今日全球经济:继续保持防御的姿态——基于数据/机器学习的四月资产配置观点

今日全球经济:继续保持防御的姿态——基于数据/机器学习的四月资产配置观点

Still Keeping a Defensive Posture - Data/Machine Learning-Based Asset Allocation Perspective for April: The Global Economy NOW

 

版权所有©DeepMacro Inc.

作者:Bülent Baygün

 

“通货膨胀持续上升,加上强劲的经济增长和升高的风险,使得目前的宏观形势与过去二十年的任何时候都大不相同,成为了一个独特的全新的经济状态。” ——纽约时间2022年4月4日下午12:12。

" The relentless rise in inflation, coupled with robust growth and elevated risk has now made the macro picture look different enough from anything else in the past two decades to make it a distinct new regime. " - 04 Apr 2022 12:12 PM NY time.

 

全球经济和市场状态:经济增长放缓/高通胀/高风险是一种“橙色”经济状态
Global economic and market regime: Growth slowdown/high inflation/high risk is an "Orange" regime

 

随着金融市场逐渐把这场战争归为“已知的未知”类别,投资者的注意力又回到了全球宏观形势。全球经济增长仍然具有弹性,但紧张的劳动力情况及上涨的原材料价格给公司的收入带来更多压力。由于地缘政治的原因和新冠疫情有关的关闭,供应链仍然处于压力之下,有可能会进一步加剧通货膨胀。在三月中旬达到峰值后,风险目前可能正在减弱,但面对不断上涨的通货膨胀,利率持续走高的前景是市场的核心关注点。

As the financial markets increasingly relegate the war to the "known unknowns" category, investors' attention turns back to the global macro picture. Global growth remains resilient, but tight labor conditions and rising raw material prices put more pressure on company earnings. Supply chains still remain under pressure, for gepolitical reasons and due to Covid-related shutdowns, which threatens to further exacerbate inflation. After spiking in mid-March, risk may be on the wane for now, but the prospect of ever-higher interest rates in the face of rampant inflation is front and center in the markets.

 

正如我们的读者所知,DeepMacro框架将大量的数据提炼成经济增长因子、通货膨胀因子及风险因子,来表明世界所处状态的特征。随着这些因子的起伏,它们会落入不同的集群,每个集群有广泛的共同特征。截至目前,全球经济已经进入了“橙色”状态,其大致特征为,经济增长水平高但正在放缓,通货膨胀水平高且正在上升,而且风险高。橙色状态与正的股票收益率和负的固定收益收益率有关。但是,预期的股票收益率很小,这就限制了对股票的资产配置。

As our readers know, the DeepMacro framework distills a vast spectrum of data into growth, inflation and risk factors that characterize the state of the world. As these factors ebb and flow, they fall into distinct clusters with broadly common traits within each. As of now, the global economy has moved into the "Orange" regime, which is identified roughly by high but slowing growth, high and rising inflation, and high risk. The Orange regime is associated with positive equity and negative fixed income returns. However, the expected equity returns are small, which in turn limits asset allocation into equities.

 

图1. DeepMacro全球经济状态,2003年12月-2022年3月(大星号表示最近的点)

Figure 1. DeepMacro Regimes, Dec 2003 - Mar 2022 (Large Star Represents the Most Recent Point) (Click HERE to see latest regime)

注:不同颜色代表根据DeepMacro算法确定的全球经济当月最接近的经济状态。大星号代表截至2022年4月1日的数值,用于四月份的投资组合。箭头表示过去五个月读数的变化。

Note: The color represents the "regime" that DeepMacro algorithms judge the global economy to be closest to in the month. The large star shows the readings based on data as of 1 Apr 2022, for use in the Apr portfolio. Arrows show the evolution of the readings over the prior five months.

来源:DeepMacro, Inc.

 

 

资产配置:仍然冷静对待股票
Asset allocation: still cool to equities

与有类似波动性的基准相比,我们的投资组合仍然减持股票。

The portfolio is still underweight equities relative to benchmarks with similar volatility.

