Bottom-line: 중앙은행 인사들이 금리인상에 대해 서로 다른 목소리를 내기 시작함. 로레타 메스터와 같이 강경한 측은 여전히 인플레이션을 통제하기 위해 공격적인 금리인상의 필요성을 강조했지만, 브레이너드의 경우 금리인상이 경제에 미칠 수 있는 영향에 대해 논의할 필요성을 제시했음. 메리 데일리 또한 인플레이션 통제를 위해 과한 금리인상을 했을 때 구축효과에 대해 강조하며 그동안 인플레이션 통제에 대해 일관되고 확고했던 주장에 약간의 변화를 만들었음.
Fed Begins to Split on the Need for Speed to Peak Rates. Federal Reserve officials are starting to stake out different views on how fast to raise interest rates as they balance hot inflation against rising stress in financial markets. With Fed target range now at 3% to 3.25% and only a few moves from reaching their forecast peak, officials are starting to speak differently about the urgency with which they need to get there. Hawks like Cleveland Fed chief Loretta Mester say they must keep raising rates aggressively to win the battle against inflation even if that causes a recession. Vice Chair Lael Brainard has offered a slightly softer assessment while continuing to stress the need to tighten policy. Brainard’s speech Friday -- the first from Fed board leadership since officials met last week -- said policy will need be restrictive for some time and avoid the risk of prematurely pulling back. But she injected a note of caution about how fast they need to go, while discussing a number of ways in which the global rate-hiking cycle could spill over on the US economy. Her San Francisco colleague Mary Daly also highlighted the cost of doing too much -- as well as too little -- to cool prices. Their comments injected a slight variation into what has been a uniformed stream of insistence from regional Fed presidents declaring unflinching resolve to crush inflation.
Fed Begins to Split on the Need for Speed to Peak Rates. Federal Reserve officials are starting to stake out different views on how fast to raise interest rates as they balance hot inflation against rising stress in financial markets. With Fed target range now at 3% to 3.25% and only a few moves from reaching their forecast peak, officials are starting to speak differently about the urgency with which they need to get there. Hawks like Cleveland Fed chief Loretta Mester say they must keep raising rates aggressively to win the battle against inflation even if that causes a recession. Vice Chair Lael Brainard has offered a slightly softer assessment while continuing to stress the need to tighten policy. Brainard’s speech Friday -- the first from Fed board leadership since officials met last week -- said policy will need be restrictive for some time and avoid the risk of prematurely pulling back. But she injected a note of caution about how fast they need to go, while discussing a number of ways in which the global rate-hiking cycle could spill over on the US economy. Her San Francisco colleague Mary Daly also highlighted the cost of doing too much -- as well as too little -- to cool prices. Their comments injected a slight variation into what has been a uniformed stream of insistence from regional Fed presidents declaring unflinching resolve to crush inflation.
Market Implication: 경기침체의 위기를 직감함에도 대형 기업들의 이익에서는 그런 것을 감지하기 어려운 이유를 설명하고 있음. 상장기업은 2개 분기 연속 이익 감소라는 오명을 쓰고 싶지 않기에 이익을 낼 방법이 없을 때 최종적으로 회계사를 이용함. 때문에 초기 침체에 앞서 S&P 500 기업 이익과 나머지 기업의 이익이 20% 가까운 괴리가 생김. '창조적 회계'라 불리는 방법으로 한 두개 분기 위기를 모면하지만 오래갈 수 없음. 결국 해당 기업들도 이익이 감소하며 다시 이 괴리는 사라짐. 이 사례는 최근 소프트뱅크에서 나타났는데, 알리바바 지분을 20% 미만(적극적 경영의사 지분 기준)으로 낮추면서 지분에 대한 평가이익을 반영하며 166억 달러의 회계상 이익이 평가됨. 때문에 이 괴리도 지표는 어쩌면 국채 수익률 곡선 역전보다 침체를 예상하는데 유용하게 사용될 수 있음. 이 괴리가 20%를 넘어가는 시기와 해당 시기 이후 경기침체 발생은 차트를 통해 살펴볼 수 있음.
