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Global Cross Asset Strategy: Viruses, Votes and Volatility March 4, 2020

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Global Cross Asset Strategy: Viruses, Votes and Volatility March 4, 2020 Global Cross Asset Strategy: Viruses, Votes And Volatility March 4, 2020 After posting multiple record highs for much of the year, the benchmark S&P 500 US equity index was jolted into correction territory, as investors began to panic that the coronavirus outbreak would not be successfully contained. We had already placed among our key 2020 views a put option on the S&P 500 Index with March 31 expiry, due to our belief that political risks were underappreciated, and the market was generally too complacent. We took advantage of the rapid decline, selling those puts with a massive 245% return (see publication explaining the strategy here). This effectively allowed us to re- enter our long S&P 500 view at the bottom of the correction (see updated table on the following page), and we retain a broadly bullish view on stocks moving Kathryn Rooney Vera forward. Head of Research & Strategy [email protected] +1 786.871.3758 Our timing for selling our puts was supported by a far better-than-expected performance by former Vice President Joe Biden during the ‘Super Tuesday’ Gregan Anderson, CFA voting held on March 2, where a large share of total delegates needed to secure Macroeconomic Strategist the Democratic nomination for the US Presidency were up for grabs. Following [email protected] a strong showing in South Carolina and endorsements from key Democratic +1 786.871.3743 leaders (including three former opponents who had dropped out of the race), Biden won 10 out of the 14 states, with the others all going to rival far-left Chge In End- candidate Vermont Senator Bernie Sanders. We believe that the market would Past 2 YTD 2020 be unfazed by the prospect of a Joe Biden Presidency, and perhaps more Asset Spot Weeks Change Target USG10Y 0.99 -57bps -93bps 2.00 importantly, the disruption a Sanders presidency would likely cause to major USG30Y 1.63 -38bps -76bps 2.50 sectors, including most notably health care, is now far less likely to occur. JGB10Y -0.13 -8bps -12bps 0.00 DXY 97.34 -2.38% 0.98% 97.00 EUR 1.11 2.97% -0.78% 1.12 While we are still far from out of the woods regarding the coronavirus, the JPY 107.35 3.71% 1.14% 112.00 markets will be supported by the improving political outlook, as well as a MXN 19.54 -4.92% -3.06% 18.50 BRL 4.58 -4.21% -11.65% 3.90 surprisingly quick reaction by the US Fed, which cut 50bps in a bid to counteract SPX 3060 -9.64% -5.30% 3500 the potentially adverse economic impacts of the virus. We expect a global IBOV 105573 -9.39% -8.71% 130000 coordinated effort to tackle the crisis through both additional monetary policy MEXBOL 43080 -4.06% -1.06% 49000 Brazil 10Y 6.18 -8bps -47bps 6.50 as well as a fiscal response. Mexico 10Y 6.29 -20bps -55bps 6.70 MXEF 1028 -6.87% -7.79% 1219 Gold 1640 1.76% 8.10% 1600 Looking ahead, we like health care stocks as the ‘Bernie Bust’ is less likely to WTI Crude 46.9 -11.97% -23.17% 55.0 occur, and we would rotate a portion of bond holdings into high-yielding stocks As of 03/04/2020 to benefit from both higher yields and greater capital appreciation potential from current suppressed levels. ▪ Fixed Income: US yields plummeted to record lows as investors fled to safe- haven assets, although the yield curve has steepened. ▪ FX: The dollar finally relinquished its ytd gains as the carry trade versus the EUR was drastically diminished. ▪ Equities: US stocks saw their quickest correction since the 1930s, but the sell-off presents investors with opportunities looking ahead. ▪ Commodities: Oil prices tumbled on global growth concerns, but should firm as coronavirus fears subside. Bulltick 2020 Investment Strategy – Top Picks Equity USD Returns Since Call Initiation (dates in parentheses) S&P Real Estate (12/18- ) 5.8% S&P 500 + put option @3,190* (12/18- ) 2.0% S&P Consumer Staples (12/18- ) 0.9% MSCI China Cons Disc (12/18- ) -0.4% MSCI Asia ex-Japan (12/18- ) -5.1% MSCI EM Index (12/18- ) -6.9% Euro Stoxx 50 (12/18- ) -8.0% Capital Gains S&P Financials (12/18- ) -10.6% Dividend Gains Forex Gains Brazil IBOV (12/18- ) -16.0% Total Return -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% *Total gains of underlying position including an ATM put option hedge expiring 3/31/20, sold on 2/28/20. Benchmark Fixed Income USD Returns Since Call Initiation (dates in parentheses) Brazil USD, 2028 (12/18- ) 7.1% Capital Gains Interest Gains Petbra 2024 (USD) (12/18- ) Forex Gains 3.9% Total Return Pemex 2027 (USD) (12/18- ) 2.3% Mexico MXN (MBONO), 2027 (12/18- ) 1.0% Colombia (COLTES) 2028 (12/18- ) 0.1% Brazil BRL (NTNF) 2029 (12/18- ) -7.