20231008-华创证券-_宏观月报_9月全球资产十大主线_全球股票配置创过去二十年来新低_20页_3mb

Overview of the 2023 Global Fund Manager Survey highlights that global stock allocation reached a 20-year low in September 2023, with 52% of investors reducing stock exposure while 62% increased cash holdings, indicating heightened economic recession fears and market uncertainty. Cash allocation hit record levels, reflecting a shift towards liquidity over equities.

Key global asset trends for September 2023:

• USA: Long-duration U.S. Treasury ETFs experienced their largest ever decline due to Fed rate hikes expectations, with the iShares 20+ Year Treasury Bond ETF down 48% from 2020 highs. High volatility in U.S. Treasuries influenced S&P 500 performance, with bond volatility dominating index movements in recent years.
• Currencies: ISM non-manufacturing and manufacturing PMI divergence suggests continued dollar strength, potentially due to services outpacing manufacturing growth. Chinese yuan and gold price differences reached record levels, up to ~$120/oz, linked to currency devaluation risks and gold as a hedge.
• Commodities & Energy: WTI crude prices surged as oil speculators increased positions amid OPEC+ cuts and low U.S. strategic petroleum reserves. Copper-gold ratio indicates economic health, with copper prices linked to industrial demand.
• Equity Market Behavior: Nasdaq 100 put options rose, signaling bearish sentiment on tech stocks due to high interest rates. S&P 500 and U.S. truck tonnage showed divergence from 2022, hinting at economic misalignment. Cash is king, with individual investors favoring liquidity amid recession concerns.

Four perspectives on global assets:

• Fundamentals: Economic activity indicators, like the Zhoupei index, showed a decline, suggesting weaker economic momentum. Global recession expectations are rising, tied to inflation persistence.
• Expectations: High inflation remains the largest tail risk, forcing central banks to maintain hawkish policies, potentially leading to market volatility. U.S. and Chinese profit forecasts are weakening, reflecting economic headwinds.
• Valuations: U.S. equity risk premium (ERP) is near historic lows, indicating high risk appetite but elevated vulnerability. Global stock-bond yield spreads are compressing, signaling compressed valuations.
• Sentiment: Market confidence improved, with sentiment indexes rising and Treasury pressure easing, though U.S. options data still shows caution. Liquidity in A-shares declined, reflecting cautious investor stances.

Key risks: Unforeseen monetary policy shifts by the Fed, escalating geopolitical tensions like the Ukraine conflict, and potential credit market strains could exacerbate volatility in global assets.