Recessions are rare — or, at least, government statistical bureaus are slow to recognize them. But big corporations don’t take chances. They work hard to avert an earnings recession, usually defined as two consecutive quarters of profit decline. Looking at S&P 500 companies’ earnings, it doesn’t feel like an economic downturn is on the horizon, even as worries about a global economic slump mount. These large companies may be more resilient, with their currency hedging tools and diversified businesses, one could argue. Or perhaps there’s some “creative accounting” at work, suggests Gavekal Research’s Charles Gave, who started his finance career in 1970. He compared S&P 500 earnings to profits from the broader economy and found that, historically, the two data series diverge on the brink of recessions. In fact, this profit divergence may be an even better recession predictor than an inverted Treasury yield curve. Since 1960, on every occasion when S&P 500 earnings climbed at least 20% above broader corporate profits, a recession ensued, notes Gave. We are seeing this divide again. Here’s the logic: As business conditions worsen, big publicly traded companies find it harder to generate profits that would please Wall Street. So their accountants come to the rescue. But accounting magic has its limits, so their earnings inevitably drop, causing the two data series to converge again. I find Gave’s explanation plausible. Here’s a concrete example, played out in Asia. In August, SoftBank Group Corp. said it cut its exposure in Alibaba Group Holding Ltd.’s shares to 14.6% from 23.7%. As a result, it expected to record about 2.4 trillion yen ($16.6 billion) in gains from the revaluation of its remaining Alibaba stake. That would be a welcome cushion. In the first half this year, SoftBank incurred record losses from the poor performance at its two Vision Funds. Already, large companies are revising their guidance at a faster pace than last year. All it takes is a few more profit warnings from global business leaders such as FedEx Corp., and the big corporates’ big profit facade will come crashing down.
Recessions are rare — or, at least, government statistical bureaus are slow to recognize them. But big corporations don’t take chances. They work hard to avert an earnings recession, usually defined as two consecutive quarters of profit decline. Looking at S&P 500 companies’ earnings, it doesn’t feel like an economic downturn is on the horizon, even as worries about a global economic slump mount. These large companies may be more resilient, with their currency hedging tools and diversified businesses, one could argue. Or perhaps there’s some “creative accounting” at work, suggests Gavekal Research’s Charles Gave, who started his finance career in 1970. He compared S&P 500 earnings to profits from the broader economy and found that, historically, the two data series diverge on the brink of recessions. In fact, this profit divergence may be an even better recession predictor than an inverted Treasury yield curve. Since 1960, on every occasion when S&P 500 earnings climbed at least 20% above broader corporate profits, a recession ensued, notes Gave. We are seeing this divide again. Here’s the logic: As business conditions worsen, big publicly traded companies find it harder to generate profits that would please Wall Street. So their accountants come to the rescue. But accounting magic has its limits, so their earnings inevitably drop, causing the two data series to converge again. I find Gave’s explanation plausible. Here’s a concrete example, played out in Asia. In August, SoftBank Group Corp. said it cut its exposure in Alibaba Group Holding Ltd.’s shares to 14.6% from 23.7%. As a result, it expected to record about 2.4 trillion yen ($16.6 billion) in gains from the revaluation of its remaining Alibaba stake. That would be a welcome cushion. In the first half this year, SoftBank incurred record losses from the poor performance at its two Vision Funds. Already, large companies are revising their guidance at a faster pace than last year. All it takes is a few more profit warnings from global business leaders such as FedEx Corp., and the big corporates’ big profit facade will come crashing down.
WSJ
An Earnings Recession Looms
Economic recessions are rare, but periods in which corporate profits fall for at least two consecutive quarters are not.
