20 мая 2011 Zero Hedge
Курс доллара является главным фундаментальным фактором для финансовых рынков. Потому интересно знать соображения относительно американской валюты наиболее активного и наиболее афиллированного с американскими монетарными властями финансового игрока - Goldman Sachs.
Прогнозы по доллару от Goldman Sachs неутешительны: доллар фундаментально слаб.
•We have changed our forecasts to project more Dollar weakness.
•Since the last revisions to our forecasts, the Dollar decline has roughly tracked the expected path.
•Large structural imbalances in the US are highlighted by weakness in the tradable goods sector.
•The outlook for monetary policy differentials and BBoP trends remains USD-negative.
•Dollar weakness is common during periods with slowing GLI momentum.
•We now see EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months, and $/JPY at 82, 82 and 86.
Since we moved to a more explicit Dollar weakening path last autumn, FX markets have broadly followed the expected trajectory. In many cases, the Dollar has now weakened well beyond our near-term forecasts and the driving forces of continued gradual depreciation are intact. We review the key arguments behind our view and focus specifically on Dollar performance in the context of the global business cycle and the latest BBoP trends. Our major FX forecasts are revised to reflect continued further USD weakness
1. мы меняем наши прогнозы, продполагая большую слабость доллара 2. снижение доллара достаточно хорошо соответствовало нашему последнему прогнозу 3. крупные структурные дисбалансы выдвигаются на первый план слабостью в секторе торгуемых товаров 4. прогноз дифференциалов процентных ставок и баланса платежей остаются негативными для доллара 5. в моменты замедления глобальной промышленной активности доллар как правило слаб
6. Мы видим eurousd на 1,45, 1,50, 1,55, и usdjpy на 82, 82, 86 через 3,6, 12 месяцев соответственно.
5 фундаментальных факторов, которые имеют существенное значение для слабости доллара
•The structural current account deficit causes constant external funding pressures. For the Dollar to stabilise or even to rally, investors need to be convinced of the case for additional long-term investments in the US.
•With unemployment still high, fiscal consolidation looming and continued weakness in the real estate sector, the growth outlook remains less compelling in the US than in many other regions or countries. This makes it even more difficult to fund the current account deficit with investment inflows.
•The cyclical factors discussed in the previous point suggest this it is also highly likely that Fed policy will remain more accommodative than in most other countries. Interest rate differentials will likely remain USD-negative.
•The case for Dollar depreciation will strengthen as fiscal policy becomes increasingly tight in the US. The likelihood of early monetary policy tightening would also decline with tighter fiscal policy, as highlighted by our US economists.
•Structural and EM-related upward pressures on crude prices add to the imbalances. All else equal, real disposable income in the US would decline and, hence, so would domestic demand, adding to cyclical headwinds. Moreover, the rising fuel bill would increase the nominal trade gap and therefore the external funding needs.
Ни один из вышеуказанных пяти факторов не дает намеков на возможное изменение в пользу доллара.
Дефицит платежного баланса вызывает постоянное давление внешнего фондирования. Для того, чтобы доллара стабилизировался или совершил ралли, необходимо, чтобы инвесторы были убеждены в целесообразности долгосрочного инвестирования в США.
Главная причина ослабления доллара – значительное падение производственного сектора и занятости в нем за последние 10 лет. Это стало результатом действия двух сил:
•First, the competition from interest rate sensitive domestic sectors during the credit boom in the US, in particular real estate related sectors.
•Second, aggressive offshoring and the relocation of factories to the rest of the world, in particular Asia, has led to the disappearance of whole manufacturing industries in the US
1. Конкуренция со стороны сектора недвижимости 2. агрессивное размещение производств за рубежом.
Объяснение, почему это происходило:
There have recently been some signs of strength in the manufacturing sector, in particular strong ISM surveys and some persistent hiring in the manufacturing sector. But the rate of job growth in this sector remains very low compared with the losses over the last 10 years. From 2001 to the trough of the credit crisis, US employment in the manufacturing sector has fallen by about 5mn to 11mn, at a rate of about 52,000 per month on average. Since then, we have seen renewed hiring of about 13,000 per month on average. In other words, job growth in the US manufacturing sector currently runs at only 25% of the pace of job destruction seen over the last decade.
