麦格理-全球-股票策略-波动性：从主人到奴隶

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1、GLOBALWhatcaughtmyeye?v.86Volatilities:frommasterstoslavesInthelatestissueweaskwhetherariseinvolatilitiesisinevitableandwhatmightbetheconsequencesforassetclassesandpublicpolicies.Investorsarecurrentlyresidinginasurrealworldoflowvolatilitiesandspreads,ignoringpot

2、entiallyradicalshiftsinmonetaryandfiscalpoliciesandunwindingofextraordinarymeasuresofthelastdecade.EvenasCBsareworriedaboutlackofvolatilityandexcessiverisk-taking,investorsseemconvincedthateitherstrengthofeconomicrecovery,orreturntoliquidityandcostofcapitalsuppo

3、rts,willensurethatvolatilitiesarekeptundercontrol.Thus,eitherway,investorsInsideseemtoexpectthatspreadswouldstaylowandelevatedvaluationsofvariousassetclassesremainapermanentfeatureofaninvestmentlandscape.Mindthegap–realvs.financialeconomy2Doweagree?Inourview,fin

4、ancialmarketshavebeenforyearsdriftingawayInvestorsarenotprepared–buyvolatility8fromrealeconomies.Notonlyisthevalueoffinancialassetsatleastfive-to-tenTheageoldrotationdilemma11timeslargerthantheunderlyingeconomies,butalsothis‘financialcloud’isnowAppendices13manag

5、edbycomputertrading,algorithms,AIandpassiveinvestments.Thisispotentiallyahighlydestabilizingmix.CBsareawareofdangers;hencetheStLouisFed–FinancialStressIndex–warningsbyIMFandBIStobe‘mindful’ofgapsbetweeneconomicgrowthandatoneofthemostplacidlevelseverassetbubbles.

6、Inourview,CBsandfinancialsupervisorybodieshaveessentiallymorphedfrommastersoftheuniverseintoslavesofgrotesquely0.20swollenfinancialmarkets.Thekeytomonetarypolicyisnolongertoguidereal0.00-0.20economies,buttoavoidacollapseofthefinancialcloud,outoffearofwhata-0.40r

7、eturntotraditionalpricediscoveryandvolatilitiesmightimplyforwealthcreation-0.60andassetprices.Overthelastthreedecades,realeconomies(everythingfrom-0.80-1.00personalsavingstofixed-assetinvestment)havebecomefarmoretightly-1.20intertwinedwithassetvaluesthanwithwage

8、sorproductivity.-1.40-1.60Inthissurrealworldofcompletedominanceoffinancialassets,conventional-1.80economicrulesbreakdownandfinancializationandavoidanceofsharpar-10Jul