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    摩根士丹利:2021全球宏观策略展望:对复苏保持信心(英文版)(63页).pdf

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    摩根士丹利:2021全球宏观策略展望:对复苏保持信心(英文版)(63页).pdf

    MM 2021 Global Strategy Outlook Keep Faith in the Recovery AV-shaped recovery, greater clarity on vaccines and continued policy support point to early-cycle dynamics and a supportive outlook for risk assets. Keep the faith, trust the recovery, and overweight equities and credit against government bonds and cash. Due to the nature of the fixed income market, the issuers or bonds of the issuers recommended or discussed in this report may not be continuously followed. Accordingly, investors must regard this report as providing stand-alone analysis and should not expect continuing analysis or additional reports relating to such issuers or bonds of the issuers. Matthew Hornbach, Guneet Dhingra, Tony Small, Koichi Sugisaki, David Adams, James Lord, Sheena Shah, Simon Waever, Jaiparan Khurana, Min Dai, Andres Jaime, Srikanth Sankaran, Vishwas Patkar, Max Blass, Kelvin Pang, Vishwanath Tirupattur, Jay Bacow, James Egan, Michael Zezas and Barbara Boyake are fixed income strategists and are not opining on equity securities. Their views are clearly delineated. Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research. Investors should consider Morgan Stanley Research as only a single factor in making their investment decision. For analyst certification and other important disclosures, refer to the Disclosure Section, located at the end of this report. November 15, 2020 06:15 PM GMT MM 2021 Global Strategy Outlook Keep Faith in the Recovery Its a recovery keep the faith: Rising COVID-19 cases are a risk, but keep the faith. We think this global recovery is sustainable, synchronous and supported by policy, following much of the normal post-recession playbook. Overweight equities and credit against cash and govern- ment bonds, and sell USD. Be patient in commodities; we think that index-level returns will be back-loaded. Global equities strong growth, strong returns: Across regions, we see +25-30% EPS growth and double-digit total returns through end-2021. We are O/W cyclicals and U/W defensives across regions, and expect US small-caps to outperform large-caps. We think that EM/APxJ equities will lag DM slightly, but upgrade India to O/W. We see the S top currencies include INR, IDR, RUB, ZAR and BRL. Corporate credit early-cycle crossroads: Across all regions, we favor HY over IG and posi- tion for compression themes across the ratings buckets, and favor leveraged loans over HY bonds. We forecast above-average excess returns across major cash indices. Securitized credit dont change the channel: With the Fed on hold until late 2023 and a continued V-shaped recovery, investors should follow the portfolio balance channel. We rec- ommend investors go down in quality and up in risk across the securitized space; we expect higher-yielding, lower-rated sectors to outperform less risky assets. We like long CMBX.11 BBB- outright. Commodities macro versus fundamentals: Stronger growth, higher inflation and a weaker dollar are offset by bottom-up fundamentals that remain soft in most markets. Supply/demand dynamics are supportive in copper and natural gas, and more negative in oil and iron ore. 2021 may be a turning point for gold, and we revise our price forecast lower. For individual investors, our market outlook should be seen in the con- text of a long investment horizon that is underpinned by a compre- hensive financial plan. Your clients financial plan should reflect the goals they are looking to achieve over time and a disciplined approach to asset allocation, saving and withdrawals. MM Contributors MORGAN STANLEY *Global Equity ERP is a market cap-weighted average of our US, Europe, Japan and EM long-term expected risk premium forecasts. CLO AAA is a new issue series. The lesson from 2010, which we think also applies to 2021, is that the cycle usually wins out. We are strong believers that markets care more about rate of change than level and, following a recession, these cyclical tailwinds are powerful. We forecast 6.4%Y global real GDP growth next year, 25-30% earnings growth across major mar- kets and significant declines in corporate leverage. Yes, this is partly because these are coming off weak levels, but we think that the effect will be powerful all the same. Key investment ideas 2020 witnessed once-in-a-century swings in the economy, policy and markets. 