This weakness in the manufacturing sector is also still clearly reflected in the external balance. The real trade deficit currently runs at about $50bn per month (in 2005 Dollars). Broken down by sectors, auto related and consumer goods sectors account for about $40bn, again highlighting the weakness in tradable goods.
In terms of outlook, our US economists expect a gradual further widening of the real US trade deficit in terms of GDP, which will likely keep the downside pressures for the Dollar firmly in place.
Lastly, it is also important not to mix level and change effects. The Dollar downside pressures will likely subside only after the external deficits have narrowed substantially. In practical terms, this means a substantial amount of manufacturing capacity has to be shifted back to the US, and this is a very slow process that is typically measured in years rather than quarters.
We are confident this adjustment will ultimately happen, but in the meantime it may be necessary for the Dollar to drift lower until relocation to the US becomes a very clear case. The undervaluation of about 12% relative to our trade-weighted GSDEER model may therefore become more pronounced in the foreseeable future
Прогнозы GS по доллару и йене следующие:
Taken together, the points above suggest there is still considerable downside potential in the USD. We therefore are revising our forecasts to reflect this ongoing trend. In particular, we are now projecting EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months. We now see $/JPY at 82, 82 and 86, which, compared with our previous forecasts, also reflects more broad USD weakness—albeit within the recent range.
Our views, as outlined across our macro and market research, remain constructive on Europe. Markets have long expected some form of liability management for Greece, and so a lot of bad news is already priced in. That said, reform progress in systemically important Spain continues at a steady pace. With contagion effects from the Greek debt debate limited, we think the recent correction likely represents an opportunity to position for Dollar weakness versus the Euro.
Риском для медвежьего прогноза являются следующие факторы:
•First, a much faster structural rebalancing of the US economy than we currently expect would fundamentally change the picture, although the hurdle seems very high for this to happen in the near term.
•Second, a period of broad-based asset weakness would likely still translate into Dollar strength given the prevailing correlations.
•Finally, there are still concerns about the European sovereign situation. Although not directly a factor for the US economy, a substantial deterioration of the sovereign debt situation in Europe would support the Dollar, mainly because it would weigh on the Euro.
1. Более быстрая реорганизация экономики США, 2. период общей слабости активов в силу существующей корреляции усилит доллар 3. ухудшение ситуации с суверенным долгом в Европе поддержит доллар ввиду его высокого веса в евро.
Наиболее интересная часть касается портфельного инвестирования в US
As we stated above, one of the core reasons behind our Dollar view rests on a Fed that is more dovish than other central banks. Our official forecast for the first Fed hike is not until 2013, which is significantly below what the market is currently pricing. The second important factor behind our Dollar views is the growing current account deficit and the possible deterioration in funding inflows. Foreign flows into US assets other than US Treasuries have remained very weak, possibly affected by the negative returns following the ‘tech bubble’ until 2000 and the subsequent housing bubble in 2004/07.
Фед наиболее мягко настроен среди всех ЦБ. Официальный прогноз GS повышения ставок со стороны Феда – не раньше 2013 года.
During the pre-crisis period, for which we use 1H2007 as an example, monthly net inflows into US Treasuries averaged $19bn, inflows into agencies were just shy of $30bn, into corporate bonds they were an impressive $48bn, and into US equities they amounted to $24bn, making a total around $117bn on average per month. That picture has shifted dramatically. On average in 2010, net foreign flows into Treasuries rose to just shy of $60bn per month, while net foreign flows into US agency debt were on average only $9bn per month. Net foreign flows into US corporate debt were down to -$1.1bn on average in 2010, i.e., an outflow, while flows into US equities were just $9bn. Net foreign inflows across assets had therefore shrunk to $76bn on average per month in 2010, from $117bn in 1H2007, and the composition of inflows has shifted dramatically away from agencies, corporate debt and equities, towards US Treasuries. Looking at the most recently released data for March 2011, this shift remains firmly in place, with foreigners continuing to shy away from US assets other than Treasuries. Moreover, US investors have recently accelerated purchases of foreign assets again, with the latest March number hinting at a sizable outflow of more than $30bn from that source. Net portfolio inflows therefore remain very weak in general.