Bottom-line: 10년물 국채 금리가 1994년 이후 가장 긴 기간인 9주 연속 상승함. 긴 기간의 상승이 주는 메시지는 마침내 채권 투자자들이 중앙은행이 인플레이션을 통제하기 위해 금리를 올리고, 또 올리고, 계속 올릴 것이란 단호함을 깨달은 것임. 일반적으로 이렇게 긴 기간의 국채 수익률 상승은 긴축 사이클의 중간 지점 이후에 발생하기 때문에, 채권의 잔인한 매도나 다른 자산군에 있어 반등의 기회를 줄 수 있음. 다만, 이런 반등은 짧고, 종국적으로 씁쓸할 것임.
Treasury 10-year yields are surging relentlessly higher in a way rarely seen. They just climbed for a 9th-straight week, the longest such streak since early 1994, jumping 1.18 percentage points in that time. That bond sell-off is only the most savage move since the April-May rout that sent yields up 1.4 points in a nine-week span, but its persistence is noticeable. The message is that the bond market has finally realized just how determined the Fed is about raising and raising and raising interest rates to contain and then cool inflation. Long streaks of weekly yield gains have tended to come around or just after the mid-point of tightening cycles, as well as at pivotal moments when the target rate is sitting at the bottom after rate cuts. That underscores the potential both that we get some sort of a rebound in bonds, and perhaps in other assets, though relief is likely to be short, and ultimately bittersweet.
Treasury 10-year yields are surging relentlessly higher in a way rarely seen. They just climbed for a 9th-straight week, the longest such streak since early 1994, jumping 1.18 percentage points in that time. That bond sell-off is only the most savage move since the April-May rout that sent yields up 1.4 points in a nine-week span, but its persistence is noticeable. The message is that the bond market has finally realized just how determined the Fed is about raising and raising and raising interest rates to contain and then cool inflation. Long streaks of weekly yield gains have tended to come around or just after the mid-point of tightening cycles, as well as at pivotal moments when the target rate is sitting at the bottom after rate cuts. That underscores the potential both that we get some sort of a rebound in bonds, and perhaps in other assets, though relief is likely to be short, and ultimately bittersweet.
Bottom-line: 정부와 기업이 부채의 만기를 앞두고 자금을 재조달하는데 드는 비용이 빠르게 높아졌음. 65조 달러에 이르는 정부 및 기업 발행 채권을 모두 재조달한다고 가정하면 이전보다 평균 156bp, 또는 1조 달러 이상의 추가 비용이 들게 됨. 뿐만 아니라 채권자들이 경기침체에 베팅하기 시작하면서 자금 조달이 보다 까다로워지기 시작함.
Governments and companies around the world are facing unprecedented costs to refinance bonds, a burden that’s set to deepen fissures in debt markets and expose more vulnerabilities among weaker borrowers. A corporate treasurer or finance minister looking to issue new notes now would likely have to pay interest that’s about 156 basis points higher on average than the coupons on existing securities, after that gap surged to a record in recent days. That all adds up to about $1.01 trillion in additional costs if all those securities were refinanced, according to calculations using a Bloomberg index tracking some $65 trillion of government and corporate debt across currencies. Rolling over debt is proving increasingly tricky for weaker borrowers as creditors betting on recession become more cautious. While most governments and companies are still able to stomach the higher financing bills, credit markets are starting to buckle as fund outflows and volatility soar. Banks last week had to pull a $4 billion leveraged buyout financing, and even investment-grade debt funds saw one of the biggest cash withdrawals ever.
Governments and companies around the world are facing unprecedented costs to refinance bonds, a burden that’s set to deepen fissures in debt markets and expose more vulnerabilities among weaker borrowers. A corporate treasurer or finance minister looking to issue new notes now would likely have to pay interest that’s about 156 basis points higher on average than the coupons on existing securities, after that gap surged to a record in recent days. That all adds up to about $1.01 trillion in additional costs if all those securities were refinanced, according to calculations using a Bloomberg index tracking some $65 trillion of government and corporate debt across currencies. Rolling over debt is proving increasingly tricky for weaker borrowers as creditors betting on recession become more cautious. While most governments and companies are still able to stomach the higher financing bills, credit markets are starting to buckle as fund outflows and volatility soar. Banks last week had to pull a $4 billion leveraged buyout financing, and even investment-grade debt funds saw one of the biggest cash withdrawals ever.
