橋水：全球展望

1、Global OutlookJanuary 2019One Glendinning Place Westport, CT 06880One Glendinning Place Westport, CT 06880(203) 226-3030 HYPERLINK / OUTLOOKAs global liquidity continued to pull back last year, almost everyasset class around the worldfell.The question going forward is what the flow-through will be t

2、ogrowth and how policy makers willrespond.With almost no tightening priced in, any tightening would befaster than discounted, and even a pause would not provide much stimulation.Markets are pricing earnings to grow at a moderate pace. Wethink these expectations are too optimistic, particularly in th

3、eU.S.When the next downturn comes, it could be a real mess. Central banks have little room to ease and high levels of political conflictwill make an effective policy responsedifficult.For information about the data sources used to inform the analysis in this outlook and other important information,

4、please review the “Important Disclosures and Other Information” located at the end of the presentation.WE ARE IN THE LATE CYCLECentralBankLiquidity TightensRisk Premiums Rise & Assets FallGrowth RisesNowGrowth SlowsRisk Premiums Fall & Assets RiseLiquidity ImprovesCentral Bank EasesTHE GLOBAL FLOW O

5、F MONEY AND CREDIT IS ROLLING OVERLiquidity rollingLiquidity rollingoverLiquidity expandsVol ETFsTurkey “Tradewar”RussiaBrazilItaly Fall/Winter sell-offLiquidity contractsAssets risePoor liquidity discountedAbundant liquidity discountedFINANCIALCRISISTODAYThis exhibit is a conceptual illustration. P

6、lease review the “Important Disclosures and Other Information” located at the end of this presentation.ABUNDANT LIQUIDITY HAD PUSHED UP ASSET PRICESGlobal 60/40 Portfolio Cumulative Excess Returns Over Periods Since 1970 100%80%2009-201860%40%Average20%0%012345678910Data shown through December 2018.

7、 Global 60/40 Portfolio refers to 60% capital weight in global equities and 40% capital weight in global nominal bonds.THE U.S. TIGHTENING CYCLE HAS BEEN GRADUAL BUT SIGNIFICANTOverall Tightening Including QE as Large as Any Since 1982Rateincluding QE1920195019601970198019902000ShortRate18%3%0% Pric

8、ing2.5%2.0%1.5%1.0%0.5%Fed Balance Sheet(%GDP)202019%18%FOR THE FIRST TIME IN 18 YEARS, THE PRIVATE SECTOR WILL DETERMINE THE PRICING OF FINANCIAL ASSETSGlobal Central Bank Purchases of Financial Assets (%WorldGDP)NextYear6%4%0%-1%-2%-3%1960197019801990200020102020Forward estimate is based on Bridge

9、water analysis.CREDIT HAS PARTIALLY OFFSET THE PULLBACK IN MONEYCentral BankMoneyCreationUSA ShortRateQE1QE3QE2QE1QE3QE2ECB & BoJ QEFed Roll-Off; ECB Pullback7%4%6%5%3%4%3%2%2%1%1%0%0%DevWorldNon-FinPrivateCreditCreation(%GDP)Gradual recoveryDeleveragingGradual recoveryDeleveraging12%10%8%6%4%2%0%-2

10、%-4%20082011201420172000200320062009201220152018AND THE FINANCIAL SYSTEM IS RELATIVELY HEALTHY FOR THIS STAGE OF THE CYCLEBank Lending and Funding (%GDP, 6mma)Bank Lending FlowHot Money Funding Flow12%10%8%6%4%0%-2%-6%19701975198019851990199520002005201020152020AMIDST THIS TIGHTENING,MOST ASSETS UND

11、ERPERFORMED IN 2018Global Assets Ranked by 2018 Performance (USD Excess Returns)Natural Gas9.2%Gold-4.6%Oil-17.6%Brazil Govt Bonds2.5%Brazil Equities-5.7%Spain Equities-18.0%Japan Govt Bonds1.6%United Kingdom Govt Bonds-5.8%Nickel-18.3%Korea Sovr Spreads1.6%Canada Govt Bonds-6.8%Canada Equities-18.6

