
-12
+5
-1
-1
-8
-10
-14
2015
-21
+38
-25
-56
-39
+10
+9
-29
+16
-38
+7
-21
+7
-28
+39
Variaz. (bp)
basis point
Corporate & Emergenti
Ytd 2016
-13
-33
-24
+3
-3
-60
-57
-16
-29
+41
+28
-9
+18
-22
-27
20 giu/16
18mag-20giu
Ytd 2016
Euro swap 5 anni
-5
-9
-38
-3
OAS Euro Investment Grade (avg)
65
-4
-16
+27
EUR C ORPORATE IG
60
-13
-54
+24
OAS Euro High Yield (avg)
421
-6
-66
+123
415
-15
-104
+120
Usd swap 5 anni
113
-18
-57
-5
OAS Usd Investment Grade (avg)
157
-2
-11
+50
USD C ORPORATE IG
271
-20
-68
+45
612
-9
-107
+187
725
-27
-165
+182
+22
EUR C ORPORATE HY
OAS Usd High Yield (avg)
USD C ORPORATE HY
2015
US average treasury yield
173
-24
-58
Embi Global vs All Treasury
429
+22
-17
+41
EMERGING DEBT
602
-2
-75
+63
Ytd 2016
+2
+6
+44
+11
+12
+26
-72
+1
+28
-9
-36
2015
+18
+13
+97
+26
+90
+39
+359
+77
+315
+88
+472
basis point
CDS 5YR
USA
Germania
Italia
Francia
Spagna
Irlanda
Emg Debt
C orp Inv Grade Europe
C orp High Yield Europe
C orp Inv Grade US
C orp High Yield US
Fonte: Bloomberg
20 giu/16
20
18
141
37
102
65
287
78
343
80
436
4
Variaz. (bp)
18mag-20giu
+0
+0
+16
-1
+8
+0
-12
+1
+14
-3
-17
swap
spread bp
20 giu/16
-16
-40
+19
+17
+12
-43
+95
+100
Commodities, volatility and currencies
prezzo
Recent trends:
• generalized rally in commodities, due
also to a decline in extraction activity;
copper in counter-trend due to high
inventories
• volatility rallying towards the end of
the period save for US equities
•US Dollar weakness (Fed and macro
concerns), Yen strength (risk-off and
carry trade unwinding). Euro broadly
weak, against the Swiss Franc Franco
but especially against the Brazilian Real
and the Australian Dollar.
Commodity
C RB Index
Brent C rude Oil (US$/BBL)
Gold (US$/oz)
Grano
C opper (US$/MT)
20 giu/16
193
50
1.280
492
4.552
Volatility
Eurostoxx 50 Volatility Index
SPX Volatility Index
Treasury Volatility Index (MOVE)
C urrency Volatility Index
Fonte: Bloomberg
20 giu/16
33,89
16,88
82,58
12,00
Forex
US DOLLAR INDEX
JPM Asian Dollar Index
JPM EM C urrency Usd
USD/Yen Giapponese
EUR/Dollaro Usa
EUR/Yen Giapponese
EUR/C hf Franco svizzero
EUR/Sterlina inglese
EUR/Dollaro Australiano
EUR/Dollaro C anadese
EUR/C orona Norvegese
EUR/C orona Svedese
EUR/C orona Danese
EUR/Dollaro di Singapore
EUR/Renminbi (yuan) C inese
EUR/Rupia indiana
EUR/Real Brasiliano
EUR/Rublo russo
EUR/Zloty polacco
EUR/Peso Messicano
EUR/Lira Turca
Fonte: Bloomberg
20 giu/16
93,568
107,160
68,059
104,500
1,134
118,500
1,089
0,774
1,518
1,451
9,347
9,339
7,436
1,523
7,462
76,267
3,840
72,714
4,391
21,162
3,292
prezzo
prezzo
5
Variaz. (%)
18mag-20giu
+4,3
+2,4
+1,7
+0,3
-1,3
Ytd 2016
+9,7
+34,4
+20,6
-0,2
-3,3
2015
-23,4
-35,0
-10,4
-18,0
-25,3
Variaz. (%)
18mag-20giu
+45,5
+5,8
+18,2
+10,1
Ytd 2016
+52,8
-7,3
+21,7
+27,1
2015
-15,3
-5,2
-1,6
-0,7
Variaz. (%)
18mag-20giu
-1,6
+0,7
+2,2
-5,2
+1,1
-4,1
-1,7
+0,7
-2,1
-0,8
+0,2
-0,3
-0,0
-1,8
+1,1
+0,9
-4,0
-2,1
-0,2
+2,3
-1,8
Ytd 2016
-5,1
+0,6
+3,6
-13,1
+4,4
-9,3
+0,0
+5,0
+1,8
-3,5
-2,7
+1,8
-0,4
-1,2
+5,2
+5,7
-10,7
-7,8
+3,1
+13,2
+3,8
2015
+9,3
-5,5
-15,8
+0,4
-10,2
-9,8
-9,5
-5,1
+0,8
+6,9
+6,6
-2,9
+0,2
-3,9
-6,0
-5,9
+33,7
+7,3
-0,6
+4,8
+12,2
USA: mixed signals from the real economy
The FED has refrained from rising rates despite a recovery in consumption. It is clearly concerned by the international situation, by
some recent weakness in domestic data (payrolls, capital accumulation, inflation) and by Brexit.