• 국내 헤지펀드 업데이트
헤지펀드 업계에 종사하기 때문에, 월간 기준해서 국내 헤지펀드 현황을 업데이트 해보고자 합니다.
1. 9월 말 기준 총 2,787개의 한국형 헤지펀드가 설정되어 있으며, 총 설정액은 41조 2,940억원임.
2. 설정액 1,000억원 이상의 헤지펀드는 총 59개며, 그 중 Fixed Income, Alternative를 제외한 주식 관련 전략은 Multi Strategy, Equity Hedge(Long), Equity Hedge(L/S), Equity Hedge(Global)가 각각 19개, 4개, 2개, 1개 설정되어 있음.
3. 1,000억 이상의 헤지펀드에서 각 전략별 2022년 평균 수익률은 Fixed Income -2.00%, Alternative -3.22%, Multi Strategy -4.05%, Equity Hedge(L/S) -0.03%, Equity Hedge(Global) -26.58%, Equity Hedge(Long) -40.70%임.
4. 설정액 500억원 초과에서 1,000억 미만인 헤지펀드는 총 81개며, 주식 관련 된 전략의 수익률은 다음과 같음. Multi Strategy -10.63%, Equity Hedge(L/S) +3.24%, Equity Hedge(Long) -27.69%, Equity Hedge(Global) -45.75%
헤지펀드 업계에 종사하기 때문에, 월간 기준해서 국내 헤지펀드 현황을 업데이트 해보고자 합니다.
1. 9월 말 기준 총 2,787개의 한국형 헤지펀드가 설정되어 있으며, 총 설정액은 41조 2,940억원임.
2. 설정액 1,000억원 이상의 헤지펀드는 총 59개며, 그 중 Fixed Income, Alternative를 제외한 주식 관련 전략은 Multi Strategy, Equity Hedge(Long), Equity Hedge(L/S), Equity Hedge(Global)가 각각 19개, 4개, 2개, 1개 설정되어 있음.
3. 1,000억 이상의 헤지펀드에서 각 전략별 2022년 평균 수익률은 Fixed Income -2.00%, Alternative -3.22%, Multi Strategy -4.05%, Equity Hedge(L/S) -0.03%, Equity Hedge(Global) -26.58%, Equity Hedge(Long) -40.70%임.
4. 설정액 500억원 초과에서 1,000억 미만인 헤지펀드는 총 81개며, 주식 관련 된 전략의 수익률은 다음과 같음. Multi Strategy -10.63%, Equity Hedge(L/S) +3.24%, Equity Hedge(Long) -27.69%, Equity Hedge(Global) -45.75%
Bottom-line: 엔화는 9월 22일 일본이 통화 약세를 저지하기 위해 개입했던 수준을 다시 한 번 도달했음. 엔화 약세의 주요 원인은 다른 중앙은행의 금리인상에도 불구 국채 수익률 곡선 통제를 지속함에 따름이며, 이런 상황을 유지하는 한 정책적인 개입이 통화 절하를 막는 기간은 단기에 불과할 것임.
The yen weakened past 145 per dollar, setting the stage for Japan’s authorities to potentially intervene to prop up the currency for a second time this year. Japan’s currency fell as much as 0.4% to 145.30. Policy makers in the nation had intervened on Sept. 22 to contain losses that had reached 20% this year. The yen’s decline highlights the authorities’ struggle to shore up the currency as the Bank of Japan’s maintains an accommodative policy and yield-curve control even as the Federal Reserve raises interest rates. “The yen is at risk of further depreciation as long as the BOJ’s YCC remains in status quo and other central banks, including the Fed, continue to embark on tightening or policy normalization,” said Christopher Wong, a strategist at Oversea-Chinese Banking Corp. Officials may intervene “but history suggests the impact may only be short-lived unless intervention is coordinated.”