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% Fixed Income Strategy: ▪ US 10Y yields are at all-time lows, falling below an Developed Markets 10Y Total Returns astoundingly low 1.00%, following the most rapid correction since the market collapse of 1933, with the benchmark S&P 2-week return YTD return 500 Index falling more than 10% in just six days. The proximate 7.6% cause of the correction was the apparent lack of containment 5.4% of the coronavirus outbreak emanating from China. While we 4.7% 4.7% 4.5% 3.8% 3.7% continue to believe that a devastating global health 3.3% catastrophe will be avoided, the virus has proved much more 2.7% 2.5% 1.5% difficult to contain that previous outbreaks, such that cases 0.6% outside of China continue to climb. Germany Japan US France Italy UK ▪ On Tuesday, the Fed added to the downward pressure on yields with an emergency 50bps cut, the first time an EM Local Currency Bond Total Returns extraordinary FOMC rate decision has been deployed since the 2-week return YTD return global financial crisis more than a decade ago. Officials had telegraphed on Friday that a rate cut was likely to occur in 32.9% March, and ultimately concluded that the additional boost 17.7% from the element of surprise would be beneficial. We now expect that further stimulus is on the horizon, not just in the 0.1%1.4% 2.2% US, but from central banks across DM. -0.5% -2.1% -2.4% -3.1% -4.6% -9.4% -13.2% ▪ We expect that rates will remain low, but that further rally Argentina Peru Colombia Chile Mexico Brazil will be blunted. Ongoing political risk (particularly the ongoing 2026 2029 2030 2030 2029 2029 swings in the trajectory of the Democratic Primary race) will keep rates from rising substantially from these new lows in the EM USD-Denominated Bond Total Returns short term. However, a further rally will be precluded by the 2-week return YTD return scope of the recent move (leaving less room for further yield 7.6% compression), as well our expectation that the intensity of the 5.9% 6.5% 5.5% 4.7% 3.1% coronavirus crisis will diminish over the coming weeks. 2.7% 2.5% 2.4% 2.1% ▪ Against this backdrop, EM bonds will ultimately benefit from a return of the reach for yield, coupled with upside in -1.9% commodity prices. -7.7% Chile Mexico Colombia Peru Brazil Argentina 2028 2028 2029 2027 2029 2028 Benchmark Asset Begin-2020 Current YTD Interest YTD Capital YTD Forex Total YTD 2020 Target 2020 YTM YTM Gains, % Gains, % Gains, % Return, % YTM Return, % UST 10Y 1.87 0.87 0.39% 7.18% - 7.57% 2.00 1.01% German 10Y -0.23 -0.64 0.00% 4.11% -0.66% 3.43% -0.35 -0.12% Japan 10Y 0.00 -0.14 0.02% 1.28% 1.17% 2.48% 0.00 -3.13% Mexico MBONO 2029 6.89 6.26 1.36% 4.07% -3.10% 2.16% 6.70 10.43% Mexico USD, 2029 3.25 2.49 0.73% 5.77% - 6.50% 3.00 5.00% Brazil BRL 2029 6.79 6.56 1.41% -1.21% -12.22% -12.04% 6.50 -3.69% Colombia TES 2030 6.34 5.77 1.24% 4.10% -5.50% -0.44% 6.00 2.09% Chile CLP 2030 3.14 3.20 0.72% -2.03% -8.23% -9.43% 3.50 -0.88% Argentina ARS, 2026 50.34 41.11 7.42% 31.44% -4.19% 33.04% 45.00 20.38% Venezuela 2028 (USD) 67.66 59.34 13.88% 30.65% - 44.52% 66.00 106.14% Peru Soberano 2029 4.20 3.65 0.94% 3.71% -3.11% 1.39% 4.00 2.93% Source: Bloomberg, Bulltick. All returns are in USD As of 03/04/2020 Fixed Income Chartpack: ① US yields have falling to nearly 3 standard deviations from the moving 1-year average, on the back of a rapid decline in risk appetite. ② Spreads between the US and other DM benchmark sovereigns have declines, given the steep declines in the US outpaced the declines seen abroad. #1 US--10-Year Yield, % (with 1, 2, and 3 Standard Developed Markets--10Y Yields, % #2 Deviations from 1-year moving average) 3.5 4.0 3 s.d. from 1-year moving average 3.0 3.5 2 s.d. from 1-year moving average 1 s.d.
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