摩根斯坦利-2022年中期策略-全球宏觀-Global Strategy Mid-Year Outlook

May10,202210:02PMGMT

GlobalStrategyMid-YearOutlook

TheTempest

Thetrainingwheelsarestilloffandchallengescontinue.Weseemoreequityde-rating,range-boundyields,andstrengthinoil,munisandmortgages.TheUSAggoutperformstheS&P500.

MorganStanleydoesandseekstodobusinesswithcompaniescoveredinMorganStanleyResearch.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofMorganStanleyResearch.InvestorsshouldconsiderMorganStanleyResearchasonlyasinglefactorinmakingtheirinvestmentdecision.

Foranalystcertificationandotherimportantdisclosures,refertotheDisclosureSection,locatedattheendofthisreport.

+=Analystsemployedbynon-U.S.affiliatesarenotregisteredwithFINRA,maynotbeassociatedpersonsofthememberandmaynotbesubjecttoFINRArestrictionsoncommunicationswithasubjectcompany,publicappearancesandtradingsecuritiesheldbyaresearchanalystaccount.

2

TheTempest

Bepatientaschallengescontinue:Valuationimprovesbutslowergrowthandpolicytighteningpersist.Late-cycledynamicssupportlightexposure,stayingupinquality/liquidity,andRV.TurningpointsbeckoninFXandEM,butnotyet.JapanoverUSequities,MBSovercredit,CADandIDRoverNZDandCNY,oilovermetals.See

Top

TradesAcrossAssetClasses

.

Globalequities–moreofthesame:FallingPMIandearningsrevi-sionsmeanthebearmarketisnotfinished.Weseefurtherde-ratingandUSweakness,whileJapanoutperforms.Wecontinuetofavordefensivesandcommodityproducers.WeseetheS&P500at3,900by2Q23.

G10rates–towardterminalrates:WesuggestaneutralstanceondurationandseeUS10-yearyieldstradingaround3.0%through2H22.Europeoutperforms.ReceiveEUR5y5yinflation,payEUR10y10yswap,andUST10-yearat3.15%by2Q23.

G10FX–waitingontheUSDturn:Near-termUSDstrengthshouldreversebyyear-end,withno'breakout'.NOKandCADoutperformNZD,AUD,EUR,andGBP.

EMfixedincome–patience:Weseestrong12-monthreturnsforEMlocalandhardcurrencydebtastheEMpolicycyclepeaksthisyear,butwouldnotactyet.WelikeratesinChinaandSouthAfrica,andIDR,INR,andMXN,butdislikeCNY,TWD,andTHB.

Corporatecredit–stayingsafeandliquid:Wearecautious,fore-castingwiderspreadsandholdinganup-in-qualitybias.LikeCDS>cash,IG>HY,lowdollarpriceIG.AsiaHY,incontrast,payswellfortherisk.

Securitizedproducts–buymortgages:WeturnbullishonMBSandseevalueinbothagencyandnon-agencyversuscorporatecredit.Late-cycleriskssupportmovingupinqualityinCLOs/CMBS.

Commodities–stillenergy>metals:Supply,demand,andcarrycontinuetosupportenergyovermetals.Welikeoilovergold,andaluminiumovercopper.BrenttoUS$130in3Q22,US$120byyear-end.

Forindividualinvestors,ourmarketoutlookshouldbeseeninthecontextofalonginvestmenthorizonthatisunderpinnedbyacomprehensivefinancialplan.Yourclients'financialplanshouldreflectthegoalstheyarelookingtoachieveovertimeandadisciplinedapproachtoassetallocation,savingandwithdrawals.

GlobalAssetAllocation–+

Equities

Credit

GovernmentBonds

Commodities

Cash

Withintheseassetclasses,ourrelativeallocations:

Equities

US

Europe

Japan

EM

Credit

US

Europe

EM

MBS

Securitized

GovernmentBonds

US

Europe

EMLocal

+

USD

EUR

GBP

JPY

EM

+

+

+

FX

–

–

–

–

MorganStanleyResearch3

Cou本L!pn本oL2

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Strategist

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)9入B9coM

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MorganStanley&Co.LLC

)9山e2E89u

Strategist

+1212761-4715

James.F.Egan@MorganS

MorganStanley&Co.Internationalplc+V「!xCCneLL!u!