There are two additional issues worth mentioning. First, given the low interest rate environment, we think that hedge ratios for foreign inflows into US Treasuries are now relatively high. This means that these inflows are not as Dollar-positive as a similar inflow into US equities. Second, foreign official buying (largely by central banks in emerging markets) constitutes, on our estimates, the bulk of net foreign purchases of US Treasuries. The official breakout by the TIC data here suggests that—of the $60bn in foreign net purchases of Treasuries per month in 2010—about $44bn reflect foreign official buying. This number is likely a lower bound estimate, since foreign central banks may also be purchasing US Treasuries through intermediaries. We highlight the importance of official buying because these purchases are in some sense ‘passive’, i.e., they reflect the decision by some emerging markets to peg their currencies to the Dollar. As a result, they mechanically have to buy US Treasuries to neutralise appreciation pressure on their currencies. These inflows to the US are therefore not driven necessarily by the same motives as foreign flows into US equities (such as growth expectations and/or the profit motive). For both of these reasons, we see the shift to Treasury purchases by foreigners as a development highlighting the difficulty in funding the US trade deficit, and in line with our view for further Dollar weakness.
Официальные покупки (главным образом со стороны ЦБ развивающихся стран) составляют львиную долю иностранных приобретений UST и составляют примерно 60%.
Аналитики GS подчеркивают важность официальных покупок UST: они отражают желание EM прикрепить свою валюту к доллару. Как результат, им приходится автоматически покупать доллары, чтобы нейтрализовать повышательное давление на собственные валюты. Эти притоки капитала не выводятся потом по тем же причинам, что и капитал на рынке акций. Рост доли иностранного государственного капитала подчеркивает сложность в фондировании торгового дефицита США и отражает тенденцию усиления слабости доллара.
Взгляд Gоldman Sachs на US Treasuries
Наши цели для S&P500 1375 пунктов на конец июня и 1500 пунктов на конец года, хотя мы предполагаем, что путь будет более окольным, чем до настоящего времени. Прогнозы для 10-летних UST 3,5% и 3,75% соответственно на конец июня и конец декабря.
Более подробно на английском языке
We retain a bearish strategic bias on market direction, consistent with our expectation of a rebound to above-trend GDP growth in H2:11 and a further increase in core inflation. Our forecasts for USTs are 3.50% and 3.75% for 10-yr USTs by end-June and end-December (spot: 3.13%). The corresponding numbers for German Bunds are 3.30% and 3.50% (spot: 3.1%), and 1.3% and 1.6% for JGBs (spot: 1.1%). These forecasts are higher than the forwards particularly in Euroland and Japan.
•Yields have mirrored the relative decline of cyclical stocks in place since March. Over this period, the relationship between our Wavefront US Growth equity basket (which pits cyclicals vs. defensives in the S&P500) and the 2-10-yr slope of the US curve has been relatively tight. If recent patterns continue to hold, the yield curve could flatten by another 20bp to catch-up to where cyclicals currently trade on a relative basis. This would put 5-yr UST yields in the ballpark of 1.50% and the 10-yr in a 2.8-3.0% range. As discussed in yesterday’s Daily, however, we consider the underperformance of cyclical sectors relative to the broader index as reflecting a marked slowing in equity market growth expectations, perhaps somewhat beyond what the data currently indicate. Our price targets for the S&P500 are 1375 by end June and 1500 at year-end although we are mindful that the route there could be more circuitous than hitherto. Consistently, we would treat a further decline in intermediate to longer-dated yields as an opportunity to recommend short positions again.
•As a cross check, our Bond Sudoku model — which links 10-yr government bond yields to 1-yr ahead expectations on GDP growth, CPI inflation and short rates in the main advanced economies — indicates that 10-yr Treasuries should currently trade at 3.3% and 10-yr Bunds at 3.15%. A breach of the yield levels alluded to earlier (i.e., 2.8% on TY10) would represent a more than 1 standard deviation departure from our measure of ‘fair value’. According to our analytics, the current term structure of rates in the major economies is stimulative. In the US, it appears consistent with negative nominal overnight rates.