12、%Brazil Sovr Spreads0.8%United States Equities-7.1%Copper-19.4%India Govt Bonds0.6%Australia Govt Bonds-7.2%Italy Equities-19.5%China Sovr Spreads0.5%Spain Sovr Spreads-7.7%Aluminum-19.5%United States Corp Spreads-0.5%France Sovr Spreads-8.1%Korea Equities-22.6%Russia Sovr Spreads-0.6%Euroland Corp

13、Spreads-8.4%Zinc-23.5%United States Govt Bonds-0.8%Italy Sovr Spreads-9.8%Germany Equities-23.5%Mexico Sovr Spreads-0.8%India Equities-12.9%China Equities-28.3%Russia Equities-1.7%Australia Equities-13.9%Turkey Equities-43.8%Korea Govt Bonds-1.7%France Equities-14.9%Turkey Govt Bonds-48.9%Mexico Gov

14、t Bonds-2.2%Japan Equities-15.2%Germany Govt Bonds-4.0%Mexico Equities-16.4%Turkey Sovr Spreads-4.2%United Kingdom Equities-16.7%Data shown through December 31, 2018.MARKETS TYPICALLY LEAD THE ECONOMYYear of EquityPeakYear of EquityPeakMonths UntilEconomy PeaksNext 12m EquityExcess ReturnNext 12m Ea

15、rningsGrowthNext 12m Chg inBond Yield197219801983198712-15%6%-0.2%9-8%-2%1.4%11-24%20%0.3%9-13%-13%4%1.4%No Turn16%2.1%19-16%23%-0.1%200020071-19%-25%-1.0%4-12%-12%-0.5%Equity market peaks often followed by many months of continued economic strength and earnings growth-but also tighteningBased on hi

16、storical data for the US.EQUITY WEAKNESS HAS BEEN DUE TO FALLING VALUATIONS, WHILE EARNINGS GREW MODESTLYGlobal Equity Market Action (Indexed to Jan 2018)Plentiful liquidity and strong earnings during 2017Softening earnings growth and tight liquidity starts to dragpricesPullback in liquidity while e

17、arnings are still strong causes prices to move sidewaysEquityPriceEPSP/EPlentiful liquidity and strong earnings during 2017Softening earnings growth and tight liquidity starts to dragpricesPullback in liquidity while earnings are still strong causes prices to move sidewaysJan-17Apr-17Jul-17Oct-17Jan

18、-18Apr-18Jul-18115%110%105%100%95%90%85%80%United StatesPriceFwdEPSFwd Jan-17Jul-17Jan-18Jul-1820%10%0%-10%-20%-30%-40%EurolandPriceFwdEPSFwd Jan-17Jul-17Jan-18Jul-1820%10%0%-10%-20%-30%-40%ChinaPriceFwdEPSFwd Jan-17Jul-17Jan-18Jul-1820%10%0%-10%-20%-30%-40%UnitedJapUnitedJapanUnited StatesEurozoneJ

19、apanUnited StatesEurozoneJapan Growth Growth Potential00051015-1%-2%-3% ChinaGrowthChinaGrowth Potential0005101510.0%7.5%5.0%2.5%4%000500051015Growth Potential2%1%0%-1%-2%-3%-4%Emerging Markets ex-ChinaEmerging Markets ex-China00Emerging Markets ex-ChinaEmerging Markets ex-China00051015Growth Potent

20、ial10.0%7.5%5.0%2.5%0.0%-2.5%-5.0%5.0%000500051015Growth Potential0.0%-2.5%-5.0%-7.5%Data shown through January 2019.THE BENEFIT TO GROWTH FROM U.S. FISCAL STIMULUS IS STARTING TO FADEU.S. Fiscal Impact on GrowthEstimate1.5%1.0%0.5%0.0%-0.5%-1.0%050811141720U.S. Budget Deficit ($ Billions)Estimate05