QuantitativeStrategist

+44207425-9055

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MorganStanley&Co.Internationalplc+2本ebp9uWKe22「eL

QuantitativeAnalyst

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+44207677-5065

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W!cp9e「)M!「2ou

EquityStrategist

+1212761-2532

M.Wilson@

+=Vu9「入2本2e山b「o入eqp入uou-n.2.9++!「!9本e29Leuo本Le8!2本eLeqM!本pElV匕V)山9入uo本pe922oc!9本eqbeL2ou2o+本pe山e山peL9uq山9入uo本pe2np)ec本本oElV匕VLe2本L!c本!ou2ouco山山nu!c9本!ou2M!本p92np)ec本co山b9u入)bnp「!c9bbe9L9uce29uq本L9q!u82ecnL!本!e2pe「qp入9Le2e9Lcp9u9「入2本9cconu本.

Contents

5Cross-AssetStrategy:TheTempest

10TopTradesAcrossAssetClasses

11GlobalEquities:MoreoftheSame

15G10Rates:TowardTerminalRates

19G10FX:WaitingontheUSDTurn

22GlobalEMFixedIncome:SubmergedMarketstoComeUpforAir

25GlobalCredit:StayingSafeandLiquid

29GlobalSecuritizedProducts:ReturnstoHome

33Munis:TheReturnoftheLate-CycleHaven

35Commodities:EnduringTailwind;EnergyoverMetals

38GlobalVolatility:Sell,Don'tHedge

39GlobalQuant:UseaLowGearinaBumpyRide

42WhatWeDebated

43HowConsistentAreOurForecasts?

45ExpectedReturnsandRisk/Reward

47MorganStanleyKeyEconomicForecasts

48MorganStanleyGlobalCurrencyForecasts

49MorganStanleyGovernmentBondYield/SpreadForecasts

What'schanged

50ValuationMethodologyandRisks

4

Source:MorganStanleyResearchforecasts;Note:ForrealGDPandCPIweshow4Q-4Qgrowthrate.

MorganStanleyResearch5

Cross-AssetStrategyTeam

CLo22-V22e本2本L9本e8入:」pe」e山be2本

AndrewSheets

Andrew.Sheets@

+44207677-2905

MorganStanley&Co.Internationalplc+

Keyinvestmentideas

?Valuationimprovesbutslowergrowthandpolicytighteningpersist.Late-cycledynamicssupportlightexposureandstayingupinquality/liquidity.TurningpointsbeckoninFXandEM,butnotyet.

?JapanoverUSequities,MBSovercredit,CADandIDRoverNZDandCNY,oilovermetals.TheUSAggoutperformstheS&P500.

2022hasseenalot.It’sseentheworstbondmarketperformancesince1980,thebiggestcommodityoutperformancesincedatabeganin1960,andlargemoveswithinandbetweenequityindices.IthasseenaterribleconflictinEurope,aCovidcrisisinChina,andthefirst50bphikebytheFederalReservein22years.It’sonlyMay.

Exhibit1:2022hasbeenhistoricallybadforstocksandbonds

50:50USStock/BondPortfolio

Rolling6MReturn(%)

40

30

20

10

0

-10

-20

-30

1975198019851990199520002005201020152020

Source:Bloomberg,MorganStanleyResearch

Thistempesthasthreedrivers,allofwhichareongoing.First,enor-mousfiscalstimulusdroveabove-trendgrowththatisnowmoder-ating.Second,DMcentralbankshavemadeanintentionaldecisiontoerronthesideofcautionandkeepmonetarypolicyeasyevenasthatgrowthrebounded.The

trainingwheelsareoff

aspolicytight-eningracestocatchup.Third,eventsinUkraineandChinaarecre-atinganegativesupplyshockandmoreglobalinflationforagivenlevelofgrowth.

