Investment Committee
October 2015
© PKB PrivatBank
1
In a nutshell

Economic cycle: restrained growth with more uncertainties; supportive Centrali Banks

Equities: still attractive in relative terms, in spite of the recent volatility
 US: less compelling following the recent overperformance
 EZ: overperformance expected, fiscal support, opportunities in the periphery
 Japan: attractive valuation following the recent underperformance rel. to Msci World
 India: marginal diversification opportunity on risk adjusted basis and economic cycle
 EM: underperformance ahead, for good reasons, ex-India

Bonds:
 Govies: unattractive risk/return profile; further downside on the peripheral spreads
 High Yield: investment opportunity in EZ and, with higher risks, in the US
 Emerging Debt: carry as risk is correctly factored

Commodities: still unattractive

Forex:
 Usd and Gbp: room for a limited appreciation
 Yen: weak outlook
 EM currencies: possible short term rebounds, but no strategic opportunity
© PKB PrivatBank
2
Equities during the last month
A quite volatile month: fall in the wake of the September FOMC meeting, followed by a rapid recovery
• outperformance of the US relative to EZ, as the first rate hike was delayed,
• outperformance of the EM relative to the developed one, as the interest rate risk was postponed,
• Hang Seng rebound fueling an even stronger Chinese market rally ,
• higher than average Spain rebound, as secession risks in Catalonia receded,
• recovery of high dividend stocks as Govies yields became even less attractive.
Variaz. (%)
prezzo
Indici Azionari
S&P 500
Nasdaq C omposite
Eurostoxx 50
Stoxx Europe 600
FTSE MIB
C AC 40
DAX 30
IBEX 35
FTSE 100
Swiss Market
NIKKEI 225
HANG SENG
Shanghai C omposite
India Sensex 30
Russian Micex Index
Brazil Bovespa
Varsavia Stock Exc.
Msci Developed
Msci Emerging
Msci World High Dividend
Msci Us Reit
Fonte: Bloomberg
© PKB PrivatBank
16 ott/15
11set-16ott
Ytd 2015
2014
2027,7
4873,7
3264,9
363,1
22337,7
4703,1
10103,1
10239,4
6379,4
8721,0
18291,8
23067,4
3391,4
27214,6
1716,5
46754,7
51391,7
1675,8
864,7
1042,7
1100,3
+3,4
+1,1
+2,4
+2,1
+2,6
+3,4
-0,2
+5,1
+4,3
-0,6
+0,2
+7,3
+6,0
+6,3
-0,1
+0,8
-0,2
+3,0
+7,8
+5,4
+8,5
-1,5
+2,9
+3,8
+6,0
+17,5
+10,1
+3,0
-0,4
-2,8
-2,9
+4,8
-2,3
+4,8
-1,0
+22,9
-6,5
-0,0
-2,0
-9,6
-3,8
-1,6
+11,4
+13,4
+1,2
+4,4
+0,2
-0,5
+2,7
+3,7
-2,7
+9,5
+7,1
+1,3
+52,9
+29,9
-7,1
-2,9
+0,3
+2,9
-4,6
-0,6
+25,3
3
Stima PE
rolling12m
S&P 500
15,9
Nasdaq C omposite
19,0
Eurostoxx 50
13,5
Stoxx Europe 600
14,8
FTSE MIB
15,1
C AC 40
14,3
DAX 30
12,1
IBEX 35
13,9
FTSE 100
15,0
Swiss Market
16,3
NIKKEI 225
16,2
HANG SENG
10,9
Shanghai C omposite
13,1
India Sensex 30
15,1
Russian Micex Index
5,7
Brazil Bovespa
10,9
Varsavia Stock Exc.
12,4
Msci Developed
15,4
Msci Emerging
10,9
Msci World High Dividend15,4
Msci Us Reit
34,8
Stima dvd
2015
2,16%
1,22%
3,69%
3,48%
3,18%
3,51%
3,17%
3,84%
4,05%
3,32%
1,76%
3,44%
2,02%
1,61%
4,53%
4,62%
3,96%
2,61%
2,90%
3,99%
3,81%
% vs PE
medio 10
+7%
-8%
+15%
+15%
+22%
+13%
-2%
+16%
+25%
+12%
-22%
-16%
-16%
-8%
-31%
+2%
-4%
+7%
-5%
-9%
-20%
Bond markets in the last month
Variaz. (bp)
tasso
Bull flattening, positive month for
Govies.
The Fed hesitation reduced the
Treasury to Bund spread.
The
Euro
peripheral
spreads
contracted, amid search for yield,
Spain in particular following the
Catalonia regional election outcome.
Inflation linked issues were hit by
falling
inflation
and
growth
expectations, with the exception of the
Italian ones.
Notable widening of the High Yield
spreads, in the EZ even more marked
than the corresponding CDS rise.
© PKB PrivatBank
Tassi Benchmark
16 ott/15
Euribor 3 mesi
-0,05%
Treasury US 2-anni US$
0,61%
Bko 2-anni EUR
-0,27%
BTP 2-anni EUR
0,09%
Bonos 2-anni EUR
0,08%
Treasury US 10-anni US$
2,03%
Bund 10-anni EUR
0,55%
BTP 10-anni EUR
1,61%
Bonos 10-anni EUR
1,77%
Spread 10-anni BTP-Bund
1,06%
Spread 10-anni Bonos-Bund
1,23%
EuroMTS Eurozone Gov Broad
3,51%
Us Breakeven Inflation 5 Year
1,14%
Italy Breakeven IT infl. 04/23/20
0,17%
Italy Breakeven Eur inflat. 5 Year
0,81%
11set-16ott
-1
-9
-4
-3
-6
-16
-11
-23
-34
-12
-23
-3
-7
-10
+19
2014
-21
+28
-31
-72
-110
-86
-139
-224
-254
-85
-115
-9
-63
-49
-56
Variaz. (bp)
basis point
Corporate & Emergenti
Ytd 2015
-13
-5
-17
-45
-32
-14
+1
-28
+16
-29
+16
-19
-6
+25
+46
16 ott/15
11set-16ott
Ytd 2015
2014
Euro swap 5 anni
33
-4
-3
-90
OAS Euro Investment Grade (avg)
82
+7
+28
-18
EUR C ORPORATE IG
115
+3
+24
-108
OAS Euro High Yield (avg)
449
+40
+86
+100
482
+36
+82
+10
Usd swap 5 anni
136
-20
-40
-4
OAS Usd Investment Grade (avg)
168
+5
+50
+23
USD C ORPORATE IG
304
-15
+10
+19
638
+59
+106
+180
774
+39
+67
+177
US average treasury yield
203
-14
-6
-50
Embi Global vs All Treasury
435
+0
+31
+77
EMERGING DEBT
638
-14
+25
+28
Ytd 2015
-1
+0
-20
-16
+4
+0
-11
+17
-12
+16
+87
2014
+17
+13
+137
+48
+97
+50
+338
+63
+346
+66
+357
EUR C ORPORATE HY
OAS Usd High Yield (avg)
USD C ORPORATE HY
basis point
CDS 5YR
USA
Germania
Italia
Francia
Spagna
Irlanda
Emg Debt
C orp Inv Grade Europe
C orp High Yield Europe
C orp Inv Grade US
C orp High Yield US
Fonte: Bloomberg
16 ott/15
16
14
117
31
101
50
327
80
333
82
443
4
Variaz. (bp)
11set-16ott
+0
+0
+7
-1
+2
+1
-28
+9
+5
+2
+58
swap
spread bp
16 ott/15
-12
-30
+6
+5
+5
-39
+67
+84
(da 23/4/14)
Commodities, Volatility and Forex in the last month
prezzo
Commodity
C RB Index
Brent C rude Oil (US$/BBL)
Gold (US$/oz)
Grano
C opper (US$/MT)
Relevant moves:
• General
commodity
Copper excluded.
