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2Q
2 0 1 6
Investment Report
Global
Interest Rate Trends
Central Bank Watch
Government yields declined sharply as economic uncertainty increased following the UK’s vote to leave the EU. German 10-year yields turned negative.
The BoE indicated policy would be eased over the summer. Fed rate hike
expectations diminished.
3.0
2.0
1.5
Germany
1.0
0.5
Japan
0.0
-0.5
Jan 15
Apr 15
Oct 15
Jul 15
Forecast
Balance Sheet (% of GDP)
10-Year Government Yields (%)
110
100
90
80
70
60
50
40
30
20
10
0
2007
US
2.5
Jan 16
Apr 16
BoJ
Fed
ECB
2008
2009
2011
2010
2012
Source: Bloomberg
2013
2014
2015
2017
2016
Source: Bloomberg. As of 23 Mar 16
Sector Spreads
Sector Returns
US credit spreads continued to recover from their February wides. US MBS
underperformed the strong rally in government bonds.
US credit sectors outperformed over the quarter. GBP-denominated credit
underperformed the strong rally in UK government bonds.
2Q16 Duration-adjusted Excess Returns (%)
8
7
US High-Yield
6
Spread (%)
Euro
5
9
5
4
USD EM Sovereign
US Corporate
US Mortgage
3
2
1
0
Jan 14
Apr 14
Jul 14
Oct 14
Jan 15
Apr 15
Jul 15
Oct 15
Jan 16
UK
EM
US
4.4
4
3
2
1
0
-1
Apr 16
1.0
1.0
1.3
1.3
USD EM
Sovereign
EM
Corp
0.2
-0.2
Corp
HY
Corp
-0.2
-0.7
HY
Source: Barclays, JPMorgan
Corp
MBS
HY
Source: Barclays, Merrill Lynch
Country Returns
Currency Returns
Government bonds posted positive returns. Brazil outperformed on expectations the new President would employ more conservative policies.
The Japanese yen rallied sharply while sterling underperformed as the UK
unexpectedly voted to leave the EU.
20
10.1
10
8
6
4.4 4.5 4.5
4
2
0
0.1
Poland
0.7
Italy
*All maturities
1.4
Japan
1.6
2.7 2.8
2.2 2.3
Mexico Germany France
Spain
US
UK
South Australia Brazil*
Africa
Source: Bloomberg, JPMorgan
2Q16 Currency Total Returns vs USD(%)
2Q16 Local Currency 7–10-Yr Total Returns (%)
12
15.2
15
9.0
10
5
0.2
0
-5
-10
-7.7
British
Pound
-5.5 -5.1
Mexican
Peso
Polish
Zloty
-2.8 -2.4 -2.1
Euro
2.0
3.6
-0.4 -0.1
Australian Chinese S. Korean Indian Canadian S. African
Dollar
Dollar Renminbi Won
Rupee
Rand
NZ
Dollar
Japanese Brazilian
Yen
Real
Source: Bloomberg
Global
PERFORMANCE SCORECARD
We thought that …
Therefore, we …
And the results …
Despite market volatility and increased anxiety
about China’s economic outlook, the global
recovery—though fragile—would be ongoing. Monetary policy would remain highly accommodative, especially in Japan and Europe.
Fed rate increases would be slow and gradual
in 2016. Core bond yields were expected to
remain in relatively narrow ranges.
Managed overall portfolio duration tactically + A long duration bias was positive and the
with a bias to be long duration to offset against
US outperformed Germany and Japan. A
allocations to credit and EM exposure. Increased
US and European yield-curve flattening bias
US duration and yield curve flattening strategy.
benefitted returns.
Maintained the European yield curve flattening
strategy. Increased short duration in Germany
and Japan.
The ECB remained committed to an expansionary monetary policy and this would continue to
support a further narrowing of spreads between
Italian government bonds and core markets. EM
countries continued to face multiple headwinds
but, in our opinion, valuations reflected many of
these challenges and presented an opportunity
to add value in select countries.
Maintained exposure to Italian government + A strong recovery in long-dated Mexican bonds
bonds. Remained positioned to benefit from
boosted returns. Italian bonds detracted as
the risk premiums in EM bonds by increasing
peripheral markets underperformed Germany.
exposure to Mexico. Maintained exposure to
Poland, Brazil and India.
Investment-grade corporate bonds had come Maintained exposure to investment-grade cor- +/–An overweight allocation to the investmentunder meaningful stress, especially BBB rated porate bonds.
grade corporate bond sector contributed to
issues and long maturity bonds. Valuations of
returns but issue selection detracted.
many securities had moved past where we saw
fair value. In the financial sector, deleveraging,
capital build and regulatory constraint remained
credit-positive.