Thesethreethemescontinueinourupdatedforecasts.Butsodoesanother;whilepriceweaknesswaswidespread,regionalstorylinesshowsignificantdivergence.

Consider:

?TheUSfaceshighcoreinflationandtighteningfiscalpolicyandispricedfora1994-stylehikingcycle.

?Europefacesmuchlowerwagegrowthandcoreinflation,buthighgeopoliticalrisk.

?Japanhaslowinflationwithacentralbankonhold.

?ChinaissettoeasefurtherasitsCovidpolicydivergesfromtherestoftheworld.

?ManyEMeconomiesarealreadywellintoahikingcycle,andmayseeratehikespeakoverthenext12months.

Exhibit2:Weexpectslowergrowthamidpolicytightening

14.012.010.08.06.04.02.0

0.0

USRealGDP(%YoY)USPolicyRate(%)

MSForecast

3.53.02.52.01.51.00.5

0.0

Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23

Source:Bloomberg,MorganStanleyResearchforecasts

MorganStanleyeconomistsseelargedivergencesinpolicyacrossregions

Exhibit3:

macroand

RealGDP%YQ42022EQ42023E

CPI%YQ42022EQ42023E

PolicyRate(%)YE

2022

2023

US

2.0

2.1

5.1

2.0

2.625

3.125

EuroArea

1.0

1.7

7.2

2.8

0.00

0.50

UK

1.3

1.3

7.4

1.9

1.50

1.75

Japan

2.4

0.8

2.4

1.2

-0.10

-0.10

China

4.7

5.1

1.8

1.9

1.90

1.90

India

4.3

6.6

6.1

5.3

6.00

6.50

Brazil

-0.7

2.3

8.3

4.3

13.25

9.00

6

USCPI(%Y)

EuroAreaCPI(%Y)

2022hasbeenaboutslowinggrowth,tighterpolicy,andregional

divergence.Thesethemescontinue.

Latecycleuntilprovenotherwise

Wecontinuetoapproachthesedynamicsthrougha‘late-cycle’lens.Inourframework,latecycleapplieswhendataaresignificantlyabovetrend,raisingtheprobabilitythatthemarketwilltradewithadefen-sivetiltgoingforwardasthelikelihoodofaslowdownincreases.Whileitisearlyfora'late-cycle'environment,giventhatthereces-sionwasjusttwoyearsago,we'vearguedthatthiscyclecouldbeaccelerated,like1946-61(see

Cross-AssetandUSEquityStrategy:

SpeedingThroughaHotterbutShorterCycle,

March18,2022,formore).

Withstronglabormarkets,tighteningpolicy,aflatcurve,andoureconomistsforecastingslowerglobalgrowthwithadownsideskew,wethinkthata'late-cycle'flavortothemarketcontinues,sup-portinglightoverallpositioningandapremiumforportfoliodefense/diversification.

Exhibit4:Wethinkthatthiscyclecouldrunhotterandmoreaccelerated

300

200

100

0

-100

-200

-300

198019851990199520002005201020152020

14

12

10

8

6

4

2

USRecessionUST2s10s(bp)USUnemploymentRate(%,RHS)

Source:Bloomberg,MorganStanleyResearch

Somethingschange:Inflation,thedollar,andEMpolicyreversebyyear-end

Slowergrowth,tighterpolicy,late-cycledynamics,andregionaldif-ferencesareallyear-to-datethemesthatshouldcontinuetoapply.Buttherearealsosomechanges.WeforecastreversalsinDMinfla-tion,USD,andEMpolicyratesthisyear...justnotquiteyet.