2021 will bring more normality. Trust the recovery, and the post-recession playbook. O/W global equities and credit, funded by an U/W in government bonds and cash. Commodities lag other risk assets, as mixed fundamentals drive dispersion. USD to weaken, volatility to fall. Andrew Sheets Andrew.S +44 20 7677-2905 Morgan Stanley Note: We show real GDP and headline inflation here. Our cycle model paints a similar picture. Data that are below-average but improving tend to support equities and credit doing somewhat better than their valuations would imply. Our economists call for higher inflation gives a similar answer; inflation that is below trend, but rising, tends to support a compression of risk premium. Exhibit 5: Equities and credit do the best when data are below-average and improving (repair phase) DownturnRepair*RecoveryExpansion EQUITIES S Note: Based on our US cycle indicator. Data from 1985 where available. *Repair phase returns are based on forward returns in repair phase, post-trough. Post-recession, early-cycle environments also frequently benefit from favorable technicals. And again, we think that this applies today. Uncertainty over public health and the political environment has helped to keep money on the sidelines. Ongoing QE by global central banks continues to restrict net supply. The recent jump in sentiment is a little concerning, but ultimately we think that the other techncials win out. Exhibit 6: Technicals remain largely favorable 68% 89% 27% 94% 64% 92% 76% 100% 0% 0% 0% 0% 0% 0% 0% 100% 100% 100% 100% 100% 100% AAII Net Bulls (4WMA) S Note: For equities we show our long-term expected risk premium forecasts, and for credit we show loss-adjusted spread. 10Y vol is realized vol of monthly returns. The dotted line shows the annualized return for S Note: Commodity FX here is the average 15-year percentile of AUD, CAD and NOK versus USD. Debate #2: The virus and a K-shaped recovery A second concern with echoes of 2010 is whether the recovery is sus- tainable. Following the GFC, worries centered on high levels of con- sumer and corporate debt, weakness in the labor market and whether the financial crisis had shifted behavior permanently. Today, worries center on a highly unequal recovery, high levels of government debt, weakness in the labor market and whether the pandemic has shifted behavior permanently. Similar to 2010, we think that our economic forecasts see these chal- lenges as serious, but surmountable. Fiscal and monetary stimulus have been larger than what followed the GFC, and so far the recovery has been faster. A successful vaccine will be important, but Morgan Stanleys biotechnology team is optimistic, especially with recent announcements. Rising COVID-19 cases suggest some slowing in 4Q20 and 1Q21, and could drive tactical weakness. But through the end of next year, our key economic call is that the global recovery will be sustainable. Use near-term weakness to raise strategic exposures. Allocations and key trades Our strategic allocations are based on the combination of cycle-ad- justed risk premiums and Morgan Stanley strategists 12-month fore- casts. Both suggest above-average risk-adjusted returns for equities and credit over the next 12 months. Conversely, we see yields rising and underperforming the forwards, and expect US duration to underper- form first. We recommend that investors hold modest overweights in global equities and credit, and modest underweights in cash and gov- ernment bonds ( Exhibit 47 ). In currencies, we see modest USD weak- ness. We think that commodity prices rise, but our forecasts see this strength as back-loaded, and with high dispersion given an uneven supply/demand dynamic. For now, we prefer to allocate exposure towards equities and credit. Equities: Improving earnings growth should offset modest de-rating across markets, a usual handoff for equities following a recession. We prefer DM over EM and our sector and style preferences remain skewed to early-cycle, cyclical exposure. We like US small-caps over large-caps, India, and Australia over Taiwan. Government bonds: Given how much dovishness is in the price, we think that US and EU yields can rise modestly and underperform the forwards as the economy improves. Long US 5s30s steepeners and sell UST 30y versus Bunds and ACGBs 30y. FX: Early-cycle recovery and hope for a vaccine should see USD weaken modestly by 3% in 2021. EMFX and commodity currencies will likely see the biggest uplift. Long cyclical G10 FX (SEK, NZD. NOK) versus USD. Credit: We think that we remain in a supportive, early-cycle environ- ment for credit, and expect high yield outperformance as the economy heals. Sell protection in CDX HY versus CDX IG. We are also bullish on Asia credit. Commodities: A benign macro backdrop of recovery and a weaker dollar is offset by bearish micro fundamentals like high inventories and oversupply, leading to a mixed picture for commodities overall. The one market where bottom-up demand-supply dynamics are aligned with the cycle is copper; long copper versus gold, sell Brent 3M calls. Volatility: The gap between equity/credit and FX/rate volatility remains extreme, and we think that this can narrow as global eco- nomic conditions normalize. M MORGAN STANLEY RESEARCH9 M Exhibit 9: Our framework likes equities and credit