The yen weakened past 145 per dollar, setting the stage for Japan’s authorities to potentially intervene to prop up the currency for a second time this year. Japan’s currency fell as much as 0.4% to 145.30. Policy makers in the nation had intervened on Sept. 22 to contain losses that had reached 20% this year. The yen’s decline highlights the authorities’ struggle to shore up the currency as the Bank of Japan’s maintains an accommodative policy and yield-curve control even as the Federal Reserve raises interest rates. “The yen is at risk of further depreciation as long as the BOJ’s YCC remains in status quo and other central banks, including the Fed, continue to embark on tightening or policy normalization,” said Christopher Wong, a strategist at Oversea-Chinese Banking Corp. Officials may intervene “but history suggests the impact may only be short-lived unless intervention is coordinated.”
Bottom-line: Expected to Reverse.
Chancellor Kwasi Kwarteng is expected to make a statement in the next hour, reversing the proposed scrapping of the 45% rate of income tax, BBC reports.
Chancellor Kwasi Kwarteng is expected to make a statement in the next hour, reversing the proposed scrapping of the 45% rate of income tax, BBC reports.
Bottom-line: 발렌시아가 스니커즈와 4,000달러의 디올 책가방을 발견하기 전까진, 리츠칼튼에서 후드를 입고 버블티를 마시는 학생들을 보며 당신은 어느 대학의 스터디 그룹 정도로 생각할 수 있음. 아시아의 수조 달러에 달하는 부가 다음 세대로 이전 되는 시기에 대확산으로 인해 은행들은 이들의 충성도를 높이던 행사를 온라인으로 대체했지만 효율이 없었음. 최근 이런 행사들을 오프라인으로 재개하면서 충성도를 높이고 은행가들이 필요한 이유를 입증하려 노력하고 있음. 올해 19세의 행사에 참석한 친구는, 이런 행사를 위해 세계 곳곳으로 비행할 의향이 있지만, 온라인으로 한다면 캠을 켜두고 잠들 것이라 말함.
For years Covid froze one of private banking’s best tools for keeping customers loyal -- invite-only events for the children of wealthy clients. Now, as global borders finally re-open, they’re starting to return. In the bowels of Singapore’s Ritz-Carlton hotel 12 young people in gray hoodies sipping bubble tea could be mistaken for a university study group on first glance. That’s until you look down and see the Balenciaga sneakers and $4,000 Christian Dior book totes. The sessions that include the nuances of crypto art are part of a week-long event run by the Bank of Singapore, one of those tentatively resuming physical programs despite the awkward potential risk of infecting some of their richest scions. While the private banks tried to replicate in-person shindigs with Zoom seminars and learning portals during the pandemic, these didn’t always succeed in sufficiently engaging the next generation. Trillions of dollars in Asian wealth will likely shift to the next generation this decade as the region’s elders -- many of whom built businesses that dominate their respective economies -- transfer their fortunes. Financiers who fail to build loyalty among the affluent young and prove their value will likely lose out on lucrative accounts and access to deals. “I would fly around the world just to be somewhere in person,” said Benjamin Hort, a 19-year-old from the Czech Republic who attended the Bank of Singapore session. “Going into online, I’ll just turn my camera on and go to sleep.”.
For years Covid froze one of private banking’s best tools for keeping customers loyal -- invite-only events for the children of wealthy clients. Now, as global borders finally re-open, they’re starting to return. In the bowels of Singapore’s Ritz-Carlton hotel 12 young people in gray hoodies sipping bubble tea could be mistaken for a university study group on first glance. That’s until you look down and see the Balenciaga sneakers and $4,000 Christian Dior book totes. The sessions that include the nuances of crypto art are part of a week-long event run by the Bank of Singapore, one of those tentatively resuming physical programs despite the awkward potential risk of infecting some of their richest scions. While the private banks tried to replicate in-person shindigs with Zoom seminars and learning portals during the pandemic, these didn’t always succeed in sufficiently engaging the next generation. Trillions of dollars in Asian wealth will likely shift to the next generation this decade as the region’s elders -- many of whom built businesses that dominate their respective economies -- transfer their fortunes. Financiers who fail to build loyalty among the affluent young and prove their value will likely lose out on lucrative accounts and access to deals. “I would fly around the world just to be somewhere in person,” said Benjamin Hort, a 19-year-old from the Czech Republic who attended the Bank of Singapore session. “Going into online, I’ll just turn my camera on and go to sleep.”.
