每周全球金融观察 | 第 134 篇: 2023年第一个月的收益已经收到了

圣诞老人反弹（SCR）指标是由传奇的市场技术员耶鲁-赫希设计的，即股市在最后5个交易日加上新年的前两个交易日表现强劲涨幅。FFTD（first five trading days）指的是今年的前5个交易日。第3个指标"一月晴雨表 "是指一月的表现。SCR + FFTD + 一月晴雨表三者的组合 "Trifecta Indicator "考虑到了机构投资者年终的调仓再平衡，以及1月份对全年的定位。

从历史上来看，自1950年以来，标普500指数SCR + FFTD +一月晴雨表 "三要素指标 "的完美组合已经出现了31次，在这31年中，市场有28年是上涨的。在这31年中，有9年标普指数在前一年结束时是负收益。有趣的是，这9年，标普500指数在年底时全年都是上涨的。 

2023年到目前为止，标普500指数已经达到了SCR和FFTD的要求。截至1月27日星期五，标普指数在1月份到目前为止上涨了6.02%。下周还有两个交易日，我们极有可能在1月结束时获得一个积极的1月晴雨表，并在2023年获得一个完美的"三连胜指标"。

2023年迄今为止，全球股票市场已经有了很好的表现。道琼斯指数、标准普尔指数和纳斯达克指数在1月份迄今分别上涨2.51%、6.02%和11.04%（接下来还有两个交易日）。欧洲股市到目前为止也走势良好，MSCI欧洲指数和富时100指数分别上涨了7.14%和4.21%。新兴市场和亚洲股市是2023年迄今为止的明星，MSCI新兴市场指数、MSCI亚洲（日本除外）指数、恒生指数和MSCI中国指数分别上涨了9.91%、10.54%、14.70%和17.54%。HXC指数（在美国上市的中国股票）2023年迄今涨幅高达23.16%。

MSCI中国和HXC指数（在美国上市的中国股票）今年以来的显著表现引起了巴伦周刊（和华尔街）的注意。我喜欢下面这头版标题：中国的大反弹才刚刚开始

本周中国市场因农历新年假期而休市，香港市场则是缩短的2天交易周。然而，所有与中国有关的指数下周二1月31日都保证达到2023年的"三连胜指标"。

***:至1月20日

一月也是全球固定收益市场强劲的一个月份。彭博全球综合指数一月截至27日上涨3.30%，而彭博美国综合债券指数上涨2.99%。10年期美国国债收益率本周结束时为3.50%。一月截至27日，彭博美国投资级债券和高收益级债券指数分别上涨3.78%和3.91%。

2023年一月截至27日与往年的比较请参考下表：

所有数据截至1月27日，*1：截至1月26日，*2：截至1月20日

我们将何去何从？

加息的终结？

周三，加拿大央行将其隔夜利率从4.25%提高到4.50%，这是15年以来的最高水平，但是其宣布将暂时停止升息，来评估借贷成本大幅上升对经济的影响。

加拿大银行是主要发达经济体中第一个宣布暂时停止提高利率以寻求将通货膨胀从历史高位降低的央行。加拿大的通货膨胀率已经从6月份的8.1%放缓到12月份的6.3%。

2022年12月5日，加拿大银行是第一个将加息幅度从75bp调整为50bp的发达经济体，美联储和欧洲央行紧随其后。

市场普遍预计美联储将在2月1日提高隔夜利息25bp。美联储是否会跟随加拿大银行的步伐，宣布暂停加息？

全球经济：

美国2022年第四季度GDP增长2.9%（第三季度为+3.2%），尽管一年来通货膨胀率居高不下，并进行了多次加息，隔夜美联储基金利率从0%上升到4.25%。第四季度的GDP数据缓解了对近期经济放缓的担忧。

美国名义和实际GDP (2019年第一季度-2022年第四季度;季度年化): 

资料来源：美国商务部（经季节性调整的年率）

美国名义和实际GDP水平: 2000年-2022年(通胀按2012年美元汇率调整):

资料来源：美国商务部（经季节性调整的年率）

欧元区的经济前景正在改善。周三，德国发布预测称，欧元区最大的经济体有望在2023年勉强避免衰退（扭转了10月份的衰退预测），经济对乌克兰战争余波的承受能力比之前的预测要好得多。 能源冲击正在消散，中国的上升势头将有利于欧洲的出口依赖型经济。

