高盛-新兴市场-投资策略-2019年投资组合管理风险敞口衡量-20190127-25页_1mb

EM Strategy Views Summary

Core Content

This report analyzes the positioning and factor exposures of active EM fund managers as of early 2019, using their return profiles rather than positioning surveys for a more timely assessment. It highlights how these exposures have evolved through the market cycle and provides insights into the current stance of EM portfolio managers across different asset classes.

Main Points

1. Beta Exposure Analysis

• Beta Exposure Trends: EM portfolio managers increased beta exposure at the end of 2018, but have scaled back in recent weeks. The average beta for EM active funds is around 0.86, with very few exceeding 1.
• Beta and Returns: There is a positive correlation between beta exposure and subsequent market returns, especially over the medium term (6-month horizon). However, the correlation is not very strong, and the relationship is counter-intuitive to some traders.
• 2018 Impact: The difficult year of 2018 led to a reduction in beta exposure, but the rebound in EM markets in early 2019 has helped active funds generate positive alpha.

2. Asset Class Exposures

Credit Funds

• Performance: Credit funds had strong alpha in 2017 but faced challenges in 2018 due to widening credit spreads.
• Exposure: They remain heavily exposed to the "HY vs. IG" trade within the EMBIG-DIV universe, with moderate overweight on commodity-heavy credits.
• Duration: Credit funds have low exposure to duration, suggesting expectations of rising US rates.

Local Bond Funds

• Performance: Local bond funds underperformed in 2018 due to a stronger USD and tightening Fed policy.
• Exposure: They are defensively positioned with low beta exposure, but are overweight on commodity-exposed bonds.
• DXY Exposure: Funds are net short dollars but outperform when DXY rises, indicating a relative exposure to EM markets.

Equity Funds

• Performance: Equity funds lagged in 2018 but have generated positive alpha in early 2019.
• Exposure: They are neutral on beta but overweight on commodities and Latin America, while underweight on Asia.
• Regional Tilt: Funds are more exposed to China than in recent years, but less so to Korea and Taiwan.

Key Information

• 2018 Context: EM markets faced a difficult year in 2018, leading to a reduction in beta exposure by managers.
• 2019 Trends: A year-to-date rebound in EM markets has boosted active funds' alpha, especially for those with a more pro-cyclical stance.
• Beta Dynamics: Beta exposure is not a reliable counter-indicator, but it has a positive correlation with future returns, especially over a 6-month period.
• Commodity Focus: Most EM funds have increased their exposure to commodities, suggesting a belief in the sector's performance.
• Regional Tilt: Equity managers are underweight on Asia and modestly overweight on Latin America, with increased exposure to China and reduced exposure to Korea and Taiwan.

Appendix Highlights

• Macro Forecasts: Goldman Sachs provides GDP growth, inflation, and policy rate forecasts for major EM markets and the world.
• FX Performance: FX returns are analyzed relative to USD, with forecasts and fair value data provided.
• Valuation and Earnings: MSCI EM valuation and earnings growth data is presented, along with cross-asset valuations and Z-scores.
• Activity Indicators: Current activity indicators across EMs are shown, including FX and credit data.

Summary of Exposures

Conclusion

The report suggests that EM portfolio managers are increasingly pro-cyclical in early 2019, with a focus on commodities and certain regions. While beta exposure has a positive correlation with returns, it is not a strong indicator. Fund managers are adjusting their positions based on market dynamics and expectations of future economic conditions.