今日全球经济:关于最佳交易的五个问题

今日全球经济:关于最佳交易的五个问题

Five Questions on the Top Trades -- The Global Economy NOW

 

版权所有 © DeepMacro Inc.

作者:Jeffrey Young

 

“本报告基于大量宏观资产的因子敞口,列出了我们推荐的最佳交易,以及这些交易的基本原理。” ——纽约时间2022年4月11日上午09:45。

"This report lists our Top Trades, based on the factor exposures of a large number of macro assets, and the rationales for these trades."- 11 Apr 2022 09:45 AM NY time.

 

 

1.    DeepMacro推荐的最佳交易是什么?What are the DeepMacro Top Trades?

 

在DeepMacro官网可查看基于算法的转折点交易工具(TPTT)选出的“最佳交易”的完整清单。以下是总结:

Click here to see the full list of curated "Top Trades" chosen from the algorithmic Turning Points Trade Tool (TPTT) . Here is the summary:

   货币:做空瑞士法郎,做空日元。Currencies: Sell CHF and sell JPY.

   固定收益:做多日本国债(十国集团所有国家的短期利率均做空)。Fixed income: Buy JGBs (separately sell short-term interest rates across the board in G10).

   股票:做空欧洲斯托克(Eurostoxx),做多澳大利亚,做多巴西。Equities: Sell Eurostoxx, buy Australia, buy Brazil.

 

转折点交易工具(TPTT)有两个关键假设。首先,所有因子都是周期性的,一个因子的水平和变化定义了该因子在周期中所处的位置(见图1a)。其次,一个因子在其周期中的位置与未来的资产价格之间存在映射关系(详情见第五个问题)。转折点交易工具(TPTT)是纯算法的工具;DeepMacro根据我们对下个月最高信度交易的判断,从转折点交易工具(TPTT)中选出“最佳交易”。

There are two key assumptions in the TPTT. First , all factors go through cycles, where the level and change of a factor define where the factor is in its cycle (see Figure 1a). Second , there is a mapping from the position of a factor in its cycle to asset prices in the future (see question 5 for details). The TPTT is purely algorithmic; and DeepMacro selects the "Top Trades" from the TPTT, based on our curated judgment of the highest conviction trades over the next month.

 

图1a. DeepMacro经济增长因子在一个周期内变化的程式化视图(十年平均数标准差)

Figure 1a. Stylized View of DeepMacro Growth Factor Movement Through a Cycle (Std Deviations from 10 Year Mean)

来源:DeepMacro, Inc.

 

 

2. 经济增长如何影响全球股市前景?How is economic growth affecting global equity prospects?

影响是消极的,但不像几个月前那么消极。

Negatively, but not as much as it was a few months ago.

 

图2a显示了转折点交易工具(TPTT)如何绘制资产(以欧元区股票为例)对经济增长因子敞口的示例。目前,欧元区的经济增长因子处于左图中紫色点的位置:高于其长期平均值,但略有消极势头,使其经济处于“放缓”状态。自2004年以来,当欧元区的经济增长处于类似阶段时,历史上股票在接下来的一个月平均下跌2.07%。即使经济增长有小幅的重新加速回到“扩张”状态,一个月的前景也仍然是消极的(由切片中的红色表示)。

Figure 2a shows an example of how the TPTT charts the exposure of an asset (in this case, euro area equities) to the economic growth factor. Currently the growth factor for the euro area is at the purple dot on the left-hand chart: it is above its long-term average, but has slightly negative momentum, placing it in the "Slowdown" state of its economy. In history since 2004, when the euro area growth area was at a similar phase, equities on average declined by 2.07% over the next month. Even if growth reaccelerates slighly into the "Expansion" state, the one-month outlook is still negative (depicted by the red color in the slice).

 

右侧的图表显示了转折点交易工具(TPTT)中所有股票市场对其各自国家和地区的经济增长因子的敞口。我们还用粉色框出了欧元区(-2.07%,与左图一致)作为参考。在转折点交易工具(TPTT)覆盖的20个国家和地区中,有7个国家和地区的股票市场因经济增长有积极的预期收益率,13个国家和地区因经济增长有消极的预期收益率。这种不平衡倾向于股市走弱,但它不像几个月前那么不平衡。现在就说全球股市已到了上升的转折点还为时尚早。三月中旬开始的反弹可能与对战争恐惧的减少有更大关系。但可能是时候仔细观察各个国家和地区的因子是否有上行迹象了。

The right-hand chart shows the exposure of all equity markets in the TPTT (outlined in pink) to the growth factors of their respective countries. For reference we also outline the euro area (-2.07%, which matches the chart on the left-hand side). Of the 20 countries covered by the TPTT, the equity markets of 7 have a positive expected return from growth, and 13 have negative expected returns from growth. This is imbalanced in favor of equity weakness, but it is not as imbalanced as it was a few months ago. It is too early to say that global equities have reached a turning point to the upside. The rally from mid-March probably had more to do with a reduction of war fears. But it is probably time to look closely at country-specific factors for upside.