Inflationhasbeentheeconomicstorythisyear,withUSCPIhittingitshighestyear-on-yearlevelsince1980.What’snotable,however,ishowtheseinflationnumberschangegoingforward.From8.5%Ytoday,oureconomistsforecastUSCPIfallingto5.1%Ybyend-2022and2.0%Ybyend-2023,assupplyissuesimproveandgrowthslows.Thisdecline,ifrealized,wouldgivetheFedmoreflexibilitywhileboostingrealearningsgrowth,afarbetternarrativethatbeckonslaterintheyear(justnotyet).Meanwhile,slowinggrowthandmod-eratinginflationshouldmeanpolicyratesinBrazil(2Q),Chile(3Q),theCzechRepublic(3Q),Poland(3Q),andMexico(4Q)allpeakthisyear.

Anotherchangeisthatmoreisintheprice.ExpectationsofUSandEUcentralbankpolicyhaveseenoneofthefastesthawkishshiftsinthelast40years(

Exhibit

6

).TheyieldontheUSAggregatebondindexhasrisen185bpyear-to-date(to3.62%).Thesearesignificantshifts.

Thisextendscross-asset.Globalequitieshaveseenmaterialder-ating,bringingmanymarketsbackbelowlevelsofJanuary1,2017.Cashcredithasseenlessrepricing,butCDSindices,MBS,andEMcredithavealsomovedtothewideendoftheirfive-yearranges.

Exhibit5:WeexpectUSinflationtomoderate

9.0

8.0

7.0

6.0

5.0

4.0

3.0

2.0

1.0Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23

Source:IMF,MorganStanleyResearchforecasts

Exhibit6:Marketpricingforpolicyrateshasshiftedquickly

ImpliedFedPolicyRate(%)

1

May-22

3.50

3.00Jan-22

2.50

2.00

1.50

1.00

0.50

1

2.001.501.000.500.00

-0.50

ImpliedECBPolicyRate(%)

May-22Jan-22

0.00-1.00

31M6M1Y2Y3Y3M6M1Y2Y3Y1

Source:Bloomberg,MorganStanleyResearch

MorganStanleyResearch7

9%

Exhibit7:Wherearevaluationstoday?

ValuationPercentile

Rich

S&P500

MSCIEU

MSCIEM

TOPIX

20YRange5YRange

23%

Cheap

10%8%

67%

5%

26%

8%

41%

UST10Y

DBR10Y

61%

42%

3%

0%

EURUSD

JPYUSD

22%19%

2%0%

USHY

EMSov

51%

16%

13%

58%

Brent

98%

Source:Bloomberg,Datastream,MorganStanleyResearch;Notefor‘valuation’:Equities-forwardP/E,rates-nominalyield,FX-REER,credit-Spread,Brent–realprice.

Lightpositioning,lotsofRV

Slowinggrowthandongoingtighteningaremeetinganimprovingvaluationpicture.Wehavetwotakeaways:

First,theseforcesarebroadlybalanced,andweforecastrange-boundmarketsforequities,credit,yields,andtheUSdollaroverthenext12months(

Exhibit

9

).Wecontinuetorecommendlightoverallexposure,withanequal-weightinglobalequities,spreadproduct,andbonds.Abullishexceptionremainsenergy,wherewehaveanabove-consensusforecastandcontinuetolikeenergyasapositive-carryinflationhedge.Apositiveviewtowardenergy,andmorecau-tiontowardmetals,leaveuswithasmallOWincommodities.

Exhibit9:MorganStanley2Q23forecasts

Exhibit8:Globalequityderating

1

FWDP1/E%ChangeSinceJanuary2017

40%

20%

0%

-20%

FWDP/E%ChangeSinceJanuary2021

0%

-10%

-20%

-30%

-40%

USGrowth

1

S&P500MSCIEM

USValue

MSCIEuropeMSCIJapan

1

Source:Bloomberg,MorganStanleyResearch

Second,2022hasbeen,andshouldremain,agoodmarketforrela-tivevalue.Relativevaluestrategieshaveworkedyear-to-date,withourcross-assetsystematicframeworkseeingstrongperformancefromrules-basedrelativevaluewithinassetclasses.Moreimpor-tantly,weseeacaseforthistocontinue,givensomematerialcross-assetdivergence.

Greateruncertaintyaroundgrowthandpolicyhasledtodifferentpricingoftheserisks.Whatdowemean?

