高腾侯明伟：三季度积极迎战衰退与波动 多空两头机遇空前丰盛

原创丨高腾国际（ID:gaotengasset)

作者丨侯明伟Desmond How（高腾国际董事总经理、固定收益投资负责人）

备注丨后附英文原文

流动性仍然是市场价格的中流砥柱

风险市场继续无视全球经济的窘境，在疫情危机之下高调步入6月。在持续的股票抬升的作用下，无论是美国、欧洲或最近的中国轮番上演此类戏码，所有地区的信贷利差纷纷收窄。

经历了跌宕起伏的上半年度，投资者在第三季度风险偏好应该呈现收敛势态，并未太过激进。财报季将毫不留情地将大梦初醒的投资者们拽回现实世界，当公司业绩不尽人意时候，难看的除了财报就是荷包。与此同时，由于疫情反复而催生的开工停工等商业活动的次生影响，滞后了经济复苏。

尽管如此，我们预计各国央行，尤其是美联储，将继续通过宽松政策和资产购买放纵道德风险行为，并且全球各国政府将继续直升机撒钱，以帮助实体经济实现软着陆。反过来，流动性充裕将在短期内为资产价格铺底。

但是，鉴于违约率将在今年下半年急剧上升，信贷市场可能会进一步两极分化为“可再融资”和“不良资产”。摩根大通（JPM）预测，到2020年底，新兴市场企业债的违约率将少于5％，远低于美国的双位数百分比。我们对该预测持保留态度。

亚洲：钢丝上的趾尖芭蕾

6月份的亚洲信用再次出现连胜纪录（投资级债券收紧10-20个基点，高收益债也升幅2-3点*），但对于“佛系”的我们来说，市场似乎看起来还是过度敏感的。超宽松的央行宽松与严峻的实体经济、第二波疫情形成鲜明对比，两股势力的较量升级，而且尚未出现任何一方的绝对赢面。（*来源：Bloomberg，截至2020年6月30日）

自3月底以来，在感受到流动性回弹势能之后，我们倾向于减少风险敞口，因为在一系列仍需考究的宏观和微观风险中，信贷风险的回报性价比变得不那么具有吸引力。

在一级市场，6月份的供应仍然充裕，但由于许多交易的价格甚至比二级市场的价格还要昂贵，新发债的表现令人失望，这也侧面反映了市场的疲软。

惠誉（Fitch）将印度的BBB-主权信用评级展望降至负面（继穆迪之后第二家采取此类行动的评级机构），并决定将多家印度银行降级为垃圾级。我们近来对印度维持了负面展望，但市场采取了评级调整以缓解压力，而该领域的市场价格波动却被淡化。

中国房地产是上半年的唯一美好的“甜心”，自一季度以来，许多开发商接连斩获强劲的合约销售。令人惊讶的是，其中超过一半的企业在2020年首6个月的合同销售环比上升，突显了该行业对经济下滑的抵御能力。

随着全球经济活动受到疫情的严重打击，亚洲的企业违约正一一浮现。我们认为，亚洲信贷在2020下半年仍将保持波动，但正如我们在2020上半年所观察到的，市场充斥着各种有趣的机遇，给予多空双边逾10点的Alpha机会。

拉非地区：驾驭主权国债的危与机

许多国家的经济活动过早开放，因为随着第二波或第三波病毒感染的风险，巴西和印度已然成为世界前三大病毒温床。3月以来的疯狂回弹对比现实的经济状况映衬出当下估值的不合理。这必定是金融历史上最短的熊市周期。

我们认为技术因素是此次反弹的主要推手，并非基本面。我们真的不知道击鼓传花的鼓声何时叫停。因此，我们将自己定位在低现金价格的Alpha特殊压力/不良债券中，而不是去承受Beta风险。的确，JPM研究表明在未来两年内几乎三分之一的主权债将面临违约。

补充

1）什么是债券做空？

侯明伟：做空可以分为两种，Alpha做空和Beta做空。Alpha做空看债券的信用评级是否会降级或者出现违约。做了相应判断后会通过借券去卖空。不是每个人都有胆识借券，因为借券有成本，尤其支付高收益债票息会较高。Beta做空指的是把握市场情绪，如果判断市场情绪比较差，会透过部分衍生品复制做空，例如CDS和iTraxx。

我的业绩归因主要来自证券选择，关键是获取资本利得的能力。不同于其他许多对冲基金，我的组合收益70%来自Alpha，而不只是通过加杠杆来增强收益。这需要对市场和信贷都很有经验，对宏观、利率、汇率、大宗商品等走势都要有比较好的掌握。

2）关于新兴市场多空固收策略

该策略透过多空布局，驾驭牛熊周期，于上下行区间里均狩猎收益。投资经理往绩卓越，主动管理能力突出，侧重利用新兴市场下的信贷轨迹分化，于利差变动中获得丰厚资本利得。与其他固收对冲主题不同，该策略并不依赖票息收益，与主要市场指数相关性低。

English Version

Liquidity remains the most powerful price driver

Risk markets continued to ignore the plight of the global economy amidst the pandemic crisis and powered into June. Credits preads were tighter across all regions, led by relentless equity rally, seemingly playing musical chairs among US, Europe and more recently China.

