每日更新 - 波动性加大 The Daily Update - Volatility ticks up

昨天,市场继续有益于风险资产,这是对地域政治担忧上升的回应,也许跟市场乐观情绪下降有关。截止本文发稿,美国7年期以上国债收益率降到2017年以来的最低水平。黄金价格触及1275美元,接近去年11月特朗普当选前的水平;美元兑日元跌破110;布伦特原油回至56美元,超过今年第一季度大部分时间的价格水平。股价指数暂时下滑,今天欧洲市场表现优于亚洲早些时候。但波动率指数(Vix)突破15,达到今年较高水平,一周内增长了25%。

Vix指数也称为“恐慌指数”,今年大部分时候都处于不常见的平稳较低水平,维持了过于乐观的股票市场估值。尽管Vix指数目前处于较高水平,但仍低于过去十年里平均值为20的水平。日内Vix指数在全球金融危机期间几乎触及90,其他三大事件期间就超过了40:2010年4月和2011年8月的欧洲债务危机,以及2016年11月特朗普当选。

尽管Vix指数目前水平并不高,但已经让投资者不安,未来几周我们将密切关注。如果特朗普政府引起的失望情绪进一步累计加深,叙利亚局势进一步恶化,欧洲选举或债务协商再产生不确定性,那么任何脆弱的市场信心都会受到考验。我们认为市场信心具有很大的虚假性,对高估值股票和超买高风险债务最没有保障,尤其是在低波动期对收益增加了杠杆水平或过于自信的市场参与者的信心。相比之下,一些持有债权地区的不那么诱人的优质债务持有者,对所持债券的价值和弹性应该更有信心。我们通过宏观视角以及价值驱动投资流程,在加权平均信用等级为A级的投资组合中获得了约4%的收益率。根据我们的相对价值模型计算结果,这相当于3级以上的等级,或者85个基本点的差价缓冲,这也为我们除了关注债权国家提供了另一种具有防护性的投资组合。但如果避险情况继续,或者我们改变宏观观点,可以转向拥有更高平均评级的价值信用。如果市场走势创造出降低收益率曲线的有吸引力价值,我们的模型也将能辨识出潜在的机遇。

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