rebound,
• Somewhat
higher
intra-month
volatilities, but quieter conditions at
the end of the period.
• The same applies to the major
currencies. Relatively large intramonth fluctuations, but virtually
unchanged at the end of the period.
The Fed’s inaction allowed a general
rebound of the EM currencies.
However, the Turkish Lira fell amid
political turmoil and the Ruble
depreciated on worsening economic
conditions in Russia.
© PKB PrivatBank
16 ott/15
198
50
1.181
493
5.308
prezzo
Volatility
Eurostoxx 50 Volatility Index
SPX Volatility Index
Treasury Volatility Index (MOVE)
C urrency Volatility Index
Fonte: Bloomberg
16 ott/15
22,71
16,01
74,61
9,21
prezzo
Forex
US DOLLAR INDEX
PKB / PKB /
JPM Asian Dollar Index
JPM EM C urrency Usd
USD/Yen Giapponese
EUR/Dollaro Usa
EUR/Yen Giapponese
EUR/C hf Franco svizzero
EUR/Sterlina inglese
EUR/Dollaro Australiano
EUR/Dollaro C anadese
EUR/C orona Norvegese
EUR/C orona Svedese
EUR/C orona Danese
EUR/Dollaro di Singapore
EUR/Renminbi (yuan) C inese
EUR/Rupia indiana
EUR/Real Brasiliano
EUR/Rublo russo
EUR/Zloty polacco
EUR/Peso Messicano
EUR/Lira Turca
Fonte: Bloomberg
5
16 ott/15
94,742
108,940
69,520
119,540
1,136
135,780
1,082
0,736
1,564
1,469
9,205
9,342
7,460
1,573
7,217
73,618
4,366
69,777
4,237
18,604
3,298
Variaz. (%)
11set-16ott
+0,7
+3,5
+6,6
+1,6
-1,2
Ytd 2015
-13,9
-13,1
-0,3
-18,5
-15,7
2014
-17,9
-48,3
-1,7
-8,8
-14,4
Variaz. (%)
11set-16ott
-28,3
-31,0
-10,9
-12,8
Ytd 2015
-13,3
-16,6
+8,2
-3,2
2014
+51,8
+39,9
-6,3
+13,8
Variaz. (%)
11set-16ott
-0,5
+1,7
+3,0
-0,9
+0,2
-0,7
-1,5
+0,1
-2,2
-2,3
-0,4
-0,1
+0,0
-1,7
+0,3
-1,7
-0,5
-9,2
+0,7
-2,6
-4,6
Ytd 2015
+5,0
-3,4
-11,0
-0,2
-6,1
-6,3
-10,0
-5,3
+5,7
+4,4
+2,1
-1,1
+0,2
-1,9
-4,3
-3,9
+35,7
-5,1
-1,2
+4,3
+16,7
2014
+12,8
-2,8
-12,2
+13,7
-12,0
+0,1
-2,0
-6,5
-4,0
-3,7
+8,1
+6,7
-0,2
-7,6
-9,6
-9,9
-0,9
+62,3
+3,2
-0,4
-4,3
Usa: moderate and domestic-led growth
To decide whether begin the policy normalization or not, the Fed will have to weight several variables: inflation is
weak, the labor market improves moderately, activity in both service and manufacturing is decelerating and growth is
modest on the whole. The Fed has also to consider that turmoil on financial markets and global uncertainties could
curtail the consumer confidence and finally consumption expenditures, as households could save the extra purchase
power obtained through low inflation.
600
400
set.15
mag.15
gen.15
set.14
gen.14
mag.14
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
US: ISM (Di rett ori Acq uist i Servizi )
450
440
430
420
410
400
390
380
370
360
350
340
330
ISM: (Direttori Ac quis ti Mani fatturiero)
58.0
56.0
54.0
52.0
50.0
gen.10
mar.10
mag.10
lug.10
set.10
nov.10
gen.11
mar.11
mag.11
lug.11
set.11
nov.11
gen.12
mar.12
mag.12
lug.12
set.12
nov.12
gen.13
mar.13
mag.13
lug.13
set.13
nov.13
gen.14
mar.14
mag.14
lug.14
set.14
nov.14
gen.15
mar.15
mag.15
lug.15
set.15
48.0
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
set.13
nov.96
ago.97
mag.98
feb.99
nov.99
ago.00
mag.01
feb.02
nov.02
ago.03
mag.04
feb.05
nov.05
ago.06
mag.07
feb.08
nov.08
ago.09
mag.10
feb.11
nov.11
ago.12
mag.13
feb.14
nov.14
ago.15
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
60.0
gen.13
-300
mag.13
-2.0
set.12
-200
mag.12
-1.0
set.11
-100
gen.12
0
0.0
set.09
1.0
mag.11
100
gen.11
200
2.0
set.10
300
3.0
mag.10
4.0
gen.10
5.0
USA: C reazione di Posti di Lavoro non-agricoli (000)
500
US: Inflation escl Food&Energy var. % a/a
US: Inflazione totale % a/a (sx)
Target Fed
US Total Retail Sales (index)
set.09
dic.09
mar.10
giu.10
set.10
dic.10
mar.11
giu.11
set.11
dic.11
mar.12
giu.12
set.12
dic.12
mar.13
giu.13
set.13
dic.13
mar.14
giu.14
set.14
dic.14
mar.15
giu.15
set.15
6.0
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
6
Eurozone: low momentum growth
Less global growth could already have impacted the Euro area recovery. That’s at least what the still high unemployment rate, the PMI
surveys and the depressed level of the inflation rate are suggesting. The ECB is however ready to enhance its easing action, probably by
extending the ongoing APP program, should inflation and growth fail to rise as forecasted.