 

图2a. 基于经济增长因子相角的预期一个月股票收益率,2022年4月10日(变化百分比,绿色表示上升,红色表示下降)Figure 2a. One-Month Expected Equity Return Based on Growth Factor Phase Angle, 10 Apr 2022 (Pct Chg, Green = Increase, Red = Decline)

左图:欧元区Euro Area

右图:所有国家和地区All Countries

注:因子以水平(x轴)和三个月变化(y轴)表示,2019年4月- 2022年4月(十年平均数标准差)。预期收益率基于2004年1月至2022年3月的历史。

Factor shown as Level (x axis) and Three-Month Change (y axis), Apr 2019 - Apr 2022 (Standard Deviations from 10 yr Mean). Expected returns based on history from Jan 2004 - Mar 2022.

来源:DeepMacro Inc.

 

3. 全球因子的影响是什么?乌克兰战争的影响?What is the impact of global factors? The Ukraine war?

 

对于股票来说,目前的影响是积极的,但风险是下行的。

For equities, positive at the moment, but risks are on the downside.

我们再次以欧元区为例。

Again we use the euro area to demonstrate.

图3a左图显示了,基于目前DeepMacro全球风险指数(GRI)所处的位置(紫色点)的预期一个月收益率:+3.54%。紫色点正好在纵轴上,表明它正好处在长期平均数的水平。并且有适度积极的势头,也就是说,环境风险比三个月前更高。从历史上看,这种情况对欧元区股市来说是适度积极的。

Figure 3a, left-hand chart, shows the expected one-month return based on where the DeepMacro Global Risk Index (GRI) is right now (purple dot): +3.54%. The purple dot is exactly on the vertical axis, indicating that it is right on the long-term mean. And it has moderately positive momentum, i.e., the environment is riskier than it was three months ago. This situation has historically been a mild positive for euro area equities.

 

然而,同样明显的是,风险环境可能会变得对欧元区股票来说相当不利。图3a右图显示了相同的数据,但我们强调显示了,如果全球风险指数(GRI)略有上升,预期收益率会变得非常消极,为-7.28%。因为这个原因,当我们选择最佳交易时,我们低估了目前积极的风险敞口。随着市场从受战争恐惧影响而低迷的水平上急剧上升,现在面临着利率走高的前景,风险水平似乎可能会上升。

However, it is also clear that the risk environment could become quite negative for euro area equities. Figure 3a, right-hand chart, shows the same data, but we highlight the expected return if the GRI rises a little bit: it becomes deeply negative at -7.28%. For this reason, when we selected the Top Trades, we discounted the positive current exposure. With markets having risen sharply from war-fear depressed levels, and now facing the prospect of higher interest rates, it seems likely that risk levels will rise.

 

图3a. 欧元区,预期一个月股票收益率:Figure 3a. Euro Area, One-Month Expected Equity Return:

左图:基于目前的全球风险指数(GRI)(+3.4%)Based on Current GRI (+3.4%)

右图:如果全球风险指数(GRI)上升(-7.28%)If GRI Rises (-7.28%)

来源:DeepMacro, Inc.

 

乌克兰战争首先通过全球风险指数(GRI)影响了系统,然后也影响了转折点交易工具(TPTT)中的风险因子。对于转折点交易工具(TPTT)涵盖的20个股票市场中的13个市场来说,最近全球风险指数(GRI)在其周期中的位置实际上与其积极的影响相一致。但是乌克兰战争只是全球风险诸多因素中的一个。且如上所述(对于欧元区来说),我们离对风险资产不利的风险区域并不远。

The war in Ukraine affects the system first via the GRI, and, therefore, the risk factor in the TPTT. For the 20 equity markets in the TPTT, the most recent GRI position in its cycle is actually consistent with a positive impact for 13 markets. But the Ukraine was is just one of many contributing elements to global risk. And as noted above (for the euro area), we are not far from risk territory that would be negative for risk assets.

 

其次,乌克兰战争通过影响更为中期的经济增长因子和通货膨胀因子而影响资产预测。到目前为止,战争本身并没有产生明显的影响。在战争开始之前,通货膨胀已经飙升;经济增长一直在减速。与推动全球经济的潜在力量相比,战争的影响一直很小。

Secondarily, the war affects asset predications via its impact on the more medium-term economic growth and inflation factors. So far, there has not been a pronounced impact from the war per se. Inflation was already shooting skyward before the war started; growth had been decelerating. Compared to the underlying forces driving the global economy, the impact of the war has been small.

 

4. 为什么系统做多一些股票市场?Why is the system long some equity markets?

 

因为一些国家和地区处于周期的不同阶段,它们的市场对因子的敞口也不尽相同。

Because some countries are at different stages of their cycles, and their markets have different exposures to the factors .

这次我们来看看澳大利亚(见图4a)。

This time we look at Australia (see Figure 4a).

澳大利亚股票市场对经济增长的敞口是消极的:在目前市场阶段为-3.70%,但在下个市场阶段预计为+4.48%。

The Australian equity market exposure to Australian growth is negative: -3.70% in the current market phase, but +4.48% expected in the next market phase.

