全球-投资策略-多资产策略：债券股票不对称

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1、16July2018MULTI-ASSETGLOBALMultiAssetStrategyTHISCONTENTMAYNOTBEDISTRIBUTEDTOTHEPEOPLE'SREPUBLICOFCHINA(THE"PRC")(EXCLUDINGSPECIALADMINISTRATIVEREGIONSOFHONGKONGANDMACAO)abcBond-equitycorrelationasymmetry4Theglobaleconomyisfacingsignificantheadwindsbutwethinkalotisalre

2、adypricedin4WefavourUSDassetsandremainconstructiveonUSequities4Weanalysetheasymmetryofbond-equitycorrelationandconcludethatvolatilityproxiesareefficientdiversifiersUSEurozonecoreEurozonenon-coreUKJapanHSBCASSETCLASSCONVICTIONSCurrentconvictionsGovernmentbonds---N+++Gl

3、obaldirectionTheglobaleconomyisfacingnumerousheadwinds.TightermonetarypolicyintheUS,astrongerUSD,risingtradetensionsandahigheroilpriceunderminegrowthprospectsandincreasemarketvolatility.It’stemptingtobebearishwithsuchachallengingbackdrop.Investorsentimenthasturnednegati

4、ve,butwethinkthatalotoftheserisksarepricedin.Andmarketshavebeenreactinginanorderlyfashiontorecentdevelopments.Onaglobalperspective,weremainpositiveonUSequitiesasearningsexpectationsarerisingbutstaynegativeonEuropewhichisvulnerabletoglobaltradewarsandrisingpopulism.Werem

5、aincautiousonCreditacrossregions.InEmergingmarkets,weareconstructiveonEquitiesandselectiveonLocalCurrencyDebt.Howeverweexpecthighervolatilityandepisodesofrisingcrossassetcorrelationswhichreduceriskadjustedreturnsanddiversificationopportunities.AsymmetriccorrelationBond-

6、equitycorrelationisunstable.As1Q2018shows,itcanmovefromnegativetopositiveveryquickly,anddiversificationdisappearswheninvestorsmostneedit.Inthisreport,welookatthemaindriversofbond-equitycorrelation.Wecomparebond-drivenandequity-drivendownturns,andshowanasymmetryinbond-eq

7、uitycorrelation.ThecorrelationbetweenUSbondsandequitiesisnegativeduringequitysell-offs(flighttosafety)butitispositiveduringbondsell-offs.Thisworsenstheriskprofileofabalancedbond-equityportfolio.Usingtherecentmarkethistoryandamean-varianceportfolioframework,wehighlightth

8、attraditionaldiversifierslikegold,energy,commoditiesorinflation-linkedbondsdon’thaveasignificantimpactwhereasa