Bottom-line: 모건스탠리가 관찰한 중국 주식시장 자금흐름에서 흥미로운 점은 최근 경제재개 기대로 유입 된 자금의 주체는 헤지펀드와 상장지수펀드임. 공모주식형 펀드의 경우 여전히 중국이나 아시아에서 고객들이 환매 중이라 상대적으로 견고한 자금이라 할 수 있는 흐름은 아직이라 할 수 있음. 그들이 유입되기까지는 다소 시간이 걸릴 것으로 예상함.
Some interesting color from Morgan Stanley’s Asia quant team. They say most of the reopening-triggered inflows into Chinese A-shares (mainland-listed stocks) has come from hedge funds or passive funds like ETFs. The long-only sticky money has yet to join in because, according to Morgan Stanley, their clients are still pulling cash from Asia or EM products. So when could China’s A-share market get another, inflow-driven leg up? Morgan Stanley says this may take a while.
Some interesting color from Morgan Stanley’s Asia quant team. They say most of the reopening-triggered inflows into Chinese A-shares (mainland-listed stocks) has come from hedge funds or passive funds like ETFs. The long-only sticky money has yet to join in because, according to Morgan Stanley, their clients are still pulling cash from Asia or EM products. So when could China’s A-share market get another, inflow-driven leg up? Morgan Stanley says this may take a while.
Docent: 시장에서 반영하고 있던 수준보다 높은 점도표에도 왜 채권 시장은 이토록 낙관적 반응(국채 수익률 하락)을 보였는지에 대한 도슨트임. 채권 투자자들은 점도표에서 제시하는 최종정책금리보다 이를 도출하게 된 인플레이션의 방향과 속도에 더욱 주목하는 것임. 즉, 내년 인플레이션이 빠르게 냉각되면서 종국적으로 2023년 6월 3% 미만에 도달할 것으로 봤음. 이런 시장 가격 반영에 대해 너무 낙관적이지 않냐 생각할 수도 있지만, 인플레이션에 보다 민감한 스왑 계약에서도 마찬가지 모습을 보이고 있음. 만일 채권 투자자들이 예상하는 경로로 물가가 떨어질 경우 5.1%의 최종정책금리는 도달하지 못할 영역이거나, 아주 잠시 머무르는 구간이 될 것임.
There’s some puzzlement at the ease with which Treasuries shrugged off a substantially hawkish Powell and dot plots with a terminal rate above 5%. As my colleagues have noted, investors seem to be looking past the dot plots. That’s likely to go on being the case as long as the market’s inflation expectations remain centered on a very rapid deceleration in CPI growth for the coming year. Even if you decide that breakevens pricing for an average inflation rate of 2.05% in the coming year are too optimistic, inflation swaps are also prepped for a substantial tumble in cost pressures. Swaps, which are usually more aggressive on inflation than breakevens, have also continued to decline. And if you look under the hood of DTCC trades for the instruments you can see that annual inflation is expected to come in below 3% by June 2023 and stabilize. If anything approaching that happens then the Fed either won’t get to 5.1% at all or will end up being a very transitory visitor to such settings.
There’s some puzzlement at the ease with which Treasuries shrugged off a substantially hawkish Powell and dot plots with a terminal rate above 5%. As my colleagues have noted, investors seem to be looking past the dot plots. That’s likely to go on being the case as long as the market’s inflation expectations remain centered on a very rapid deceleration in CPI growth for the coming year. Even if you decide that breakevens pricing for an average inflation rate of 2.05% in the coming year are too optimistic, inflation swaps are also prepped for a substantial tumble in cost pressures. Swaps, which are usually more aggressive on inflation than breakevens, have also continued to decline. And if you look under the hood of DTCC trades for the instruments you can see that annual inflation is expected to come in below 3% by June 2023 and stabilize. If anything approaching that happens then the Fed either won’t get to 5.1% at all or will end up being a very transitory visitor to such settings.
Implication: 중앙은행에 맞서지 말라는 격언은 너무나 유명하지만 투자자들은 적어도 올해 그러지 않음. 중앙은행이 틀렸다고 생각하기 때문인데, 중요한 것은 그들이 정말 실수를 행한게 된다면, 금리를 적게가 아니라 더 많이 올려야 할 것임. 언제나 이 사실을 유념해야 함.