Despite acknowledging that growth «appears to have accelerated» it has chosen to wait before acting. The Fed remains constructive
on the incoming data, despite lowering its growth forecast. It has reiterated that rates normalization will be dependent on the data
and the pursuit of its dual objective -- full employment and 2% inflation.
8.0
USA: Creazione di Posti di Lavoro non-agricoli (000)
500
6.0
400
5.0
300
4.0
200
3.0
2.0
100
1.0
0
0.0
-100
-1.0
-200
-2.0
mag.98
feb.99
nov.99
ago.00
mag.01
feb.02
nov.02
ago.03
mag.04
feb.05
nov.05
ago.06
mag.07
feb.08
nov.08
ago.09
mag.10
feb.11
nov.11
ago.12
mag.13
feb.14
nov.14
ago.15
mag.16
mag.16
set.15
gen.16
mag.15
set.14
gen.15
gen.14
mag.14
set.13
mag.13
set.12
gen.13
mag.12
set.11
gen.12
gen.11
mag.11
set.10
mag.10
-300
75
US: Inflation escl Food&Energy var. % a/a
US: Inflazione totale % a/a (sx)
Target Fed
7.0
600
US: ordini beni durevoli (ex-dif e Aerei) (mld)
8.0
US Consumi Pers. var. % a/a
US: Fiducia Cons. Conf. Board media 3 mesi (dx)
130
6
apr.16
30
gen.16
-4.0
ott.15
45
lug.15
50
apr.15
-2.0
gen.15
50
ott.14
70
lug.14
0.0
apr.14
55
gen.14
90
ott.13
2.0
lug.13
60
apr.13
110
gen.13
4.0
ott.12
65
lug.12
6.0
apr-06
set-06
feb-07
lug-07
dic-07
mag-08
ott-08
mar-09
ago-09
gen-10
giu-10
nov-10
apr-11
set-11
feb-12
lug-12
dic-12
mag-13
ott-13
mar-14
ago-14
gen-15
giu-15
nov-15
apr-16
70
Eurozone: uncertaintes persist
First quarter GDP is growing faster than expected and at the fastest pace in a year, driven by industrial production and
investments, but especially by consumption (albeit a slowdown from Q4). The ECB is nonetheless expecting a slowdown in Q2,
with low or negative inflation. Amongst the main drivers mentioned by President Draghi are a low prospects for Emerging
Markets, the slow progress in structural reforms and the forthcoming Brexit referendum on June 23rd.
UE: Produzione Ind. Indice
108
4.0
3.0
2.0
1.0
0.0
-1.0
-2.0
-3.0
-4.0
-5.0
-6.0
-7.0
Eurozona PIL trim
Var. % t/t
UE: PIL Var. % a/a
106
104
102
100
98
96
apr.16
gen.16
ott.15
apr.15
lug.15
ott.14
apr.14
lug.14
ott.13
gen.14
mag.16
feb.16
lug.13
apr.13
ott.12
gen.13
apr.12
lug.12
ott.11
gen.12
apr.11
lug.11
gen.11
gen.15
ago.15
ago.11
7
nov.15
-0.6
mag.15
96
feb.15
-0.1
nov.14
97
ago.14
0.4
Eurozona: Totale Inflazione var. % a/a
mag.14
98
feb.14
0.9
nov.13
99
ago.13
1.4
mag.13
100
feb.13
1.9
nov.12
101
ago.12
2.4
mag.12
102
Eurozona: Inflazione Core var. % a/a
feb.12
2.9
apr.06
set.06
feb.07
lug.07
dic.07
mag.08
ott.08
mar.09
ago.09
gen.10
giu.10
nov.10
apr.11
set.11
feb.12
lug.12
dic.12
mag.13
ott.13
mar.14
ago.14
gen.15
giu.15
nov.15
apr.16
103
ott.10
lug.10
set.15
mar.15
set.14
mar.14
set.13
mar.13
set.12
mar.16
3.4
Eurozona: vendite al dettaglio (Index)
nov.11
104
mar.12
set.11
mar.11
set.10
mar.10
set.09
mar.09
set.08
94
RoW: UK (=), China (=), Japan (-), Russia (=)
In the UK, the labor market is showing resilience in the run-up to the Brexit referendum. The statements from the BoE have
reinforced the opinion that in case of Brexit future rate rises will be postponed for this year and next and that a rate cut cannot be
excluded. In case of a «remain» victory, monetary policy should move in the opposite direction. In China the data suggests a
stabilization in economic output which could continue in Q2, despite challenges to the overall scenario. The government is for the
moment in a waiting mode whilst assessing the effects of past interventions. In Japan the economy is struggling due to Yen
appreciation. The BoJ has postponed any decision to after the forthcoming elections in July and wants to assess the impact of the
previous interventions. Despite the worst recession for twenty years Russia is expecting a further slowdown due to the sanctions,
only partially softened by a recovery in oil prices. Only domestic demand has underpinned the economy.