 

DeepMacro GTAA投资组合结合了经济状态来评估资产的前景,并结合了资产的预期收益率和波动性,然后运用机器学习技术和现代的投资组合理论得出资产配置的决策。因此,考虑到5%的投资组合目标波动性,资产波动性及相关性,它们和预期的资产收益率一起在最终的资产配置中起着重要作用。在橙色状态下,股票的预期收益率低,且资产波动性仍然较高,因此,与40/60的股票/债券参考相比,GTAA策略维持减持股票,主要是为了维持投资组合的波动性处于目标水平。

The DeepMacro GTAA portfolio incorporates the state of the economy to evaluate the outlook for assets and incorporates their expected returns and volatilities to arrive at allocation decisions using machine learning techniques and modern portfolio theory. As such, in view of the 5% portfolio volatility target, asset volatilities and correlations play a major role in the final allocation, along with projected asset returns. Because the expected return of equities in the Orange regime is low and asset volatilities remain elevated, the GTAA strategy stays underweight equities vs. the 40/60 equities/bonds reference, primarily to keep the portfolio volatility on target.

 

关于各个国家的配置,股票方面,美国与市值参考相比为增持。事实上,北美地区整体都是增持(而且势头有利于加拿大和美国,因为它们的股票市场在三月份表现最好),而欧元区、英国和日本均为减持。

In terms of country allocation, in equities the US gets an overweight vs. a market cap reference. In fact, North America as a region is overweighted (and momentum is in favor of Canada and the US as the top performing equity markets in March), while the euro region, the UK and Japan all get an underweight.

 

在固定收益方面,与上个月类似,美国和日本为增持。美国受益于其相对其他国家较高的收益率,因为一系列的加息已经被考虑在内。对日本来说,央行采取激进的措施(收紧政策)的风险是有限的,这使其固定收益市场不那么容易受到冲击。

In fixed income, similar to last month, the US and Japan get an overweight. The US benefits from its relatively high yields vs. its peers, as a series of rate hikes has already been priced in. For Japan, the risk of aggressive central bank action (to tighten policy) is limited, which makes its fixed income market less vulnerable to shocks.

 

 

经济增长:正在失去动力
Growth: losing altitude

 

图2a显示了DeepMacro经济增长因子及其在过去三个月的变化

Figure 2a shows the DeepMacro growth factor and how it has changed over the past three months.


  • 经济增长在经历了一段较长时期的高水平和加速增长(“扩张”状态的特征)后,所有主要经济体均已达到峰值。After a long period of high and accelerating growth, characterizing the "Expansion" state, all major economies have peaked out.
  • 除了西班牙之外,没有其他十国集团国家的经济增长比三月前有上升。With the sole exception of Spain, no other G10 country has seen a pickup in growth from three months ago.
  • 然而,大多数国家的经济活动仍然高于平均水平,并且在一些国家,如英国,经济活动的水平仍然非常高。Yet, economic activity remains above average for most and in some cases, such as in the UK, is still very elevated.
  • 到目前为止,澳大利亚和新西兰是仅有的两个处于“倒退”状态(即经济增长低于平均值,且有下行趋势)的国家,但更多国家聚集在交界线附近,最明显的是德国和日本。So far, Australia and New Zealand are the only two countries in the "Pullback" state, i.e. lower than average growth with a downtrend, but more countries are bunching up on the cusp, most notably Germany and Japan.

 

 

图2a. 十国集团:经济增长因子状态,水平(x轴)和变化(y轴),2022年1月1日(左侧)vs. 2022年4月1日(右侧)(十年平均数标准差)

Figure 2a. G10: Growth Factor States, Level (x Axis) and Change (y Axis), 1 Jan 2022 (Left) vs. 1 Apr 2022 (Right) (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

图2b从略微不同的角度来观察这些相同的数据,显示了各个国家之间对比的情况。

Figure 2b provides another look at the same data from a slightly different angle, which shows how various countries compare against each other.