One of the most constant aphorisms is that investors should never fight the Fed. But as 2022 comes to an end, it looks like the conflict remains intense. While I understand the arguments for not taking Jerome Powell seriously, on balance I don’t accept them. If the Fed is going to make a mistake it will be raising rates too much, not too little, and everyone should work on that assumption.
One of the most constant aphorisms is that investors should never fight the Fed. But as 2022 comes to an end, it looks like the conflict remains intense. While I understand the arguments for not taking Jerome Powell seriously, on balance I don’t accept them. If the Fed is going to make a mistake it will be raising rates too much, not too little, and everyone should work on that assumption.
Bottom-line: 지난 3년 간 지켜왔던 바이러스 억제 정책을 무산시킨 이후 중국은 이전까지 겪지 못한 최악의 바이러스 확산 사태 속에 있다고 추측 됨. 12월 4일 이후 공식적으로 바이러스에 의한 사망자를 보고하지 않았지만, 이미 북경의 장례식장과 화장터에 바이러스 양성 사망자가 수없이 도착하고 있기 때문임. 파이낸셜 타임즈를 통해 제보 한 북경의 화장터에 근무하는 직원은 수요일에만 30명의 사망자 시신을 화장했다고 했으며, 로이터의 보도에 따르면 이미 장례식장이 포화상태라고 함. 실제로 중국은 바이러스에 대한 정책을 전환하기 전에도 사망자를 제대로 보고하지 않았다는 의심을 사고 있었는데(Fuel Concern China Hiding Data), 이런 심각한 상황에도 11월 23일이 마지막 사망자 보고였기 때문임.
The number of Covid-positive dead arriving at Beijing’s funeral parlors and crematoriums is rising, according to media reports, despite China not reporting a fatality from the virus for two weeks. The Chinese capital is in the grip of its worst Covid wave yet, after officials nationwide abruptly abandoned the stringent curbs that have kept the virus at bay for much of the past three years. Staff at a Beijing crematorium told the Financial Times they cremated the bodies of at least 30 Covid victims on Wednesday, while a relative of one of the dead said their family member had been infected with the virus, according to the Associated Press. Reuters reported funeral homes in Beijing being overwhelmed. Still, China hasn’t recorded a death from Covid since Dec. 4, when two were lodged, that of an 84-year-old man in Sichuan province with underlying health conditions and another in Shandong province. The last official Covid fatality reported for Beijing — which was seeing thousands of cases a day even before China’s swift u-turn on Covid Zero — was recorded on Nov. 23: qA woman, 87, authorities said had chronic heart disease.
The number of Covid-positive dead arriving at Beijing’s funeral parlors and crematoriums is rising, according to media reports, despite China not reporting a fatality from the virus for two weeks. The Chinese capital is in the grip of its worst Covid wave yet, after officials nationwide abruptly abandoned the stringent curbs that have kept the virus at bay for much of the past three years. Staff at a Beijing crematorium told the Financial Times they cremated the bodies of at least 30 Covid victims on Wednesday, while a relative of one of the dead said their family member had been infected with the virus, according to the Associated Press. Reuters reported funeral homes in Beijing being overwhelmed. Still, China hasn’t recorded a death from Covid since Dec. 4, when two were lodged, that of an 84-year-old man in Sichuan province with underlying health conditions and another in Shandong province. The last official Covid fatality reported for Beijing — which was seeing thousands of cases a day even before China’s swift u-turn on Covid Zero — was recorded on Nov. 23: qA woman, 87, authorities said had chronic heart disease.
We are often asked how quant strategies, which are predicated on historical data, can handle a volatile market environment with few historical precedents. Don't current dynamics “break” quant strategies? In our view, quant's strong outperformance in 2022 resulted from a diverse set of catalysts.
We think these performance patterns are likely to continue in the coming year.
Morgan Stanley
We think these performance patterns are likely to continue in the coming year.
Morgan Stanley
Docent: 모건스탠리가 중국에 대한 투자의견을 상향한 가운데, 이후 고객들이 가장 많이 질문한 내용을 모아서 자료를 발간했으며, '왜 이런 질문을 했을까'라고 다시 한 번 생각해보는 것이 투자에 도움이 될 것이라 봄. 1) 가격에 긍정적 소식이 이미 반영되었는지, 2) 이미 쏠린 거래가 되었는지, 3) 감염자 증가에 따른 정책 회귀 우려가 있는지, 4) 인플레이션 우려가 중국에도 영향을 미칠지, 5) 이번 랠리에 어떤 방식으로 투자해야 할지, 6) 추가 상승을 판단할 수 있는 근거로는 무엇이 있을지였음.