12.4
56.0
Eurozona:
disoccupazione %
%
Eurozona:
disoccupazione
54.0
11.9
52.0
11.4
50.0
48.0
set.15
lug.15
mar.15
mag.15
gen.15
dic.14
nov.14
set.14
lug.14
nov.13
set.13
lug.13
mag.13
mar.13
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
UE: Produzione Ind. Indice
106
set.14
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
gen.13
44.0
nov.12
dic.09
feb.10
apr.10
giu.10
ago.10
ott.10
dic.10
feb.11
apr.11
giu.11
ago.11
ott.11
dic.11
feb.12
apr.12
giu.12
ago.12
ott.12
dic.12
feb.13
apr.13
giu.13
ago.13
ott.13
dic.13
feb.14
apr.14
giu.14
ago.14
ott.14
dic.14
feb.15
apr.15
giu.15
ago.15
9.9
mag.14
Eurozona: PMI Manifatturiero
PMI Servizi
PMI Composto
46.0
mar.14
10.4
gen.14
10.9
3.4
Eurozona: Inflazione Core var. % a/a
2.9
104
2.4
102
1.9
1.4
100
0.9
98
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
7
set.15
giu.15
mar.15
giu.14
mar.14
dic.13
set.13
giu.13
mar.13
dic.12
set.12
giu.12
mar.12
dic.11
set.11
giu.11
mar.11
-0.6
dic.10
94
ott.09
dic.09
feb.10
apr.10
giu.10
ago.10
ott.10
dic.10
feb.11
apr.11
giu.11
ago.11
ott.11
dic.11
feb.12
apr.12
giu.12
ago.12
ott.12
dic.12
feb.13
apr.13
giu.13
ago.13
ott.13
dic.13
feb.14
apr.14
giu.14
ago.14
ott.14
dic.14
feb.15
apr.15
giu.15
ago.15
-0.1
set.10
0.4
96
RoW: UK(=), Japan (-), China (=), India (+)
In the UK, external risks and the GBP strength could restrain the otherwise strong growth outlook and weaken both the labor market and
inflation, leading to a more wait and see BOE attitude. In Japan, both weak exports and manufacturing activity could affect the Q3 GDP,
though the service sector is proving resilient. The BOJ could then extend its purchase program. In China, the service sector is expanding, but
manufacturing seems to be in recession. That supports the narrative of firm consumption allowing the economy slow transition under the
management of the Government. India: the industrial production is confirming a positive trend. The Central Bank, given that inflation is
under control, can support growth with monetary policy along with the Government structural reforms.
62
60
58
56
54
52
50
48
46
44
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
set.15
lug.15
mar.15
mag.15
gen.15
set.14
nov.14
lug.14
mag.14
mar.14
nov.13
gen.14
set.13
lug.13
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
9.0
Cina: PMI (Caixin) Manifatturiero
Cina: PMI (Caixin) Servizi
Cina: PMI (Caixin) Composito
56.0
55.0
54.0
53.0
52.0
51.0
50.0
49.0
48.0
47.0
mag.13
nov.12
mag.06
set.06
gen.07
mag.07
set.07
gen.08
mag.08
set.08
gen.09
mag.09
set.09
gen.10
mag.10
set.10
gen.11
mag.11
set.11
gen.12
mag.12
set.12
gen.13
mag.13
set.13
gen.14
mag.14
set.14
gen.15
mag.15
set.15
UK: Inflazione Core var. a/a %
Giappone PMI Comp.
Giappone PMI Services
Giappone PMI Manifatturiero
mar.13
UK: Inflazione var. a/a %
gen.13
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
India: Inflazione CPI var.% a/a
8.0
7.0
6.0
5.0
4.0
8
set.15
lug.15
ago.15
giu.15
apr.15
mag.15
feb.15
mar.15
gen.15
dic.14
ott.14
nov.14
set.14
ago.14
lug.14
giu.14
mag.14
apr.14
feb.14
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
mar.14
gen.14
set.15
lug.15
mag.15
mar.15
gen.15
set.14
nov.14
lug.14
mag.14
gen.14
mar.14
nov.13
set.13
lug.13
mag.13
mar.13
gen.13
nov.12
3.0
Monetary Policy: uncertainty from the Fed, ECB willing to act
Fomc Dot Plot
17/09/15
17/06/15
18/03/15
The main result of the Sept. 17 FOMC meeting is uncertainty, with
consequences on the asset allocation decisions. A high degree of
incertitude transpire from the decision rationale. The Fed Funds
rate wasn’t raised because of the emerging economies slowdown
and the turmoil suffered by the US financial markets. The FOMC
dots, the members’ median Fed Funds rate projections, were
lowered. In addition, the dots highlight a high dispersion (a member
is even below zero in 2016) and reflect a cut of the expected long
term growth potential of the US economy.
In the opposite, the ECB reiterated its willingness to perpetuate the
current very expansionary stance.
