L’analyse toujours intéressante et pertinente de l’évolution des marchés la semaine passée, de la part des stratégistes de JPMorgan emmenés par Jan Loeys. En voici le résumé.
« Most asset classes are up this week, but not equities which gave back some of their recent gains after today’s mildly weaker-than-expected US payroll report. Further growth downgrades this week, in Brazil and Poland, were not enough to change our global growth numbers. For those closely following our global aggregates, please note we have moved from 5-year average to annual updating of the GDP weights we use in calculating global and regional aggregates. This raises the EM weight by 8% to 35% of world GDP. Higher EM weights raise our global growth projections to 2.5% and 2.8% for this year and next. The new weights raise our estimate of potential global growth to 3.2%.
The overall flow of the data this week, from PMIs to US payrolls, keeps us looking at a world economy that is growing below potential where only central bankers are trying their utmost to boost spending. With fiscal uncertainty remaining high, the private sector does not appear inclined to raise spending. As a result, more liquidity is unlikely to have much impact on growth, nor on inflation, beyond limiting the downside. We are not yet in a full liquidity trap, however, as the rising supply of money is finding its way into financial assets. The return chart to the right continues to show cash and zero-yield commodities as the worst performing assets YTD.
The asset class we like best in this environment of low growth and massive liquidity is better-yielding spread product –– corporates and EM debt, both local and in USD. These assets have indeed provided the best YTD return to risk. They provide an advantage over many other financial assets in offering a diversified combination of a safe asset (underlying government yield) and a riskier one (spread). As a result, they are less sensitive to changes in the growth outlook.
Other financial assets should also benefit from central bank liquidity injections, but they have certain disadvantages against outright longs in corporate and EM debt. Equities and overweights in credit versus government bonds should provide very good value as risk premia remain extremely high, but they are quite vulnerable to further downgrades in the global growth outlook. Outright duration in DM bonds have the reverse problem in that they are vulnerable to growth upgrades. We do have substantial long duration positions in EM as their central banks can and will ease a lot more, and this asset class benefits from rallies in risk assets (again good diversification). Commodities as an asset class benefits the least from asset reflation without outright inflation in goods as they provide no yield (if anything a negative roll at the moment) and are vulnerable to growth downgrades. »
En complément, un tableau représentant le ratio de Sharpe de différentes classes d’actifs sur les 6 premiers mois de l’année.