FAQs on Our Recent Upgrade of China. 1) Has the market already fully priced in the post-Covidreopening?, 2) Has the trade become crowded – are investors ready tooffload?, 3) Should we worry about rollback of reopening in responseto spiking case numbers, 4) Could the ongoing inflation debate in the US be a drag onthe market in China (Hong Kong)?, 5) How should we invest through the rally?, 6) What are the signposts to watch to determine further market upside?
FAQs on Our Recent Upgrade of China. 1) Has the market already fully priced in the post-Covidreopening?, 2) Has the trade become crowded – are investors ready tooffload?, 3) Should we worry about rollback of reopening in responseto spiking case numbers, 4) Could the ongoing inflation debate in the US be a drag onthe market in China (Hong Kong)?, 5) How should we invest through the rally?, 6) What are the signposts to watch to determine further market upside?
개인적으로 애널리스트에게 고견을 구하면서 그에게 가격이란 사후적 값이 정답에 가까웠니 아니었니를 논하는 것은 의미없다고 봄. 애널리스트가 보고서를 작성하는데 투입되는 고민, 그를 통해 만들어 낸 근거, 그리고 고민과 근거 속에 제시하는 투자의 결론을 받아들일지 말지는 선택은 스스로 하면 되는 것임.
그 누구도 비어있는 엑셀을 열고서 Sheet1이라고 된 텅 빈 공간에 회사의 비지니스 모델을 이해하고, 변수를 투입하고, 그를 통해 근거와 추정, 끝으로 결론까지 도출하는걸 쉽게 할 수 없을 것이기 때문에, 그 자체로 존중받아야 할 일임.
그 누구도 비어있는 엑셀을 열고서 Sheet1이라고 된 텅 빈 공간에 회사의 비지니스 모델을 이해하고, 변수를 투입하고, 그를 통해 근거와 추정, 끝으로 결론까지 도출하는걸 쉽게 할 수 없을 것이기 때문에, 그 자체로 존중받아야 할 일임.
Bottom-line: 올 한해 미국주식시장에 역풍으로 작용했던 요소 중의 하나인 국채 수익률 역전은 중앙은행의 태도로 볼 때 내년 초까지 유지 될 수 있음. 뿐만 아니라 국채 수익률이 정상화(만기가 길수록 국채 수익률이 더 높은 상태) 되더라도 주식시장은 여전히 어려울 가능성이 있음. 국채 수익률 역전 이후 정상화 과정은 여러 차례 있었지만, 전세계 금융위기(2008년), 바이러스 대확산(2020년)의 경우 굉장히 왜곡 된 상황이었으므로 이를 제외할 경우 우리는 2000년대 혹은 2013년을 봐야 함. 먼저 2000년을 볼 경우 주식시장이 고점을 기록한 이후 2개월 뒤에도 중앙은행은 정책금리를 6.5%까지 인상하고, 그 해 말까지 해당 금리를 유지했음. 국채 수익률은 정상화되기 시작했지만, 2002년이 되어서야 주가는 바닥을 통과했음. 이번 통화정책회의에서 높은 금리를 오래 유지하겠다는 발언을 감안할 때 내년 주식시장에 대한 참고가 될 것임. 2013년의 경우 국채 수익률 정상화와 함께 S&P 500 지수가 30% 상승했지만, 금융위기 이후 장기간 0%에 가까운 정책금리를 오래도록 유지하고 있었고, 이후에도 해당 금리를 지속유지했다는 것이 다름.
