高盛我们处在本轮周期的什么位置全球宏观2019020423页

WHEREAREWEINTHEMARKETCYCLE?ISSUE75|February4,2019|5:35PMESTEquityResearchGlobalMacroResearchInvestorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto’slosses,butsentimentstillseemslessebullientthanoneyearago,andinvestorsremainnervousaboutslowinggrowth.Againstthisbackdrop,howtointerpretrecentpriceaction—andwhetheritsignalsaturningpointformarkets—isTopofMind.Wesitdownwithlong-timeinvestorHowardMarks,whobelievesthatlastyear’srepricingreflectedacorrectionofexcessiveexuberanceratherthanamaterialchangeinthefundamentalbackdrop.Giventheriskrallysofarthisyear,hebelievesinvestorsarebacktobeingrelativelyoptimisticandrecommendsacautiousstance.GSeconomistsandstrategistsgenerallyagree,findingthateconomiccycleshavebecomesmootherandlessforward-looking,leavingsentimentakeydriverofmarketvol.Whiletheydonotbelievethecurrentbouncewillgivewaytoasustainedbearmarket,theyexpectaperiodofrelativelylowreturnsacrossriskyassets,andhighvol-of-vol.Themostimportantdriverofrisksentimentwillbethemarket’scontinuedcomfortlevelwiththestanceofmonetarypolicy.-CharlieHimmelberg“Idon’tbelievethatwe’reinabubble,andIdon’tthinkwe’regoingtohaveacrash...Butforaninvestor,Ithinkthenextfiveyearssimplyaren’tgoingtobeasgoodasthelastten.-HowardMarks“INTERVIEWSWITH:HowardMarks,Co-FounderandCo-Chairman,OaktreeCapitalMgmt.CharlieHimmelberg,ChiefMarketsEconomist,GoldmanSachsPeterOppenheimer,ChiefGlobalEquityStrategist,GoldmanSachsDIVORCEDFROMA“BORING”REALITYJeffCurrie,GSCommoditiesStrategyResearchLESSONSFROM2018VIXSPIKESRockyFishman,GSEquityDerivativesStrategyResearchRISKYRISKAPPETITEREVERSALChristianMueller-GlissmannandAlessioRizzi,GSMulti-AssetStrategyResearchWHAT’SINSIDEofAllisonNathan|[e-mail]|[e-mail]...ANDMOREDavidGroman|[e-mail]’tthinkwe’reenteringanewequitymarketcycle,justadifferentphaseofonethat’sbeenquiteatypicalsofar.-PeterOppenheimerElGoldmanSachsGlobalInvestmentResearch2TopofMindIssue75MacronewsandviewsUSJapanLatestGSproprietarydatapoints/majorchangesinviews•Weloweredourprobability-weightedfedfundsrateforecastfor2019to0.7nethikes(vs.1.1previously)andourmodalforecastto1hike(vs.2)givenJanuary’sdovishFOMCmeeting.•WeloweredourQ1GDPforecastby0.2ppto1.7%qoqann.andraisedourQ2forecastby0.2ppto2.4%toreflecttheimpactofthegovernmentshutdown.Datapoints/trendswe’refocusedon•Littleevidencethattradepolicyhasweighedoneconomicactivity,thoughithaslikelyboostedcoreinflationby~0.15pp.LatestGSproprietarydatapoints/majorchangesinviews•Nomajorchangesinviews.Datapoints/trendswe’refocusedon•TheBOJ’srelativelybullishbasecaseforgrowth/inflation,despiteacknowledgingheightenedrisksatitslastmeeting.•TheimpactofChina’sslowdown;exportstoChinafellby13.8%yoyinDecember,andsomemanufacturerscitedChinaweaknessintheJanuaryReutersTankansurvey,whichdeclinedforthethirdstraightmonth.•AsharpdeteriorationinconsumerconfidenceinJanuary.AdipandareboundRealfederalspendingaroundUSgov’t.shutdowns,%chg.ann.Trade(head)windsJapaneseexportvolumebyregion,%yoySource:DepartmentofCommerce,GoldmanSachsGlobalInvestmentResearch.Source:MinistryofFinance.EuropeEmergingMarkets(EM)LatestGSproprietarydatapoints/majorchangesinviews•Weraisedoursubjectiveprobabilityofa“no-deal”Brexitto15%from10%andloweredouroddsofnoBrexitto35%from40%.WeleftouroddsofadelayedBrexitdealat50%.Givenpoliticaluncertainty,wenowseeNovember,ratherthanMay,asthemostlikelymonthforaBOEratehikethisyear.Datapoints/trendswe’refocusedon•GrowingrisksthattheECBraisesrateslaterthanourbasecaseofQ4,particularlysincethebankacknowledgedthatriskstoEuroareagrowthareskewedtothedownside.LatestGSproprietarydatapoints/majorchangesinviews•WenowexpectacutfromIndia’scentralbankinFebruary(vs.nochange)onsoftergrowthandsubduedinflation.Datapoints/trendswe’refocusedon•AsignificantreboundinEMex-ChinaactivityfromQ3lows.•China’srelativelylimitedpolicyeasingdespiteslowingactivity;weexpectfurtherstimulusincludinglowerratesandinfrastructurespendingtoeventuallyhelpstabilizegrowth.•ReducedpressureforratehikesacrossEMgiventheFed’sdovishturn;however,thebarforcutsremainshigh.AfterthestrikeImpactofoneweekofstrikesonFrenchCAI(annualized),ppEMacceleratingaloneContributionstothechangeinglobalCAIfromSep.-Dec.2018,bpSource:NationalOpinionPolls,GoldmanSachsGlobalInvestmentResearch.Source:GoldmanSachsGlobalInvestmentResearch.-25-20-15-10-50510152025PreviousFourQuartersShutdownQuarterShutdownQuarter+1ShutdownQuarter+2FederalConsumption,4Q95FederalInvestment,4Q95FederalConsumption,4Q13FederalInvestment,4Q13-30-20-1001020302013201420152016201720182019ChinaUSEU-0.3-0.2-0.100.10.20.30.40.5-1StartofStrike123CAIHardCAISoftCAIMonths-40-30-20-10010203040EMsexChinaRestofDMEuroAreaChinaUS34%12%15%19%19%ofworldofworldofworldofworldofworldWeprovideabriefsnapshotonthemostimportanteconomiesfortheglobalmarketsElGoldmanSachsGlobalInvestmentResearch