181105 Vortrag Achim Stranz AXA IM Petersberger Treffen · 2018. 11. 16. · Makro–Japan Bank of...
Transcript of 181105 Vortrag Achim Stranz AXA IM Petersberger Treffen · 2018. 11. 16. · Makro–Japan Bank of...
Zinsstrukturkurven und RezessionsrisikenAchim Stranz, AXA Investment Managers Deutschland GmbH
Petersberger Treffen, 8. November 2018
- nur für professionelle Kunden / nicht für Privat-/Kleinanleger -
Zinsstrukturkurven und Rezessionsrisiken
Inverse Zinsstrukturkurven waren in der Vergangenheit ein zuverlässiges Rezessions-Warnsignal, … aber noch nicht jetzt
Source: FRED, Datstream, AXA IM ResearchSource: NY FRB, AXA IM Research
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Zinsstrukturkurven und Rezessionsrisiken
Die aktuelle Zinsstrukturkurve signalisiserte erhöhte Rezessionsgefahr … aber noch nichtjetzt
Source: NY FRB, AXA IM Research
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Zinsstrukturkurven und Rezessionsrisiken
Zinsstrukturkurven sind Vorlaufindikator für Finanzierungsstandards, sowohl fürUnternehmen …
Source: FRB SLOOS, AXA IM Research
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Zinsstrukturkurven und Rezessionsrisiken
… als auch Haushalte. Noch aber nicht Besorgnis erregend!
Source: FRB SLOOS, AXA IM Research
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Makro – USA
Solides Wachstum
Source: BEA, Atlanta FRB, ISM, AXA IM Research, Oct 2018
6
50
52
54
56
58
60
62
0
1
2
3
4
Jan-15 Oct-15 Jul-16 Apr-17 Jan-18 Oct-18
IndexGDP (% qoq
saar)
GDP growth and short term outlook
GDP (historic) AXA IM forecast
Atlanta GDP now tracker Combined ISM (RHS)
Makro – USA
Mit steigender Inflation … hält Realzins niedrig
Source: BEA, AXA IM Research, Oct 2018
7
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Q1 2000 Q2 2004 Q3 2008 Q4 2012 Q1 2017
% yoy
Core PCE inflation
AXA IM 'core' inflation model
PCE 'core' yoy
Forecast
Makro – USA
“Fed not gone crazy”
Source: Bloomberg, Oct 2018
8
0
10
20
30
40
Aug 17 Oct 17 Dec 17 Feb 18
% probability
Implied probabilities of 3 hikes in year ahead
3 hikes (2018)
3 hikes (2019)
Macro – Euro Zone
Stabilisierung im 2. Halbjahr
Source: Eurostat and AXA IM Research
9
-3.5
-2.5
-1.5
-0.5
0.5
1.5
2.5
00 02 04 06 08 10 12 14 16 18
EMU economic sentiment by sector
Economic Sentiment Construction
Industry Services
Z-Score
Makro – Euro Zone
Ebenfalls gestiegener Inflationsdruck … kurzfristige Realzinsen negativ!
Source: Eurostat, AXA IM Research
10
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
07 08 09 10 11 12 13 14 15 16 17 18 19
Forecast
Headline inflation
Core inflation
% YoY
Makro – Euro Zone
… kurzfristige Realzinsen negativ: Stress im intalienischen Finanzsektor!