A headwind for US equities this year has been a deeply inverted bond yield curve. That will persist into early next year after Jerome Powell reiterated that a restrictive policy stance will be needed for some time. However, even when the Treasuries curve reverts to steepening, history suggests it will continue to be tough going for American stocks. A review of cycles since the turn of the century suggest one template for the 2023 outlook could be the bursting of the internet bubble in early 2000. Even though stocks were tumbling, the Fed held rates at 6.5% until the start of 2001, citing inflation as a major factor for high rates. There have been three other steepening periods since then, but the global financial crisis and the Covid pandemic distorted two of them. Traders may focus more on the curve shift, which began in late 2000, or the steepening that took place during 2013. The first cycle was rough for equities, with US stocks mostly in retreat, driven by slumping internet stocks. The Nasdaq Composite finally bottomed out in October 2002. Although Nasdaq stocks peaked in March 2000, the Fed actually raised the funds rate two months later to 6.5% and held it there through the remainder of that year. That could be a guide for next year given the Fed is going with a higher-for-longer mantra. The curve steepening through 2013 was much more friendlier for equities with the S&P 500 gaining by almost 30%. However, the background was a Fed funds rate which had been anchored near zero since 2008 and was held there for several more years.
A headwind for US equities this year has been a deeply inverted bond yield curve. That will persist into early next year after Jerome Powell reiterated that a restrictive policy stance will be needed for some time. However, even when the Treasuries curve reverts to steepening, history suggests it will continue to be tough going for American stocks. A review of cycles since the turn of the century suggest one template for the 2023 outlook could be the bursting of the internet bubble in early 2000. Even though stocks were tumbling, the Fed held rates at 6.5% until the start of 2001, citing inflation as a major factor for high rates. There have been three other steepening periods since then, but the global financial crisis and the Covid pandemic distorted two of them. Traders may focus more on the curve shift, which began in late 2000, or the steepening that took place during 2013. The first cycle was rough for equities, with US stocks mostly in retreat, driven by slumping internet stocks. The Nasdaq Composite finally bottomed out in October 2002. Although Nasdaq stocks peaked in March 2000, the Fed actually raised the funds rate two months later to 6.5% and held it there through the remainder of that year. That could be a guide for next year given the Fed is going with a higher-for-longer mantra. The curve steepening through 2013 was much more friendlier for equities with the S&P 500 gaining by almost 30%. However, the background was a Fed funds rate which had been anchored near zero since 2008 and was held there for several more years.
Bottom-line: 일본 중앙은행이 고수하던 국채 수익률 곡선 통제를 조정하기로 결정함. 블룸버그에 예상치를 제시한 47명의 경제 전문가 모두는 이번에 정책 변화가 없을 것으로 생각했기 때문에 시장에 큰 충격을 줬음. 발표 직전 달러 대비 137.16에 거래 되었던 엔화는 133.11까지 강세를 보였고, 일본 10년물 국채 수익률은 0.25%에서 0.46%까지 급등했음.
Bank of Japan Governor Haruhiko Kuroda shocked markets by adjusting the central bank’s yield curve control program, sparking a jump in the yen and yields just months before he is due to step down. The BOJ will now allow Japan’s 10-year bond yields to rise to around 0.5%, up from the previous upper limit of 0.25% on its movement range, according to its policy statement Tuesday. The central bank said the move will enhance the sustainability of its monetary easing. The central bank kept its target on the yield unchanged at around zero percent and left its short-term interest rate at -0.1%. It also said it would significantly increase its bond purchases to 9 trillion yen ($67.5 billion) per month compared with the currently planned 7.3 trillion yen. The yen strengthened to as much as 133.11 against the dollar, compared with 137.16 immediately before the announcement. The 10-year yield jumped to 0.46% from 0.25% after the decision. All 47 economists surveyed by Bloomberg expected no policy change, though most of them had said the bank should do more to improve the functioning of the bond market.
Bank of Japan Governor Haruhiko Kuroda shocked markets by adjusting the central bank’s yield curve control program, sparking a jump in the yen and yields just months before he is due to step down. The BOJ will now allow Japan’s 10-year bond yields to rise to around 0.5%, up from the previous upper limit of 0.25% on its movement range, according to its policy statement Tuesday. The central bank said the move will enhance the sustainability of its monetary easing. The central bank kept its target on the yield unchanged at around zero percent and left its short-term interest rate at -0.1%. It also said it would significantly increase its bond purchases to 9 trillion yen ($67.5 billion) per month compared with the currently planned 7.3 trillion yen. The yen strengthened to as much as 133.11 against the dollar, compared with 137.16 immediately before the announcement. The 10-year yield jumped to 0.46% from 0.25% after the decision. All 47 economists surveyed by Bloomberg expected no policy change, though most of them had said the bank should do more to improve the functioning of the bond market.