Exhibit1

0

comparesthegrowthsensitivityofdifferentassets(betatoMSCIACWI)withtheirvaluation.Assetsdownandleftarecheaperandmoredefensive,whileupandrightaremoreexpensiveandcyclical.

Assets

AsofMay06,2022

Bear

2Q23ForecastBase

Bull

2Q23ReturnForecast

Bear

Base

Bull

Equities

TotalReturn

S&P500

4123

3350

3900

4450

-17.2%

-3.9%

9.4%

MSCIEurope

1734

1340

1760

2000

-19.5%

4.7%

18.5%

TOPIX

1916

1620

2050

2370

-13.1%

9.3%

26.0%

MSCIEM

1032

890

1060

1340

-10.9%

5.6%

32.7%

Rates(%)

TotalReturn

UST10Y

3.13

3.40

3.15

2.20

0.6%

2.8%

10.9%

DBR10Y

1.13

1.75

1.25

0.20

-4.0%

0.3%

10.1%

Credit(bp)

ExcessReturn

USIG

134

175

150

115

-1.9%

0.1%

3.0%

USHY

402

625

490

340

-6.9%

-0.3%

6.3%

EUIG

76

115

95

65

-1.2%

-0.2%

1.3%

EUHY

424

650

550

350

-5.4%

-0.7%

6.9%

EM$Sov

445

525

410

350

-4.0%

5.0%

10.9%

AgencyMBS

40

60

35

25

-0.8%

0.7%

1.3%

Source:Bloomberg,Markit1,MorganStanleyResearchforecasts

8

Exhibit10:Whichassetsarecheaperandmoredefensive?

Valuation&CarryAttractiveness

MoreCyclical&Expensive

GoldUSIT

1.0

S&P500

USCons.Disc.

0.9USCons.Stapl.

0.8USUtil.

ValuevsGrowthMSCIEM

DXYEUR

Uu.10yUSFin.CopperMSCIEUSML

AUD

JPYUSHYFTSE100

USEnergyBrent

US10y

USIGBRL

EMSovTopix

MoreDefensive&Cheaper

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0.0

-0.60-0.300.000.300.600.901.201.50

BetatoMSCIACWI

Source:Bloomberg,Datastream,MorganStanleyResearch;Note:Weuse10-yearrangestocalculatevaluationandcarrypercentileandbetatoMSCIACWI.

Corerelativevalueideasfromacrossourstrategyviewsinclude:

JapanoverUSequities:Divergentpolicy(easingversustightening),valuations(cheapversusexpensive),andpositioning(lightversuspopular)allsupportJapanoutperformance.

MBSandmunisovercorporatecredit,CDSovercash,long-endIGoverHY:Wethinkthatmortgagesofferbettervaluationsandgainmorefromapeakininflationthatreducesrateuncertainty.Municipalsenjoyverystrongfundamentals.Corporatecredit,incon-trast,ismoreexpensiveversushistoryandmoreatriskinalate-cycleenvironment.OurcreditstrategistsnotethatCDSgenerallyoffersbettercarryandliquiditythancashbonds.Low-dollar,long-endIGispreferablebetatoHY.

CADandIDRoverNZDandCNY:CADshouldbenefitfromoilstrengthandhigherrates.IDRoffersanattractive'stagflation'hedge,whileNZDandCNYcouldweakenunderdownsideriskstogrowth.

Oilovermetals:Oilfundamentalsremainstrongandasteepcurveoffershighcarry.Metalsfacemoreriskifgrowthslowswithlesscarrytocompensate.

Sell>hedge:Expensivecross-assetvolmakeshedgesunattractive,andarguesforlightergrossexposure.

Thehigheconomicuncertaintyoflate-cycleenvironmentsdrivesourbullandbearcases.

Bullcase–supplyshocksease

Thebullcaseisthatthisisjustamid-cyclecorrection,inthemoldof1994and1998.TheFedandECBsimplydeliveronthetighteningthatisalreadyexpectedbythemarket.Inflationmoderatesasextremeyear-on-yearreadingsfade,supplychainsheal,andpolicytighteninghasitsdesiredeffect.Growthslows,buthealthyconsumerandcor-poratebalancesheetsmeanthatbothsegmentscanweatherthepol-icy-tighteningtempest.