US8.2%12.0%10.1%0.5+1% Europe11.9%13.3%13.0%0.7+2% Japan9.1%10.5%9.9%0.5+1% EM14.0%7.9%10.9%0.6+0% Treasuries1.2%-2.7%-0.9%-0.2-3% Bunds0.7%-3.1%-0.5%-0.1-1% JGBs0.0%0.5%0.4%0.2+0% EM Local*-0.6%-0.7%-0.1+0% US IG3.9%2.5%3.2%0.7 US HY9.1%5.9%7.5%1.1 EUR IG2.5%1.2%1.9%0.9 EUR HY9.7%4.8%7.3%1.2 EM $6.8%4.8%5.8%0.8+0% Securitised-1.1%1.1%0.7+1% Commodities- 0.6% 0.5% 0.0+0% Legend: 1 EquitiesBondsCredit +1% +2% (D) MS Asset Allocation vs Benchmark Top-Down Expected Returns Bottom-Up 12M Outlook* Avg (A, B - Cash)(C)/ Vol Cycle-Adj Returns MS Base Case Rtn Forecast Forecast Excess Rtn Framework Expected Rtn/ Vol (C) Top-Down Risk Premium Cycle Boost/Drag (A)(B) (LT Rtns): LT Z-score 0.5 (Cyc): Phase with best returns for the asset (LT Rtns): LT Z-score EM: We continue to prefer DM to EM and model similar upside for US, Europe and Japan over the next 12 months. We expect China outperformance versus EM ex China to moderate (we continue to prefer A-shares) and upgrade India to O/W. Recommendations: O/W cyclicals (e.g., materials and reopening plays) and financials in the US and Europe; cautious on expensive defensive/growth names; downgrade Asia tech hardware to E/W. Global equities: Strong growth, strong returns Equities+ US Europe Japan EM From late-cycle to early-cycle in 12 months.via a pandemic: Looking back at what we wrote in our 2020 global equity outlook last November highlights just how much the investment landscape has changed over the intervening 12 months. Last year our concerns about a late-cycle economic backdrop, elevated valuations and heightened investor optimism translated into materially below-con- sensus EPS expectations and subdued single-digit prospective returns. While we never predicted the subsequent pandemic, its con- sequences leave us in a very different place today. We believe that we have now transitioned to an early-cycle environment, which implies strong profit growth that we believe is not yet priced in to markets despite the sharp rally in the last two weeks ( Exhibit 14 ). 25-30% global EPS growth likely in 2021: Whenever economies move out of recession, there is always concern about the speed and strength of recovery, but the degree of uncertainty here is arguably higher than normal, given the combination of an unprecedented pan- demic against record monetary and fiscal stimulus. Although the ongoing increase in COVID-19 cases in Europe and the US may lead to some near-term weakness in economic activity, this is very unlikely to derail a strong profit rebound over the next 12 months, in our opinion. Instead, strong nominal GDP growth next year implies a size- able acceleration in revenue growth, which should be turbocharged by impressive operating leverage. As illustrated in Exhibit 15 , our top-down EPS growth forecasts for all regions are 25-30% for next year, with further double-digit growth expected in 2022 too. Together, these estimates imply MSCI ACWI EPS growth of 27% for 2021, which would represent the second-best out-turn in 30 years (after 2010). Exhibit 14: We forecast solid equity returns across all DM regions over the next 12 months BullBaseBearBullBaseBear 4,1753,9003,3753,7003,3502,900 18%10%-5%5%-5%-18% 1,8701,7301,4101,8101,5801,280 20%11%-10%16%1%-18% 2,0001,8701,3001,8301,5501,200 16%8%-25%6%-10%-30% 1,4001,2509001,3001,000790 18%6%-24%10%-15%-33% (% from current levels) New Target Price - December 2021Old Target Price - June 2021 Index Current Price S for the latter to catch up to the former would require c.35% outperformance. Alternatively, we can flip this logic around and say that asset markets are pricing in a sub-50 global PMI instead of the current 53.3. Exhibit 16: Unusual lag between the YoY change in MSCI World and that of global PMI. -5 -4 -3 -2 -1 0 1 2 3 4 -25 -20 -15 -10 -5 0 5 10 15 20 25 30 35 Jan-11Jul-12Jan-14Jul-15Jan-17Jul-18Jan-20 MSCI World YoY vs. Global Composite PMI YoY (%) MSCI WorldPMI (RHS) DEC-19 Source: MSCI, Markit, Morgan Stanley Research Exhibit 17: and the gap is even wider if we compare PMI trends to the relative return of stocks versus bonds -4 -3 -2 -1 0 1 2 3 4 -40 -30 -20 -10 0 10 20 30 40 50 Jan-11Jul-12Jan-14Jul-15Jan-17Jul-18Jan-20 Total Return of MSCI World vs US 10YPMI (RHS) DEC-19 Stocks vs. Bonds Relative Return vs. Global Comp PMI (%) Source: MSCI, Markit, Morgan Stanley Research Sustained policy support into the recovery. The unique cause of the 2020 recession has meant that policy-makers have been given unprecedented latitude to respond without meaningful pushback, whether that is record peacetime fiscal deficits or large-scale quantita- tive easing (G3 central banks have expanded their balance sheets by c.US$7 trillion year-to-date). While this has proved critical in sup- porting asset markets through this year, what may also prove unique is its persistence into the recovery, with our economists expecting fur- ther fiscal and monetary stimulus during 2021. In their recen

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