9.0
UK: Tasso di disoccupazione media 3 mesi
8.5
19
8.0
17
7.5
15
7.0
13
6.5
11
6.0
9
5.5
7
5.0
Cina Produzione Industriale var. % a/a
5
4.5
15
Giappone: Produzione Ind var. a/a % (sx)
56
var. m/m %
Russia: PMI Manifatturiero
feb.16
mag.16
nov.15
ago.15
feb.15
Russia: PMI Servizi
mag.15
nov.14
ago.14
feb.14
mag.14
nov.13
ago.13
feb.13
mag.13
ago.12
nov.12
feb.12
mag.12
ago.11
nov.11
feb.11
mag.11
gen.07
mag.07
set.07
gen.08
mag.08
set.08
gen.09
mag.09
set.09
gen.10
mag.10
set.10
gen.11
mag.11
set.11
gen.12
mag.12
set.12
gen.13
mag.13
set.13
gen.14
mag.14
set.14
gen.15
mag.15
set.15
gen.16
mag.16
3
Russia: PMI Composto
54
10
52
5
50
48
0
46
44
-5
42
-10
40
38
apr.16
dic.15
feb.16
ott.15
giu.15
ago.15
apr.15
feb.15
ott.14
dic.14
ago.14
apr.14
giu.14
feb.14
ott.13
dic.13
ago.13
apr.13
giu.13
dic.12
feb.13
mag.16
feb.16
nov.15
ago.15
mag.15
feb.15
nov.14
ago.14
mag.14
feb.14
8
nov.13
ago.13
-15
Monetary policiy: Fed in waiting mode, ECB proactive
The Fed has refrained from raising rates on 6/15
and has lowered its forecasts, signaling lower
confidence in the strength of the economic
cycle. The «dots» however remain at higher
levels than market consensus (top left) thus
portraying a Fed more willing to act than the
market expects.
2.9
EUR Inflation Swap Forward 5Y5
ECB proactivity persists, and now includes the
purchase of (non-financial) corporate bonds.
Despite this inflation expectations remain at
historical lows (bottom left) and have prompted
the Bank to repeat its commitment to the 2%
inflation target and to the use of further tools at
its disposal.
2.7
Both central banks have expressed concerns
about a possible Brexit vote and have reiterated
their readiness to inject liquidity to maintain an
orderly functioning of the financial markets.
2.5
2.3
2.1
1.9
1.7
1.5
feb.16
feb.15
giu.15
ott.15
feb.14
giu.14
ott.14
feb.13
giu.13
ott.13
feb.12
giu.12
ott.12
feb.11
giu.11
ott.11
feb.10
giu.10
ott.10
feb.09
giu.09
ott.09
feb.08
giu.08
ott.08
feb.07
giu.07
ott.07
giu.06
ott.06
1.3
9
Leave/Remain (1/5): a crucial juncture
As this document has been prepared before the vote, we will analyze the impact of both outcomes.
The result of the referendum is still extremely uncertain and will undoubtedly affect market actions.
In case of a «Remain» vote with a reasonable majority, a relief rally in risky assets is to be expected; following that
however, it is difficult to envisage further inner strength in the market.
In case of a «Leave» vote a short term shock on growth is to be expected, accompanied by higher «risk premiums» and a fall
in risky asset despite intervention by the authorities.
Negative impacts should affect the UK, the Eurozone and the US with decreasing force.
Indeed looking at the UK export breakdown we find:
• 45% of UK exports go to the EZ;
• 10% of EZ exports go to the UK;
• 4% of US exports go to the UK.
In addition to the economic linkages, correlations suggest a similar pecking order in the financial fallout.
5%
0%
-5%
-10%
S&P 500 INDEX YoY in eur
Euro Stoxx 50 Pr YoY in eur
FTSE 100 INDEX YoY in eur
-15%
10
17.06.16
10.06.16
03.06.16
27.05.16
20.05.16
13.05.16
06.05.16
29.04.16
22.04.16
15.04.16
08.04.16
01.04.16
25.03.16
18.03.16
11.03.16
04.03.16
26.02.16
19.02.16
12.02.16
05.02.16
29.01.16
22.01.16
15.01.16
08.01.16
01.01.16
-20%
Leave/Remain (2/5): a crucial juncture - equities
2.0
var%mkt da 01/01 a 20/06/16
var%exp eps'16 da 01/01 a 20/06/16
The stock markets dynamic YTD has
markedly reflected the evolution of
earnings’ expectations, rather than the
concerns relative to the risk of Brexit.
0.0
The US index has outpaced the eps
growth because of his safe haven
status.
Also the UK index has surprisingly
outpaced the eps fall.
In the opposite, the EZ index followed
the eps decline based on its different
pending problems.
