今日全球经济:艰难的调整仍在继续——基于数据/机器学习的五月资产配置观点

今日全球经济:艰难的调整仍在继续——基于数据/机器学习的五月资产配置观点

The Painful Adjustment Continues - Data/Machine Learning-Based Asset Allocation Perspective for May: The Global Economy NOW

 

版权所有 © DeepMacro Inc.

作者:Bülent Baygün

 

“市场已经遭受了巨大的打击。然而,如果通货膨胀得不到遏制,未来可能还会有更多的风险。对于一个只做多的完全投资组合来说,归根到底是在两害相权取其轻与波动性之间做出选择。” ——纽约时间2022年5月9日下午02:30。

" The markets have already suffered a big blow. Yet more could be in store if inflation is not tamed. For a long-only fully-invested portfolio, it comes down to a choice between the lesser of two evils, and volatility. " - 09 May 2022 02:30 PM NY time.

 

 

全球经济和市场状态:“这不是结束。甚至不是结束的开始。但也许是开始的结束。”

Global economic and market regime: "this is not the end. It is not even the beginning of the end. But it is, perhaps, the end of the beginning."

 

先说结论:上个月,全球经济进入了“橙色”状态(见图1)。在橙色状态中,股票和固定收益的预期回报均为负。

To start with the conclusion: Last month, the global economy moved into the "Orange" regime (see Figure 1). In the Orange regime, expected equity and fixed income returns are both negative.

 

本月,尽管大局发生了种种变化,市场也比较动荡,但全球经济仍然处于橙色状态。在这个状态中,经济增长高于平均值但正在下降,通货膨胀远高于平均值且在上升,且风险适度但正在上升。关于经济的辩论激烈地进行着,市场一直在波动,但DeepMacro系统看穿了这些辩论,始终认为目前的环境对风险资产来说非常糟糕。

This month, despite all the shifts in the big picture and convulsions in the market, the global economy stays in the Orange regime. In this regime, growth is above average but falling, inflation is far above average and rising, and risk is moderate but rising. The debate over the economy has raged back and forth and markets have been volatile, but the DeepMacro system has cut through the back and forth and consistently said that the environment is a poor one for risk assets.

 

资产配置是一个两害相权取其轻的问题。在橙色状态中,股票和固定收益的预期回报均为负;股票的预期回报高于固定收益,但优势很小,并且伴随着高波动性的巨大代价。

Asset allocation is a question of choosing the lesser of two evils. In the Orange regime, both equity and fixed income returns are predicted to be negative; equity returns are projected to be higher than fixed income; but this edge is small and comes at a large cost in the form of high volatility.

 

图1. DeepMacro全球经济状态,2003年12月-2022年4月(大星号表示最近的点)(点击这里查看最近的状态)

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5月3日的数值,用于五月的投资组合。箭头表示过去五个月读数的变化。

来源:DeepMacro, Inc.

 

 

资产配置:两种脆弱资产之间艰难但明确的选择

Asset allocation: tough but clear choice between two vulnerable assets

 

与过去几个月类似,DeepMacro GTAA投资组合与有类似波动性的基准相比,继续减持股票。

Similar to the last few months, the DeepMacro GTAA portfolio keeps its underweight in equities relative to benchmarks with similar volatility.

 

投资组合的防御性配置源自于一系列因素:橙色状态意味着股票和固定收益的预期回报均为负,事实上,橙色状态是DeepMacro框架内所有状态中最糟糕的。股票的预期回报比固定收益的要好,但只是说股票的回报没那么消极,更不必说这种表现更好的幅度在所有状态中是最小的。此外,在橙色状态中,固定收益的波动性预计仍然保持高位,但股票的波动性更高,重要的是,预计二者的波动性都会高于投资组合5%的目标。这一资产回报和波动性的组合意味着减持股票。尽管如此,考虑到这两种资产的表现都可能为负,我们的投资组合风险管理计划可能会在本月降低风险。

The defensive positioning in the portfolio stems from a confluence of factors: the Orange regime portends negative returns for both equities and fixed income, in fact the worst across all regimes in the DeepMacro framework. The expected return for equities is better than fixed income, but only in the sense that it is less negative, not to mention that the margin of outperformance is the smallest across all the regimes. In addition, fixed income volatility is projected to remain high in the Orange regime, but equity volatility is higher still and, importantly, both are expected to stay above the portfolio volatility target of 5%. This combination of asset returns and volatilities translates to an equity underweight. Having said that, given the likely negative performance of both assets, our portfolio risk management scheme is likely to reduce risk over the month.

 

在国家配置方面,北美在股票方面为增持,与上个月非常类似。然而,这次日本也加入到了股票增持的国家中。这使得英国和欧元区成为股票投资组合中减持的国家。

In terms of country allocation, North America gets an overweight in equities, much like last month. However, Japan also enters the group of favored countries this time. This leaves the UK and the euro region as underweights in the equity portfolio.

