高盛-新兴市场-投资策略-墨西哥股票和债券的错位，这是一种不寻常的新兴市场趋势-20190315-26页_1mb

EM Strategy Views Summary

Core Content

This document discusses the unusual correlation between emerging market (EM) equities and local bonds, focusing on Mexico as a standout case. It outlines the current market dynamics, the role of central bank policies, and the valuation trends across EM countries.

Main Themes

1. EM Equities and Local Bonds: More in Common Than Appreciated

• EM equities and local bonds are highly correlated, especially for high-yielders, due to shared FX exposure.
• The GBI-EM index is more correlated with EM equities than with the EMBI, S&P 500, or commodity prices.
• The correlation suggests that carry trades in EM are not only affected by left-tail risks but also by growth risks.
• The recent rally in EM equities and local bonds is driven by different factors, with local bonds benefiting from rate relief and equities from positive news in China.
• Benchmarking equity vs. local bond moves is useful in assessing EM dislocations, unlike in US markets where equities and bonds are seen as competing assets.

2. The Fed Reprieve and EM Rate Curves

• The recent flattening of EM rate curves has been as sharp as in early 2016, but the growth backdrop and curve steepness are different.
• EM front-end rates have moved in line with the US curve, but the belly of the curve has not flattened as much.
• Markets with high export exposure or historical vulnerabilities (e.g., Mexico, Indonesia, Korea, Thailand, Brazil) show stronger correlations with the US rate curve.
• Mexico stands out for its high correlation with both the front-end and belly of the EM rate curve, driven by FX risks and economic linkages with the US.

3. Mexican Equity Underperformance Relative to Rates

• Mexican equities have underperformed relative to local rates despite a supportive interest rate environment.
• The underperformance is attributed to two factors:
  1. Expectations of high policy rates remaining in place.
  2. The front-end of the curve has softened, but the belly has not, which is more critical for equity valuation.
• The document suggests that Mexican equities are due for outperformance as rates decline, with a recommended 75bp rate cut for Banxico this year.

Key Information

• The market is currently pricing in about 55bp of rate cuts for Mexico, which is less than the 75bp expected by the authors.
• The 3y-1y curve in Mexico is steeper than in late 2017, indicating the market is not comfortable with the idea of a prolonged easing cycle.
• Mexican equities are more negatively correlated with local rates than other EM counterparts since the global financial crisis.
• The correlation between Mexican equity performance and the US growth differential has increased, and the recent slowdown in US growth has impacted Mexican equities.
• The authors expect US growth to accelerate in Q2, which should help Mexican equities recover.

Outlook

• The authors maintain a bullish view on Mexican equities and local rates, believing that the rate environment is supportive.
• They highlight the importance of the belly of the rate curve for equity valuation and suggest that the market has room to price in more significant cuts as the central bank begins the easing cycle.
• FX stability in Mexico is also noted as a key factor that could support the market's re-rating.

Appendix – Macro Forecasts and Activity

• GDP Growth:
  • Mexico: 2.0% (2018E), 1.7% (2019E), 1.7% (2020E)
  • EM (Local): 3.8% (2018E), 3.5% (2019E), 3.8% (2020E)
• Inflation:
  • Mexico: 3.9% (Current), 3.8% (12m fwd), -0.8% (3m ch)
  • EM (Local): 4.5% (Current), 4.5% (12m fwd), 3.9% (3m ch)
• Policy Rates:
  • Mexico: 8.25% (Current), 7.50% (2019E), 6.75% (2020E)
• FX Forecast (USD):
  • Mexico: 19.30 (Current), 19.25 (3-m), 19.00 (6-m), 18.75 (12-m)
• Macro Slice Performance vs. MSCI EM:
  • The document includes several charts showing the performance of EM assets relative to the MSCI EM index, highlighting the dislocation in Mexico.

Conclusion

• The authors believe that Mexican equities are undervalued relative to the rate environment and are due for a rebound as policy rates ease.
• They emphasize the importance of the belly of the rate curve in equity valuation and suggest that the current market sentiment is overly cautious about the easing cycle.
• FX stability and the expected acceleration in US growth are seen as positive catalysts for Mexican equities.