-2.0
-4.0
-6.0
-8.0
-10.0
-12.0
MSCI ACWI
S&P 500 INDEX
Euro Stoxx 50 Pr
FTSE 100 INDEX
11
Therefore:
• in case of a Leave victory equities
can fall even further.
• in case of a Remain outcome
equities may have little room for a
relief rally.
Leave/Remain (3/5): a crucial juncture – government bonds
0.4
var bp tassi10y da 01/01 a 20/06/16
var bp bei da 01/01 a 20/06/16
0.2
0.0
The govies behavior YTD didn’t reflect
the Brexit-related concerns, but has
been
mainly led
by inflation
expectations, apart from a research for
safety towards the US, therefore:
• in case of Brexit, divergent trends
may appear between different
geographical areas, with UK (because
of double deficit) and Eurozone
periphery underperforming compared
to the core (US and Bund).
• in case of Remain, the US (and the
Bund) may underperform because of
waning safety motives.
-0.2
-0.4
-0.6
-0.8
US
EZ swap
GB
12
Leave/Remain 4/5: a crucial juncture – foreign exchanges
20.0
var %fx da 01/01 a 20/06/16
var bp differenziali cds da 01/01 a 20/06/16
The forex market reflected the fears
deriving from Brexit referendum more
intensely than other markets, though to a
different extent from currency to
currency.
The sterling and the yen have partially
followed the CDS differentials’ trend,
while the Swiss franc has almost ignored
it because of the potential action of the
SNB.
15.0
10.0
5.0
0.0
-5.0
-10.0
In case of Brexit, the sterling may sharpen
its weakness mainly against the USD and
the yen and, to a lesser extent, against the
CHF as well.
-15.0
-20.0
gbp vs usd
eur vs usd
eur vs gbp
eur vs yen
eur vs chf
13
In case of Remain, the sterling may
recover part of the recent losses especially
against the yen.
Leave/Remain (5/5): a crucial juncture - reactions
The sterling depreciation of 9% since November 2015 (the time of Mr. Cameron letter to Mr. Tusk), according to the BoE
May Inflation Report, was thought to be partially due to Brexit fears. The BoE didn’t otherwise detect significant impacts
neither on the stock exchange nor on Gilts.
At that time, polls revealed on average a 40% probability of Brexit, thus indicating that the BoE was estimating for the
possible Brexit an impact of roughly 11%, at least in the short period.
According to a research of the UK Treasury, notoriously Eurosceptical, Brexit may reduce the country GDP by -3,6% in two
years, it may create 520.000 unemployed and precipitate a 12% GBP depreciation. Those hypotheses, taken to the extreme
scenarios, may lead to a GDP contraction by 6%, 820.000 more unemployed and a GBP depreciation by 15%.
Leave: the indications above provide some parameters to identify the enduring impacts on the asset classes, the already hit
sterling excepted (see previous slides). They may suffer significantly in case of Brexit (somewhat -11%), independently from
temporarily excesses or reassuring authorities’ interventions.
Remain: the indications above provide also some reference points to identify the amount of the recent decrease in sterling that
may be recovered in case of Bremain (around +5%), whilst the other asset classes may derive benefits only from the higher
level of optimism, which is however difficult to be quantified and exploited because of its unstable nature.
The asymmetric reactions to the opposite results of the referendum may suggest keeping the strategic underweight in equity
as well as promptly reacting to both the outcomes, with further sales in case of Brexit, to be reversed only after clear market
excesses, and with temporary purchases in case of a remain outcome.
To conclude, whatever assumption is purely hypothetical since the detailed impacts of Brexit are difficult to be foreseen.
14
Momentum: technical attraction but Referendum as game changer
Citi overbought/sold EU index (sn)
soglia segnale vendita - 3gg su 4 (sn)
soglia segnale acquisto - 3gg su 4 (sn)
STXE 600 € Pr (ds)
200
150
420
400
100
380
50
0
360
-50
The growing concerns due to the increasing number of
supporters of Brexit, revealed in polls, have created
tensions in the equity markets, mainly in the European
ones.
340
-100
320
-150
1
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
ott.15
set.15
ago.15
lug.15
300
giu.15
-200
450
Citi Macro Risk Index (sn)
440
MSCI ACWI last_price (ds)
0.9
430
420
0.8
410
0.7
400
390
0.6
380
370
0.5
360
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
ott.15
set.15
ago.15
lug.15
350
giu.15
0.4
The technical Citigroup model (top right) has given
Thursday 16/6 a rare purchase signal.
Also other technical indicators are reaching extreme
levels in several geographical areas. Many equity
markets have reached the oversold level based on the
14-days RSI and the lower bands of the Bollinger
curves, as highlighted also by the hike of the Citi
Global Risk Aversion indicator (bottom right graph).
15
In normal conditions, that may suggest a rebound in
the weeks following the referendum, but in this case
the result of the vote may modify the conditions and,
in case of Brexit in particular, the significance of the
models may vanish.