 

在固定收益方面,美国失去了优势,转为减持,尽管幅度很小。日本仍然为增持,因为其本身已经较低的利率相对于其他国家似乎已经锚定。

In fixed income, the US loses its edge and moves over to an underweight, although only by a small amount. Japan keeps its overweight though, as its already low rates appear anchored vis à vis its peers.

 

经济增长:回归均值的趋势仍在持续

Growth: the reversion to mean continues

 

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.

 

•     总体而言,主要经济体处于“放缓”状态:基本上,主要经济体的经济增长仍然高于平均值,但正在失去动力。By and large, major economies are in the "Slowdown" state: mostly, they still enjoy higher than average growth, but they are losing momentum.

 

•     上个月,德国和瑞典都在边缘上摇摇欲坠,现在已经与澳大利亚一样进入了“倒退”状态,也就是说,这三个国家的经济增长低于平均值,并且继续减速。Germany and Sweden, both teetering on the cusp last month, now moved into the "Pullback" state, joining Australia, i.e. these three countries have lower than average growth and continue to decelerate.

 

•     日本似乎也准备效仿。Japan appears poised to follow suit.

 

•     不过,美国和加拿大表现良好;而英国的经济增长虽然在快速减速,但相对其自身的历史,仍然有最高的增长率。The US and Canada are doing fine though, and the UK, while decelerating rapidly, still has the highest growth rate, relative to its own history.

 

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2月3日(左侧)vs. 2022年5月3日(右侧)(十年平均数标准差)

Figure 2a. G10: Growth Factor States, Level (x Axis) and Change (y Axis), 3 Feb 2022 (Left) vs. 3 May 2022 (Right) (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

图2b从略微不同的角度对相同的数据进行了观察,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.

 

英国仍然位居榜首。欧元区经济体表现强劲,明显的例外是德国。在各个国家的排名中,德国排在后半部分,而法国、西班牙和意大利都处于领先地位。加拿大和美国也在前半部分。除了少数例外(新西兰、挪威、日本),经济增长的水平明显低于三个月前。

The UK remains at the top. The glaring exception to the strength of the euro region economies is Germany. It sits squarely in the bottom half of the rankings, while France, Spain and Italy are all in the leading pack. Canada and the US too are in the upper half. With only a few exceptions (New Zealand, Norway, Japan), growth is notably lower than it was three months ago.

 

图2b. 十国集团:各个国家的经济增长因子,2022年2月3日vs. 2022年5月3日(十年平均数标准差)

Figure 2b. G10: Growth Factors By Country, 3 Feb 2022 vs. 3 May 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

通货膨胀:仍在上升,谁又能责怪央行采取行动呢?

Inflation: still on the rise, so who can blame central banks for acting?

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.

 

•     所有主要经济体的通货膨胀仍然很高... Inflation remains very high in all major economies...

 

•     ...并且继续上升,除日本(几乎没有上涨)以外。...and continues to rise, except (barely) in Japan.

 

•     在欧元区国家中,法国和西班牙目前的通货膨胀水平比其平均水平高出惊人的7个标准差。Of the euro region countries, France and Spain now have inflation levels a whopping 7 standard deviations above their norm.

 

•     截至上个月,澳大利亚和挪威的通货膨胀几乎没有什么变化,但本月,这两个国家的通货膨胀再次上升。Australia and Norway, both with little inflation momentum as of last month, have seen their inflation pick up again.

 

•     听起来似乎不太真实,但在四月份,除上述国家之外,只剩下了美国、加拿大及瑞士成为了通货膨胀水平最低(相对于其自身过去的趋势)的国家。As unreal as it may sound, that leaves the US and Canada, along with Switzerland, as the countries with the lowest inflation (relative to their own past trends) in April.

 

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2月3日(左侧)vs. 2022年5月3日(右侧)(十年平均数标准差)

Figure 3a. G10: Inflation Factor States, Level (x Axis) and Change (y Axis), 3 Feb 2022 (Left) vs. 3 May 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。几个月以来,法国、西班牙、意大利以及程度较低的德国,通货膨胀水平持续领先。新西兰和英国也感受到了压力,且已经持续了一段时间。

Figure 3b provides another perspective on inflation in various economies. France, Spain, Italy and, to a somewhat lesser extent Germany, continue to lead in inflation month after month. New Zealand and the UK feel the pinch too, as they have done for some time.

 

美国和加拿大?没有那么多,但当然,这些指标显示的都是与过去的趋势相比的通胀压力,根据这一指标,美国和加拿并没有那么高。另一方面,瑞士自去年年底以来一直是最稳定的,尽管其通货膨胀水平在过去三个月也略有上升。日本的通货膨胀可能已经停滞,但其水平仍然高于美国、加拿大和瑞士。

The US and Canada? Not so much, but of course, these measures all show inflation pressures relative to the past trend, and on this measure, the US and Canada are not so high. On the other hand, Switzerland has consistently been the most stable since the end of last year, even though it has seen its inflation go up ever so marginally in the past three months. Japan may have plateaued but it still sits above those three.

 

图3b. 十国集团:各个国家的通货膨胀因子,2022年2月3日vs. 2022年5月3日(十年平均数标准差)

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

来源:DeepMacro, Inc.