ThisscenariocouldalsoinvolvechangestoChina’sCovidpolicyandamorepositivegeopoliticalsituationinEurope–realisticeventsthatcouldleadmarketstoseebettergrowthandlowerinflationgoingforward.Insummary,noadditionalhawkishness,moderatinginfla-tion,andfewerriskstoglobalgrowthwouldcollidewithlowervalua-tionsandcautiousinvestorsentiment.Abullcasedoesexist,andwethinkthatcyclicalswouldlead.

Bearcase–globalrecession

Thebearcaseisarecession.Over-consumptionin2020-21andasharptighteninginfinancialconditionsleadtoamildcontractioningrowth.Inflationprovesstickierthanweexpect,makingitharderforcentralbankstopivot.TighterCovidrestrictionsinChinaandmorenegativegeopoliticaldevelopmentsinEuropecouldalsobeatworkhere.

Withhindsight,thisrecessionwouldlook‘normal’,precededbyaninvertedyieldcurve,highinflation,policytightening,andnarrowingmarketleadership.Wedonotthinkthatmarketsarepricedforthisscenario,especiallyinlow-ratedcreditandindustrialmetals.

MorganStanleyResearch9

Ifarecessionisavoided,theriskismorestraightforward.We’vejust

livedthrougha12-yearperiodwhereallsortsofassetsoutperformed

theeconomyasmonetarypolicywasunusuallyloose.Wecouldhave

aperiodwhereassetsunderperformtheeconomyaspolicysupport

reverses.Assets/GDPisstillhigh.

?2022MorganStanley

10

TopTradesAcrossAssetClasses

Exhibit13:Toptradesacrossassetclasses

Source:MorganStanleyResearch;Note:Theseareourcurrenttrades.Allprevioustradesfromcross-assetstrategyareconsideredclosed.Fortrade#4and#5weusethe75thpercentile(i.e.,aboveaveragelevel)ofhis-toricalrolling12mreturnsforthetrade.Otherwise,levelsarebasedonMorganStanleyResearchforecasts.

MorganStanleyResearch11

Equities

–

+

US

Europe

Japan

EM

GlobalEquities:MoreoftheSame

MichaelJ.Wilson

M.Wilson@

+1212761-2532

MorganStanley&Co.LLC

GrahamSecker

Graham.Secker@

+44207425-6188

MorganStanley&Co.Internationalplc+

JonathanGarner

Jonathan.Garner@

+8522848-7288

MorganStanleyAsiaLimited+

Keyinvestmentideas

?'Fire'AND'ice'persistintheUS–weremainunderweight:Monetarypolicycontinuestotightenasconfirmationemergesthatgrowthisslowing(PMIsdecelerating,earningsrevisionsdeteriorating,andGDPgrowthcontractedlastquarter).At17-18xforwardEPSandanequityriskpremiumof260-270bp,theS&P500isstillnotpricedforthisbackdrop,whichweexpecttopersist.

?HeadwindscontinueforEuropeandEMdespitecheapervaluations;wepreferJapanrelative:Wethinkthatrisk/rewardforMSCIEuroperemainsunattractivegivenlowerGDPforecastsfromoureconomists,higherinflationforecasts,andanECBthatisstartingtoremovepolicystimulus.EMequities(andChinainparticular)arewelladvancedthroughtheirbearmarket,butnear-termrisksremainacute,andwestayselectiveuntilwemoveclosertothepeakofglobalmonetarytighteningorseeaclearertransmissionofChinapolicyeasing.WepreferJapanequities(hedged),wherevaluationsarelow,ROEisapproachinga40-yearhigh,andearningsareboostedbyJPYweakness.

?Recommendations:StayrelativelyconstructiveondefensivesintheUS.InEurope,remainoverweightdefensiveandcomm