US Equities: potential upside but of low quality
data
20-giu-16
Analisi regressione 2 anni azioni-bond e loro vol. a 90gg
S&P 500 INDEX regressione
2095 di 2 anni
P/E
17,81
target
delta
2283
9%
volatility_90d
eps
2015
117,57
crescita attesa 2016
0%
eps
2016
Expected eps 2016
117,65
step
10%
85,77
95,30
105,89
117,65
129,42
142,36
156,59
8,62
-13%
-4%
7%
19%
31%
44%
58%
9,58
-16%
-6%
4%
16%
27%
40%
54%
10,65
-18%
-9%
1%
12%
24%
36%
50%
11,83 di 2-21%
anni
-12%
-2%
9%
20%
32%
45%
media 14,22
13,01
-23%
-14%
-5%
6%
16%
28%
41%
last 11,83
14,31
-25%
-17%
-8%
2%
13%
24%
36%
15,75
-28%
-20%
-11%
-1%
9%
20%
32%
data
20-giu-16
2095 di 2 anni
P/E
17,81
target
delta
2283
9%
eps 31/12/2015
117,57
0%
eps
2016
Expected eps 2016
step
117,65
10%
85,77
95,30
105,89
117,65
129,42
142,36
156,59
1,22
-15,8%
-6,4%
4,0%
15,5%
27,1%
39,8%
53,7%
1,36
-17,3%
-8,1%
2,1%
13,5%
24,8%
37,3%
51,0%
1,51
-18,9%
-9,9%
0,1%
11,3%
22,4%
34,6%
48,1%
US Generic Govt 101,6748
Year Yield
-20,6%
-11,8%
-2,0%
8,9%
19,8%
31,8%
45,0%
media 2,13
1,84
-22,2%
-13,6%
-4,0%
6,7%
17,4%
29,1%
42,0%
last 1,67
2,03
-23,9%
-15,5%
-6,1%
4,4%
14,8%
26,3%
38,9%
2,23
-25,7%
-17,5%
-8,3%
1,9%
12,1%
23,3%
35,6%
16
Regardless of the impacts of a possible
Brexit, the US equities show some
upside, which however is considered of
low quality because it depends on:
- a collapse in the 0-days volatility of
equites (top right)
- a concomitant further fall in
government bond yields (bottom
right).
Both elements may have a non persistent
nature. They would in addition react in
opposite ways following the referendum
result.
Their combined impacts can be read by
moving downwards from the white cells
in the middle of both tables.
Eurozone Equities: moderate upside with Brexit risk
Eurozone equities highlight a moderate
upside.
data
20-giu-16
Euro Stoxx 50 Pr regressione
2943
di 2 anni
P/E
13,62
target
delta
3153
7%
eps
2015
229,98
-6%
eps
2016
Expected eps 2016
216,00
step
10%
157,46
174,96
194,40
216,00
237,60
261,36
287,50
15,87
-12%
-2%
9%
21%
33%
46%
61%
17,63
-15%
-6%
5%
16%
28%
41%
55%
19,59
-19%
-9%
1%
12%
23%
35%
49%
21,77
di-22%
2 anni
-13%
-4%
18%
30%
43%
media 21,68
23,95
-25%
-17%
13%
25%
37%
last 21,77
26,34
-28%
-20%
7%
Area
-7%
3%
Brexit
-11%
-1%
8%
19%
31%
28,98
-31%
-24%
-15%
-6%
4%
14%
26%
volatility_90d
data
20-giu-16
2943
di 2 anni
P/E
13,62
target
delta
3153
7%
eps 31/12/2015
229,98
-6%
eps
2016
Expected eps 2016
step
216,00
10%
157,46
174,96
194,40
216,00
237,60
261,36
287,50
0,35
-21,6%
-12,9%
-3,3%
7,5%
18,2%
30,1%
43,1%
0,39
-21,7%
-13,0%
-3,3%
7,4%
18,1%
29,9%
42,9%
0,44
-21,8%
-13,1%
-3,4%
7,3%
18,0%
29,8%
42,8%
EUR SWAP ANNUAL
0,4860
10 YR -21,9%
-13,2%
-3,6%
7,2%
17,9%
29,7%
42,6%
media 0,89
0,53
-22,0%
-13,3%
-3,7%
7,0%
17,7%
29,5%
42,5%
last 0,49
0,59
-22,1%
-13,4%
-3,8%
6,9%
17,6%
29,3%
42,3%
0,65
-22,2%
-13,5%
-3,9%
6,7%
17,4%
29,1%
42,1%
17
The result of the UK referendum will
contribute to deeply modify the input
variables of the valuation model.
In case of Brexit, the target should be
looked for in the first table in the cells to
the bottom left of the central white one
(reflecting higher volatility and lower
earnings) and, in the second table, in the
cells to the top links of the central white
one (reflecting both lower 10-year yields
and earnings).
In case of Remain, the highlighted upside
may be rather protected from the possible
rates’ increase (in the second table the
cells below the central white one) and it
may benefit from a likely reduction in the
volatility levels (in the first table the cells
above the central white one).