21、0811141720-1.5%$0-$200-$400-$600-$800-$1,000-$1,200-$1,400-$1,600IN THE U.S., INTEREST-RATE-SENSITIVE HOUSEHOLD SPENDING AND BUSINESS INVESTMENT IS STARTING TO SLOWHousing and Autos Contribution to RealGDPGrowthRest of Economy Contribution to Real GDPGrowthTimelyEst.Timely4%3%2%1%0%-1%-2%-3%-4%4%3%2

22、%1%0%00051015200005101520Timely EstFwd EstTimely EstFwd Est20002005201020154.0%3.0%2.0%1.0%0.0%-1.0%-2.0%-3.0%-4.0%CENTRAL BANKS PAUSING RATE HIKES WOULDNT BE VERY STIMULATIVE BECAUSE ITS ALREADY PRICED INU.S. ShortRate 7%5%3%2%1%0%95000510152025Fed Balance Sheet (%GDP, Y/Y)060810121416182010%8%6%4%

23、2%0%-2%-4%200 bpsGlobal Discounted Annual TighteningUSAEURJPNGBRCHN150bps100bps50bps0bps-50 bps12345Years OutMARKETS ARE EXPECTING MODERATE EARNINGS GROWTH AND U.S. OUTPERFORMANCE TO CONTINUEUS Earnings Per ShareActual EPS (ln)BW EstAnalyst Est (2017)Analyst Est(Today)2005 2006 2007 2008 2009 201020

24、1120122013201420152016201720182019 USA vs Developed World Fwd EPS (ln) ofEarnings197019905.15.00.20.0-0.2-0.4-0.6Forward estimate is based on Bridgewater analysis.CASH HAS BECOME A GOOD ALTERNATIVE, ESPECIALLY IN THE U.S.10%The Risk Curve is Relatively Flat2009: Crisis & Fed starts easingCurve steep

25、 as equities sell off, the Fed2009: Crisis & Fed starts easingCurve steep as equities sell off, the Fedpushes short rates to zero, and turns to QE2013: Still steep after years of easing Midway through QE3, some and a bit of a move out the risk curveNowCurve relatively flat despite equity selloff,wit

26、h Fed raising rates & reversing QE.Expected Return (Yield)2%0%ForwardCash10YearYield10YearReturnLess riskyMore riskyEurozoneEmergingEurozoneEmergingEurozone20092013Now11%9%5%1%-1%ForwardRate10 YearYield10 Year Return9%5%1%-1%ForwardRate10 YearYield10 Year Expected Equity JapanJapanJapanNowJapanNow20

27、0920132%Emerging MarketsNow 2011CashEmerging MarketsNow 2011Yield10 Year ReturnData as of December 2018. Return expectations are based on Bridgewater analysis. Please review the “Important Disclosures and Other Information” located at the end of this presentation.MEANWHILE, CHINA IS SLOWING DUE TO P

28、AST TIGHTENING AND THE GLOBAL GROWTH SLOWDOWNChinaEmerging Markets ex-China0005000510152Growth Potential12%10%0005000510152Growth Potential7.5%-2.5%-5.0%BankClaimsonRealEconomyBank Claims on Financials (NBFIs and Other Banks)180%175%170%165%160%155%150%145%140%135%130%30%Level(%GDP)Change (6m,%GDP)L

29、evel(%GDP)Change (6m,%GDP)201020112012201320142015201620172018201915%10%5%0%75%70%60%10%60%10%55%8%50%45%40%35%2010-2%201515%Change (12m,Change (12m,%GDP)Level (%GDP)Top charts updated through January 2019. Bottom charts updated through November 2018. Please review the “Important Disclosures and Oth

30、er Information” located at the end of this presentation.CHINESE POLICY MAKERS ARE NOW EASING MONETARY AND FISCAL POLICY AND PAUSING REGULATORY TIGHTENING3m Swap Rate5%3%2%1%Base Money Creation (%GDP)10151015LocalGovtNetIssuance(%GDP,12mma)20152016201720183.0%2.5%2.0%1.5%1.0%0.5%0.0%Regulatory Stimul