货币供应量（M2）的萎缩和世界末日的预言

M2，一个流行的衡量货币供应量的标准（包括现金、支票和储蓄账户、银行零售定存和零售货币市场基金）在12月下降了1470亿美元（月度下降-0.7%）。一些流行媒体已经开始争论一个诱人的说法："12月的货币供应量是自1959年该数据开始以来的月度下降记录，这显然告诉我们一些关于经济的潜在弱点"。我从来没有意识到可以把一个月算作一个趋势。

美国M2水平：1980-2022

我们要分析事实。几十年来，随着经济的扩张，M2一直在稳步增长（这是可以预期的），但自2020年大流行以来，M2的增长是不寻常的。美国M2在2020年2月29日是15.46万亿美元。2020年3月大流行爆发，美联储把利率降到了零，并开始了前所未有的QE，美国政府也开始了一系列的财政刺激。M2在2020年6月30日前飙升至18万亿美元，在2020年12月30日前飙升至19万亿美元，在2022年3月31日达到了21.7万亿美元的峰值(2022年加息从0%至4.25%，QE变成了QT) 。是的，M2确实从2020年11月的21.354万亿美元下降到2022年12月的21.207万亿美元。 在24个月内创造了6.24万亿美元的M2之后，我无疑不会把1470亿美元的下降称为世界末日般的下降，即将到来的厄运。

相反，我认为M2下降的速度太慢了（货币主义者会认为2020年3月后M2的空前跃升是我们在2022年目睹的四十年高通胀的催化剂）。M2需要下降到18万亿美元的水平以适应正常化的范围。事实上，美国联储一直在通过每日公开市场操作吸收2万亿美元的过剩流动性。

美国货币市场基金（4.8万亿美元AUM）和银行存款（17.7万亿美元）。请注意风险资产巨大的超配和催化剂:

全球固定收益- 2022年的痛苦就是2023年的收益

一月份也是全球固定收益市场强劲的一个月份。彭博全球综合指数一月截至27日上涨3.30%，而彭博美国综合债券指数上涨2.99%。10年期美国国债收益率本周结束时为3.50%。一月截至27日，彭博美国投资级债券和高收益级债券指数分别上涨3.78%和3.91%。

自2022年10月21/24日的低点到1月27日的回升最为引人注目。彭博全球综合指数自低点以来录得两位数（10.75%）的涨幅，彭博美国投资级债券债券指数上涨10.50%。新兴市场债券自去年10月21日的低点以来上涨了13.03%。

全球固定收益市场：2022年的崩溃和随后的复苏：

理性的期望或非理性的繁荣

美国第四季度的GDP以2.9%的速度稳健增长（第三季度增长率为3.2%）。我们都知道GDP数字是一个滞后指标（它告诉我们历史，而不是告诉我们未来会发生什么）。正如大众媒体所关注的12月经济活动的疲软（零售销售下挫1.1%，工业生产下降0.7%，衡量通货膨胀的PPI骤降0.5%）一样，这些跌幅都是出乎意料的大，并助长了过去几个月来一直存在的观念，即经济可能最终进入了温和的衰退，而通货膨胀已经开始迅速下降。 有一个诱人的说法，美联储将在今年年底前降息，而我不相信这诱人的观点。

美联储的政策仍然不紧，美联储基金低于通货膨胀率。此外，经济继续创造就业机会，没有任何他们即将放缓的迹象。近几个月来，利率全面迅速下降：自11月7日以来，2年期美国国债收益率下降了0.5%，10年期下降了0.7%，30年期抵押贷款利率下降了0.9%。这些利率的下降可能会促进今年上半年的GDP增长，并重新点燃通胀。12月PCE平减指数数据（周五公布）显示，12月PCE平减指数放缓至5.0%，11月为5.5%（2022年6月为7%）。核心PCE平减指数为4.4%。尽管通胀趋势正朝着正确的方向发展，但还是离3%（新的2%）相当遥远，更不用说美联储2%的目标了）。美联储可能会在下周（或3月）的FOMC会议上按下暂停键，但主张降息的确是一种诱人的说法。

蔡清福

Alvin C. Chua

2023年1月28日，星期六

东亚和中国股票市场的表现与全球同行相比：

截至2023年1月27日的数据*1：截至1月20日

The gains of 2023: We have received the first month’s installment

The Santa Claus Rally (SCR) indicator was devised by the legendary market technician Yale Hirsch as the last 5 trading days plus the first 2 trading days of the new-year. FFTD is a straight-forward term referring to the first 5 trading days of the year. The 3rd indicator “January barometer” is simply the performance in the month of January. The combination of SCR + FFTD + January barometer “Trifecta Indicator” takes into consideration the institutional investor year-end rebalancing and positioning, and the month January positioning for the full year. 