17/12/14
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
long
run
Dec18
Dec17
Dec16
Sep15
Dec15
0.0%
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
5
Minutes Sep-15
3500
350
3000
Sep-15 Median
300
OIS
3
2500
250
2000
200
2
ECB Eurosystem Covered Bond Puchase EUR Billions (sn) 124.63
150
1
ECB Eurosystem Asset-Backed Securities EUR Billions (sn) 13.39
100
0
ECB Eurosystem Public Sector Pchase EUR Billions (sn)
358.77
ECB Balance Sheet All Assets EUR/Billion al 09/10/15 (ds) 2632.3
50
target eur bln (ds)
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
9
ago.15
giu.15
feb.15
apr.15
dic.14
ott.14
ago.14
giu.14
apr.14
feb.14
dic.13
ott.13
ago.13
Longer Term
giu.13
2018
apr.13
2017
ott.12
2016
1000
500
0
dic.12
2015
1500
3'000.0
0
-1
feb.13
4
400
Monetary Policy: credit conditions tightening, no policy change
1.5
2'200
US: condizioni finanziarie (sn)
US: S&P500 (ds)
2'150
1
2'100
2'050
0.5
2'000
0
1'950
1'900
-0.5
1'850
1'800
-1
1'750
ott.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
mar.15
feb.15
gen.15
dic.14
nov.14
1'700
ott.14
-1.5
The Bloomberg indices of Financial Conditions portray
some stress on money, bond and equity markets, suggesting
on the whole less favorable credit conditions relative to the
pre-crisis levels.
Notwithstanding the Fed’s possible action, a tightening
already occurred and the equity market took that into
account. A come back of financial conditions toward the
average following more support from Central Banks or a
reduction in volitilities would represent a support factor for
equity markets.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
0.8
0.5
4'000
EZ: condizioni finanziarie (sn)
EZ: Eurostoxx50 (ds)
0.6
700
Asia ex Jap: condizioni finanziarie (sn)
Asia ex Jap: MSCI AXJ (ds)
0
650
-0.5
600
-1
550
-1.5
500
-2
450
-2.5
400
3'800
0.4
3'600
0.2
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
10
ott.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
ott.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
mar.15
feb.15
gen.15
dic.14
nov.14
2'800
ott.14
-0.8
mar.15
3'000
-0.6
feb.15
-0.4
gen.15
3'200
dic.14
-0.2
nov.14
3'400
ott.14
0
Equities: attractive in relative terms, caution required
18
MSCI ACWI BEST_PE_RATIO
17
media 10 anni
16
-2 dev std
15
+2 dev std
The equity markets suffered from increasing uncertainties. From the
valuation point of view:
• in absolute terms, equities aren’t still particularly attractive,
• per risk unit, the Earning Yield is less attractive than some months
ago,
• relative to government bonds, the equity markets are even more
attractive than some month ago.
This picture points to some caution. However, growth prospects,
though somewhat reduced, enable to keep a constructive attitude in a
medium term perspective. Less volatility and more growth would
improve our valuation assessment.
14
13
12
11
10
9
ott.15
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
apr.07
ott.06
apr.06
ott.05
8
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
12
1.2
MSCI ACWI Earning Yield / vol
media 10 anni
-2 dev std
+2 dev std
1
Euro Stoxx 50 ERP
media 10 anni
-2 dev std
10
8
0.8
6
0.6
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
11
ott.15
apr.15
ott.14
apr.14
ott.13
ott.12
apr.13
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
ott.07
apr.08
apr.07
ott.06
ott.05
ott.15
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
apr.07
0
ott.06
0
apr.06
2
ott.05
0.2
apr.06
4
0.4
Equities: EZ and Jap (+), US (=), India for diversification
1.65
The expected GDP acceleration as well as sales and margin trends incite to favor
momentum investing first and, second, both Eurozone and Japan relative to the US.
India can be employed as instrument for marginally diversifying the equity holdings.
Eurozone GDP Economic Forecast
1.6
1.55
1.5
ott.15
ott.…
dic.14
mag.15
ma…
lug.14
feb.14
set.13
apr.13
4
IN: PROF_MARGIN base 100 al 12/07
giu.12
ott.05
US GDP Economic Forecast (QoQ
JN: PROF_MARGIN base 100 al 12/07
nov.12
Q216
gen.12
Q116
ago.11
Q415
ott.10
5
Q315
mar.11
Q215
EC: PROF_MARGIN base 100 al 12/07
dic.09
-1.5
US: PROF_MARGIN base 100 al 12/07
mag.10
-1.0
lug.09
-0.5
set.08
0.0
feb.09
0.5
apr.08
1.0
giu.07
1.5
160%
140%
120%
100%
80%
60%
40%
20%
0%
-20%
-40%
-60%
nov.07
Q216
gen.07
2.0
Q315
Q415
Q116
Japan GDP Economic Forecast (Q
ago.06
Q215
mar.06
1.45
3
2
160%
1
140%
0
120%
100%
80%
Q215
Q315
Q415
Q116
Q216
12
dic.…
lug…
feb…
apr…
set.…
nov…
giu…
gen…
ago…
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
ma…
6.5
ott.…
0%
ma…
7
lug…
20%
dic.…
7.5
US: best_sales base 100 al 12/07
EC: best_sales base 100 al 12/07
JN: best_sales base 100 al 12/07
IN: best_sales base 100 al 12/07
feb…
40%
apr…
8
set.…
60%
nov…
8.5
giu…
Q216
ago…
Q116
gen…
Q415
India GDP Economic Forecast (An
ma…
Q315
ott.…
Q215
Equities: EZ and Jap (+), US (=), India for diversification
Also consensus EPS growth and multiples fluctuations factored into equity performances YTD prompt to prefer the Eurozone and Japan to
the US, as well as to keep some diversification in India.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
27-set-15
28-ago-15
29-lug-15
30-mag-15
29-giu-15
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
13
7-ott-15
23-set-15
9-set-15
26-ago-15
12-ago-15
29-lug-15
15-lug-15
1-lug-15
3-giu-15
17-giu-15
31-dic-14
7-ott-15
23-set-15
9-set-15
26-ago-15
12-ago-15
29-lug-15
15-lug-15
1-lug-15
17-giu-15
3-giu-15
20-mag-15
6-mag-15
22-apr-15
8-apr-15
25-mar-15
11-mar-15
25-feb-15
11-feb-15
28-gen-15
14-gen-15
31-dic-14
-12.5%
20-mag-15
-10.0%
6-mag-15
-7.5%
8-apr-15
-5.0%
22-apr-15
0.0%
-2.5%
25-feb-15
2.5%
11-feb-15
5.0%
var% P/Exp eps
var% Exp eps S&P BSE SENSEX INDEX
Var% Tot S&P BSE SENSEX INDEX
15.0%
12.5%
10.0%
7.5%
5.0%
2.5%
0.0%
-2.5%
-5.0%
-7.5%
-10.0%
-12.5%
-15.0%
25-mar-15
var% Exp eps S&P 500 INDEX
Var% Tot S&P 500 INDEX
28-gen-15
var% P/Exp eps
7.5%
Var% Tot NIKKEI 225
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
11-mar-15
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
var% Exp eps NIKKEI 225
30-apr-15
31-mar-15
7-ott-15
9-set-15
23-set-15
26-ago-15
12-ago-15
29-lug-15
1-lug-15
15-lug-15
3-giu-15
17-giu-15
20-mag-15
6-mag-15
8-apr-15
22-apr-15
25-mar-15
11-mar-15
25-feb-15
11-feb-15
28-gen-15
31-dic-14
14-gen-15
var% P/Exp eps
20.0%
15.0%
10.0%
5.0%
0.0%
-5.0%
-10.0%
-15.0%
-20.0%
-25.0%
-30.0%
var% Exp eps Euro Stoxx 50 Pr
Var% Tot Euro Stoxx 50 Pr
14-gen-15
var% P/Exp eps
25.0%
22.5%
20.0%
17.5%
15.0%
12.5%
10.0%
7.5%
5.0%
2.5%
0.0%
-2.5%
-5.0%
-7.5%
-10.0%
-12.5%
-15.0%
US equities: measured tactical reduction
102
145'000
DOLLAR INDEX SPOT (sn)
100
US: export in milioni di usd (ds)
140'000
98
96
135'000
94
92
130'000
90
125'000
88
86
120'000
84
ott.15
set.15
ago.15
lug.15
ago.15
giu.15
giu.15
mag.15
apr.15
apr.15
feb.15
mar.15
gen.15
gen.15
dic.14
nov.14
nov.14
115'000
ott.14
82
As margins and sales are already at historically high levels, the
ongoing earning season is likely to show the negative impact of the
US Dollar strength. After adding the recent outperformance, we are
inclined to partially reduce the exposure in US equities.