•Admittedly, growth forecasts have been sequentially revised downwards from upbeat levels at the start of the year, particularly in the US. This has been among the main drivers behind the underperformance of cyclicals and steep decline Fed hike expectations over 2013-14. But at the same time, forecasts of core inflation are increasing. In the context of our modeling work for bond yields, recent shifts in these two macro factors (lower growth/higher inflation) broadly offset each other. Feeding the model with our baseline macro projections for this year and next, we find that 10-yr US Treasury and Germany Bund yields should end 2011 at around 3.5%, or above. This is at least 30bp higher than the current year-end forward rate.
GS осуществляет фундаментальную оценку доходностей UST на основе облигационной модели Судоку (Bond Sudoku model), которая связывает 10-летние UST c ожидаемым через год ростом ВВП, CPI, и краткосрочными ставками в основных мировых экономиках.
В настоящий момент такая оценка дает значения: для 10-летних UST 3,3% и 10-летних германских бондов 3,15%.
В случае снижения 5-year и 10-year UST ниже 1,5% и 2,8-3% соответственно, GS рекомендует открывать по ним которкие позиции.
Предыдущие прогнозы Goldman Sachs на блоге:
17 мая Голдман все еще смотрит конструктивно на евро и, следовательно, на рискованные активы
15 апреля Goldman Sachs понижает прогноз по индексу S&P500 на 2011 год
Последние полторы недели крупнейший в мире финансовый игрок (после Федрезерва США) Goldman Sachs занимается тем, что даунгрейдит различные активы. Вслед за нефтью и металлами теперь подошла очередь и фондовых рынков.
Команда аналитиков под руководством Давида Костина понизила прогноз на индекс S&P500 на 2011 год с 1500 пунктов до 1300 и считает вполне возможным возвращение индекса к 1100 пунктам.
Вот их объяснение:
Соотношение риск/вознаграждение стало более неоднородным для акций США, чем это было в декабре 2010 года.
1. наша команда по экономике США видит риск снижения прогнозов на 2011 год.
2. риск более высоких процентных ставок вырос вместе с ростом инфляционных ожиданий
3. увеличилась вероятность краткосрочной волатильности цен на нефть
Эти риски имеют значение для доходов, коэффициентов рентабельности и распределения секторов экономики
12 апреля Goldman Sachs закрывает длинные позиции по ряду сырьевых товаров
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Прогнозы по доллару от Goldman Sachs неутешительны: доллар фундаментально слаб.
•We have changed our forecasts to project more Dollar weakness.
•Since the last revisions to our forecasts, the Dollar decline has roughly tracked the expected path.
•Large structural imbalances in the US are highlighted by weakness in the tradable goods sector.
•The outlook for monetary policy differentials and BBoP trends remains USD-negative.
•Dollar weakness is common during periods with slowing GLI momentum.
•We now see EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months, and $/JPY at 82, 82 and 86.
Since we moved to a more explicit Dollar weakening path last autumn, FX markets have broadly followed the expected trajectory. In many cases, the Dollar has now weakened well beyond our near-term forecasts and the driving forces of continued gradual depreciation are intact. We review the key arguments behind our view and focus specifically on Dollar performance in the context of the global business cycle and the latest BBoP trends. Our major FX forecasts are revised to reflect continued further USD weakness
1. мы меняем наши прогнозы, продполагая большую слабость доллара 2. снижение доллара достаточно хорошо соответствовало нашему последнему прогнозу 3. крупные структурные дисбалансы выдвигаются на первый план слабостью в секторе торгуемых товаров 4. прогноз дифференциалов процентных ставок и баланса платежей остаются негативными для доллара 5. в моменты замедления глобальной промышленной активности доллар как правило слаб
6. Мы видим eurousd на 1,45, 1,50, 1,55, и usdjpy на 82, 82, 86 через 3,6, 12 месяцев соответственно.
5 фундаментальных факторов, которые имеют существенное значение для слабости доллара
•The structural current account deficit causes constant external funding pressures. For the Dollar to stabilise or even to rally, investors need to be convinced of the case for additional long-term investments in the US.
•With unemployment still high, fiscal consolidation looming and continued weakness in the real estate sector, the growth outlook remains less compelling in the US than in many other regions or countries. This makes it even more difficult to fund the current account deficit with investment inflows.