对通货膨胀的敞口是积极的:在目前市场阶段预计为+1.9%,在下个市场阶段也是积极的。

The market exposure to inflation is positive: +1.9% expected in the current market phase, with positive exposure in the next phase too.

对全球风险的敞口是积极的:预计为+3.43%,但如果风险恶化,则会转变为5.96%的下跌。

The market exposure to risk is positive: +3.43% expected, although if risk worsens, that switches to a 5.96% decline.

总的来说,综合预期收益率为+0.5%。这个数字很小,通常不足以触发“做多”建议。但根据我们的判断,看起来经济增长和通货膨胀的敞口可能会变得更为积极。此外,在转折点交易工具(TPTT)中,一些股票市场有积极的预测,因此我们认为应该在最佳交易中将这一点体现出来。

All told, the composite expected return is +0.5%. That is small and normally not enough to trigger a "buy" recommendation. But according to our judgment, it looks like the growth and inflation exposure are likely to become more positive. In addition, in the TPTT, some equity markets have positive predictions, so we feel this should be expressed in the Top Trades.

 

图4a. 澳大利亚:基于经济增长因子、通货膨胀因子、全球风险指数因子的预期一个月股票收益率(变化百分比,绿色表示上升,红色表示下降)

Figure 4a. Australia: One-Month Expected Equity Return Based on Growth, Inflation, and GRI Factors (Pct Chg, Green = Increase, Red = Decline)

注:因子以水平(x轴)和三个月变化(y轴)表示,2019年4月- 2022年4月(十年平均数标准差)。预期收益率基于2004年1月至2022年3月的历史。Factor shown as Level (x axis) and Three-Month Change (y axis), Apr 2019 - Apr 2022 (Standard Deviations from 10 yr Mean). Expected returns based on history from Jan 2004 - Mar 2022.

来源:DeepMacro Inc.

 

 

5. 转折点交易工具(TPTT)到底是如何工作的?How does the TPTT work anyway?

 

正如钟表上的时间是由指针的x-y位置定义的,资产的预期收益率也是由各因子的x-y坐标定义的。As the time on a clock is defined by the x-y position of the hands, the expected return of an asset is defined by the x-y coordinates of the factors.

 

如图1a所示,随着时间的推移,各因子以顺时针的方向在复苏、扩张等不同的“状态”之间移动。虽然计时并不完全“像钟表一样”,但所运用的正是钟表的概念:如同钟表上的指针位置决定了时间一样,各个因子在我们图表上的位置确定了其在周期中的位置。正如钟表上的时间能够告诉你是白天还是黑夜,因子在周期中的位置能够告诉我们资产收益率可能是正还是负。

As per Figure 1a, the factors move in a clockwise fashion through the different "States" of Recovery, Expansion, etc. as time goes by. The timing is not exactly "like clockwork", but the concept is nonetheless that of the clock: as the position of the hands on a clock determines the time, the position of the factors on our charts defines the cyclical position. And as the time on a clock tells you whether it is light or dark, the cyclical position tells us whether asset returns are likely to be positive or negative.

 

转折点交易工具(TPTT)根据20个国家和地区的股票、长期国债和货币对经济增长、通货膨胀和全球风险(运用自2004年以来的数据,以“时间点”的方式(即使用交易时市场可用的未经修正的数据))的敞口,来预计这些资产的一个月远期收益率。因此,它既包含了资产收益率的国内组成因素(经济增长因子和通货膨胀因子的敞口)和全球组成因素(全球风险指数的敞口)。全球风险指数(GRI)可被视为对所有资产都有影响的一种系统性因子。我们认为,任何宏观资产都会受到国内和全球两方面因素的影响。

The TPTT estimates one-month forward returns for equities, long-term government bonds, and currencies for 20 countries based on the exposure of these assets to economic growth, inflation, and global risk (using data since 2004, in a "point in time" manner (ie, using the unrevised data that were avaiable to markets at the time of trading). Hence it captures both a domestic component of asset returns (exposure to the growth and inflation factors) and a global component (exposure to the GRI). The GRI can be thought of as a systemic factor to which all assets have exposure. We feel that any macro asset will have exposure to both local and global factors.

 

转折点交易工具根据各个因子收益率的历史方差(因子的收益方差越低,该因子在组合中的权重就越高),将单独的预期因子收益率合并为一个综合收益率。

The TPPT combines the separate expected factor returns into a single composite return, based on the historical variance of the returns of each factor (the lower the variance of returns of a factor, the higher the weight of this factor in the composite).

 

我们认为转折点交易工具(TPTT)有四个独特的功能,可以帮助投资组合经理将数据反映到投资组合的行动中:We feel that the TPTT has four unique features that help portfolio managers map the data into portfolio actions:

 

•     “时间点”(交易时市场可用的未经修正的数据)。Point in time.

•     国内和全球因素。Domestic and global factors.

•     综合的因子敞口。Combination of factor exposures.

•     有助于判断转折点的图形化描绘。Graphical depiction to help judge turning points.