State Street 2015 展望 prospect presentation
  • Basic introduction of State Street’s Proprietary metrics:
    • a. 3 piers of our research: Flows analysis, Portfolio solution, and PriceStat.
    • b. mechanism of how we formed our flow-based analysis and PriceStat.
    • c. Turbulence (volatility & correlation surprise) vs. Systemic Risk
  • Fed’s policy: tackle between hawks and doves- inflation factor (esp. wage growth) will be crucial risks as follows: 內部鷹派佔上風, 主要著眼在就業數字好轉, 同時冀望2015 工資能有效成長, 進而帶動通膨, 但美元多頭風險如下:
    • a. Consensus risk: what if the wage growth did not go as expected and that will frustrate hawks 目前市場多數成員都已滿手美元, 如果2015工資未能呈現成長, 鷹派將受挫, 升息時點可能生變
    • b. The amount of hike: could it be 25Bps or 10bps? Market response will be totally different then. 升息幅度, 如果只小升10BP 那麼市場反應將會有所修正
  • BOJ conundrum: Eying the fatigue inflation, Dwyfor shared that BoJ’s attitude was solid and aimed for inflation target of 2%, no matter internal or external criticism. He expected BoJ could have bolder action in the near future. The risks lie in consensus and Abe’s stability in Japan government. Though Abe got the upper wind in coming reelection. But the QQE’s sustainability relies on one man’s political stability. Once Abe got dethroned, Abencomics could fail inevitably. The systemic risk is higher in Japan. 日本通膨仍然不振, BOJ態度明確在通膨2%目標, 故仍在將來會有大動作. 風險在市場consensus及安倍政權的穩固性, 若未來又發生民調過低或再改選, 安倍經濟學可能遭受打擊, 屆時日幣可能回升
  • ECB Dilemma: EZ deflation prevailed and further moves from ECB was highly expected. ECB Draghi got 3 obstacles to overcome: 1.legality- uncertainties about constitutional approval and support 2. Even it’s passed, sovereign QE may only press down the sovereign bond yield, however, EU corporates still tend to borrow from banking sector, rather than capital markets. That could not increase the liquidity in the market. 3. The linkage between QE and inflation was dubious. Market reacted fully to QE expectation but didn’t see inflation pickup. 歐元區很令人尷尬, 因為目前已進入通縮, ECB德拉吉難有作為, 現在主張主權債QE, 仍有些困難在德國憲法須通過其適法性, 即使通過後, 主權債利率將下滑, 但歐元區企業多向銀行舉債, 而非在資本市場發債, 所以效果有限, 日前EUR走勢已相當幅度反應主權債QE, 同時QE未必能在歐元區提高通膨
  • Commodity currencies: AUD remained weak as China demand deteriorated and AU terms of trade heading lower in Dec. Positioning risk remained high and RBA could consider to apply rate cut. However, the downside will be supported by its triple A rating; CBs’ reserve diversification and yield-chasers… 澳幣仍呈弱勢, 著眼在中國需求衰退與貿易條件變差有關, 同時real money 持有澳幣部位已高, 仍有空間平倉, 未來也有降息可能. 但下方將有買盤支撐, 因為澳洲為少數AAA, 各國央行仍會加重部位, 另外利率仍然較高, 具吸引力
  • China: PBOC has started the rate cut cycle as the tight monetary condition has peaked. (The real interest rate hit the 10 year high) CNY/CNH should depreciate further to reflect the weakened competiveness. However, it could move slowly as PBOC tried to maintain its stability for global reserve currency accommodation. 人行已開啟降息, 仍將持續, 主要是因為目前貨幣緊縮已近10年之最(實質利率已達十年新高) 加上競爭力下滑, CNY/CNH將進一步走跌, 但跌勢可能較為緩和, 因為人行在為人民幣未來做為外匯儲備貨幣做準備, 波動不會過高
  • EM Asia: INR and IDR are preferred for its high carry and economic reforms (IDR and IDR), lower positioning (IDR) and enhanced Central Banks’ credibility(INR). 以印度與印尼,最為看好, 因為利差交易的吸引力, 同時二國都在金融改革, 印度CB在選舉後增加可信度
  • Oil Price: Political issue (OPAC vs Iraq and EZ/US vs Russia.) and over-supply problem may continue haunting oil price. Russia may target Asia to seek more export chances. 油價由於政治與供需因素, 仍會持續低迷