Sell in May and go away?

卖五月,然后离场?

2019/05/12 23:02
对照中文英文原文
今年迄今为止风险资产的强劲表现使人们更加关注“五月卖出并离场”战略带来的潜在回报。摩根大通资管解释了为什么今年对于新兴市场货币的投资者来说这种方法可能是不合理的。

“Sell in May and go away” is a phrase that originates from the historical observation that US stock markets have tended to rise most between the months of November to April. In particular, May is cited as a frequent turning point for a period of negative performance in risk assets.

“5月卖出并离场”是一个短语,源于美国股市在11月到4月之间往往涨幅最大的历史观察。特别是,5月被认为是风险资产负面表现的一个常见转折点。

It is not the case that stock returns in the period May to October have been particularly negative historically (Table 1 shows that on average they have been positive). However, returns have lagged those recorded in November-to-April periods on average. Whether this historical observation will continue to hold into the future is the subject of much debate. There are those who argue that one cannot draw statistically significant conclusions from this analysis, while others will argue that the market is efficient and once a profitable statistical pattern is recognisable, it will be meaningfully arbitraged away in subsequent years.

并不是因为5月至10月期间的股票回报在历史上尤为负面,表1显示,平均而言,回报是正面的。但是,回报率平均落后于11月至4月期间的回报率。这一历史观察是否继续在未来成立是很多人争论的主题。有些人认为,人们无法从这一分析中得出统计上显著的结论,而其他人则认为市场是有效的,一旦有利可图的统计模式可以识别,它将在随后的几年中被套利。 

Emerging market currency performance has historically been positively correlated to risk asset sentiment because of the pro-cyclical drivers of emerging market returns (commodity prices, the global export cycle etc). Therefore, it would make sense if historical returns on emerging market currencies displayed much of the same seasonality as stock market returns. Table 2 shows that this is indeed the case. May has been a particularly challenging month for emerging market currency performance in recent years as a number of identifiable negative market events (the Greek debt crisis, the taper tantrum, Italian political instability etc.) have promoted US dollar strength and emerging market currency weakness. However, although lightning may have struck in May several times, there is no specific reason to anticipate another lightning strike this year. 

由于新兴市场回报(商品价格,全球出口周期等)的顺周期驱动因素,新兴市场货币表现历来与风险资产情绪正相关。因此,如果新兴市场货币的历史回报显示出与股票市场回报大致相同的季节性,那将是有意义的。表2显示确实如此。由于一些可识别的负面市场事件(希腊债务危机,缩减恐慌,意大利政治不稳定等)推动美元走强和新兴市场货币疲软,5月对新兴市场货币表现来说是一个特别具有挑战性的月份。然而,虽然意外可能在5月份多次发生,但没有具体的理由预计今年会再发生一次意外冲击。

Valuations and fundamentals remain supportive We believe the backdrop for risk asset performance remains supportive. Global growth is recovering from the downturn at the end of 2018, and central banks globally have shifted to a more accommodative stance, which is likely to be maintained for some time given weak global inflation pressures. Stock market performance has been strong year-to-date, although this has not been matched by emerging market currency returns, where aggregate total returns are disappointing at only ~+1% year to date. Reflecting these mediocre returns, we do not believe speculative long positioning in emerging market currencies is excessive and hence we are not entering May from a starting point of stretched valuations or positioning. It is also the case that emerging market currency fundamentals are, on aggregate, relatively sound compared to previous years (for example, external balances are healthy) and we anticipate future positive news on China/US trade negotiations and further evidence that Chinese stimulus measures are starting to promote stronger levels of Chinese growth. This backdrop should prove supportive for emerging market currency outperformance, with higher yields also attracting portfolio flows set against a backdrop of low yields in developed markets. We are therefore cautious on the “Sell in May and go away” strategy as it relates to emerging market currencies in 2019 from a statistical, valuation and fundamental perspective. Instead, we prefer to position for emerging market currency outperformance against a diversified funding basket of developed currencies to help guard against further unanticipated US dollar strength.

估值和基本面仍然支持风险资产表现的背景。全球经济增长正在从2018年底的经济下行中复苏,全球央行已转向更加宽松的立场,由于全球通胀压力疲弱,这一立场很可能维持一段时间。今年迄今为止股市表现一直很强劲,尽管这与新兴市场货币回报并不匹配,其总回报率令人失望,年初至今仅为1%。由于这些平庸的回报,我们认为新兴市场货币的投机长期仓位并不拥挤,因此5月不会是估值下降或仓位解除的时机。与前几年相比,新兴市场货币基本面总体而言相对稳健(例如,外部头寸是健康的),我们预计中国/美国贸易谈判的未来利好消息以及中国的进一步刺激措施将开始促进更强的中国增长水平。这种背景应该支撑新兴市场货币的优异表现,更高的收益率也吸引了发达市场低收益率背景下的投资组合流动。因此,从统计、估值和基本面来看,我们对2019年与新兴市场货币相关的“5月份卖出并离场”策略持谨慎态度。相反,我们倾向于将新兴市场货币的表现优于多元化的发达货币资金篮子,以防止美元进一步意外走强。

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