181105 Vortrag Achim Stranz AXA IM Petersberger Treffen · 2018. 11. 16. · Makro–Japan Bank of Japan mit“verdeckterOperation” zurGeldpolitik-Normalisierung(Stealth Tapering)

Zinsstrukturkurven und RezessionsrisikenAchim Stranz, AXA Investment Managers Deutschland GmbH

Petersberger Treffen, 8. November 2018

- nur für professionelle Kunden / nicht für Privat-/Kleinanleger -

Zinsstrukturkurven und Rezessionsrisiken

Inverse Zinsstrukturkurven waren in der Vergangenheit ein zuverlässiges Rezessions-Warnsignal, … aber noch nicht jetzt

Source: FRED, Datstream, AXA IM ResearchSource: NY FRB, AXA IM Research

2


Die aktuelle Zinsstrukturkurve signalisiserte erhöhte Rezessionsgefahr … aber noch nichtjetzt

Source: NY FRB, AXA IM Research

3


Zinsstrukturkurven sind Vorlaufindikator für Finanzierungsstandards, sowohl fürUnternehmen …

Source: FRB SLOOS, AXA IM Research

4


… als auch Haushalte. Noch aber nicht Besorgnis erregend!

Source: FRB SLOOS, AXA IM Research

5

Makro – USA

Solides Wachstum

Source: BEA, Atlanta FRB, ISM, AXA IM Research, Oct 2018

6

50

52

54

56

58

60

62

0

1

2

3

4

Jan-15 Oct-15 Jul-16 Apr-17 Jan-18 Oct-18

IndexGDP (% qoq

saar)

GDP growth and short term outlook

GDP (historic) AXA IM forecast

Atlanta GDP now tracker Combined ISM (RHS)

Makro – USA

Mit steigender Inflation … hält Realzins niedrig

Source: BEA, AXA IM Research, Oct 2018

7

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Q1 2000 Q2 2004 Q3 2008 Q4 2012 Q1 2017

% yoy

Core PCE inflation

AXA IM 'core' inflation model

PCE 'core' yoy

Forecast

Makro – USA

“Fed not gone crazy”

Source: Bloomberg, Oct 2018

8

0

10

20

30

40

Aug 17 Oct 17 Dec 17 Feb 18

% probability

Implied probabilities of 3 hikes in year ahead

3 hikes (2018)

3 hikes (2019)

Macro – Euro Zone

Stabilisierung im 2. Halbjahr

Source: Eurostat and AXA IM Research

9

-3.5

-2.5

-1.5

-0.5

0.5

1.5

2.5

00 02 04 06 08 10 12 14 16 18

EMU economic sentiment by sector

Economic Sentiment Construction

Industry Services

Z-Score

Makro – Euro Zone

Ebenfalls gestiegener Inflationsdruck … kurzfristige Realzinsen negativ!

Source: Eurostat, AXA IM Research

10

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

07 08 09 10 11 12 13 14 15 16 17 18 19

Forecast

Headline inflation

Core inflation

% YoY

Makro – Euro Zone

… kurzfristige Realzinsen negativ: Stress im intalienischen Finanzsektor!

Source: Eurostat, AXA IM Research, September 2018

11

0.00

0.20

0.40

0.60

0.80

1.00

2002 2004 2006 2008 2010 2012 2014 2016 2018

Composite Indicator of Systemic Stress (CISS)

France Germany

Italy Spain

Makro – Euro Zone

“Talking about politics”: hausgemachte Themen in Deutschland

Source: Eurostat and AXA IM Research

12

-50

-30

-10

10

30

50

-25

-20

-15

-10

-5

0

5

10

15

20

06 08 10 12 14 16 18

Industrial production

Motor vehicles (RHS)

German industrial production

% y/y %y/y

Makro – UK

“Talking about politics”: trotz BREXIT-Schatten, solides Wachstum in UK

Source: National Statistics, Markit, Oct 2018

13

35

40

45

50

55

60

-3

-2

-1

1

2

Q4 2008 Q2 2011 Q4 2013 Q2 2016 Q4 2018

PMI indexGDP % qoq

GDP and PMI indices

GDP

Manu PMI (qtr avg, RHS)

Servs PMI (qtr avg, RHS)

Makro – UK

Devisenmärkte erwarten “Deal”

Source: Datastream, AXA IM Research, Oct 2018

14

1.24

1.29

1.34

1.39

1.44

1.09

1.11

1.13

1.15

Apr 18 Jun 18 Aug 18 Oct 18

£:$£:€

Sterling fx

GBPEUR (LHS)

