모건스탠리 투자 분석 보고서 | All Over but the Shouting

gic-weekly_CW44_All Over but the Shouting.pdf

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모건스탠리에서 Global Investment Committee (GIC) 소관으로 투자 시장에 대한 분석 보고서를 배포하는데, 그 내용을 살펴보면서 영어/ 금융 표현을 짚어보려고 한다.

 

우선 들어가기에 앞서 트럼프 당선 가능성에 주가가 휘청휘청하는 이유에 대해, 마침 뉴스레터로 받은 요약 글을 공유한다. (출처: 아웃스탠딩)

 

 

지난 한달동안 시장은 매우 활발하게 움직였으며 이미 높아진 주가에 공화당 승리 및 "완벽한 연착륙"에 대한 기대감으로 과매수상황이 조성되었다. 이에 따라 기대수익률은 큰폭으로 상승하여 연말까지 시장을 지탱할 것으로 기대되나, 표면적 상황이 아니라 중장기적인 메세지에 주목할 필요가 있다.

 

1. 10년 만기 미국 국채 수익률이 계속해서 상승하고 있지만 예상보다 좋은 성장세 이면에는 높은 실질 금리가 있다는 점을 간과하지 않아야 한다. 높은 실질금리가 계속된다면 연준이 금리 인하를 늦출 수 있기에 인플레이션의 위험이 도사린다.

 

2. 만기 프리미엄이 상승하고 있고, 이는 재정 및 통화 정책 (미 정부의 부채)에 대한 잠재적 위험을 의미하는 것일 수 있다. 금의 강세가 이를 뒷받침 해준다.

 

따라서 포트폴리오를 재조정하고, 비유동 자산으로 최대한 분산 투자할 것을 권고하고 있다.

 

단순히 시장이 좋으니 긍정적인 결과를 기대하기 보다는, 인플레이션 위험과 미 정부의 부채 문제가 연준과 정치인들을 제약할 수 있다는 점을 인지하고, 최대한의 분산 투자를 권장하고 있다.

 

Markets have been extremely active over the past month as traders have juiced up the already ebullient scenario baked into equity valuations, adding improved odds of a Republican sweep to the list of goodies discounted. With expectations for an “immaculate soft landing” having already fueled overbought conditions, this has exaggerated a procyclical rotation. While the collateral damage [J1] of such enthusiasm has been a major backup in rates, investors have preferred to mostly focus on mixed third quarter earnings. Ample liquidity and positive sentiment could continue to carry markets through year-end, but we are increasingly watching the message in the yield backup. Looked at one way, the move in the 10-year US Treasury yield is a warning that while growth has been better than expected, the implication is higher real rates and inflation expectations—factors likely to slow Fed cuts and defy forecasts embedded in stock valuations. The yield backup may also be decomposed into a material rise in the term premium[J2] , pointing to potential risks around fiscal and monetary policy. Gold’s counterintuitive outperformance amid US dollar strength and rising rates is also noteworthy. Consider rebalancing portfolios and pursuing maximum diversification among stocks (in terms of both regions and sectors), bonds (neutralizing major duration skews), real assets, hedge funds and private illiquid investments, where we prefer secondaries, infrastructure and real estate-focused funds.

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 [J1]원래는 전쟁 등에서 의도하지 않은 피해를 가리키는 말이지만, 여기서는 재차 인플레이션이라는 주된 사건으로 인해 국채 시장이라는 다른 영역에서 예상치 못한 부정적인 영향을 받고 있다는 의미

 [J2]투자자들이 단기채권으로 자본을 이동시키지 않고 장기채권 투자에 지속하게 하기 위한 장기채권의 추가 이윤율(인센티브).

 

 

Barely a week has passed in 2024 without the S&P 500 Index reaching an all-time high, as the benchmark’s closing price of 5,865 on Oct. 18 marked the 47th occurrence. The momentum has been driven in large part by valuations and the bullish soft-landing narrative, as earnings for the index grew only about 5% to 6% per year through the second quarter, with the index itself up close to 64% since October 2022. As a result, forward price/earnings multiples have expanded from roughly 18 to 22.6, while the equity risk premium has fallen from 278 basis points to 34 basis points. Such rich valuations, while supported by ample market liquidity (global M2 money supply is growing again at an 18% annualized pace), are built on ambitious corporate earnings expectations, which call for year-over-year growth of 10% in 2024 and 15% in 2025. Since the Federal Reserve’s Sept. 18 start to easing, confidence in this scenario has solidified—even as the expected number of cuts has shrunk—helping markets to broaden. This rosy backdrop has received additional fuel and sector-rotation [J1] momentum from prediction markets[J2] , which have established a Trump victory and a Republican sweep in the November elections as favored outcomes. Consider that since mid-September, prediction-market odds of a Trump win have risen from 46% to 62%, while Republican-sweep odds are up from 29% to 46%. Notably, these moves have correlated with the outperformance of “Trump trades” such as financials, information technology and bitcoin. The implication of all this apparent celebration is twofold: 1) The list of events left to be priced as “upside surprises” is quickly shortening versus unpriced risks, and 2) the collateral damage of reflation is taking place in the Treasury market[J3] . To wit, over the past month, the 10-year yield, at 4.24%, has backed up more than 50 basis points, as has the two-year yield, sustaining a slight steepening of the yield curve. Critically, the repricing seems to reflect a slate of potential concerns that should be examined. First is the move in real rates, which has accounted for slightly more than 55% of the increase in the 10-year yield. On one level, this makes sense, as metrics tied to real growth, such as retail sales, purchasing managers’ indexes and economic surprises, have been better than forecast. Meanwhile, evidence of slowing tied to a soft landing continues to be limited primarily to manufacturing and housing. Similarly, the rates selloff has coincided with fading aggressiveness in fed funds futures, which now project reduced Fed urgency, forecasting only five and a half more cuts by January 2026. It isn’t just the size of the move and volatility that have gotten our attention, however. Real yields matter critically to equity valuations and cost of capital, and at 1.96%, the 10-year real rate is near a level previously associated with post-COVID-cycle stock market swoons. A second concern is the move in inflation expectations, which have advanced roughly 25 basis points in the past month. While most of the bulls are shrugging off risks reflected in the core CPI and “supercore[J4] ” services indexes, we don’t share the consensus view that inflation risks are fading. To the contrary, readings have recently been disproportionately flattered by deflationary goods pricing from the global manufacturing sector and falling energy prices. Resilient pricing in rents and housing, where structural shortages persist, continue to threaten an inflation pickup, as do wage costs, with labor unions increasingly extracting concessions. Then there are the corresponding moves in inflation expectations and the election odds, with bond owners clearly signaling that former President Trump’s tariff and immigration proposals are likely to be inflationary.