Since 1950, a perfect combination of positive SCR + FFTD + January barometer “Trifecta Indicator” has occurred 31 times, and the market has been up 28 out of those 31 years. Out of those 31 years, there were nine years in which the S&P had ended the prior year with negative returns. Interestingly, all nine out of nine years, the S&P ended the year with gains. 

So far in 2023, the S&P 500 index has met both the SCR and FFTD. As of Friday January 27, the S&P is up 6.02% so far in January. With two more trading sessions next week, we are highly likely to finish January with a positive January barometer and a perfect “Trifecta Indicator” for 2023.  

Global equity markets had put in great performance so far in 2023. The Dow, S&P and Nasdaq gained 2.51%, 6.02% and 11.04% respectively in January (with two more trading days to go next next). So far, European equities had a great month too, with the MSCI Europe and FTSE 100 indices gaining 7.14% and 4.21% respectively. The EM and Asian equities were the star performers so far in 2023, with the MSCI EM, MSCI Asia ex-Japan, HangSeng index, and MSCI China gaining 9.91%, 10.54%, 14.70% and 17.54% respectively. The HXC index (Chinese equities listed in the US) gained a whopping 23.16% YTD.

The MSCI China Index and the HXC index (Chinese equities listed in the US) 2023 notable outperformance YTD caught the attention of BARRON’S (and Wall Street?). I like the following front-page headline:

China markets are closed this week for Lunar New Year holiday, and the Hong Kong market is a shortened 2-day trading week. However, all the China related indices are assured to meet the “Trifecta Indicator” for 2023.

**: as of Jan 20, 2023

It has been a strong month for the global fixed income markets. The Bloomberg Global Aggregate index gained 3.30% MTD, while the Bloomberg US Aggregate index gained 2.99%. The 10-yr US Treasury bond yield ended the week at 3.50%. YTD, the Bloomberg US IG bond and HY bond indices gained 3.78% and 3.91% respectively.

Please refer to the following table for first week 2023 vs prior year comparisons:

All data as of Jan 27, *1: as of Jan 26, *2: as of Jan 20

Where do we go from here? 

Theend of interest rate hikes?

On Wednesday, the Bank of Canada raised its overnight rate to 4.50% from 4.25%, the highest level in over 15 years, but said it would now pause to assess the economic impact of sharply higher borrowing costs.

The Bank of Canada is the first central bank among major developed economies to declare that it is done for now raising interest rates in the quest to bring inflation down from historically high levels.Inflation in Canada has slowed from 8.1% in June to 6.3% in December.

On Dec 5, 2022, the Bank of Canada was the first developed economy to pivot from a 75bp rate hike to a 50bp rate hike, which was followed by the Fed and ECB.

The Fed is widely expected to raise overnight interest by 25bp on Feb 1.Would the Fed follow the Bank of Canada’s lead, and declare a pause on rate hikes? 

The Global Economy：

Despite a year of high inflation and multiple series of rate hikes (with the overnight Fed Funds rate rising from 0% to 4.25%), the US GDP rose 2.9% in Q4 2022 (Q3 was +3.2%). The Q4 GDP alleviates concerns of near-term economic slow-down.

US Nominal and Real GDP: 2019 Q1 to 2022 Q4 Q/Q annualized:

Source: US Commerce Department (seasonally adjusted annual rates)

US Nominal and Real GDP level: 2000 to 2022 (inflation adjusted in 2012 dollars):

Source: US Commerce Department. Seasonally adjusted)

The economic outlook for the Eurozone is improving. On Wednesday, Germany released a forecast that the largest economy in the Eurozone is expected to narrowly avoid a recession in 2023 (reversing a recession forecast in October), that the economy withstands the aftershock of the war in Ukraine much better than prior projections had estimated. The energy shock is dissipating and an upswing in China will benefit Europe’s export dependent economy.