Report: 헤지펀드, 공모펀드, 개인 투자자 모두 연 초 이후 현재까지 주식 비중을 축소하고 있지만 긴 기간의 장기 평균에서는 여전히 높은 비중임. 때문에 2023년까지 주식의 매도 압력이 강할 것으로 예상됨. 금리상승, 성장률 둔화, 실업률 상승에 따라 특히 개인 투자자 및 외국인이 매도 주체가 될 것으로 보이며, 기업의 경우 자사주 매입이란 수요가 있음. 낮아진 주식 비중으로 인해 거시경제 환경이 개선될 경우 상승 여력이 존재하지만, 이 랠리의 폭이 크진 않을 것으로 봄.
Our Sentiment Indicator registered -1.1 this week. Hedge funds, mutual funds, and retail traders have slashed equity exposures YTD. However, investor equity positions remain elevated vs. a longer-term history and we forecast further selling in 2023. Rising interest rates, slowing growth, and increased unemployment will drive households to continue selling stocks. Corporates will be the largest source of equity demand due to strong buybacks and weak issuance. Foreign investors will be net sellers of US stocks while pension funds will be net buyers. If macro conditions improve, light positioning represents an upside risk to our year-end price target of 3600, but we expect the upside in such a rally would be limited.
(Goldman Sachs - Despite having slashed equity exposure this year, investors have further scope to de-risk in 2023)
Our Sentiment Indicator registered -1.1 this week. Hedge funds, mutual funds, and retail traders have slashed equity exposures YTD. However, investor equity positions remain elevated vs. a longer-term history and we forecast further selling in 2023. Rising interest rates, slowing growth, and increased unemployment will drive households to continue selling stocks. Corporates will be the largest source of equity demand due to strong buybacks and weak issuance. Foreign investors will be net sellers of US stocks while pension funds will be net buyers. If macro conditions improve, light positioning represents an upside risk to our year-end price target of 3600, but we expect the upside in such a rally would be limited.
(Goldman Sachs - Despite having slashed equity exposure this year, investors have further scope to de-risk in 2023)
Report: 주식에 대한 비중 분석을 주체별로 나누면 재량적 투자자의 경우 2020년 8월 이후 가장 낮은 수준을 기록했으며, 거시적 환경에 동일한 움직임을 보임. 시스템에 기반한 투자자의 경우 지속적으로 최저 수준의 비중을 향하고 있음. 시스템 기반을 세부적으로 나눌 경우 목표 변동성 펀드가 이번에 급격한 주식 비중 축소를 보였고, 추세 추종 펀드의 경우 주식의 추세가 역전되면서 마찬가지 비중을 줄였음. 위험 균등 펀드만 이번에 약간의 비중 증가가 있었음.
Our consolidated measure of equity positioning continued to slide and is now back to the bottom of the post-GFC range (6th percentile, z-score: -1.06) and near the June lows, breaching the -1 std dev mark for a second time this year. Discretionary investor positioning dropped sharply this week to the lowest since July 2020 (9th percentile, z score: -0.71), and is commensurate with a significant slowdown in macro growth (ISM Manufacturing at 46.5). Systematic strategies cut their already low equity positioning to the 5th percentile (z score: -1.62), as volatility remains elevated. Vol control funds reduced their equity exposure sharply to 41.2% (5th percentile), the lowest since June. CTA equity allocations have turned slightly short again in our reading (14th percentile), as the momentum signal becomes increasingly negative. Risk parity funds equity allocation rose slightly from last week’s lows (5th percentile).