In any case, earnings’ growth will remain
a crucial point. At the moment, prospects
aren’t comforting.
Emerging Markets equities: not currently attractive
The emerging equity markets are relatively expensive on the whole
compared to the developed ones (top right), even if some, as the
Russian equity market, are attractive or show a better outlook (BOR:
inflation from 7.3% expected to decrease to 4% in one year with
room for lowering the reference rate now at 10,5%, GDP YoY -0.70.3% in 2016 then rebound from 2017, with oil prices prudently set
at $40). The Indian equity market, on the other hand, has to deal
with Mr. Rajan succession. Moreover, the recent decease in prices in
the emerging equity markets only partially reflects both the increase
in volatility levels (bottom left) and the decline of the Economic
Surprise Index (bottom right). In case of Brexit, EM equities would
suffer from the general risk-off and in case of Remain would derive
relief less than the areas more directly involved. For the mentioned
reasons, emerging equities are not currently attractive.
MSCI EM/MSCI ACWI - Ratio P/E
media 2 anni Ratio P/E
+2 STD
-2 STD
80%
79%
78%
77%
76%
75%
74%
73%
72%
71%
1000
17-giu-16
17-apr-16
17-feb-16
17-dic-15
17-ott-15
17-ago-15
17-giu-15
17-apr-15
17-feb-15
17-dic-14
17-ott-14
17-ago-14
17-giu-14
70%
MSCI EM last_price (sn)
CBOE EM ETF Volatility last_price (ds)
56
51
950
20
1'000
Citi Economic Surprise Index - Emg (sn)
MSCI EM (ds)
15
950
10
46
900
5
900
41
0
21
-20
16
-25
750
18
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
700
giu.15
giu.15
lug.15
lug.15
lug.15
ago.15
ago.15
set.15
set.15
ott.15
ott.15
nov.15
nov.15
dic.15
dic.15
dic.15
gen.16
gen.16
feb.16
feb.16
mar.16
mar.16
apr.16
apr.16
mag.16
mag.16
giu.16
giu.16
700
-15
800
ott.15
750
-10
26
set.15
31
800
850
-5
ago.15
36
lug.15
850
Core Govies: unattractive risk/opportunity profile
6
tasso 10 anni teorico (base confidence), aggiornato al 31-03-16 (2,89)
5.5
US Generic Govt 10 Year Yield aggiornato al 20-06-16 (1,67)
tasso 10 anni teorico (base swap), aggiornato al 31-03-16 (2,07)
5
4.5
4
3.5
3
2.5
2
set.04
gen.05
mag.05
set.05
gen.06
mag.06
set.06
gen.07
mag.07
set.07
gen.08
mag.08
set.08
gen.09
mag.09
set.09
gen.10
mag.10
set.10
gen.11
mag.11
set.11
gen.12
mag.12
set.12
gen.13
mag.13
set.13
gen.14
mag.14
set.14
gen.15
mag.15
set.15
gen.16
mag.16
1.5
The 10 year Treasury price was supported by
the Fed hesitations and by the UK referendum
worries. Its yield currently lies well below its
theoretical level as calculated by the Laubach
and Williams model (top left). Only a Brexit
decision or an unexpected marked slowdown in
the US could justify such a depressed yield.
Treasuries are therefore unattractive.
In the Eurozone, core govies yields have also
been compressed by the Brexit uncertainties,
whose impact was compounded by the ECB
purchases.
Yields fell to zero following::
- scarcity (bottom left)
- safe haven investments as hedge against
possible dislocations within the EU
- banks’ short term investments as alternative
to the more expensive ECB cash balances.
Nevertheless, zero yields give core govies an
asymmetric and unattractive risk profile.
Fonte: Jefferies
19
Euro peripheral govies: spreads to move according to the UK referendum
170
spread rendimento 10 anni Bonos-BUND bp
spread rendimento 10 anni BTP-BUND bp
160
The Brexit debate generated a spread widening
of the Eurozone peripheral government bonds.
150
140
Spain and Italy were also hit by electionrelated strains, namely the administrative
election in Italy and the coming general
election in Spain (top left).
130
120
110
100
The current level of the Btp-Bund spread
exceeds the credit premium differential, but it
don’t factor a possible dislocation of the
Eurozone / European Union (bottom left).
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
ott.15
set.15
ago.15
lug.15
giu.15
90
A «remain» outcome coupled with easing
political tensions in the peripheral countries
would create room for a spread contraction.
Premio di credito IT vs GER
spread Btp-bund
diff.credito+teorica svalutazione
210
190
170
In case of Brexit, peripheral spreads would
suffer from a further widening.
150
130
110
90
70
giu.16
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
ott.15
nov.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
feb.15
mar.15
dic.14
gen.15
ott.14
nov.14
set.14
lug.14
ago.14
50
20
HY: take some profits
650
The Option Adjusted Spread (OAS) of the Euro high yield sector
doesn’t adequately reflect the corresponding CDS rise, one
reason being the limited liquidity of the cash market (top left).