Heading into the third quarter, investors are likely to dial down on aggression in risk taking. The earnings season will be a strong reminder of the actual state of the world we are in, and there are possible air pockets when corporate results disappoint. Meanwhile, the open-and-shut in various cities stemming from derivative waves of the virus will disrupt a meaningful economic recovery. 

Nevertheless, we expect central banks, especially the Feds, to continue fester moral hazard trades via easing and asset purchases, and governments worldwide to keep throwing helicopter money in efforts to engineer a soft landing. In turn, the abundance in liquidity will floor asset prices in the short term. 

However, the credit market is likely to further dichotomise into financeable and distressed assets, given default rates are set to rise sharply into the second half this year. JPM forecast <5% for EM by end-2020, much milder than a plausible double-digit percentage for the US. We reckon they may be optimistic.

Asia: Walking a tightrope

Another month, another winning streak for Asia credits (IG 10-20 bp tighter, HY 2-3 points higher*), but surely it doesn’t feel as boisterous to us and market looks jittery at times. The tug of war between ultra-accommodative central banks and grim economic outlook compounded by a second-wave threat is again intensifying and a clear winner has yet to emerge. （*Source：Bloomberg,as of 30 June 2020）

After succumbing to a liquidity-induced rally since the end of March, we incline to stay closer to home as risk-reward in credit has become less favorable amid a litany of macro and micro risks that one still has to navigate. In the primary market, supply remained plentiful in June but their performances were largely disappointing as many deals got priced even tighter than their secondary levels, a sign of market frothiness. 

Fitch changed India’s BBB- sovereign rating outlook to negative–the second rating agency to take such action after Moody’s–and decided to downgrade a number of Indian banks to junk. We have been negative on India for a while, yet market took the rating action as a relief and price actions in that space were muted. 

China property is the only sweet spot in HY as many developers have continued to reap in strong contracted sales since 1Q; amazing was the fact that more than half of them were up for 6M 2020, underscoring the sector resilience to economic downturn. 

With global economic activities hit hard by the pandemic, corporate defaults in Asia seem to be slowing cropping up though.  We believe Asian credits will remain volatile in 2H 2020, but as we have seen in 1H 2020 there are many 10-pointer alpha opportunities in interesting situations from both the long and short sides.

Ex-Asia: Party on with stress in distressed

Economies in many countries are reopening prematurely amidst second-or third-wave infection risk as Brazil and India climbed to become the world’s top-3 virus hotbeds. The rally since March’s bottom is now making valuations insensible. This must have been the shortest bear cycle in financial history. 

Rather than fundamentals, we believe the technical factor is the main driver of this rally; we really don’t know when the music would stop. We hence position ourselves in idiosyncratic stressed/distressed bonds at low cash price for alpha, instead of taking beta risk. Indeed, JPM research called for almost 1-in-3 sovereign defaults within the next two years!

About Emerging Markets Long/Short Fixed Income Strategy

Emerging market is a recognised asset class with breadth and depth. The strategy transcends economic cycles with the capability to take both long and short sides of investments to ride along bulls and bears. 

Our managers offer a tremendous track record in this unique strategy that focuses mainly on capital gains derived from spread compression and decompression plays, that result from divergent credit trajectory within the emerging market economies. Unlike other hedge funds, investors do not rely on carry from our portfolio which has been proven to be uncorrelated with major market indices.

（End）

/ 免责声明 /

• 以上内容仅供参考之用，不构成或不得被视为买卖任何证券、投资产品或基金的邀约、恳请或推荐。以上内容只供针对发布或提供该内容属合法的任何司法管辖区内的任何人士浏览。如阁下浏览以上内容，即表示阁下声明并保证阁下所属的司法管辖区的适用法律及法规允许阁下浏览该内容。

• 投资涉及风险。过往表现并非日后表现的指针。投资者未必可以取回所投资的全数本金。投资价值及来自投资价值的收益（如有）可能有波动性以及会在短时间内大幅波动。

• 编制以上内容所用的数据及信息乃由高腾国际资产管理有限公司（「高腾」）获取，并来自于认为可信的来源，惟概不就源自第三方的数据的准确性或完整性作出任何声明或保证。有关国家、市场或公司未来事件或表现的任何预测或其他前瞻性陈述未必具有指示性，而且可能与实际事件或结果不同。高腾对于任何人士根据以上内容所载数据行事而遭受的任何损失，概不承担任何责任。

• 未经高腾允许，任何人士均不可复制或采用以上内容，包括但不限於文字，图片，声音及影像等，作任何公开及商业用途。任何修改或使用以上内容有可能违反高腾所持有之版权和/或知识产权（如适用）。

• 以上内容由高腾国际资产管理有限公司发出，并未经证券及期货事务监察委员会审阅。