 

Another way to decompose the backup in the 10-year yield is to analyze the term premium, or the change in rates across the curve due to the timing of policy risks across duration. The Fed uses the Adrian, Crump and Moench (ACM) model to measure the term premium. Based on this metric, the 10-year term premium has risen more than 40 basis points over the past month, only the fourth time in the post-COVID cycle that we have seen such an uptick in desire to be compensated for policy risk. While no one factor explains it, we see weaker Treasury auctions, falling Fed reverse repo balances [J5] and recent US budget announcements (indicating a 2024 fiscal deficit of $1.8 trillion) as adding to concerns about US debt and deficit sustainability. Perhaps none of these factors would concern us if not for the nonconfirmatory price move in gold. As we illustrate in Chart of the Week, it has been defying traditional negative correlations with real rates and the US dollar, outperforming the S&P 500 for the second year in a row and continuing to hit all-time highs. Other precious metals, like silver and platinum, are now also participating. This suggests that while US equity investors don’t seem to care whether the bull market is at risk, others, including global central banks, may have a different opinion. We are paying attention. Bottom Line. Fueled by ample liquidity and positive sentiment, investors have bid up stocks amid ambitious earnings expectations. While most of the narrative around the nominal bull market has revolved around the Fed’s successfully delivering a “perfect” soft landing, more recently, enthusiasm about a procyclical rotation has included increased positioning for a Republican electoral sweep. Bonds, meanwhile, have moved in the opposite direction from stocks, with the nominal yield backup reflecting potential concerns about real rates, long-run inflation expectations and a material move in the term premium. Not only do these dynamics typically not support expanding stock multiples, but the fact that they are occurring while gold rallies furthers our caution. Rather than celebrating outcomes as if they are universally positive, we are in a hedging mood, recognizing that inflationary threats and US debt and deficits may ultimately constrain the Fed and politicians, while equity investors may be forced to revisit valuation assumptions. The list of unpriced potential upside surprises is dwindling. Watch gold’s price and its broken correlation with the US dollar and real rates for indications that risks are building. Consider rebalancing portfolios and pursuing maximum diversification among stocks (in terms of both regions and sectors), bonds (neutralizing big duration skews), real assets, hedge funds and private illiquid investments, where we prefer secondaries, infrastructure and real estate-focused funds.

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 [J1]"Sector rotation" is a strategy in investing where investors move money from one sector of the market to another. So, this phrase means that the positive trend has been boosted by investors shifting their investments into different sectors.

 [J2]Prediction markets are platforms where people can bet on future events. If many people are betting on a positive outcome for a particular sector, it can influence investor sentiment and drive investment into that sector.

 [J3]경제를 살리기 위해 인플레이션을 유도하려는 정책을 펼치면서, 의도하지 않게 안전 자산으로 여겨지는 국채 시장이 큰 타격을 입고 있다

 [J4]"Supercore" services refer to a subset of services within the broader services category, often excluding more volatile items like food, energy, and shelter. These "supercore" services—like healthcare, financial, and other non-discretionary services—are seen as a better reflection of underlying inflation trends because they’re less impacted by temporary price fluctuations. The term emphasizes this more stable, underlying component of inflation that’s thought to be "stickier" and thus more difficult to reduce through policy measures alone.

In this context, the "supercore" label highlights the concern that inflation in these stable service areas isn’t fading as quickly as in other categories, contrary to what some bulls believe.

 [J5]A decline in the Federal Reserve's reverse repo (RRP) balances typically signals that fewer financial institutions are parking excess cash with the Fed overnight in exchange for Treasury securities. This drop can indicate that liquidity in the financial system is tightening, meaning banks and other institutions have less cash to store with the Fed.

In this context, the falling RRP balances add to concerns about U.S. debt sustainability by highlighting potential shifts in liquidity conditions. As liquidity tightens, it could increase borrowing costs or limit the demand for Treasury securities, impacting the government’s ability to finance deficits affordably. Lower RRP balances can also suggest that demand for safe, short-term assets is decreasing, potentially signaling rising interest rates or shifts in market confidence.