•The cyclical factors discussed in the previous point suggest this it is also highly likely that Fed policy will remain more accommodative than in most other countries. Interest rate differentials will likely remain USD-negative.
•The case for Dollar depreciation will strengthen as fiscal policy becomes increasingly tight in the US. The likelihood of early monetary policy tightening would also decline with tighter fiscal policy, as highlighted by our US economists.
•Structural and EM-related upward pressures on crude prices add to the imbalances. All else equal, real disposable income in the US would decline and, hence, so would domestic demand, adding to cyclical headwinds. Moreover, the rising fuel bill would increase the nominal trade gap and therefore the external funding needs.
Ни один из вышеуказанных пяти факторов не дает намеков на возможное изменение в пользу доллара.
Дефицит платежного баланса вызывает постоянное давление внешнего фондирования. Для того, чтобы доллара стабилизировался или совершил ралли, необходимо, чтобы инвесторы были убеждены в целесообразности долгосрочного инвестирования в США.
Главная причина ослабления доллара – значительное падение производственного сектора и занятости в нем за последние 10 лет. Это стало результатом действия двух сил:
•First, the competition from interest rate sensitive domestic sectors during the credit boom in the US, in particular real estate related sectors.
•Second, aggressive offshoring and the relocation of factories to the rest of the world, in particular Asia, has led to the disappearance of whole manufacturing industries in the US
1. Конкуренция со стороны сектора недвижимости 2. агрессивное размещение производств за рубежом.
Объяснение, почему это происходило:
There have recently been some signs of strength in the manufacturing sector, in particular strong ISM surveys and some persistent hiring in the manufacturing sector. But the rate of job growth in this sector remains very low compared with the losses over the last 10 years. From 2001 to the trough of the credit crisis, US employment in the manufacturing sector has fallen by about 5mn to 11mn, at a rate of about 52,000 per month on average. Since then, we have seen renewed hiring of about 13,000 per month on average. In other words, job growth in the US manufacturing sector currently runs at only 25% of the pace of job destruction seen over the last decade.
This weakness in the manufacturing sector is also still clearly reflected in the external balance. The real trade deficit currently runs at about $50bn per month (in 2005 Dollars). Broken down by sectors, auto related and consumer goods sectors account for about $40bn, again highlighting the weakness in tradable goods.
In terms of outlook, our US economists expect a gradual further widening of the real US trade deficit in terms of GDP, which will likely keep the downside pressures for the Dollar firmly in place.
Lastly, it is also important not to mix level and change effects. The Dollar downside pressures will likely subside only after the external deficits have narrowed substantially. In practical terms, this means a substantial amount of manufacturing capacity has to be shifted back to the US, and this is a very slow process that is typically measured in years rather than quarters.
We are confident this adjustment will ultimately happen, but in the meantime it may be necessary for the Dollar to drift lower until relocation to the US becomes a very clear case. The undervaluation of about 12% relative to our trade-weighted GSDEER model may therefore become more pronounced in the foreseeable future
Прогнозы GS по доллару и йене следующие:
Taken together, the points above suggest there is still considerable downside potential in the USD. We therefore are revising our forecasts to reflect this ongoing trend. In particular, we are now projecting EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months. We now see $/JPY at 82, 82 and 86, which, compared with our previous forecasts, also reflects more broad USD weakness—albeit within the recent range.
Our views, as outlined across our macro and market research, remain constructive on Europe. Markets have long expected some form of liability management for Greece, and so a lot of bad news is already priced in. That said, reform progress in systemically important Spain continues at a steady pace. With contagion effects from the Greek debt debate limited, we think the recent correction likely represents an opportunity to position for Dollar weakness versus the Euro.
Риском для медвежьего прогноза являются следующие факторы:
•First, a much faster structural rebalancing of the US economy than we currently expect would fundamentally change the picture, although the hurdle seems very high for this to happen in the near term.
•Second, a period of broad-based asset weakness would likely still translate into Dollar strength given the prevailing correlations.
•Finally, there are still concerns about the European sovereign situation. Although not directly a factor for the US economy, a substantial deterioration of the sovereign debt situation in Europe would support the Dollar, mainly because it would weigh on the Euro.