GBPUSD (RHS)

Makro – Japan

Bank of Japan mit “verdeckter Operation” zur Geldpolitik-Normalisierung (Stealth Tapering)

Source: Statistics Japan, BoJ and AXA IM Research15

+32.3

+44.4

0

10

20

30

40

50

60

70

80

90Ju

n-2

01

4

Se

p-2

01

4

Dec

-20

14

Ma

r-2

015

Jun

-201

5

Se

p-2

01

5

Dec

-20

15

Ma

r-2

016

Jun

-201

6

Se

p-2

01

6

Dec

-20

16

Ma

r-2

017

Jun

-201

7

Se

p-2

01

7

Dec

-20

17

Ma

r-2

018

Jun

-201

8

Se

p-2

01

8

Dec

-20

18

Ma

r-2

019

Jun

-201

9

Se

p-2

01

9

Dec

-20

19

Ma

r-2

020

Trillion Yen

Aug 2018

Mar 2020

Forecast

Makro – China

Kontrollierte Wachstumsverlangsamung

Source: CEIC and AXA IM Research (as of Oct-2018)

16

Makro – China

Trotz “trade war” Rhetorik … die Wachstumsverlangsamung kommt aus der Binnenkonjunktur

Source: CEIC and AXA IM Research (as of Oct-2018)

17

Sentiment eher vorsichtig

Investment Strategie

Source: BofAML and AXA IM Research

18

0%

10%

20%

30%

40%

Aggressively

OW

Moderately

OW

Neutral Moderately

UW

Aggressively

UWUS Japan Eurozone Emerging Markets

% of respondents

BofA ML Funds Manager Survey: equities positioning



Source: BAML, MSCI and AXA IM ResearchNote: indices used are the BAML global government index W0G1, the BAML global corporate index G0BC and

the MSCI world. They are all expressed in local currency and in price returns.19

0% 10% 20% 30% 40% 50% 60% 70%

EMs

Credit

Business cycle

Monetary

Counterparty

Protectionist

Geopolitical

Well above normal Above normal

% of respondents

Funds Manager Survey: risks to financials stability



Source: Bloomberg, Data stream, IBES and AXA IM Research

20

87

89

91

93

95

97

99

101

Oct/17 Dec/17 Feb/18 Apr/18 Jun/18 Aug/18 Oct/18

Oct '17 = 100

Global equity style relative performance

Value vs. Growth

Defensives vs. Cyclicals


Bewertungen nicht euphorisch ….

Source: Bloomberg, Data stream, IBES and AXA IM Research

21

Avg. = 15.7x

14x

+1 sd

-1 sd

5

10

15

20

25

1987

1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015

2017

MSCI AC World: Forward price to earnings

#4Volatilität durch “Event-Risiken”

#2Zentralbankenweltweitnormalisieren ihreGeldpolitik

Übergewicht Aktien, insbesondere USA

UntergewichtStaatsanleihen, “short duration”

Long Volatilität, “tail risk hedges”

Übergewichtinflations-geschützteAnleihen

Untergewicht IG Unternehmens-anleihen

Source: AXA IM

22

Unsere Kernüberzeugungen und -botschaften

#1Wachstum über Trend, auch wenn nichtsynchronisiert treibtUnternehmensgewinneweltweit

#3Inflation steigt in FolgeangespannterArbeitsmärkte


Source: AXA IM – As of October 2018

23

Key asset classes Developed Govies

Equities Euro area Euro core

Bonds UK Euro periph

Commodities Switzerland UK

Cash US US ▲

Japan Inflation

US

Emerging & diversification Euro

Emerging Markets ▼ Credit

Euro IG

US IG

Euro HY

US HY

EM Debt

Short duration

Last change

EquitiesAsset Allocation Fixed Income

Legends Negative Neutral Positive ▼ Downgrade▲ Upgrade

24

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It has been established on the basis of data, projections, forecasts, anticipations and hypothesis which are subjective. Its analysis and conclusions are the expression of an opinion, based on available data at aspecific date. All information in this document is established on data made public by official providers of economic and market statistics. AXA Investment Managers disclaims any and all liability relating to a

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Documents

181105 Vortrag Achim Stranz AXA IM Petersberger Treffen · 2018. 11. 16. · Makro–Japan Bank of Japan mit“verdeckterOperation” zurGeldpolitik-Normalisierung(Stealth Tapering)