31、us/Tightening - ChangeCBRC cracks down on WMPs, restricts new lending by banks.CBRC cracks down on WMPs, restricts new lending by banks.2015 Stock Market Regulatory windstorm - crackdownonshadowproducts.Tightening on frothy housing market.Opening of muni bond market to combat significant downward pr

32、essure on economy.New rules require more transparency on WMP assetsandinterbanklending.Lull over party congress followed by resurgence in regulatory pressure.More neutral stance as conditions have slowed.2007200920112013201520172019Please review the “Important Disclosures and Other Information” loca

33、ted at the end of this presentation.UNIQUE RISKS OF THE NEXT DOWNTURNCentral banks ability to reverse the next downturn willbe limited.Political divisions will impact effective policyaction.Deflation with interest rates near zero can trigger a self- reinforcing rise in real interest rates and rising

34、 riskpremiums.Too many financial promises to bekept.Global Outlook AppendixTHE COMPOSITION OF MARKET ACTION CHANGED THROUGHOUT 2018Returns from Changes in the Discount RateTightening was a bearish pressure on assets throughout the year.6%Tightening was a bearish pressure on assets throughout the yea

35、r.4%0%-2%-4%-6%-8%-10%Returns from Changes in Risk PremiumsTightening then flowed through to rising risk premiums6%Tightening then flowed through to rising risk premiums4%2%0%-2%-4%-6%-8%-10%Jan-18Apr-18Jul-18Oct-18Jan-19ReturnsfromRateBeingThanDiscountedand tightening and rising risk premiums event

36、ually began to flow throughto declining growth expectations as well.and tightening and rising risk premiums eventually began to flow throughto declining growth expectations as well.0%-2%-4%-6%-10%Jan-18Apr-18Jul-18Oct-18Jan-19Jan-18Apr-18Jul-18Oct-18Jan-19ReturnsfromInflationRateBeingHigher ThanDisc

37、ountedDiscounted inflation has been roughly stable through the year, albeit down a bit recently.6%Discounted inflation has been roughly stable through the year, albeit down a bit recently.0%-2%-4%-6%-10%Jan-18Apr-18Jul-18Oct-18Jan-19Data shown as of December 27, 2018. Please review the “Important Di

38、sclosures and Other Information” located at the end of this presentation. This analysis incorporates components of the All Weather Lens, which is an analytical approach to assess the behavior of the major drivers of asset performance and their impact on markets during any given period, based on Brid

39、gewaters understanding of global financial markets. Information shown is the result of analyses of actual and simulated market data.WHILE U.S. EQUITIES AND BONDS ARE PRICING IN UNPRECEDENTED OUTPERFORMANCE, CURRENCY PRICING ISNT AS EXTREMEReal Long Rate(U.S. vs Developed World)100-year100-yearhighsR

40、eal Implied Earnings Growth (U.S. vs Developed World)100-year100-yearhighs1%0%-1%-1%2040608000-2%2040608000-3%Real Exchange Rate (U.S.vsDevelopedWorld)Not at extremes and priced to depreciate50%Not at extremes and priced to depreciate30%10%-10%-30%204060800020Data current as of December 2018. Please

41、 review the “Important Disclosures and Other Information” located at the end of this presentation.EMERGING MARKET VALUATIONS AND SENTIMENT ARE LOWEM ex-CHN Real FXReal FXvsUSD3yrDisc8090001030%20%10%0%-10%-20%-30%-40%EM ex-CHN Earnings per ShareEM vs US Equities00051015120%110%100%90%80%70%60%50%40%

42、30%InvestmentManagerSentimentonEM Equities0005101580%60%40%20%0%-20%-40%EMAssetShareofGlobalMutualFunds& ETFHoldings08101214161818%17%16%15%14%13%12%11%10%Please review the “Important Disclosures and Other Information” located at the end of this presentation.ENVIRONMENTS OF CONTRACTING LIQUIDITY ARE

43、 TYPICALLY TOUGH FOR EMERGING MARKET ASSETSEM ex-China FX vs USD Liquidity Expands Liquidity Contracts3210-1-2-3-4EM ex-China Equities in USD108642070809000102090001020Emerging Markets ex-China0005000510152Growth Potential7.5%5.0%2.5%-2.5%FX returns shown in cumulative terms. FX analysis incorporate