 

前四名与上个月相同,但意大利下滑到了第四名。另一方面,英国的经济增长仍然非常有活力,目前远高于其他国家。以这样的方式观察数据时,几个经济体经济增长放缓的共同模式也相当明显,尤其是澳大利亚和新西兰的下跌。不过,美国和加拿大仍维持着稳定的高增长,比平均值高三个标准差。

The top four remain the same as last month, but Italy slips to fourth place. The UK, on the other hand, continues to enjoy very brisk growth, now comfortably above its peers. The common pattern of lower growth in several economies is also pretty clear when using this look at the data, specifically in the retrenchment in Australia and New Zealand. The US and Canada maintain stable high growth though, upwards of three standard deviations above average.

 

 

图2b. 十国集团:各个国家的经济增长因子,2022年1月1日vs. 2022年4月1日(十年平均数标准差)

Figure 2b. G10: Growth Factors By Country, 1 Jan 2022 vs. 1 Apr 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

 

通货膨胀:绝对没有丧失动力
Inflation: definitely not losing altitude

 

图3a显示了DeepMacro通货膨胀因子及其在过去三个月的变化。

Figure 3a shows the DeepMacro inflation factor and how it has changed over the past three months.

 

  • 所有国家仍在经历高通胀,且通货膨胀的上行趋势普遍较强。All countries continue to experience high inflation and the upward trend in inflation has been strong across the board.
  • 尤其是意大利、新西兰和西班牙,它们的通货膨胀指标在过去三个月上升了超过一个标准差。Italy, New Zealand and Spain, in particular, have seen their inflation measures go up by more than one standard deviation in the past three months.
  • 在大多数其他国家,通货膨胀的上升基本都在一个标准差之内。The rise of inflation in most other countries is tightly packed within one standard deviation.
  • 日本和挪威可能是这一上升趋势的例外,但也只能勉强这么说。Japan and Norway may be the exception to this upward trend, but only barely so.

 

 

图3a. 十国集团:通货膨胀因子状态,水平(x轴)和变化(y轴),2022年1月1日(左侧)vs. 2022年4月1日(右侧)(十年平均数标准差)

Figure 3a. G10: Inflation Factor States, Level (x Axis) and Change (y Axis), 1 Jan 2022 (Left) vs. 1 Apr 2022 (Right) (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

图3b从另一个角度显示了各个经济体的通货膨胀。延续过去几个月的模式,西班牙、法国和意大利仍然领先。新西兰、德国和英国形成了另一个通货膨胀水平非常接近的团体,与前三名差异明显。最左侧是通货膨胀水平最低的国家,但它们的通货膨胀水平仍然高于其各自的平均值约两个标准差,这些国家与上个月相同,美国也在其中。然而,对这些国家来说也并不是什么安慰,因为即使是垫底的瑞士,其通货膨胀实际上也有所上升,不仅是比三个月前高,并且在过去一个月内也有所上升。

Figure 3b provides another perspective on inflation in various economies. Continuing the pattern of the past several months, Spain, France and Italy lead the pack. New Zealand, Germany and the UK form another group with similar tightly clustered inflation levels, much distinct from the top three. At the far left, the countries with the lowest inflation levels -- yet still some two standard deviations above their respective average -- remain the same as last month and include the US. There is little solace for them though, since even the bottom one, Switzerland, has actually seen its inflation rise a tad not just vs. three months ago, but also within the past month.

 

 

图3b. 十国集团:各个国家的通货膨胀因子,2022年1月1日vs. 2022年4月1日(十年平均数标准差)

Figure 3b. G10: Inflation Factors By Country, 1 Jan 2022 vs. 1 Apr 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

风险:上升的必然会下降
Risk: what goes up must come down

随着地缘政治事件的最初冲击逐渐消退,市场在三月中旬站稳了脚跟,DeepMacro全球风险指数(GRI,见图4)开始回落,目前低于月初时的水平。全球风险指数的每个组成部分均有类似的上升和下降。通常,市场风险和新兴市场风险对不可预见的事态发展的反应最强烈,这一模式在当前的事件中也可以看到,因为这两个组成部分达到了比其他部分更高的水平。即使在从高点回落之后,市场风险和新兴市场风险仍处于它们历史水平的上半部分。相比之下,信贷风险和银行风险则回落到其各自的平均水平以下,这可能表明对金融体系中未付款项(技术性违约或其他)的连锁反应的担忧有所缓解。