Shrinking Money Supply (M2) and apocalyptic prediction:

M2,a popular measure of money supply (which includes cash, checking and savings accounts, CDs, and retail money market funds) declined US$ 147 billion in December (-0.7% MoM). Some popular media has started to argue a seductive narrative that “the December money supply is a record monthly decline since that data began in 1959, which evidently tells us something about the underlying weakness in the economy”. I never realize we can count one month as a trend. 

US M2 level: 1980 – 2022:

Let us put the facts in perspective. M2 has been growing steadily over the decades as the economy expands (to be expected), but the M2 growth since the 2020 pandemic has been extraordinary. The US M2 was US$ 15.46 trillion on 2/29/2020. Then the pandemic hit, and the Fed lowered the interest rate to zero, and embarked on unprecedented QE, and the US Government embarked on fiscal largesse. M2 skyrocketed to $18 trillion by 6/30/2020, $19 trillion by 12/30/2020, and peaked at $21.7 trillion on 3/31/2022 before the 2022 rate hike from 0% to 4.25% by the end of 2022, and QE turned into QT. Yes, M2 did decline from $21.354 trillion in Nov 2020 to $21.207 trillion by Dec 2022. After a $6.24 trillion M2 creation over a 24-month period, I certainly will not call a $147 billion decline “an apocalyptic decline which signals impending doom”. 

Instead, I would argue that M2 decline has been TOO slow (monetarists would argue that the unprecedented jump in M2 post March 2020 was the catalyst of the 4-decade high inflation we witnessed in 2022). M2 needs to decline to $18 trillion level to fit into the normalized range. In fact, the US Fed has been absorbing $ 2 trillion of excess liquidity via daily open market operation.

US Money Market Funds ($4.8 trillion AUM) and Bank deposits ($17.7 trillion):Please note the enormous dry powder and catalyst for risk assets.  

I will make a further argument that the decline in M2 (and further decline) is good for risk assets. Money sitting in cash, checking and savings accounts, CDs, and retail money market funds is not doing any good for stocks and bonds, and I note the enormous dry powder that can be deployed into risk assets.

Global Fixed Income – the pain of 2022 is the gains of 2023:

It has been a strong month for the global fixed income markets. The Bloomberg Global Aggregate index gained 3.30% MTD, while the Bloomberg US Aggregate index gained 2.99%. The 10-yr US Treasury bond yield ended the week at 3.50%. YTD, the Bloomberg US IG bond and HY bond indices gained 3.78% and 3.91% respectively.

The recovery since the Oct 21/24 lows in 2022 through Jan 27 has been most impressive. The Bloomberg Global Aggregate Index has registered a double-digit (10.75%) gain since the low, and the Bloomberg US IG bond index gained 10.50%. EM Bonds gained 13.03% since the low on October 21 last year.

Global Fixed Income markets: the 2022 debacle and subsequent recovery:

Rational Expectation or Irrational Exuberance?

The US GDP expanded at a solid 2.9% pace in the fourth quarter (and 3.2% growth rate in Q3).We all know that the GDP figure is a lagging indicator (telling us history but not much about what is going to happen in the future). As much as the popular media focused on weakness in economic activities in December (retail sales sank 1.1%, industrial production fell 0.7%, and the PPI measure of inflation plunged by 0.5%). Those declines were all unexpectedly large and fueled the notion that has been building for the past several months that the economy may have finally entered a mild recession, and inflation has begun a rapid descent.  The seductive narrative has been that the Fed will be cutting rates by the end of the year.  I just do not believe so. 

Fed policy is still not tight with the Fed funds rate below the rate of inflation.Also, the economy continues to create jobs with no hint that it is about to slow down. Interest rates across the board have fallen rapidly in recent months. Since November 7, the 2-year US Treasury note yield has fallen 0.5%, the 10-year US Treasury has declined 0.7%, and the 30-year US mortgage rate has dropped by 0.9%. These rate declines could boost GDP growth in the first half of this year, and re-ignite inflation. The December PCE Deflator data (released on Friday) showed December PCE deflator slowed to 5.0% vs 5.5% in November (it was 7% in June 2022). Core PCE deflator was 4.4%. As much as the inflation trend is heading in the right direction, but nevertheless quite far away from 3% (the new 2%), not to mention the Fed’s target of 2%). The Fed may hit the pause button at the FOMC meeting next week (or in March), but to argue for rate cut(s) is indeed a seductive narrative.

By Alvin Chua 

Saturday January 28, 2023

East Asia and China equity markets performance vs the global peers:

Data as of Jan 27, 2023

*1: as of Jan 20, 2023