1. Более быстрая реорганизация экономики США, 2. период общей слабости активов в силу существующей корреляции усилит доллар 3. ухудшение ситуации с суверенным долгом в Европе поддержит доллар ввиду его высокого веса в евро.
Наиболее интересная часть касается портфельного инвестирования в US
As we stated above, one of the core reasons behind our Dollar view rests on a Fed that is more dovish than other central banks. Our official forecast for the first Fed hike is not until 2013, which is significantly below what the market is currently pricing. The second important factor behind our Dollar views is the growing current account deficit and the possible deterioration in funding inflows. Foreign flows into US assets other than US Treasuries have remained very weak, possibly affected by the negative returns following the ‘tech bubble’ until 2000 and the subsequent housing bubble in 2004/07.
Фед наиболее мягко настроен среди всех ЦБ. Официальный прогноз GS повышения ставок со стороны Феда – не раньше 2013 года.
During the pre-crisis period, for which we use 1H2007 as an example, monthly net inflows into US Treasuries averaged $19bn, inflows into agencies were just shy of $30bn, into corporate bonds they were an impressive $48bn, and into US equities they amounted to $24bn, making a total around $117bn on average per month. That picture has shifted dramatically. On average in 2010, net foreign flows into Treasuries rose to just shy of $60bn per month, while net foreign flows into US agency debt were on average only $9bn per month. Net foreign flows into US corporate debt were down to -$1.1bn on average in 2010, i.e., an outflow, while flows into US equities were just $9bn. Net foreign inflows across assets had therefore shrunk to $76bn on average per month in 2010, from $117bn in 1H2007, and the composition of inflows has shifted dramatically away from agencies, corporate debt and equities, towards US Treasuries. Looking at the most recently released data for March 2011, this shift remains firmly in place, with foreigners continuing to shy away from US assets other than Treasuries. Moreover, US investors have recently accelerated purchases of foreign assets again, with the latest March number hinting at a sizable outflow of more than $30bn from that source. Net portfolio inflows therefore remain very weak in general.
There are two additional issues worth mentioning. First, given the low interest rate environment, we think that hedge ratios for foreign inflows into US Treasuries are now relatively high. This means that these inflows are not as Dollar-positive as a similar inflow into US equities. Second, foreign official buying (largely by central banks in emerging markets) constitutes, on our estimates, the bulk of net foreign purchases of US Treasuries. The official breakout by the TIC data here suggests that—of the $60bn in foreign net purchases of Treasuries per month in 2010—about $44bn reflect foreign official buying. This number is likely a lower bound estimate, since foreign central banks may also be purchasing US Treasuries through intermediaries. We highlight the importance of official buying because these purchases are in some sense ‘passive’, i.e., they reflect the decision by some emerging markets to peg their currencies to the Dollar. As a result, they mechanically have to buy US Treasuries to neutralise appreciation pressure on their currencies. These inflows to the US are therefore not driven necessarily by the same motives as foreign flows into US equities (such as growth expectations and/or the profit motive). For both of these reasons, we see the shift to Treasury purchases by foreigners as a development highlighting the difficulty in funding the US trade deficit, and in line with our view for further Dollar weakness.
Официальные покупки (главным образом со стороны ЦБ развивающихся стран) составляют львиную долю иностранных приобретений UST и составляют примерно 60%.
Аналитики GS подчеркивают важность официальных покупок UST: они отражают желание EM прикрепить свою валюту к доллару. Как результат, им приходится автоматически покупать доллары, чтобы нейтрализовать повышательное давление на собственные валюты. Эти притоки капитала не выводятся потом по тем же причинам, что и капитал на рынке акций. Рост доли иностранного государственного капитала подчеркивает сложность в фондировании торгового дефицита США и отражает тенденцию усиления слабости доллара.
Взгляд Gоldman Sachs на US Treasuries
Наши цели для S&P500 1375 пунктов на конец июня и 1500 пунктов на конец года, хотя мы предполагаем, что путь будет более окольным, чем до настоящего времени. Прогнозы для 10-летних UST 3,5% и 3,75% соответственно на конец июня и конец декабря.