After the initial shock over geopolitical events wore off and the markets found their footing by mid-March, the DeepMacro Global Risk Index (GRI, see Figure 4) started to pull back and now sits below where it started the month. A similar rise and fall is observed in every constituent of GRI. Market risk is typically the one to react the most sharply to unforeseen developments, along with emerging market risk, and this pattern can also be seen in the current episode, as these two reached higher levels than the rest. Even after the pullback from those highs, market risk and emerging market risk remain in the upper half of their history. In contrast, credit and banking risk have dropped back below their respective averages, possibly signaling an easing off of concerns about a ripple effect of missed payments (technical defaults or otherwise) in the financial system.

 

 

图4. DeepMacro全球风险指数,2017年1月1日-2022年4月1日(百分比,样本时间自1994年1月1日开始)

Figure 4. DeepMacro Global Risk Index, 1 Jan 2017 - 1 Apr 2022 (Percentile, Sample Period from 1 Jan 1994)

来源:DeepMacro, Inc.

 

外汇:美元获得利差的支持
Foreign exchange: the USD gets a nod from carry

四月初,FX-1五个支柱中的四个都在起作用:经济增长、利差、估值和通货膨胀。随着金融市场从三月中旬的最低点恢复过来,全球风险指数支柱关闭并保持关闭。同时,随着各国央行开始加息,且预计还会有更多加息,利差支柱自三月份中旬以来开始打开。利差支柱主要利好美元。

Four of the five pillars are active in FX-1 at the beginning of April: growth, carry, valuation and inflation. As financial markets have recovered from their mid-March nadir, GRI turned off and remains off. At the same time, as central banks have started to deliver rate hikes, and more are anticipated, the carry pillar has been on since mid-March. The carry pillar predominantly favors the USD.

 

通货膨胀支柱也在打开状态。作为背景介绍,当一个国家的长期通货膨胀前景发生变化时,无论是因为央行改变了其通货膨胀机制,还是因为市场情况使得投资者相信这一变化即将到来,都会触发对货币波动产生实质影响的流动。为了捕捉这种偶然但非常强大的货币变动,FX-1包含了一个通货膨胀支柱,这个支柱就包含了通胀预期的重大变化。

The inflation pillar is also on. By way of background, when a country’s long-term inflation outlook changes, either because the central bank has changed its inflation regime, or because market conditions convince investors that such change will be forthcoming, this triggers flows that affect currency movements materially. To capture such occasional, but very powerful currency moves, FX-1 includes an inflation pillar, which incorporates big changes in inflation expectations.

 

综合来看,四个起作用的支柱形成了适度净做多美元的头寸,大部分原因是来自利差,因为在利差支柱中,英镑、瑞士法郎和日元兑美元均为做空头寸。至于其他主要货币,欧元长期以来首次转为做空,因为其在经济增长排名中的名次有所下滑。相反,由于强劲的经济增长,英镑转为做多。投资组合维持日元的中性头寸,因为其在估值方面的优势(日元较为便宜)基本上都被其在利差方面的劣势所抵消。

Taken all together, the four active pillars create a modest net long position in the USD. Much of that comes from carry, as the GBP, the CHF and the JPY all assume a short position vs. the USD in the carry pillar. As for the other majors, the EUR turns short for the first time in a long time as it slips in growth rankings. In contrast, the GBP assumes a new long position on the back of its strong growth. The portfolio maintains a neutral position in the JPY, as the advantage it has in valuation (the JPY is cheap) is mostly offset by its disadvantage in carry.

 

最大的头寸仍然在除了主要货币以外的其他货币中:由于经济增长和利差的支持,加元在做多的货币中排名第一,而瑞典克朗是做空头寸最大的货币,主要是由于通货膨胀支柱的不利影响。

The largest positions continue to be in currencies other than the majors: the CAD sits on top of the longs, thanks to its growth and carry, while the SEK assumes the largest short position as it is weighed down primarily by the inflation pillar.