La crise de la dette en zone euro et l’écartement violent des spreads entre l’Europe du Sud et l’Europe du Nord met en évidence depuis 3 ans maintenant l’importance d’une gestion du risque-pays. Et cela peut s’avérer payant en matière d’allocation d’actifs, en particulier au sein de la poche actions, si l’on en croit les analystes quantitatifs de Morgan Stanley.
« Our quantitative country rotation model continues to indicate a preference for Core over Periphery. For that to change we would need to see both a reduction in systemic risks but also some relative improvement in economic and profit metrics.
Country investing continues to rise in importance. Country allocation remains an important driver of European equities and the gap between country and sector return dispersion continues to widen.
Country rotation model accurately predicted performance over the last 12 months. Over the last 12 months, the top five ranked countries in our rotation model have outperformed the bottom five ranked countries by 31.1% in USD terms.
Our model continues to prefer core and non-Eurozone countries. Germany drops one place, but maintains the top 2 ranking it has held since December 2011. Switzerland (#1), Norway (#3), Sweden (#4) and Denmark (#5) occupy the other top 5 spots. Four of five GIIPS countries (Ireland is the exception) occupy the bottom four spots in the ranking. The UK (#12) drops into the bottom five this month.
What would it take for the model to show improved rankings for peripheral Europe? Lower sovereign bond yields would boost scores in the valuation category. However the model is unlikely to rank the peripherals higher without also seeing an improvement in economic and profit metrics. »
Pour compléter ce petit résumé, quelques illustrations intéressantes. La première illustre la superformance relative de l’allocation par pays vs l’allocation par secteur.
Source: Morgan Stanley
La deuxième présente le classement de Morgan Stanley et la performance des différentes Bourses de l’Union européenne.
Source: Morgan Stanley
Pour terminer, les composantes du modèle de classement du risque-pays de Morgan Stanley:
