Active Fixed Income Perspectives: 1st quarter 2019

积极的固定收益展望:2019年第一季度

2019/04/30 02:55
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与2018年底相比,2019年第一季度市场人气和表现都出现了大幅逆转。这是由美联储(fed)连续发出的鸽派信号(包括3月份的言论)指引的,这些信号令债券市场感到意外,导致收益率大幅下降。

The first quarter of 2019 had a sharp reversal from the end of 2018 in both market sentiment and performance. This was guided by successive dovish signals from the Federal Reserve, including March's comments, which took the bond market by surprise and sent yields considerably lower.

与2018年底相比,2019年第一季度市场人气和表现都出现了大幅逆转。这是由美联储(fed)连续发出的鸽派信号(包括3月份的言论)指引的,这些信号令债券市场感到意外,导致收益率大幅下降。

The strong, and contrasting, reactions to the Fed's comments over the prior two quarters highlight the continued disconnect between Fed communication and market interpretation. As such, we begin the second quarter with the Treasury yield curve taking a somewhat unusual "S" shape.

市场对美联储前两个季度言论的强烈反应形成鲜明对比,突显出美联储的沟通与市场解读之间仍存在脱节。因此,第二季度伊始,美国国债收益率曲线呈现出某种不寻常的“S”形。

U.S. Treasury and municipal yield curves

美国国债和市政债券收益率曲线

Sources: Vanguard calculations, using Bloomberg data, U.S. Treasury

资料来源:先锋计算,使用彭博数据,美国财政部

Economic outlook and rates

经济展望及利率

We continue to expect a deceleration in economic growth during 2019 but do not view a U.S. recession as imminent. Economic data in China have weakened, but we expect stabilization toward midyear, prompted by supportive fiscal policy. This is likely to have positive spillover effects on European growth, which has been underwhelming. Trade tensions remain a wild card, with downside risk to the global economy, but progress toward a resolution will support growth.

我们继续预计2019年经济增长将放缓,但并不认为美国经济衰退迫在眉睫。中国的经济数据有所疲软,但我们预计,在财政政策的支持下,中国经济将在年中企稳。这很可能对欧洲经济增长产生积极的溢出效应,而欧洲经济增长一直表现平平。贸易紧张局势仍是个未知数,全球经济面临下行风险,但解决问题的进展将支持经济增长。

The U.S. Treasury yield curve inversion warrants discussion. While historically a reliable predictor of tougher economic times, we are not giving full credence just yet to the predictive power of this recent inversion. The reason being the federal funds rate is close to neutral, rather than restrictive. Previous inversions have coincided with tighter monetary policy. Additionally, past inversions that led to recessions have tended to start at the long end and migrate to the short end. This time, the reverse is happening, possibly signaling that the market may expect the Fed to ease relatively soon. We respect this signal, but we need to see persistence in the yield curve’s inverted state to determine its significance. Given the extreme flatness of the yield curve, our preferred strategy is to position for curve steepening, since we believe it could transpire across a number of scenarios.

美国国债收益率曲线反转值得讨论。虽然从历史上看,这是预测经济形势将更加艰难的可靠指标,但我们目前还没有完全相信最近这种逆转的预测能力。原因是联邦基金利率接近中性,而非限制性的。此前的逆转与收紧货币政策同时发生。此外,过去导致经济衰退的反转往往始于长期,并向短期转移。这一次,情况发生了逆转,可能预示着市场可能预计美联储将相对较快地放松货币政策。我们尊重这一信号,但我们需要看到收益率曲线反转状态的持久性,以确定其重要性。考虑到收益率曲线的极端平坦性,我们的首选策略是为曲线变陡做准备,因为我们相信它可以在许多情况下发生。

U.S. agency/U.S. mortgage-backed securities

美国机构/美国抵押贷款支持证券

We entered the year overweight to agency mortgage-backed securities (MBS), given their attractive valuations. This view proved beneficial as the quarter's strong rally pulled MBS spreads tighter. Going forward, we see the picture for MBS as more challenged, and we have reduced our overweight. Interest rates on mortgage loans have fallen in tandem with the recent decline in Treasury yields, resulting in a higher likelihood that mortgage holders will refinance. This increased convexity risk has, and will continue to, hurt valuations. In addition, mortgage supply will pick up following spring home-buying season and as the Fed continues to unwind its MBS positions. We have moved to a neutral posture on MBS, with a focus on securities that offer better prepayment protection.

今年年初,我们增持了机构抵押贷款支持证券(MBS),因为它们的估值颇具吸引力。事实证明,这种观点是有益的,因为该季度的强劲反弹拉紧了MBS息差。展望未来,我们认为MBS的前景更具挑战性,我们已经减少了超重。随着近期美国国债收益率的下降,抵押贷款利率也随之下降,导致抵押贷款持有者进行再融资的可能性提高。凸性风险的增加已经并将继续损害估值。此外,随着美联储继续解除MBS头寸,抵押贷款供应将在春季购房季节后回升。我们已转向对MBS持中立态度,重点关注提供更好提前还款保护的证券。

Inflation/TIPS

通货膨胀/建议

Break-even inflation (BEI) spreads widened during the first few months of the year largely because of a strong rebound in oil prices and a calming of global risks, but levels are still below the range that persisted for most of 2018. Oil's retracement of more than 30% in the first quarter brings the price of West Texas Intermediate crude oil within the expected range we highlighted late last year. Drivers of inflation overall have been mixed and below the Fed's 2% target, but the Fed is indicating more willingness to let inflation run above this level. The market is in a show-me mode, however, and we think it will take several strong inflation readings with no Fed reaction for investors to raise their longer-term inflation expectations. By the end of the year, we see core inflation muted, but ending close to 2%. Near term, we are taking advantage of opportunities in a seasonal 1-year BEI carry trade and a long position in 30-year BEI because we see it as underpriced.

今年头几个月,盈亏平衡通胀率(BEI)息差扩大,主要原因是油价强劲反弹和全球风险得到缓解,但仍低于2018年大部分时间的水平。今年第一季度油价回调超过30%,使西德克萨斯中质原油(West Texas Intermediate)的价格处于我们去年年底强调的预期区间。通货膨胀的驱动因素有好有坏,低于美联储2%的目标,但美联储表示更愿意让通货膨胀高于这一水平。然而,市场正处于“自我展示”模式,我们认为,在美联储没有做出反应的情况下,投资者需要几次强劲的通胀数据,才能提高他们的长期通胀预期。到今年年底,我们看到核心通货膨胀有所减弱,但接近2%。近期,我们正利用1年期贝南克套息交易的季节性机会,以及30年期贝南克套息交易的多头仓位,因我们认为贝南克价格被低估。

Implications for Vanguard funds:

先锋基金的启示:

  • Maintain a close-to-neutral duration overall, but positioned for a steeper curve.
  • 保持一个接近中性的持续时间整体,但定位为一个更陡峭的曲线。
  • Remain overweight to 30-year BEI and are tactically long in shorter-maturity TIPS.
  • 保持体重到30岁的BEI,并在战术上长期持有较短期的TIPS。
  • Shift to a neutral MBS position, based on less attractive valuations and increased convexity risk.
  • 基于不太有吸引力的估值和上升的凸性风险,转向中性的MBS头寸。

Credit markets

信贷市场

First-quarter performance across fixed income credit reflects a sharp reversal from the "risk off" tone that pushed spreads significantly wider during the fourth quarter of 2018. This rally was driven by the Fed's pivot to a more dovish posture—pausing interest rate hikes and slowing its balance sheet runoff.

第一季度固定收益信贷领域的表现,反映出“避险”基调的急剧逆转。“避险”基调在2018年第四季度大幅推高了息差。美联储转向更为温和的姿态——暂停加息并放缓资产负债表的流动性——推动了此次反弹。

U.S. investment-grade and high-yield corporate valuations richened in the quarter, reaching the 25th percentile of historical spread levels. Given our outlook, today's valuations leave less scope for further price appreciation. A U.S. economy that avoids a recession would provide only moderate upside from today's levels, while the onset of a recession would prompt large underperformance—once again, credit offers an asymmetrical risk/return profile.

美国投资级和高收益公司估值在第二季度大幅上升,达到历史利差水平的25%。鉴于我们的前景,目前的估值留给价格进一步上涨的空间较小。美国经济若能避免衰退,则仅能在目前水准上提供温和的上行空间,而衰退一旦爆发,则将导致市场表现大幅逊于预期。信贷再一次呈现出风险/回报不对称的状况。

Retracement in credit spreads

信贷息差的回调

Source: Bloomberg Barclays, as of March 31, 2019.

资料来源:彭博巴克莱,截至2019年3月31日。

That being said, we are comfortable maintaining overall credit-risk exposure near the lower end of our range and still see tactical opportunities in parts of sectors where valuations haven't completely adjusted to the recent rally. Subsector and issuer selection, along with up versus down in quality, are levers we expect to pull to add value in this environment.

话虽如此,我们仍乐于将整体信贷风险敞口维持在区间低端附近,并在估值尚未完全适应近期涨势的部分领域仍看到战术机会。在这种环境下,我们希望借助分行业和发行机构的选择,以及质量的上升和下降来增加价值。

Investment-grade1 corporates

Investment-grade1企业

A January rally in credit spreads, combined with a March decline in Treasury yields, pushed first-quarter returns in the sector above 5%. Industrial issuers outperformed financials and utilities, driven by a strong rebound in energy prices that bolstered energy-related subsectors. A more accommodative Fed tone, an increase in demand from non-U.S. investors, lower net supply, and a relatively stable fundamental backdrop have helped further support credit sentiment. We used this opportunity to reduce or exit positions in highly levered or less liquid issuers that we view as being vulnerable in a decelerating U.S. economy, and to lean into higher-quality U.S. and non-U.S. banks.

1月份信贷息差上升,加上3月份美国国债收益率下降,推动该行业第一季度回报率超过5%。受能源价格强劲反弹的推动,工业类股表现强于金融类股和公用事业类股。美联储的语气更加宽松,非美国需求增加。投资者、较低的净供应以及相对稳定的基本面,都进一步支撑了信贷人气。我们利用这一机会,减少或退出我们认为在美国经济减速中容易受到冲击的高杠杆或流动性较差的债券发行机构的头寸,并向高质量的美国和非美国债券倾斜。银行。

Interestingly, we've seen market participants show more patience with corporate issuers relative to last year. Downward revisions to company guidance and even rating downgrades have been met with less negative price impact. We are encouraged by the more "bondholder friendly" steps several firms have taken to decrease leverage, but we acknowledge that this environment warrants a more selective approach. We view valuations as fair and fundamentals as somewhat stretched, but an overall accommodative environment in the near term presents better relative value in BBBs versus As, with opportunities for security selection across the sector.

有趣的是,与去年相比,市场参与者对公司发行者表现出了更大的耐心。下调公司业绩指引,甚至下调评级,对股价的负面影响较小。几家公司采取了更“有利于债券持有人”的措施来降低杠杆率,这令我们感到鼓舞,但我们承认,在当前环境下,有必要采取更有选择性的做法。我们认为估值是公平的,基本面有些吃紧,但短期内整体宽松的环境显示bbb相对于as的相对价值更高,整个行业都有选择证券的机会。

Structured finance

结构性金融产品

Consistent with their lower beta relative to other credit sectors, asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) followed the quarter's pattern of spread compression, but to a lesser degree. We continue to see a supportive case for ABS from a strong U.S. consumer and for CMBS from stable property valuations and a favorable supply-demand dynamic. With respect to fundamentals, we do not see any major areas of concern. Pockets of delinquencies or borrower defaults will likely be contained, and bondholders should benefit from overcollateralization and our focus on diversification within our securitized exposure. Our positioning reflects a defensive bias—moving up in credit quality through higher-rated auto securities and adding back exposure to higher-quality subsectors, such as credit cards.

资产支持证券(ABS)和商业抵押贷款支持证券(CMBS)的贝塔系数相对于其它信贷行业较低,这与它们的贝塔系数相一致,它们遵循了上季度的息差压缩模式,但程度较低。我们继续看到强劲的美国消费者支持资产支持型证券,稳定的房地产估值和有利的供需动态支持CMBS。在基本面方面,我们没有看到任何值得关注的重大领域。部分违约或借款人违约可能会得到控制,债券持有人应该受益于过度担保,以及我们对证券化风险敞口多元化的关注。我们的定位反映了一种防御性的倾向,即通过较高评级的汽车证券提高信贷质量,并增加对信用卡等高质量子行业的敞口。

Emerging markets

新兴市场

Emerging markets (EM) benefited considerably from a pause in U.S. interest rate hikes. This, alongside strong investor demand, supportive country fundamentals, and a lower-than-expected early-year supply, boosted performance across both investment-grade and high-yield EM issuers. After an especially strong start to the year, the rally in EM debt moderated in March. Our portfolios benefited from an overweight to the sector during the quarter, and we still see opportunities going forward, but any further spread tightening will likely require a catalyst and be led by lower-quality EM issuers.