44、s components of the All Weather Lens, which is an analytical approach to assess the behavior of the major drivers of asset performance and their impact on markets during any given period, based on Bridgewaters understanding of global financial markets. Information shown is the result of analyses of

45、actual and simulated market data. Please review the “Important Disclosures and Other Information” located at the end of this presentation.LARGE DIVERGENCES ACROSS EM COUNTRIES SUSCEPTIBILITY TO LIQUIDITY PULLBACKReliance on Foreign CapitalAbility to ManageReliance on Foreign CapitalAbility to Manage

46、CountryCurrent Account (%GDP)Financial Inflows (%GDP)Hard FX Ext Debt (%GDP)ST Ext Debt (%Total Ext)FX Pegged or Heavily ManagedNet Reserves (%GDP)ExtDebtinLocalFX (%Total)Aggregate SusceptibilityArgentina-5%9%31%10%No3%13%Very HighTurkey-7%3%45%16%No1%6%Very HighChile-1%4%54%14%No19%8%MedSouth Afri

47、ca-3%7%19%-No11%59%MedIndonesia-2%1%25%8%No6%15%MedBrazil-1%1%28%6%No14%4%MedHungary3%-2%59%25%No8%23%Med/LowPoland0%-1%49%11%No13%-Med/LowMalaysia4%4%55%24%No17%15%Med/LowCzech Republic1%-1%68%32%Yes51%-Med/LowTaiwan14%4%26%23%No58%-Med/LowMexico-1%2%25%7%No10%25%Med/LowIndia-2%5%13%5%No12%36%Med/L

48、owPhilippines-1%0%17%5%No19%3%LowPeru-1%1%27%7%No19%-LowThailand12%2%19%13%No40%35%LowRussia3%-1%22%6%No21%27%LowSouth Korea5%2%20%8%No26%27%LowU.K.: UNCERTAINTY SINCE BREXIT VOTE HAS HAD A MEANINGFUL IMPACT ON INVESTMENT AND GROWTHUK Real Exchange Rate vs Trade-Wgted Idx(Indexed to Brexit)10%0%-10%

49、-15%-20%Real YieldsBrexitUKUSEU 2.0%1.5%1.0%0.5%0.0%-0.5%-1.0%Real Growth (3m, Ann)BrexitUKPotentialDevWldex-UKUKFwdEstFwdEst7% 6%0%1012141618-25%10121416-1.5%05070911131517-1%The pound has come back to almost pre-Brexit levelswhile UK bonds continue to price in historically low real yields.Brexit h

50、as already been a 2% drag on the UK economy. And now we expect UK and global growth to slow.BrexitDecrease SignificantlyDecrease Somewhat101112131415161718DeloitteCFOSurvey:CapexExpectationsover BrexitDecrease SignificantlyDecrease Somewhat10111213141516171810%0%Real Business Fixed Investment (Index

51、ed to Brexit)BrexitUKBrexitUKUSEU141516171810.0%7.5%5.0%2.5%-2.5%-5.0%-7.5%UKCurrentAccount(%GDP)Brexit199019952000 2005201020151%0%-1%-2%-3%-4%-5%-6%-7%Brexit uncertainties and weak competitiveness are weighing on corporate investmentExternal financing needs remain largeSLOWING EUROPEAN GROWTH; ECB

52、 HAS LITTLE ROOM TO EASEGrowthAdjusted Unemployment RateCore Inflation (Y/Y)051005101520Euroland FwdEst-1%-2%05101528%CorePeripheryCorePeriphery18%13%8%Euroland ECB Euroland ECB FwdEst051015202.0%1.5%1.0%0.5%0.0%Growth is slowing, while the periphery remains depressed. Inflation remains below target.EurolandBudgetBalance(%GDP)Stability&GrowthPactTargetESPFRAITA2%1%0%-1%-2%-3%-4%EurolandGovtDebtLevelsStability & Growth Pact Target