MULTI-ASSET ● GLOBAL
11 February 2019Multi-Asset Spotlight 3
Multi-Asset Performance 4
Correlation 6
Volatility 8
Sentiment / Flows / Positioning 9
Macro 11
FX 12
Fixed income (rates) 13
Fixed income (credit) 14
Equities 15
Commodities 16
Key forecasts & recommendations 17
Disclosure appendix 18
Disclaimer 22
ContentsMULTI-ASSET ● GLOBAL
11 February 2019
Multi-Asset Spotlight
Sticking to our guns
Last week’s sell-off in global risk assets was a timely reminder of how difficult it will be for a
goldilocks scenario to unfold this year (see Goldilocks is going, 4 Feb). But, we have been tactically
bullish on risk assets since early-Jan and see no reason to change this view yet.
DM EQ relative to sovereigns still stretched*USTs diverging from activity surprises**
Source: Bloomberg, HSBC * rolling 13W total returnSource: Bloomberg, HSBC. ** Both axes are the 26W change
For example, the relative 3M performance of DM equities vs global sovereigns is still anything but
stretched. Admittedly, last week’s downward growth revisions are food for the bears. Yet, we think
the rates market has already priced a lot of these concerns.
Some bright spots from the macro picture…… as our surprise diffusion indicators rise
Source: Bloomberg, HSBCSource: Bloomberg, HSBC
In fact, US activity surprises have diverged from 10Y UST yields in recent weeks and Fed funds
futures have priced out any possibility of rate hikes this year. Our surprise diffusion indicators also
continue to be supportive for risk assets. Sentiment and technicals are not overly bullish yet.
More to the point, our rates strategists still see a near-term range of 2.6-2.9% for USTs. Hence
instead of outright tactical duration calls, they currently see more value in steepeners (All of a
sudden, 15 Jan). Similarly, we think last week’s sell-off may prove to be only a bump in the road
for risk assets.
Sentiment and technicals not overly bullish yet
Source: HSBC, Bloomberg, Refinitiv, * Average of S&P 500 and UST 10Y put-call ratio; UoM ‘Bull/Bear’ is spread between proportion of consumer expecting higher vs lower equity market; US risk-on RSI is average relative strength index of S&P 500 and CDX NA HY; for construction of risk-on/risk-off positioning see p. 9.
-1.0 stdev
-20
-15
-10
-5515201420152016201720182019
+/-1 StdevDM equity vs global sovereigns
-30
-20
-101030
-100
-75
-50
-2525
50
75
100
Jan-17Jul-17Jan-18Jul-18Jan-19
UST 10Y (bp)HSBC US surprise index (RHS)25
50
75
100
Jan-17Jul-17Jan-18Jul-18Jan-19
Diffusion index HSBC Activity Surprises (60-day change)Diffusion index HSBC Activity Surprises (40-day change)
20-day average0
25
50
75
100
Jan-17Jul-17Jan-18Jul-18Jan-19
Diffusion index HSBC Activity Surprises (60-day change)
Diffusion index HSBC Activity Surprises (40-day change)
10-day average20
40
60
80
100
VIX IndexS&P 500 & UST
10Y Put/Call ratio
S&P 500 skew
(90/110)
AAII Bull/Bear
spread
UoM 'Bull/ Bear'*US risk-on RSI*HSBC Equity
Sentiment Index
NAAIM Exposure
Index
Percentiles of various sentiment and positioning indicators (vs 5Y history)10th percentile-1M
Investors bullish
Investors bearish
MULTI-ASSET ● GLOBAL
11 February 2019Multi-Asset Performance
Risk assets mostly suffered last week with commodities, equities, EM debt and high yield
declining. Oil posted its biggest weekly loss since December as concerns over economic
growth from Europe to China reinforced fears that fuel demand may weaken.
Within equities the UK outperformed, benefitting from a weaker GBP. Pacific ex Japan was
the best regional performer as the Australian equity market was buoyed by rallying
financials. By contrast, LatAm underperformed significantly which may partly be attributed
to Vale’s dam collapse, but also to lingering domestic and international political concerns.
Within fixed income all sub-asset classes saw gains barring the Eurozone non-core. One of
the catalysts for the poor performance was the large downward revision to Italy’s growth
forecast by the European Commission (to 0.2% from 1.2%).
1. Multi-Asset (USD, TR, %)2. Relative Asset Class Performance (12M)
-6.0-4.0-2.00.02.04.06.0
Oil (spot)
EM equities
EMLC
DM equities
Inflation
HY
Gold
EMXD
Credit
DM govt. bonds1W1M
80
85
90
95
100
105
Feb-18May-18Aug-18Nov-18Feb-19
Tot
al R
etu
rns
Ind
exe
d a
t 10EM vs. DM equityEMXD vs DM sov.
Gold vs. DM sov.
Source: Bloomberg, HSBCSource: Bloomberg, HSBC
3. Equity Regions (local currency, TR, %)4. Relative Equity Performance (12M)
-4.0-2.00.02.04.06.0
EM LatAm
EM EMEA
Japan
Eurozone
EM Asia
US
UK
Pacific ex Japan1W1M
80
85
90
95
100
105
110
Feb-18May-18Aug-18Nov-18Feb-19
Tot
al R
etu
rns
ind
exe
d a
t 10EM ex Asia vs EMEurozone vs US
Japan vs Eurozone
Source: Bloomberg, HSBCSource: Bloomberg, HSBC
5. Fixed Income (local currency, TR, %)6. Relative Fixed Income Performance (12M)
-2.5-1.5-0.50.51.52.53.5
EZ non-core
JGB
EUR HY
USD HY
Asia
UST
USD IG
EUR IG
EZ core
UKT1W1M
96
98
100
102
104
Feb-18May-18Aug-18Nov-18Feb-19
Tot
al R
etu
rns
Ind
exe
d a
t 10UST vs EZ core (LHS)
USD IG vs USD HY (LHS)
EUR IG vs EUR HY (LHS)
Source: Bloomberg, HSBCSource: Bloomberg, HSBC。。。。。。