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1、ContentsI.ExecutiveSummary3TradeWar:What'sPriced,WhoPays,WheretoProtect?ACross-AssetView6II.Quantifyingworry:Towhatextenthasthetradewarinfluencedmarketprices7III.WhoHasAlreadyBornetheTradeWarPenalty:ACross-AssetView8Equities:Allquietonthewesternfront?Thinka
2、gain8Currencies:Unlikeequities,theUSDisasafeharbourhere11FixedIncome:Tradetensionshavedrivenanear45bprallyintheUScurve12IV.Whyisn'tthemarketmoreconcerned?12V.Whatcanbreakthemarket'snervouscalm?14VI.Howtohedgeportfoliosagainstanextendedtradewar16a)Aputspread
3、onTaiwanequityETF(EWTUSEquity)17b)Long6-monthUSDZARcallspreads17c)LongDAXAugustputs19d)iTraxxEURSubordinatedFinancialCDS20e)Buylong-enddurationvia2y30yswaptionsinUS22VII.Bottom-uphedges:Screeningforimpactedstocksand'left'&'righttail'hedges23USstocksfor"left
4、tail"protectiononfurtherescalation26USstocksfor"righttail"protectionforatraderesolution27Europeanstocksfor"lefttail"protectiononfurtherescalation28Europeanstocksfor"righttail"protectionforatraderesolution29EMstocksfor"lefttail"protectiononfurtherescalation3
5、0EMstocksfor"righttail"protectionforatraderesolution31Appendix32I.Trackingtraderiskpricedacrossthe'market'32II.EstimatingtheTradepenaltypaidbyindividualassets33WewouldliketothankSonamJagga,VamsiKrishna,EshaSegan,SagarikaAsrani,SreeramSarja,DakshGuptaandSarb
6、arthoMukherjee,ourresearchsupportserviceprofessionals,fortheirassistanceinpreparingthisresearchreport.Q-Series3June2019AB2I.ExecutiveSummaryUBSSyntheticTradeWarMonitor(Figure1)isaproxyfortheebbandflowoftradeconcerns.Ittellsusthat:a)tradeconcernshavedrivenon
7、lyupto30%ofthevariationinreturnsoverthelast18monthsandb)today,themarketisjustoverhalf-waybetweenpricingnotraderiskandpeaklevelsofworrylastyear,when25%tariffswerestillathreat.OuranalysisshowsthatUSequitiesandfixedincomehavebeenpenalisedmorebytradetensionstha
8、nthoseintherestoftheworldhave(Figure2).However,incurrencies,theUSDhasmarginallybenefitted,whiletheCNYand(lessso)EURhavebothbeenhurt(Figure3).BesidesChina,fewotherequityandFXmarketsinAPACcarryamaterialt