Such a move is tactical in nature. The US equity market recorded a
negative performance so far in 2015. Because the current multiple
based on conservative EPS estimates is only slightly higher than the
historical average, the US GDP growth outlook points in the
opposite to better performing US equities in the medium term.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
19
0.2
60
US: Citigroup Earning Revision (sn)
0.1
US: Citigroup Economic Surprise (ds)
40
0
20
-0.1
-0.2
0
-0.3
-20
18
17
16
15
14
13
14
ott.15
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
ott.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
mar.15
feb.15
gen.15
dic.14
nov.14
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
apr.07
9
-80
ott.14
-0.7
10
ott.06
-60
-0.6
S&P 500 INDEX
BEST_PE_RATIO
media 10 anni
11
apr.06
-40
-0.5
12
ott.05
-0.4
Eurozone Equities: fiscal support, opportunities in periphery
Euro area equities will benefit from a positive fiscal
stimulus. Indirectly, the ECB PSPP allow to somewhat raise
public spending, as it lowers significantly the public debt
service burden. After the last month correction, the Euro area
equities outperformance is likely to resume.
Riduzione del deficit da tassi bassi e QE
% Gdp
Servizio del debito
signoraggio* risparmio
2013
2017e* risparmio
totale
Germania
1,6
0,4
1,2
0,1
1,3
Francia
2,1
1,1
1,0
0,2
1,2
Italia
5,1
3,1
2,0
0,4
2,4
Spagna
3
1,9
1,1
0,4
1,5
* assumendo tassi stabili e PSPP fatto su scadenze medie
The Btp-Bund spread fall hasn’t yet been fully translated into
better credit access. Italian and German firms still face large
differences in credit conditions. Improvements in Italy are
likely and will support earnings. In addition, Italy is less
dependent from global growth than other Euro area
countries.
Fonte: Exane Bnp Paribas
6
Spread Btp-Bund
Germania: tasso medio prestiti soc non finanz.
Italia: tasso medio prestiti soc non finanz.
5
50
45
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
15
giu.15
mar.…
dic.14
set.14
giu.14
mar.…
mar.…
dic.12
set.12
giu.12
mar.…
dic.11
set.11
giu.11
mar.…
dic.10
giu.10
ott.15
lug.15
apr.15
gen.15
ott.14
lug.14
apr.14
gen.14
ott.13
lug.13
apr.13
gen.13
ott.12
lug.12
apr.12
ott.11
20
gen.12
0
lug.11
25
apr.11
1
gen.11
30
ott.10
2
set.10
35
dic.13
3
set.13
Euro Area Exports in % gdp
Italy Exports in % gdp
Germany Exports in % gdp
France Exports in % gdp
Spain Export in % gdp
40
giu.13
4
Japanese Equities: attractive in absolute and relative terms
NIKKEI 225 BEST_PE_RATIO
media 6 anni
-2 dev std
+2 dev std
44
39
Japan is attractive, should recover the recent
underperformance and confirm its status as one of the best
performing markets:
• Japan P/E lies slightly below the 6 year average (a shorter
period is considered here to exclude the erratic Jan.-Sept.
2009 values),
• Even though its Earning Yield per risk unit is lower than
the 6 year average, prospects of further action by the BOJ
should reduce the denominator,
• As for PEs, Japan trades at discount levels relative to the
MSCI World.
34
29
24
19
14
ott.15
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
9
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
175%
NIKKEI Earning Yield / vol
media 6 anni
-2 dev std
+2 dev std
0.6
0.5
NIKKEI 225/MSCI ACWI - Ratio P/E
media 5 anni Ratio P/E
+2 STD
-2 STD
165%
155%
145%
0.4
135%
0.3
125%
115%
0.2
105%
0.1
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
16
15-ott-15
15-ott-14
15-ott-13
15-ott-12
ott.15
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
0
15-ott-11
15-ott-10
95%
Indian Equities : diversification as value market
25
S&P BSE SENSEX INDEX BEST_PE_RATIO
media 10 anni
-2 dev std
+2 dev std
23
21
For marginal diversification purposes, India deserves our
attention because it can confirm its recent outperformance
trend:
• India’s current P/E is in line with the 10 year average,
contrary to most equity markets,
• India’s Earning Yield per risk unit is higher than the
reference historical average,
• The equity market will be supported by the cyclical
recovery of India’s economy.
