高盛-俄罗斯-新兴市场-俄罗斯：显示出“价值”，但以前的低谷远远低于当前-20180411-27页_1mb

EM Strategy Views: Russia's Market Valuation and Performance

Core Content Overview

This report evaluates the current valuation and performance of Russian assets within the context of emerging markets (EM), comparing them to historical episodes, particularly the 2014 crisis. It highlights the current "value" signal in Russian assets, the risks of overpositioning, and the potential for a "bounce back" in certain asset classes.

Main Points

• Market Volatility and Valuation:
  In 2018, Russian assets have experienced significant volatility, but they currently screen as "inexpensive" relative to fair value models. However, the premia seen in 2014 were much more pronounced.

  • FX (RUB): Inexpensive by 3% compared to fair value, but still 20% richer than the 2014 trough.
  • Equities: Trade at 11% inexpensive level, but are still 50% richer than the 2014 trough.
  • Local Bonds: Remain inexpensive on a real rate basis, with a current real rate differential of 1.8% vs. EM peers, which is higher than the 1.3% post-Crimea average.
  • Credit (CDS): 5-year CDS is now 33bp inexpensive, but significantly tighter than the 250bp premium in 2014.

• Historical Comparison:
  The 2014 crisis was a Russia-specific sell-off, whereas the 2015-16 period had more global implications. The current situation is less severe than 2014, but still marked by high uncertainty.

  • The equity market has historically weathered Russian volatility better due to its natural FX hedge.
  • Local bonds have historically posted the sharpest "bounce back" following market troughs, making them a potential candidate for recovery.
  • The 2014 sell-off was driven by a sharp drop in oil prices and political tensions, which have not repeated in the same intensity in 2018.

• Current Positioning and Investor Sentiment:
  EM-benchmarked investors are overweight Russian assets, particularly in equities and fixed income.

  • Equity funds are approximately 200 bp overweight.
  • USD bond funds are approximately 100 bp overweight.
  • Local bond funds are approximately 75 bp overweight.
  • This overpositioning could lead to increased volatility and uncertainty in the near term.

• FX Dynamics:
  The RUB has depreciated significantly, crossing into "inexpensive" territory relative to fair value models.

  • To match the 2014 premium, the RUB would need to depreciate an additional 20%.
  • The RUB has historically compensated for oil price declines, but this time, oil prices have remained stable, reducing the FX impact.

• Credit Risk and Inflation:
  Russian credit spreads have compressed to post-GFC levels, but they are still tighter than EM peers.

  • The current 5-year CDS is 33bp inexpensive, but not significantly undervalued compared to historical levels.
  • Inflation expectations have fallen, contributing to tighter credit spreads and lower yields.

• Macroeconomic Context:
  The current macroeconomic environment differs from 2014.

  • Global and EM growth has improved.
  • Inflationary pressures are lower, and the fiscal balance has strengthened.
  • Oil prices have increased since 2017, unlike the 2014 period when they fell sharply.

Key Information

• Equity Valuation:
  Russian equities trade at twice the P/E multiple compared to the 2014 trough, relative to EM peers.

  • Despite this, equities remain a natural hedge due to USD revenue exposure.

• Local Bonds:
  Local bonds are considered the best "bounce back" trade historically, and they continue to screen as inexpensive.

  • The real rate differential is currently 1.8% vs. EM peers, which is higher than the 1.3% post-Crimea average.

• Credit Spreads:
  Russian CDS have widened recently, but they remain tighter than EM peers.

  • The current 5-year CDS is 33bp inexpensive, but not significantly undervalued compared to the 2014 crisis.

• FX Volatility:
  The RUB has depreciated significantly, but the depth of the decline is not yet comparable to the 2014 episode.

  • The RUB is currently 3% inexpensive compared to fair value, but would need an additional 20% depreciation to match the 2014 premium.

• Investor Sentiment:
  EM-benchmarked investors are heavily positioned in Russian assets, which may lead to increased selling pressure in the near term.

  • Russia is the third most overweight EM asset, behind Brazil and India.

Summary Table of Asset Valuations

Conclusion

While Russian assets currently screen as "inexpensive" compared to fair value, the depth of the valuation is not yet comparable to the 2014 crisis. The market remains highly volatile, with significant overpositioning by EM investors. Local bonds appear to be the most attractive for a potential "bounce back" trade, but the overall outlook is uncertain due to ongoing political and economic risks. Investors should remain cautious and consider the potential for further depreciation in the RUB and the need for significant fundamental shifts to match the 2014 premia.