高盛-全球-债券市场-债券熊市开始了吗？-20180228-22页_1mb

Summary of "TOPof MIND: Has a Bond Bear Market Begun?"

Core Content

The document explores whether the US bond market is entering a bear market following a multi-decade bull run. It presents contrasting views from several financial experts and strategists at Goldman Sachs and PGIM Fixed Income, along with implications for other asset classes.

Main Views on Bond Market Status

• Paul Tudor Jones (Tudor Investment Corporation):

  • YES, a bond bear market has begun.
  • Factors include:
    • Supply over demand imbalance in Treasury markets.
    • Accelerating inflation due to fiscal stimulus and monetary easing.
    • Overvalued bonds and potential for sharp yield increases.
  • Predicts 10-year Treasury yields could reach 3.75% by year-end, with 30-year yields possibly reaching 4.5%.
  • Advises investors to avoid bonds, own commodities, hard assets, and cash instead.

• Francesco Garzarelli and Scott Rofey (Goldman Sachs):

  • Not yet, but 10-year yields are expected to rise moderately.
  • A true bear market is unlikely before a more synchronized shift away from easy monetary policy across major economies.
  • Garzarelli recommends steepening the yield curve due to mispricing of inflation overshoot risk.
  • Rofey sees value at the front end of the curve as short-term rate expectations align with the Fed's.

• Gregory Peters (PGIM Fixed Income):

  • Far from a bear market, 10-year yields will likely decline.
  • Secular disinflationary forces (e.g., demographics, debt burden) will cap inflation.
  • Long-duration assets remain in high demand, supporting bond prices.
  • Predicts 10-year yields could fall to 2.75–2.50% by year-end, with a flatter or inverted yield curve if the Fed continues hiking rates.

Key Implications for Other Asset Classes

• Equities:

  • Should remain resilient if rates rise gradually and growth stays strong.
  • Risk of large drawdowns in both equities and bonds exists if rates rise too fast or are driven by real inflation.
  • Correlation between equities and bonds can turn positive in such scenarios, creating a "double whammy" for portfolios.

• Emerging Markets (EM):

  • EM assets have been resilient due to strong global growth and improved fundamentals.
  • EM local bonds have withstood higher developed market (DM) yields.
  • However, political uncertainty and trade tensions (e.g., NAFTA talks) may weigh on EM performance.

• Multi-Asset Portfolios:

  • Rising bond yields could become a larger drag on portfolio returns.
  • Bonds may offer less protection against equity drawdowns.
  • A balanced 60/40 portfolio would benefit from a favorable growth/inflation mix, which has historically supported equities.

Key Trends and Data Points

US

• Core PCE forecast increased to 1.9% for end-2018.
• March rate hike odds raised to >95% due to firming inflation and hawkish FOMC minutes.
• Federal deficit is expected to reach 5.2% of GDP by 2019.
• Inflation expectations are well-anchored, but real rates are near record lows.
• 10-year real rate is at 0.64%, far below historical averages.
• Fiscal stimulus and monetary easing are setting the stage for accelerating inflation.

Europe

• UK GDP forecast raised to 1.7% yoy.
• Euro area GDP forecast increased to 2.6% yoy.
• Euro area business sentiment remains strong despite a weakening credit impulse.
• Low odds for reform in Italy following the March 4 election.

Japan

• Haruhiko Kuroda re-nominated as BOJ governor, with two reflationist deputies.
• Shunto wage negotiations may lead to a 2.3% yoy wage increase, but basic wages will rise only 0.5–0.6%.
• Higher oil prices are a significant risk to Japan's economy.
• Fiscal policy remains stable, with no major changes in views.

Emerging Markets

• Structural reforms and fiscal consolidation expected in South Africa under President Ramaphosa.
• China's services activity and exports are supporting slow credit growth and healthy growth.
• NAFTA talks and political uncertainty are affecting Mexico.
• Global trade outlook remains strong but volatile.

Risk of a Sharp Rate Increase

• GS economists warn that too rapid a rate rise could hit GDP growth.
• Even at 4.5% 10-year yields, a recession is unlikely, but some sectors (e.g., housing, small business) may experience sharp slowdowns.
• A gradual rise in yields is the base case, which should be manageable for both the economy and the markets.

Conclusion

• The bond market is at a crossroads, with diverging views on whether a bear market has begun.
• While some experts foresee a bear market due to inflationary pressures and overbought conditions, others believe yields will remain moderately higher but not in a bearish trend.
• Equities and EM assets are expected to withstand higher yields, provided the growth/inflation mix remains favorable.
• Multi-asset portfolios face increased risk if bonds become less effective hedges for equities.
• Central bank policy and fiscal stimulus are key drivers of the current market environment, with consequences for financial stability and asset prices.