Source: Eurostat, AXA IM Research, September 2018
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0.00
0.20
0.40
0.60
0.80
1.00
2002 2004 2006 2008 2010 2012 2014 2016 2018
Composite Indicator of Systemic Stress (CISS)
France Germany
Italy Spain
Makro – Euro Zone
“Talking about politics”: hausgemachte Themen in Deutschland
Source: Eurostat and AXA IM Research
12
-50
-30
-10
10
30
50
-25
-20
-15
-10
-5
0
5
10
15
20
06 08 10 12 14 16 18
Industrial production
Motor vehicles (RHS)
German industrial production
% y/y %y/y
Makro – UK
“Talking about politics”: trotz BREXIT-Schatten, solides Wachstum in UK
Source: National Statistics, Markit, Oct 2018
13
35
40
45
50
55
60
-3
-2
-1
1
2
Q4 2008 Q2 2011 Q4 2013 Q2 2016 Q4 2018
PMI indexGDP % qoq
GDP and PMI indices
GDP
Manu PMI (qtr avg, RHS)
Servs PMI (qtr avg, RHS)
Makro – UK
Devisenmärkte erwarten “Deal”
Source: Datastream, AXA IM Research, Oct 2018
14
1.24
1.29
1.34
1.39
1.44
1.09
1.11
1.13
1.15
Apr 18 Jun 18 Aug 18 Oct 18
£:$£:€
Sterling fx
GBPEUR (LHS)
GBPUSD (RHS)
Makro – Japan
Bank of Japan mit “verdeckter Operation” zur Geldpolitik-Normalisierung (Stealth Tapering)
Source: Statistics Japan, BoJ and AXA IM Research15
+32.3
+44.4
0
10
20
30
40
50
60
70
80
90Ju
n-2
01
4
Se
p-2
01
4
Dec
-20
14
Ma
r-2
015
Jun
-201
5
Se
p-2
01
5
Dec
-20
15
Ma
r-2
016
Jun
-201
6
Se
p-2
01
6
Dec
-20
16
Ma
r-2
017
Jun
-201
7
Se
p-2
01
7
Dec
-20
17
Ma
r-2
018
Jun
-201
8
Se
p-2
01
8
Dec
-20
18
Ma
r-2
019
Jun
-201
9
Se
p-2
01
9
Dec
-20
19
Ma
r-2
020
Trillion Yen
Aug 2018
Mar 2020
Forecast
Makro – China
Kontrollierte Wachstumsverlangsamung
Source: CEIC and AXA IM Research (as of Oct-2018)
16
Makro – China
Trotz “trade war” Rhetorik … die Wachstumsverlangsamung kommt aus der Binnenkonjunktur
Source: CEIC and AXA IM Research (as of Oct-2018)
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Sentiment eher vorsichtig
Investment Strategie
Source: BofAML and AXA IM Research
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0%
10%
20%
30%
40%
Aggressively
OW
Moderately
OW
Neutral Moderately
UW
Aggressively
UWUS Japan Eurozone Emerging Markets
% of respondents
BofA ML Funds Manager Survey: equities positioning
Investment Strategie
Sentiment eher vorsichtig
Source: BAML, MSCI and AXA IM ResearchNote: indices used are the BAML global government index W0G1, the BAML global corporate index G0BC and
the MSCI world. They are all expressed in local currency and in price returns.19
0% 10% 20% 30% 40% 50% 60% 70%
EMs
Credit
Business cycle
Monetary
Counterparty
Protectionist
Geopolitical
Well above normal Above normal
% of respondents
Funds Manager Survey: risks to financials stability
Investment Strategie
Sentiment eher vorsichtig
Source: Bloomberg, Data stream, IBES and AXA IM Research
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87
89
91
93
95
97
99
101
Oct/17 Dec/17 Feb/18 Apr/18 Jun/18 Aug/18 Oct/18
Oct '17 = 100
Global equity style relative performance
Value vs. Growth
Defensives vs. Cyclicals
Investment Strategie
Bewertungen nicht euphorisch ….
Source: Bloomberg, Data stream, IBES and AXA IM Research
21
Avg. = 15.7x
14x
+1 sd
-1 sd
5
10
15
20
25
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
2017
MSCI AC World: Forward price to earnings
#4Volatilität durch “Event-Risiken”
#2Zentralbankenweltweitnormalisieren ihreGeldpolitik
Übergewicht Aktien, insbesondere USA
UntergewichtStaatsanleihen, “short duration”
Long Volatilität, “tail risk hedges”
Übergewichtinflations-geschützteAnleihen
Untergewicht IG Unternehmens-anleihen
Source: AXA IM
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Unsere Kernüberzeugungen und -botschaften
#1Wachstum über Trend, auch wenn nichtsynchronisiert treibtUnternehmensgewinneweltweit
#3Inflation steigt in FolgeangespannterArbeitsmärkte
Investment Strategie
Source: AXA IM – As of October 2018
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Key asset classes Developed Govies
Equities Euro area Euro core
Bonds UK Euro periph
Commodities Switzerland UK
Cash US US ▲
Japan Inflation
US
Emerging & diversification Euro
Emerging Markets ▼ Credit
Euro IG
US IG
Euro HY
US HY
EM Debt
Short duration
Last change
EquitiesAsset Allocation Fixed Income
Legends Negative Neutral Positive ▼ Downgrade▲ Upgrade
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