Les stratégistes de JPMorgan en charge de l’allocation d’actifs, emmenés par Jan Loeys, font le point sur le mouvement de réallocation des portefeuilles vers les actifs risqués (une thématique portée depuis plusieurs mois par la banque). Toutefois, si certaines idées fonctionnent plutôt bien, d’autres sont moins performantes.
« The first month of the new year is in the bag, creating a handy checkpoint to see what part of the investment strategy is working; what is not; and what needs changing. Overall, our model portfolios are up nicely as we have been long risky assets and short the Japanese yen. But not all is working well.
Economic data releases over the past month, which are mostly for December, forced us to cut global Q4 to 1.5%, from 1.8%, but the strong momentum into quarter end supports the rebound in growth we have been expecting. As a result, our 2013 global growth forecasts for 2013 are only 0.1% lower, which is less than a rounding error. If anything, the significant rise in Global PMIs, punctuated this morning by the 1.4 point jump in the Global Manufacturing PMI for January, could create an upside risk bias around current forecasts, but have so far not been powerful enough to produce on outright upgrade. In short, the economic rebound is on track, in our view.
The overweight in risk assets we carried over from last year worked well in aggregate, but less so in the details. Equities have rallied strongly, and Japan has strongly outperformed currency hedged, as expected. However, our overweight in EM Asian stocks vs the US has lost money recently as we had not thought through the negative impact on the region of the massive fall in JPY. We stay overweight EM Asia in equities on rising growth expectations – we raised Taiwan this week – but move the short leg from the US to the rest of EM (see Equities below). We stay with a long in equities on value (high equity premium), a further reduction in tail risk perceptions, upside risk on growth, and further buying by investors who missed last year’s rally.
Credit, the second leg of our long risk position, has in contrast barely participated in January’s risk rally. Spreads came in during the first few weeks, but have since given back most of these gains. It is our perception that much of recent profit taking in credit, and selling of duration, is by short-term oriented investors, who have become concerned that better US economic data are bringing forward the end of easy money.
Much as a switch from fixed income to equities likely makes imminent sense from a medium-term value point of view, we would like to see actual and significant upgrades in expectations for economic growth and company earnings, before we start this rotation. The sell-off in credit this past week seems more a trial run by speculative investors, and it likely requires fundamental growth support before it can pull the main body of the investor community. Hence, we stay overweight corporate and EM external debt against government debt. This means that leveraged investors should make sure to hedge underlying duration risk, as the value in corporates is in the spread, not in the all-in yield. Long-only investors in credit should similarly make sure to keep overall duration not far from their benchmarks.
We have been trading bond duration around neutral and focusing on mean reversion in bond yields. This means several weeks ago that we advised being long duration in USTs. We clearly have a loss on this position. For the moment, we keep this tactical long, risking a rise to 2.1% in 10 year USTs, as we think the move is driven by spec positions and not by any change in underlying views on growth and the Fed. »