新兴市场从美国暂停加息中获益匪浅。这与强劲的投资者需求、支持性的国家基本面以及年初低于预期的供应一道,提振了投资级和高收益新兴市场发行者的表现。在今年开局特别强劲之后,新兴市场债务的反弹在3月份有所放缓。本季度,我们的投资组合受益于对该行业的增持,我们仍认为未来仍有机会,但任何进一步收紧息差的举措,都可能需要催化剂,并由质量较低的新兴市场发行者牵头。

As anticipated, the technical backdrop is becoming more challenging as new supply has picked up meaningfully and credit spreads are at richer levels. We expect a reduction in demand from profit taking and have moved into a neutral position to the sector overall. This is expressed through a tactical overweight in select lower-quality issuers, such as Argentina and Ukraine, offset by overweight positions in high-quality Middle East issuers, such as Qatar. Notably, we are underweighting Turkey amid significant volatility.

正如预期的那样,技术背景正变得越来越具有挑战性,因为新供应已显著回升,信贷息差也处于较高水平。我们预计获利了结的需求将减少,整个行业的需求已转为中性。这表现在对阿根廷和乌克兰等精选的低质量债券发行方的战术加码,以及对卡塔尔等中东高质量债券发行方的加码。值得注意的是,在市场剧烈波动之际,我们低估了土耳其的权重。

High-yield corporates

高收益公司债

The recovery in high-yield corporates throughout the first quarter was swift, marking the strongest start to a calendar year on record. Although high-yield bonds recovered most of their losses from the fourth quarter, current spreads of 390 basis points (bps) remain 90 bps wider than the postcrisis tights of October 2018.

今年第一季度,高收益企业的复苏非常迅速,标志着有记录以来最强劲的开局。尽管高收益债券较去年第四季度收复了大部分失地,但目前390个基点的息差仍比2018年10月危机后的水平高出90个基点。

The first-quarter rally has been atypical in that lower-quality high-yield credits have not outperformed. BB-rated bonds have recovered more than twice what they lost during the end of 2018, while CCC-rated bonds have recovered only about 75% of their fourth-quarter losses. We see a few key reasons for this. First, CCCs outperformed meaningfully in the summer of 2018. Second, BBs have benefited from their longer duration and higher liquidity. Third, we believe the downturn in global economic data has caused investors to avoid going too far down in quality. Buying BBs is the easier and more liquid method to benefit from a beta-driven market recovery without adding a large amount of default risk late in the economic cycle. While the down-in-quality underperformance is notable, we don’t view this as an indicator of an imminent recession.

第一季度的反弹是不典型的,因为低质量、高收益的信贷没有跑赢大盘。bbc级债券的损失是2018年底的两倍多,而ccc级债券仅恢复了第四季度损失的75%左右。我们看到了几个关键原因。首先,CCCs在2018年夏季的表现明显优于预期。其次,BBs受益于其较长的存续期和较高的流动性。第三,我们认为,全球经济数据下滑已导致投资者避免在质量方面做得过低。在不增加经济周期后期大量违约风险的情况下,购买BBs是从beta驱动的市场复苏中获益的更容易、流动性更强的方法。虽然质量下降的表现不佳是值得注意的,但我们并不认为这是即将到来的衰退的一个指标。

Although the first quarter saw robust issuance, the high-yield technical picture remains strong, supported by meaningful inflows to high-yield bonds ($10.6 billion), which came largely from bank loans ($10.1 billion in outflows). While expected defaults remain low, high-yield valuations have recovered and now leave only moderate upside. We continue to favor the lower relative risk of BBs despite their recent outperformance and are focused on adding value primarily through bottom-up credit selection.

尽管第一季度债券发行强劲,但高收益技术面依然强劲,高收益债券(106亿美元)的大量资金流入提供了支撑,这些资金主要来自银行贷款(101亿美元的资金流出)。尽管预期违约率仍较低,但高收益债券的估值已经回升,目前只留下温和的上行空间。尽管BBs最近表现优异,但我们仍倾向于较低的相对风险,并主要通过自下而上的信贷选择来增加价值。

Implications for Vanguard funds:

先锋基金的启示:

  • Slightly overweight credit exposure overall but hovering near the lower end of our range, based on a positive near-term view and a watchful longer-term outlook.
  • 整体信贷风险略高于预期,但基于正面的近期看法和谨慎的长期前景,仍徘徊在区间低端附近。
  • Overweight select BBB and BB-rated corporate bonds, avoiding vulnerable names with high leverage and weaker growth prospects.
  • 加码选择BBB和bba评级的公司债券,避免高杠杆率和增长前景较弱的脆弱股票。
  • Move toward an overall neutral position to EM ahead of a more challenging technical backdrop, but capitalize on tactical opportunities along the credit-quality spectrum.
  • 在更具挑战性的技术背景之前,对新兴市场采取总体中性立场,但要抓住信贷质量方面的战术机遇。
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