High yields issues didn’t in addition follow the recent decline
recorded by the equity markets. As a result, the Earning Yield to
OAS widened markedly (bottom right).
The OAS finally didn’t react to the equity volatility peaks
(bottom left).
Cds generico HY EUR
600
EUR HY All Sectors OAS
550
500
450
400
350
300
250
giu.15
lug.15
lug.15
lug.15
ago.15
ago.15
set.15
set.15
ott.15
ott.15
nov.15
nov.15
dic.15
dic.15
dic.15
gen.16
gen.16
feb.16
feb.16
mar.16
mar.16
apr.16
apr.16
mag.16
mag.16
giu.16
giu.16
200
VSTOXX Index (sn)
EUR HY All Sectors OAS (ds)
45
Notwithstanding the outcome of the UK referendum and the
more so in case of Brexit, the exposure in high yield issues
should adequately be reduced.
650
40
600
35
550
30
500
25
450
20
400
bp earning yield Euro Stoxx 50 Pr (sn)
825
EUR HY All Sectors OAS bp (ds)
650
600
550
775
500
725
450
400
675
350
625
300
giu.15
lug.15
lug.15
lug.15
ago.15
ago.15
set.15
set.15
ott.15
ott.15
nov.15
nov.15
dic.15
dic.15
dic.15
gen.16
gen.16
feb.16
feb.16
mar.16
mar.16
apr.16
apr.16
mag.16
mag.16
giu.16
giu.16
giu.16
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
ott.15
set.15
300
ago.15
10
lug.15
350
giu.15
15
21
Emerging debt: attractive return to risk profile
J.P. Morgan EMBI Global Spread / VOLATILITY_90D
media 5 anni
-2 dev std
+2 dev std
24
22
The emerging debt remains an attractive asset class, from
the carry, spread and issuers’ credit risk point of views.
However, the macro conditions still are challenging in part
of the emerging economies.
20
18
16
The spread per risk unit lies at high levels (top left), as the
spread to Treasury yields (bottom left). Emerging debt
spreads have in addition already factored the recent rise of
the equities’ volatility, more than the high yield sector (see
previous page).
14
12
10
8
3.5
giu.16
mar.16
dic.15
set.15
giu.15
mar.15
dic.14
set.14
giu.14
mar.14
dic.13
set.13
giu.13
mar.13
dic.12
set.12
giu.12
mar.12
dic.11
set.11
giu.11
6
In case of Brexit, the emerging debt would certainly suffer
from a general risk off adjustment, but less than the other
riskier assets. A «remain» outcome would in the opposite
reduce the risk perception and support the emerging issues.
J.P. Morgan EMBI Global Spread / US Generic Govt 10 Year Yield
media 5 anni
-2 dev std
+2 dev std
3
2.5
2
1.5
1
giu.16
mar.16
set.15
dic.15
giu.15
mar.15
dic.14
set.14
giu.14
mar.14
dic.13
set.13
giu.13
mar.13
dic.12
set.12
giu.12
mar.12
dic.11
set.11
giu.11
0.5
22
Gold: on the higher end of the trading range, limited upside
The Gold investment case remains unconvincing. As safe haven instrument, Gold is unlikely to find support in recession or
large shocks on the financial system in the foreseeable future, both in Europe and in the US. As diversification instrument of
the US Dollar cash balances, Gold will hardly benefit from another decline of the US real rates (bottom left). The US economy
is in full employment and already entered the second stage of the economic cycle, leading at the end to more inflation and the
normalization of the monetary policy. Finally, the US Dollar has no reason to suffer from a marked depreciation as long as the
ECB carries out its ultra-expansionary policy, whose end is still totally out of the investors’ radar. The Gold rise YTD is
therefore unlikely to mark a trend reversal. Risks tilt rather on the downside.
In case of Brexit, the mentioned rationale would not be structurally upset, but the Gold price would benefit from a temporarily
further appreciation fueled by its safe haven status (bottom right).
-0.6%
GOLD SPOT $/OZ (sn)
Us: tasso reale 5y (ds, invertito)
1290
1265
-0.4%
1240
-0.2%
1215
1340
100
GOLD SPOT $/OZ (sn)
Japanese Yen Spot (ds invertito)
1290
105
1240
110
1190
23
giu.16
apr.16
mag.16
feb.16
mar.16
gen.16
nov.15
dic.15
set.15
ott.15
ago.15
giu.15
lug.15
giu.16
mag.16
apr.16
mar.16
feb.16
gen.16
dic.15
nov.15
ott.15
set.15
ago.15
giu.15
lug.15
125
1040
apr.15
mag.15
0.6%
1040
1090
feb.15
mar.15
1065
120
gen.15
0.4%
1140
nov.14
dic.14
1090
115
set.14
ott.14
0.2%
1115
1190
ago.14
1140
giu.14
lug.14
0.0%
1165
Crude Oil: shaping a «trading range»
Based on both the IEA (International Energy Agency) and EIA (US-Energy Information Administration) forecasts, the supplydemand equilibrium will be reached during H2 2017, given a further decline of the shale extraction in the US, a rising Iranian
production and assuming that growth in China corroborate the current expectations. The crude oil upside is limited in both the
short and medium run because:(1) the already high inventories are expected to rise even more into 2017 (bottom right), (2) an
agreement between the OPEC members remains quite unlikely, (3) the expected rise of the US Dollar real rates represents an
incitation for increasing production, (4) the US shale production is particularly elastic to the oil price. The June EIA monthly
report notices the positive impact on the crude oil price of the recent outages occurred in Canada, Nigeria, Iraq and Libya. The
EIA also considers the forecasts implied in the futures market as particularly uncertain. (bottom left). We maintain a sideways
outlook on the oil price (WTI). The 45-52 $ range can be used as reference for building short term trades.