19
17
15
13
11
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
apr.07
ott.06
apr.06
ott.05
9
40
India SIAM Vehicle Sales Domes YoY%
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
30
S&P BSE Earning Yield / vol
media 10 anni
-2 dev std
+2 dev std
0.8
0.7
20
0.6
10
0.5
0
0.4
-10
0.3
0.2
-20
0.1
17
set.15
giu.15
mar.15
dic.14
set.14
giu.14
mar.14
dic.13
set.13
giu.13
dic.12
mar.13
set.12
giu.12
dic.11
mar.12
set.11
giu.11
dic.10
mar.11
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
apr.07
ott.06
apr.06
ott.05
apr.15
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
set.10
-30
0
Emerging Equities: more underperformance ahead, for good reasons
2.1
16
MSCI EM best_px_bps_ratio (ds)
MSCI EM best_roe (sn)
2
14
1.9
12
1.8
1.7
10
1.6
8
1.5
6
1.4
4
1.3
ott.15
lug.15
apr.15
gen.15
ott.14
lug.14
apr.14
gen.14
ott.13
lug.13
apr.13
ott.12
gen.13
lug.12
apr.12
ott.11
gen.12
lug.11
apr.11
ott.10
2
gen.11
1.2
The EM equity markets underperformed for several reasons: falling growth,
worsening fiscal and current accounts balances, questions about the
development models, falling commodity markets, social turmoil, political
crisis. The sum of these factors support more outflows ahead. Their
duration is difficult to foresee, given the previous sizeable multi- year
inflows.
From a financial point of view, the current relatively low P/B ratio doesn’t
constitute a sufficient motive for buying emerging equities, because it is
fully justified by low ROEs. In addition, the macro and micro surprises
continue to tilt on the negative side, even though the depreciated levels
reached by the EM currencies are likely to support growth sooner or later.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
0
10
1'100
5
1'050
-0.1
0
1'000
-0.15
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
18
ott.15
set.15
ago.15
ago.15
700
lug.15
-0.5
750
MSCI EM (ds)
giu.15
700
Citigroup Earning Revision Emerging Mkts (sn)
giu.15
-0.45
mag.15
750
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
800
-0.4
apr.15
ott.15
set.15
ago.15
ago.15
lug.15
giu.15
giu.15
mag.15
apr.15
apr.15
mar.15
feb.15
gen.15
gen.15
dic.14
nov.14
nov.14
ott.14
-30
-0.35
ott.14
Citigroup Economic Surprise Emerging Mkts (sn)
MSCI EM (ds)
-25
850
apr.15
800
-0.3
mar.15
-20
900
feb.15
850
-0.25
gen.15
-15
950
-0.2
gen.15
900
1'000
dic.14
-10
1'050
nov.14
950
-0.05
nov.14
-5
1'100
Govies bonds: core unattractive, downside still on peripheral spreads
12.00
US Generic Govt 10 Year Yield aggiornato al 15-10-15 (2,02)
10.00
10y teorico con modello Laubach e Williams aggiornato con Taylor
Rule con aspettative inflazione aggiornato al 15-10-15 (2,20)
8.00
10y teorico con modello Laubach e Williams aggiornato con Taylor
Rule con swap inflazione aggiornato al 15-10-15 (1,28)
The core government bonds doesn’t highlight attractive return to
risk profiles.
The 10 year Treasury theoretical equilibrium lies just a little above
or well below the current level, according to the measure of
inflation expectations considered. Both estimations are intended to
rise along with the expansion of the US economy.
Rates in the EZ are kept artificially low by the ECB PSPP and
therefore likely to rise in the future. However, the ECB effect could
last more or even be amplified should the ECB extend its action
because of the fall of inflation expectations to too low levels.
Peripheral spreads can contract more based on the relatively
stronger periphery macro trends.
6.00
4.00
2.00
ago.05
gen.06
giu.06
nov.06
apr.07
set.07
feb.08
lug.08
dic.08
mag.09
ott.09
mar.10
ago.10
gen.11
giu.11
nov.11
apr.12
set.12
feb.13
lug.13
dic.13
mag.14
ott.14
mar.15
ago.15
0.00
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
2.0
3
Germany GDP Economic Forecast
1.5
2.8
1.0
2.6
0.5
2.4
0.0
2.2
1.5
2
EUR Inflation Swap Forward 5Y5 last_price
media 10 anni
-2 dev std
+2 dev std
annuncio PSPP
1.8
1.6
Q215
Q315
Italy GDP Economic Forecast
Q415
Q215
Q415
1.0
0.5
0.0
apr.15
ott.14
apr.14
ott.13
apr.13
ott.12
apr.12
ott.11
apr.11
ott.10
apr.10
ott.09
apr.09
ott.08
apr.08
ott.07
apr.07
ott.06
apr.06
ott.05
1.4
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Q315
19
US High Yields: unduly penalized given their risk profile
High Yield issues in the US were penalized by large outflows, as well
as by worries about solvency of a number of issuers within the energy
sector.
There was also some worsening in credit conditions, usually
consistent with a rise of the default rate.
Both outflows and less favorable credit conditions advise for caution.
However, spreads widened excessively given the risks involved. US
High Yields therefore offer a buying opportunity.
Fonte: Epfr
BBG USD HY Corp Enrgy / BBG USD HY Corp mkt cap
18.0%
NFIB Small Business Credit Con (sn)
USD HY All Sectors OAS last_price (ds)
-2
700
350
-10
300
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
20
ott.15
ago.15
giu.15
650
apr.15
ott.15
lug.15
apr.15
ott.14
gen.15
lug.14
apr.14
gen.14
ott.13
lug.13
apr.13
ott.12
gen.13
lug.12
apr.12
ott.11
gen.12
lug.11
apr.11
gen.11
ott.10
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
feb.15
-9
11.0%
dic.14
400
ott.14
-8
12.0%
ago.14
450
giu.14
-7
13.0%
apr.14
500
feb.14
-6
14.0%
dic.13
550
ott.13
-5
ago.13
15.0%
giu.13
600
apr.13
-4
feb.13
16.0%
dic.12
-3
ott.12
17.0%
US High Yields: risks offset by value
Tasso di default credito al consumo (preso a proxy del default
corporate) (sn)
tasso implicito default con spread correnti HY US (ds)
3.5
3
13
2.5
11
2
10
Assuming that volatilities correctly reflect risks, the analysis of the
US asset classes returns per risk unit suggests that High Yield issues
offer value in relative terms in an environment where moderate
growth could penalize shareholders more than bondholders as long as
companies didn’t default.
ott.15
lug.15
apr.15
ott.14
gen.15
lug.14
apr.14
gen.14
ott.13
lug.13
apr.13
gen.13
ott.12
6
lug.12
0
apr.12
7
gen.12
0.5
ott.11
8
lug.11
1
apr.11
9
gen.11
1.5
ott.10
Spread became too wide because the implicit default rate rose above
11% compared to a 4.6% average level from 1990.
