美股-投资策略-跨资产手册（2018年11月）.docx

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1、November5,201807:00PMGMTNovember5,2018CROSS-ASSETSTRATEGYCross-AssetPlaybook–November2018TheMessageintheMadnessMORGANSTANLEYRESEARCHGlobalMorganStanley&Co.Internationalplc+AndrewSheetsStrategistandrew.sheets@morganstanley.comMacro:MoreAwarenessof2019’sChallengesCurrentCross-AssetSt

2、rategyAllocation+44(0)2076772905PhanikiranNaraparajuSlowinggrowth,tighterpolicyandrisinginflationlieahead.Ourindicescontinuetosuggestlate-cyclemarkets.RecentpriceactionMSAssetAllocationViewsO/Wvs.BenchmarkChangevs.LastMonthStrategistphanikiran.naraparaju@morganstanley.com+44(0)2

3、076775065suggestsgreaterawarenessofboth.Strategy:KeepingFourThingsinMind1)Sentiment,positioningandvaluationsallmovedmeaningfullyoverOctober.Thatdoesmatter.2)Wethinkanyrallyonthebackofthemwillbetacticalinnature,giventhatthemacrochallengesofthe‘trickyhandoff’haven’tgoneaway.3)Wethinkex

4、-USstockshaveadvantagesinany‘bounce’overtheUS,givenlessvaluationpressurefromhigherrates.4)Worsebonddiversificationwillbeanongoingstory;lookelsewherewithourCOVAframework.KeyTrades–AdjustingAfterMajorMovesWecloseabroad-basedbiastoownvolatility,turningneutral.Inequities,wecontinuetopref

5、ervalueovergrowthandEuropeoverEM(andotherregions).Wethinktherisk/rewardinUScreditremainspoorversusotherassets.WemoveourlongTreasuryvs.gilts30ytothe10ymaturity,andswaptheCDXHYputforaputspread.WeaddsellingS&P5003mstranglesandlongUSDJPY6mstraddles.WeremoveshortAUDCNHandreceiveMexico5y.

6、Equities0%US0%Europe+2%Japan0%Govt.Bonds+1%Treasuries+2%Bunds-1%JGBs-1%EMLocal(FX-hedged)+1%EM-2%Credit-4%USCorp.-3%EUCorp.-2%EMSov.+1%Securitised0%Other+3%Cash+3%Source:MorganStanleyResearchSerenaTangStrategistserena.tang@morganstanley.com+44(0)2076771149WantingLowStrategistwanting

7、.low@morganstanley.com+44(0)2074256841NaomiPooleStrategistnaomi.poole@morganstanley.com+44(0)2074259714Signuphere:Ifyoudidn’treceivethisdirectly,butwouldliketo,pleaseclickhere.Duetothenatureofthefixedincomemarket,theissuersorbondsoftheissuersrecommendedordiscussedinthisreportmaynotbe

8、continuously