(Deutsche Bank - Back To The Bottom Of The Post-GFC Range)
Our consolidated measure of equity positioning continued to slide and is now back to the bottom of the post-GFC range (6th percentile, z-score: -1.06) and near the June lows, breaching the -1 std dev mark for a second time this year. Discretionary investor positioning dropped sharply this week to the lowest since July 2020 (9th percentile, z score: -0.71), and is commensurate with a significant slowdown in macro growth (ISM Manufacturing at 46.5). Systematic strategies cut their already low equity positioning to the 5th percentile (z score: -1.62), as volatility remains elevated. Vol control funds reduced their equity exposure sharply to 41.2% (5th percentile), the lowest since June. CTA equity allocations have turned slightly short again in our reading (14th percentile), as the momentum signal becomes increasingly negative. Risk parity funds equity allocation rose slightly from last week’s lows (5th percentile).
(Deutsche Bank - Back To The Bottom Of The Post-GFC Range)
Report: 주식시장에서 곰은 사라진 것이 아니라 단지 동면에 들어갔을 뿐이었음. 전세계 지수는 2021년 11월 대비 -26% 하락했고, S&P 500 지수는 올해 6월 저점을 하향 돌파함. 주식시장이 전반적으로 고점 대비 -20%의 하락을 보였지만, 만일 경기침체가 임박했다 믿는다면 평균적인 하락폭인 -40%까지 추가적인 20% 하락이 남았음. 일반적으로 약세장의 저점 이후 주식시장은 +30% 가까이 반등하는데, 다만, 첫 1개월 간 +10% 상승하면서 대부분의 이익을 빠르게 회복함.
We once again refresh our Bear Market Almanac, revisiting our work on overlaps between large sell-offs and recessions, and what usually happens around bear market troughs, including market signposts to look out for and peak-trough sequencing. The global equities bear market has resumed this week, with MSCI ACWI down 26% from November 2021 peaks at the index's lowest. Similarly, S&P 500 broke through lows made in June, while MSCI Europe and MSCI EM are now 21% and 40% from cycle highs respectively. The bear never went away – it was merely hibernating. About half of the 20%+ sell-offs in global equities are associated with a US recession, while for US stocks, 13 out of the last 20 bear markets occurred around recessions. ACWI recession bears typically see stocks down ~40% peak-to-trough; if one believes a recession is coming and history is a guide, it would mean global equities still have another 20% or so downside from here. Unlike equity peaks, in which sectors peak at different times, global equity sector troughs tend to be synchronised around bear market troughs. Utilities and oil trough, the yield curve starts to steepen and MBS spreads peak before bear market troughs. Global equities can bounce 30%+ 12 months after the trough, with gains front-loaded. The first month tends to see markets rise by 10%+. All this means being nimble when bear markets are long in the tooth.
(Morgan Stanely - Bad News Bears)
We once again refresh our Bear Market Almanac, revisiting our work on overlaps between large sell-offs and recessions, and what usually happens around bear market troughs, including market signposts to look out for and peak-trough sequencing. The global equities bear market has resumed this week, with MSCI ACWI down 26% from November 2021 peaks at the index's lowest. Similarly, S&P 500 broke through lows made in June, while MSCI Europe and MSCI EM are now 21% and 40% from cycle highs respectively. The bear never went away – it was merely hibernating. About half of the 20%+ sell-offs in global equities are associated with a US recession, while for US stocks, 13 out of the last 20 bear markets occurred around recessions. ACWI recession bears typically see stocks down ~40% peak-to-trough; if one believes a recession is coming and history is a guide, it would mean global equities still have another 20% or so downside from here. Unlike equity peaks, in which sectors peak at different times, global equity sector troughs tend to be synchronised around bear market troughs. Utilities and oil trough, the yield curve starts to steepen and MBS spreads peak before bear market troughs. Global equities can bounce 30%+ 12 months after the trough, with gains front-loaded. The first month tends to see markets rise by 10%+. All this means being nimble when bear markets are long in the tooth.
(Morgan Stanely - Bad News Bears)