Global growth fears had forced a sharp re-pricing Where permitted, maintained exposure to + Where permitted, high-yield and USD-deof high-yielding corporate bonds. Concerns high-yield corporate bonds and select USDnominated EM sovereign issuers contributed
over defaults in the sector exceeded levels we denominated EM sovereign issues.
to returns.
anticipate based on our analysis of company
fundamentals.
The Fed had started the process of rate normalization but the BoJ and the ECB were biased to
ease policy further. The yen and the euro were
likely to weaken versus the US dollar. Currencies
of select EM countries with strong fundamentals
offered potential for appreciation. Commoditylinked currencies could recover.
Western Asset
Increased long positions in the Polish zloty and –
Canadian dollar. Tactically reduced short positions in the yen and the euro following the UK’s
vote to leave the EU. Maintained exposure to
the Mexican peso and Indian rupee diversified
with short positions in the Chinese renminbi
and South Korean won.
2
A short position in the yen detracted significantly from performance over the quarter. Long
positions in the Polish zloty and Mexican peso
also detracted. This was mildly offset by short
exposures to the euro and Australian dollar
which provided diversification.
Second Quarter 2016
Global
OUTLOOK
The UK’s decision to leave the EU raises significant political and economic uncertainty, which is likely to have a negative impact on investment and consumer confidence in both the UK and Europe. However,
with global growth and inflation risks skewed to the downside, we
expect the Bank of England (BoE), European Central Bank (ECB) and
Bank of Japan (BoJ) to provide further policy accommodation over the
coming months, and for the Federal Reserve (Fed) to retain its “data
dependent” bias.
spread widening contained. Should risk premiums rise in the next few
months due to increased uncertainty surrounding the EU framework,
however, we would look to add to exposure.
The direct impact of Brexit on Asia is not expected to be material. In
Japan, however, the stronger yen and decline in the Nikkei over the past
year may curtail capital expenditure and spending on labor. This may
also knock consumption despite the recently announced delay in the
consumption tax increase and we expect further fiscal and monetary
easing over the next few months. The probability of a hard landing in
China remains low in our opinion as the government has considerable
policy levers to boost economic growth.
While recognizing that downside risks persist, Western Asset’s view
remains that the global recovery, though fragile, will be positive and
sustainable as policy accommodation from central banks around the
world ultimately succeeds in underpinning growth. Global portfolios
remain positioned with an overweight to spread products, in particular
to US investment-grade corporate bonds, to take advantage of attractive valuations and solid fundamentals, while maintaining diversified
strategies to manage volatility and to mitigate downside risks.
With the Fed now expected to be on hold for the foreseeable future,
the outlook for the US dollar becomes more uncertain. While we believe
that over the longer-term the continued expansion of the BoJ’s and
ECB’s balance sheet should continue to push the yen and euro weaker,
in the near term, we have tactically reduced short exposures.
In our opinion, the Fed is now unlikely to raise rates this year. The Fed
will be concerned about the potential negative impact on global
growth from Brexit and any tightening of financials conditions from
a stronger US dollar or weaker equity markets. We therefore expect
the Fed to maintain a cautious, risk-management-focused approach,
absent a much stronger signal from the economic data or from markets.
Overall, we expect global bond yields to remain in relatively narrow
ranges over the next few months, so tactical duration and yield curve
management remain key macro strategies. We maintain a long US
duration position, but a move deeper into negative yields for core
European and Japanese government bond yields may provide the
opportunity to reduce exposure further.
Although global corporate earnings may weaken modestly in the near
term, the technical tailwinds remain very positive for US and European
credit in our opinion. Strong investor flows into US credit in search of
higher yielding assets and ECB corporate bond purchases are expected
to see corporate bonds outperform government bonds over the rest
of the year. We remain overweight to the financial sector given the
continued secular de-risking and the attractive valuations outweighing
the near term earnings pressure from lower margins.
Trade links between the UK and most EM economies are relatively
limited but a further decline in global trade will add to the headwinds
already faced by emerging economies due to the slowdown in growth
in China. We believe the spreads available in select EMs present an
opportunity to add value especially where their economies are not
directly correlated with the UK or Europe, such as in Mexico, India and
Brazil, and where yield curve flattening trends likely to be supported by
weak growth, low developed market rates and proactive central bank
policies. The ramifications of Brexit for Poland are potentially significant.
However, Poland benefits greatly from the free movement of EU labor
and is a large net recipient of EU funds. Support for continuation of EU
membership in Poland is likely to remain high. With slower growth and
continued downside inflation surprises, we believe Polish rates remain
attractive, especially relative to core eurozone yields.