Более подробно на английском языке
We retain a bearish strategic bias on market direction, consistent with our expectation of a rebound to above-trend GDP growth in H2:11 and a further increase in core inflation. Our forecasts for USTs are 3.50% and 3.75% for 10-yr USTs by end-June and end-December (spot: 3.13%). The corresponding numbers for German Bunds are 3.30% and 3.50% (spot: 3.1%), and 1.3% and 1.6% for JGBs (spot: 1.1%). These forecasts are higher than the forwards particularly in Euroland and Japan.
•Yields have mirrored the relative decline of cyclical stocks in place since March. Over this period, the relationship between our Wavefront US Growth equity basket (which pits cyclicals vs. defensives in the S&P500) and the 2-10-yr slope of the US curve has been relatively tight. If recent patterns continue to hold, the yield curve could flatten by another 20bp to catch-up to where cyclicals currently trade on a relative basis. This would put 5-yr UST yields in the ballpark of 1.50% and the 10-yr in a 2.8-3.0% range. As discussed in yesterday’s Daily, however, we consider the underperformance of cyclical sectors relative to the broader index as reflecting a marked slowing in equity market growth expectations, perhaps somewhat beyond what the data currently indicate. Our price targets for the S&P500 are 1375 by end June and 1500 at year-end although we are mindful that the route there could be more circuitous than hitherto. Consistently, we would treat a further decline in intermediate to longer-dated yields as an opportunity to recommend short positions again.
•As a cross check, our Bond Sudoku model — which links 10-yr government bond yields to 1-yr ahead expectations on GDP growth, CPI inflation and short rates in the main advanced economies — indicates that 10-yr Treasuries should currently trade at 3.3% and 10-yr Bunds at 3.15%. A breach of the yield levels alluded to earlier (i.e., 2.8% on TY10) would represent a more than 1 standard deviation departure from our measure of ‘fair value’. According to our analytics, the current term structure of rates in the major economies is stimulative. In the US, it appears consistent with negative nominal overnight rates.
•Admittedly, growth forecasts have been sequentially revised downwards from upbeat levels at the start of the year, particularly in the US. This has been among the main drivers behind the underperformance of cyclicals and steep decline Fed hike expectations over 2013-14. But at the same time, forecasts of core inflation are increasing. In the context of our modeling work for bond yields, recent shifts in these two macro factors (lower growth/higher inflation) broadly offset each other. Feeding the model with our baseline macro projections for this year and next, we find that 10-yr US Treasury and Germany Bund yields should end 2011 at around 3.5%, or above. This is at least 30bp higher than the current year-end forward rate.
GS осуществляет фундаментальную оценку доходностей UST на основе облигационной модели Судоку (Bond Sudoku model), которая связывает 10-летние UST c ожидаемым через год ростом ВВП, CPI, и краткосрочными ставками в основных мировых экономиках.
В настоящий момент такая оценка дает значения: для 10-летних UST 3,3% и 10-летних германских бондов 3,15%.
В случае снижения 5-year и 10-year UST ниже 1,5% и 2,8-3% соответственно, GS рекомендует открывать по ним которкие позиции.
Предыдущие прогнозы Goldman Sachs на блоге:
17 мая Голдман все еще смотрит конструктивно на евро и, следовательно, на рискованные активы
15 апреля Goldman Sachs понижает прогноз по индексу S&P500 на 2011 год
Последние полторы недели крупнейший в мире финансовый игрок (после Федрезерва США) Goldman Sachs занимается тем, что даунгрейдит различные активы. Вслед за нефтью и металлами теперь подошла очередь и фондовых рынков.
Команда аналитиков под руководством Давида Костина понизила прогноз на индекс S&P500 на 2011 год с 1500 пунктов до 1300 и считает вполне возможным возвращение индекса к 1100 пунктам.
Вот их объяснение:
Соотношение риск/вознаграждение стало более неоднородным для акций США, чем это было в декабре 2010 года.
1. наша команда по экономике США видит риск снижения прогнозов на 2011 год.
2. риск более высоких процентных ставок вырос вместе с ростом инфляционных ожиданий
3. увеличилась вероятность краткосрочной волатильности цен на нефть
Эти риски имеют значение для доходов, коэффициентов рентабельности и распределения секторов экономики
12 апреля Goldman Sachs закрывает длинные позиции по ряду сырьевых товаров
http://www.zerohedge.com/ (C) Источник
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