 

风险:过渡时期的考验和磨难

Risk: trials and tribulations of the transition period

四月份,DeepMacro全球风险指数(GRI,见图4)急剧上升。查看全球风险指数的详情可以提供进一步的见解。全球风险指数(GRI)中与资产估值和波动性相关的组成部分(市场和新兴市场风险)急剧上升。全球风险指数(GRI)的结构性组成部分(银行和信贷风险)在四月份以波动的方式有涨有跌,在四月底时接近四月初的水平,并在五月初跳升。整体来看,这些模式表明,市场的动荡主要是对更为紧缩的货币政策前景的调整,而不是系统性压力本身。一般来说,(由于更高的利率而)普遍疲软的市场可能会恶化为更具系统性压力的事件,因此我们会密切关注这一点。

The DeepMacro Global Risk Index (GRI, see Figure 4) rose sharply in April. Looking at the details of the GRI provides further insights. The components of the GRI linked to asset valuations and volatility (market and emerging markets risk) spiked up. The structural components of the GRI (banking and credit risk) rose and fell in a volatile fashion over April, ended up close to where they began the month, and jumped at the beginning of May. Overall, these patterns suggest that the upheaval in the markets is primarily an adjustment to the outlook for tighter monetary policy, rather than a sign of systemic stress per se. Naturally, it is possible for generically weak markets (due to higher interest rates) to bleed into a more systemic stress event, so we are watching this carefully.

 

如图4所示,全球风险指数(GRI)目前的水平与2018年年底美联储紧缩周期结束时(同时也是股票大幅下跌的时期)相同。当时,风险在全球风险指数(GRI)的各个组成部分之间平均分配,而现在却更集中在市场风险上。但全球风险指数(GRI)(确定“橙色”状态的一个考虑因素)上涨的速度很快,并且全球的央行将进一步加息,这意味着要谨慎!

As per Figure 4, the current level of the GRI is the same as it was in late 2018, which was at the end of a Fed tightening cycle (and it was a period of sharp equity declines). Then, risk was spread evenly across all the components of the GRI, whereas now it is more concentrated in market risk. But the speed of the increase of the GRI (which is an input into the "Orange" regime determination) has been fast, and global central banks will be hiking rates more. That spells caution.

 

图4. DeepMacro全球风险指数(GRI),2017年1月1日-2022年5月3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 - 3 May 2022 (Percentile, Sample Period from 1 Jan 1994)

来源:DeepMacro, Inc.

 

外汇:维持净做多美元

Foreign exchange: Staying net long the USD

 

与上个月类似,投资组合给美元相当大的净做多头寸——事实上比一周前增加了三倍。最近这一转变的原因在于经济增长支柱的变化。更具体地说,加元丧失了其在经济增长支柱上大部分的做多权重,而欧元及瑞士法郎在经济增长支柱上获得了适度做空的头寸。

Similar to last month, the portfolio has a sizeable net long position in the USD -- in fact larger by a factor of three from only a week ago. Behind this recent shift are changes in the growth pillar. More specifically, the CAD lost much of the long weight it had in the growth pillar, and the EUR as well as the CHF acquired moderate shorts in it.

 

因此,投资组合中主要货币的头寸如下:大量做空欧元,英镑和日元为中性。做空欧元的情况非常明确:欧元在所有支柱中的权重均为负,最突出的是通货膨胀支柱。欧元区的通货膨胀预期很高,而欧洲央行并未对此采取多少措施,因此投资组合在这一支柱中做空欧元。英镑在利差支柱中的权重为负,但受到其相对便宜的估值的支持。与此类似,日元估值也较为便宜,但在利差方面受到拖累。

As a result, the portfolio positions in the majors are as follows: large short in the EUR, and neutral in the GBP and the JPY. The case against the EUR is clear cut: it has negative weights in all the pillars, the most pronounced being in the inflation pillar. Inflation expectations in the euro area are high and the ECB is not doing much about it, so the portfolio is short the EUR in this pillar. The GBP, which has a negative weight in carry, is otherwise supported in the main by its relatively cheap valuation. The JPY, in a similar vein, is cheap, yet suffers in terms of carry.

 

除了主要货币之外,最大的做多头寸是澳元,主要得益于利差支柱。另一方面,瑞士法郎仍然是投资组合中主要做空的货币之一,仅次于欧元:瑞士法郎仅得到了通货膨胀支柱的微弱支持,而在其他起作用的支柱中,其权重均为负。最后但也很重要的一点是,上周还处在投资组合做多首位的加元,本周转变为中性,因其在经济增长支柱中排名下滑,如前文所述。

Looking beyond the majors, the largest long position is in the AUD, which benefits primarily from carry. On the flipside, the CHF remains one of the main shorts in the portfolio, second only to the EUR: it is supported only by inflation – and marginally at that – while it has negative weights in all the other active pillars. Last but not least, the CAD, which was the top long in the portfolio as recently as last week, has moved to a neutral position since it slipped in the growth pillar, as mentioned above.