In the UK, investment is likely to be considerably weaker as companies
defer spending plans until there is more clarity over the UK’s future
relationship with the EU. Consumer confidence is also likely to be
hit, further impacting the growth outlook. However, against this, the
15% depreciation in sterling on a trade-weighted basis over the last
12 months should help the export sector while a further easing of
monetary policy by the BoE, which we anticipate over the next few
months, will help to cushion the downturn. The direct exposure in
global portfolios to UK assets remains low, with investments focused
primarily in UK financial institutions. While the headwinds for the UK
bank and insurance sector have clearly increased post the Brexit vote,
and we expect further pressure on profitability, capital ratios remain
solid and we remain comfortable with the institutions we hold.
With volatility likely to remain elevated, we will look for opportunities to
take advantage of market anomalies. Our focus remains on longer-term
fundamentals with diversified strategies to manage risk.
We believe the economic fallout in the eurozone should be reasonably contained. Exports are likely to weaken and investment may be
curtailed, but the momentum the consumer has garnered in the early
months of this year should be maintained as further action from the
ECB keeps the pressure on savers to spend. Global portfolios maintain
a modest long position in Italian government bonds. We believe the
ECB’s aggressive sovereign bond purchase program will keep any
Western Asset
3
Second Quarter 2016
Global
INVESTMENT THEMES AND STRATEGIES
Themes
Strategies
While recognizing downside risks persist, Western Asset’s view remains
that the global recovery, though fragile, will be positive and sustainable as policy accommodation from central banks around the world
ultimately succeeds in underpinning growth. The Fed is now unlikely
to raise rates this year. Global bond yields are expected to remain in
relatively narrow ranges over the next few months.
Manage overall portfolio duration and yield curve positioning tactically. Maintain a bias to be long overall portfolio duration as a ballast
against credit and other spread sectors. Maintain a short position in
European and Japanese duration in favor of the US.
With global growth and inflation risks skewed to the downside, we
expect the BoE, ECB and BoJ to provide further policy accommodation
over coming months. The ECB’s aggressive sovereign bond purchase
program should continue to provide support for peripheral eurozone
bonds. Select EMs present an opportunity to add value especially
where their economies are not directly correlated with the UK or
Europe, such as in Mexico and India. Polish rates remain attractive
versus core eurozone yields.
Maintain exposure to Italian government bonds. Remain positioned
to benefit from the risk premiums in select EM bonds by maintaining
exposure to Mexican, Polish and Indian bonds.
Corporate earnings may weaken in the near term but the technical
tailwinds remain very positive for US and European credit. Strong
investor flows into US credit in search of higher yielding assets and
ECB corporate bond purchases are expected to see corporate bonds
outperform government bonds over the rest of the year. Remain
overweight to the financial sector given the continued secular
de-risking and the attractive valuations outweighing the near term
earnings pressure from lower margins.
Remain long in investment-grade corporate bonds with a bias towards
the non-cyclical industrial and the financial issuers and the US market.
Valuations remain attractive in higher-yielding corporate bonds given
underlying credit fundamentals. Pricing is expected to continue to
recover over time as default risks in the sector exceed levels we
anticipate.
Where permitted, maintain exposure to high-yield debt.
With the Fed now expected to be on hold for the foreseeable future,
the outlook for the US dollar becomes more uncertain. Over the
longer term, the continued expansion of the BoJ’s and ECB’s balance
sheets should continue to push the yen and euro weaker. Currencies
of select EM countries offer the potential to rebound versus the US
dollar from current levels.
Maintain modest short positions in the yen and the euro. Maintain long
exposure to select EM currencies, including the Mexican peso, Polish
zloty and Indian rupee. Maintain a short position to the Australian
dollar, Korean won and Chinese renminbi for diversification purposes.
© Western Asset Management Company 2016. This publication is the property of Western Asset Management Company and is intended for the sole use of its clients, consultants, and
other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be
reproduced or used in any form or medium without express written permission.
Past results are not indicative of future investment results. Investments are not guaranteed and you may lose money. This publication is for informational purposes only and reflects the
current opinions of Western Asset Management. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer
or solicitation with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment advice.
Employees and/or clients of Western Asset Management may have a position in the securities mentioned. This publication has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your
responsibility to be aware of and observe the applicable laws and regulations of your country of residence. Potential investors in emerging markets should be aware that investment in
these markets can involve a higher degree of risk.
Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do
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Company Ltd is a registered financial instruments dealer whose business is investment advisory or agency business, investment management, and Type II Financial Instruments Dealing
business with the registration number KLFB (FID) No. 427, and members of JIAA (membership number 011-01319) and JITA. Western Asset Management Company Limited (“WAMCL”)
is authorised and regulated by the Financial Conduct Authority (“FCA”). In the UK this communication is a financial promotion solely intended for professional clients as defined in the
FCA Handbook and has been approved by WAMCL.
Western Asset
4
Second Quarter 2016
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ネジメント株式会社およびその関連会社（以下「ウエスタン・アセット」
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