In addition, spreads rose while the US economy expanded.
12
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
S&P 500 Earning Yield / vol
1
0.1
-2
300
0
© PKB PrivatBank
0.5
0.4
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
21
ott.15
apr.15
ott.14
apr.14
ott.13
ott.12
0.3
set.15
lug.15
350
mag.…
-1
mar.…
0.2
gen.15
400
nov.14
0
set.14
450
lug.14
1
mag.…
500
mar.…
2
gen.14
0.6
nov.13
550
set.13
3
lug.13
0.7
mag.…
600
mar.…
4
gen.13
0.8
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
US Generic Govt 10 Year Yield /
vol
USD HY 5y / vol
0.9
650
nov.12
5
700
apr.13
US Real GDP (QoQ % SAAR) (sn)
BBG USD HY Corp OAS_SPREAD_BID (ds)
6
Eurozone High Yields: an investment opportunity
Eurozone Real GDP (Annual YoY - sn)
BBG EUR HY Corp OAS_SPREAD_BID (ds)
2
550
1.5
The recent widening in Eurozone HY spreads isn’t consistent with the
ongoing recovery of the Euro area, as well as the clear easing
recorded by credit standards, both usually leading to a reduction of
the default rates.
500
1
450
0.5
Once examined as previously on a risk adjusted returns basis, HY
show a noticeable value relative to the other EZ asset classes. Their
differential to equities lies at historically low levels.
400
0
350
-0.5
ott.15
ago.15
giu.15
apr.15
feb.15
ott.14
dic.14
giu.14
ago.14
apr.14
dic.13
feb.14
ott.13
ago.13
giu.13
feb.13
250
apr.13
-1.5
dic.12
300
ott.12
-1
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
ECB Survey Change Lending to Business (sn)
EUR HY All Sectors OAS last_price (ds)
20
450
Euro Stoxx 50 Earning Yield / vol
EUR SWAP ANNUAL 10 YR / vol
EUR HY 5y / vol
0.8
0.7
15
400
10
350
5
0.6
0.5
0.4
0
300
-5
250
-10
0.3
0.2
0.1
22
ott.15
apr.15
ott.14
apr.14
ott.13
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
apr.13
0
ott.12
ott.15
giu.15
ago.15
apr.15
feb.15
dic.14
ott.14
ago.14
giu.14
apr.14
feb.14
dic.13
ott.13
ago.13
giu.13
apr.13
feb.13
dic.12
200
ott.12
-15
Emerging Debt: risks are priced in, some carry
spread Cds 5 anni Emergenti-Usa bp (sn)
JPMorgan EMBI Global Spread (ds)
375
475
giu.15
ago.15
dic.14
feb.15
apr.15
ott.14
giu.14
ago.14
feb.14
apr.14
ott.13
dic.13
giu.13
ago.13
225
feb.13
apr.13
125
ott.12
275
dic.12
175
giu.12
325
ago.12
225
apr.12
375
feb.12
275
ott.11
425
dic.11
325
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
1.4
JPMorgan EMBI Global Spread (sn)
CBOE EM ETF Volatility (ds)
540
The emerging debt to Treasury spread correctly reflects the
perception of risk drawn from the corresponding CDS
differential.
However, the volatility decline experienced by the emerging
equity markets hasn’t yet been translated in a corresponding
decline in bond spreads.
Finally, the comparison between risk adjusted returns under the
assumption that volatility properly measure risk, points out
relative value in favor of debt, as the equity to debt differential
declined to historical lows.
62
490
52
440
MSCI EM Earning Yield / vol
1.2
JPMorgan EMBI su 10y US Gov /
vol
1
0.8
42
0.6
32
0.4
290
22
0.2
240
12
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
23
ott.15
apr.15
ott.14
apr.14
ott.13
0
ott.12
ott.15
ago.15
giu.15
apr.15
feb.15
dic.14
ott.14
ago.14
giu.14
apr.14
feb.14
ott.13
dic.13
ago.13
giu.13
apr.13
feb.13
dic.12
ott.12
340
apr.13
390
Commodities: unattractive from a strategic point of view
1300
-0.6%
GOLD SPOT $/OZ (sn)
Us: tasso reale 5y (ds, invertito)
1275
-0.4%
1250
1225
-0.2%
1200
0.0%
1175
1150
0.2%
1125
0.4%
1100
ott.15
set.15
ago.15
lug.15
giu.15
mag.15
apr.15
mar.15
feb.15
gen.15
dic.14
nov.14
0.6%
ott.14
1075
In the current environment, we have to expect rather
short term rebounds, but no trend reversals. The recent
move recorded by Gold following the Fed’s decision to
delay the rates liftoff represents an example, as well as
quick oil price rises on speculation of possible RussiaOpec agreements for limiting production and stop the
price slide.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
100
Offerta petrolio, fonte EIG - Milioni b/g (sn)
Domanda petrolio, fonte EIG - Milioni b/g (ds)
98
96
94
92
90
88
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
24
ago.15
mag.15
feb.15
nov.14
ago.14
mag.14
feb.14
nov.13
ago.13
mag.13
feb.13
nov.12
ago.12
mag.12
feb.12
nov.11
ago.11
mag.11
feb.11
nov.10
ago.10
86
© PKB PrivatBank
The commodity markets are likely to remain
unattractive from a fundamental point of view:
• Demand in precious metals for investment purposes
is limited because systemic risks are low and inflation
pressures absent.
• Demand in industrial metals and energy is growing
slowly as global growth is relatively weak and growth
models in the emerging economis are becoming less
commodity- intensive.