24
Forex: Should I stay?
Our long term valuation metric highlights a general US Dollar overvaluation, as well as a marked Euro undervaluation (bottom
left table), suggesting a limited downside as far the Euro/Dollar is concerned (bottom left). Assuming a «remain» outcome of
the British referendum, the macro environment would not contemplate radical monetary policy changes, in the US as in the
Eurozone, recessions or systemic crisis. The corresponding yield curves doesn’t factor significant moves in the short term
(bottom left). Barring an unlikely inflation acceleration in the US leading to a quicker than thought Fed normalization, the Forex
market is likely to lack of catalysts for dramatic moves. The Euro/Dollar should therefore fluctuate again within the usual 1.051.16 range. Hit by the coming Brexit referendum, the British Pound should recover about half of the ground lost from
November in case of «remain». Both the Franc and the Yen would then fall towards their beginning of June levels (see next
page).
Valutazione di lungo periodo delle principali valute in termini reali
/ usd
usd
/ eur
1.7
/ chf
/ gbp
/ jpy
/ aud
/ nzd
/ cad
/ nok
/sek
0.4
1.3
1.0
1.6
0.7
2.0
2.8
1.3
-1.6
-0.3
-0.4
-0.5
-1.1
0.1
0.6
-0.6
0.7
1.0
1.5
0.7
2.1
3.0
1.5
0.1
0.6
-0.1
1.0
1.4
0.4
0.3
-0.1
0.6
0.8
0.2
eur
-1.0
chf
-0.4
2.2
gbp
-1.2
0.8
-0.7
jpy
-0.6
0.5
-0.7
0.0
1.3
Tasso di cambio reale EUR / USD
1.2
1.1
Distanza al trend di lungo periodo (PPP stimata) in scarti quadratici medi
1
0
Differenziale atteso di tasso Swap 3 anni su USD
0.9
0.8
-0.5
EUR
GBP
JPY
CHF
-1
0.7
-1.5
0.6
-2
17.06.16
16.09.16
16.12.16
17.03.17
16.06.17
0.5
01.09.75
25
REER Eur/Usd
- Sqm
PPP stimata
+ Sqm
01.09.85
01.09.95
01.09.05
01.09.15
Forex: …or should I go?
After having ascribed to the Brexit referendum about half of the Pound decline from November (May Inflation Report), the June
15 BOE Minutes gave an increasing probability of a further fall in case of a «leave» outcome, as the fundamentals of the UK
economy would materially be impacted the Brexit. The Continent would also be hit: uncertainty, division within the European
Union, impossibility to replicate the City on the Continent, small reduction of the already low growth potential. The Euro would
therefore also pushed down, though less than the Pound. Far away from the problem and safe haven currency, the US Dollar
would appreciate. The Japanese Yen would also rise as carry trades would be unwound in the resulting risk off environment. The
hardly avoidable Swiss Franc appreciation would be actively fight by the SNB (June 16 Conference). The emerging currencies
would suffer given the general US Dollar strength. A significant Euro / Dollar decline would be consistent with a reduction of
the Dollar exposure (bottom right). British Pound purchases on a trading basis would require a significant further fall of the
British currency (bottom left).
Tasso di cambio EUR / GBP
1
1.7
Tasso di cambio EUR / USD
1.6
0.95
Euro / Sterlina
0.9
1.5
- Sqm
0.85
1.4
PPP stimata
1.3
+ Sqm
0.8
1.2
0.75
1.1
0.7
1
0.65
0.9
Euro / Dollaro
0.6
0.8
- Sqm
0.55
0.7
PPP stimata
0.5
01.10.75
01.10.85
01.10.95
01.10.05
01.10.15
0.6
01.10.75
26
+ Sqm
01.10.85
01.10.95
01.10.05
01.10.15
Asset Management & Products
Disclaimer
The information and opinions contained in this report have
been obtained from public sources believed to reliable. No
representation or warranty is made or implied that is
accurate or complete. Any opinions expressed in this report
are subject to change without notice. This report has been
prepared solely for information purposes and if so decided,
for private circulation and does not constitute any
solicitation to buy or sell any instrument, or to engage in
any trading strategy.
Sources
PKB / Cassa Lombarda calculations on Bloomberg data,
unless otherwise specified.
27

Investment Committee October 2015

Transcription

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