Forex: the US Dollar has a limited upside
diff Euribor-Eurodollaro fut.3m (% sn)
Euro Spot (ds)
1.40
1.35
1.30
1.25
1.20
1.15
1.10
1.05
1.00
0.95
0.90
0.15
-0.1
-0.35
-0.6
-0.85
-1.1
-1.35
-1.6
-1.85
19/03/2018
18/12/2017
18/09/2017
19/06/2017
13/03/2017
19/12/2016
19/09/2016
13/06/2016
14/03/2016
16/10/2015
16/07/2015
16/04/2015
16/01/2015
16/10/2014
16/07/2014
16/04/2014
16/01/2014
16/10/2013
-2.1
The US Dollar should appreciate further given the expected
divergent path of monetary policies. However, sizeable real flows
push in the opposite direction, tend to favor the Euro and therefore
limit the Dollar upside:
- The Current Account deficit
- Central banks’ in the emerging world are intervening for
supporting their own currencies by selling their reserves
invested in Treasuries.
In addition, the Dollar is loosening its momentum, following some
disappointing macro figures released in the US.
È opportuno mantenere una moderata diversificazione in Usd con
target meno ambiziosi dei puri differenziali finanziari.
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
4
UBS US GROWTH SURPRISE INDEX (sn)
DOLLAR INDEX SPOT (ds)
240
3
98
220
2
1
93
200
0
-1
88
180
-2
-3
160
83
140
78
120
73
25
ago.…
mag…
feb.15
nov.…
ago.…
mag…
feb.14
nov.…
ago.…
mag…
feb.13
nov.…
ago.…
mag…
feb.12
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
nov.…
gen.15
giu.15
ago.14
ott.13
mar.14
dic.12
mag.13
lug.12
feb.12
set.11
apr.11
nov.10
ago.09
gen.10
giu.10
ott.08
mar.09
mag.08
dic.07
lug.07
set.06
feb.07
giu.05
nov.05
apr.06
-7
ago.…
-6
mag…
US Current Account Balance (% Gdp)
Eurozone Current Account Balance (% Gdp)
feb.11
-5
nov.…
-4
Forex: limited upside for the British Pound
diff Euribor-Eurosterlina fut.3m (% sn)
EUR-GBP X-RATE (ds)
0.87
0.85
0.83
0.81
0.79
0.77
0.75
0.73
0.71
0.69
0.67
0.65
-0.1
-0.3
-0.5
-0.7
-0.9
-1.1
-1.3
-1.5
18/06/2018
19/03/2018
18/12/2017
18/09/2017
19/06/2017
13/03/2017
19/12/2016
19/09/2016
13/06/2016
14/03/2016
16/10/2015
16/07/2015
16/04/2015
16/01/2015
16/10/2014
16/07/2014
16/04/2014
16/01/2014
16/10/2013
-1.7
The British Pound shoud rather appreciate based on expected
divergences in monetary policies. In addition,
the market is currently factoring that the BOE will start to normalize
with a higher lag relative to the Fed than in the past. The Pound would
therefore react vigorously to a sooner than expected action by the BOE,
based on the ongoing relatively rapid wage growth.
However, on the negative side, the growth momentum is somewhat
slowing in the UK, while both the current account and budget deficits
continue to run at excessive levels. Finally, the EU Referendum is
likely to introduce some volatility in the picture.
All in all, a moderate and prudent currency diversification in British
Pound makes sense, though with less ambitious targets than the
financial differentials are suggesting.
Fonte: elaborazione Cas s a Lombarda s u dati Bloomberg
6
3.5
# of Months to 1st Rate Hike US-GB (ds)
4
3
2
2.5
0
2
-2
1.5
-4
1
-8
0.5
-10
0
26
ott-15
lug-15
apr-15
ott-14
gen-15
lug-14
apr-14
gen-14
ott-13
lug-13
apr-13
ott-12
gen-13
ott-10
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
lug-12
-0.5
8.10.15
17.9.15
27.8.15
6.8.15
16.7.15
25.6.15
4.6.15
14.5.15
23.4.15
2.4.15
12.3.15
19.2.15
29.1.15
8.1.15
18.12.14
27.11.14
6.11.14
-12
16.10.14
1.35
apr-12
1.40
-6
ott-11
1.45
gen-12
1.50
lug-11
1.55
salari UK: Average Weekly Earnings 3 Month %
apr-11
1.60
British Pound Spot (sn)
gen-11
1.65
Forex: weak Yen and Emerging Currencies
EUR-JPY X-RATE (sn)
Differenziali basi monetari Jap-EZ in milioni di unità(ds)
150
The Japanese Yen should resume its declining trend, based on
divergent evolutions of monetary bases. A further extension of the
BOJ purchase program for forestalling the ongoing activity
slowdown would even accelerate the Yen weakness.
350000000
300000000
140
250000000
130
200000000
Thanks to the Fed’s hesitations, the emerging currencies were
able to somewhat correct on the whole their recent sizeable
losses. However, structural conditions in the emerging economies
remain unsupportive. The emerging currencies doesn’t represent
an investment opportunity from a strategic point of view.
120
150000000
110
100000000
100
50000000
ago.15
feb.15
mag.15
nov.14
ago.14
feb.14
mag.14
nov.13
ago.13
feb.13
mag.13
ago.12
nov.12
mag.12
feb.12
ago.11
nov.11
feb.11
mag.11
0
nov.10
90
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
110
JP Morgan Emerging Market Curr
105
DOLLAR INDEX SPOT
50
40
100
110
China Import Trade USD YoY (sn)
JP Morgan Emerging Market Curr (ds)
105
100
30
95
95
20
90
90
10
85
85
0
80
80
-10
75
75
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
© PKB PrivatBank
27
ago.15
giu.15
feb.15
apr.15
ott.14
dic.14
giu.14
Fonte: elaborazione PKB / Cas s a Lombarda s u dati Bloomberg
ago.14
feb.14
apr.14
ott.13
dic.13
giu.13
ago.13
apr.13
feb.13
ott.12
dic.12
ago.12
giu.12
feb.12
65
apr.12
-30
ott.11
70
set.15
lug.15
mag.15
gen.15
mar.15
nov.14
set.14
lug.14
mag.14
mar.14
gen.14
set.13
nov.13
lug.13
mag.13
mar.13
nov.12
gen.13
set.12
lug.12
mar.12
mag.12
gen.12
nov.11
65
-20
dic.11
70
Asset Management & Products
Disclaimer
The information and opinions contained in this report have been
obtained from public sources believed to reliable. No
representation or warranty is made or implied that is accurate or
complete. Any opinions expressed in this report are subject to
change without notice. This report has been prepared solely for
information purposes and if so decided, for private circulation and
does not constitute any solicitation to buy or sell any instrument,
or to engage in any trading strategy.
© PKB PrivatBank
28