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柏瑞週報 20190920
- 3. PAGE 2
• (FED)
1
10
1.7840%
10
-0.507%
•
0.16% 0.13%
447.6
•
0.26% 0.07%
0.04%
0.28% 0.13%
0.14%
Bloomberg 2019/9/19
0.72
1.58
0.27
0.71
0.12
-0.06
0.68
-0.80
0.48
1.77
1.31
1.65
-0.93
1.26
-0.44
-0.26
-0.14
-0.13
-0.10
-0.07
-0.07
0.04
0.05
0.07
0.09
0.13
0.16
0.17
0.28
0.43
-
-
% %
- 4. PAGE 3
•
9
S&P 500
0.09%
• 600 0.34% DAX
0.38% 225 1.31%
•
RTS
1.25%
Sensex 2.72%
•
(LPR) 300
1.21%
•
0.01%
Bloomberg 2019/9/19
-3.50
2.73
3.52
4.39
3.51
3.97
2.84
4.90
0.58
3.48
4.80
6.34
3.87
8.03
10.46
7.20
-2.72
-1.95
-1.21
-0.87
-0.66
-0.56
-0.09
-0.03
-0.01
0.05
0.34
0.38
0.62
1.00
1.25
1.31
SENSEX
H
300
MSCI
MSCI
MSCI
S&P 500
BOVESPA
BAML
MSCI
600
DAX
MSCI
RTS
Nikkei 225
% %
- 5. PAGE 4
Bloomberg EIA 2019/9/19
•
• 9 13
110 ( ) 250
78.1 53.8
-0.32
8.54
2.21
0.24
4.57
0.33
0.21
4.83
2.12
4.09
3.42
7.80
-5.24
-3.95
-1.49
-0.77
-0.28
-0.17
-0.01
0.88
1.50
1.90
5.52
6.66
LME
LME
LME
LME
CRB
% %
- 6. PAGE 5
• 192 207
13 8
2 1
• 66
52 35
36 9
Bank of America Merrill Lynch EPFR 2019/9/18
Weekly FICC flows as % AUM
- 8. PAGE 7
Bloomberg 2019/9/19
• (FED)
1 ( 1)
1.75%~2% Powell 7
• 9 FOMC
GDP 2.2% (PCE)
1.8% FED
50
FED
• 9 17
(overnight repo rate) 2003
9 15
9 FED
1.70%
( 1)
( 2)
- 11. PAGE 10
•
8 4.4% 2002 2
8
7.5% 0.1%
9.3%
• Murat Uysal
19.75% 16.5% 750
• CPI 8
3.21% 10
4% 10
•
Selic 5.5%
3.43% 4.25%
Bloomberg 2019/9/19
( 1)
( 2)
- 13. PAGE 12
Bloomberg 2019/9/20
/ /
9/23 9 Markit PMI( ) 50.3 50.3
9/23 9 Markit PMI( ) 47.3 47.0
9/24 9 134.0 135.1
9/24 9 PMI( ) - 49.3
9/25 8 653k 635k
9/25 RBNZ 1.00% 1.00%
9/25 1.50% 1.50%
9/26 2 GDP( ) 2.0% 2.0%
9/26 8 ( ) - 0.2%
9/26 8 M3 ( ) 5.0% 5.2%
9/26 BSP 4.00% 4.25%
9/27 9 92.1 92.0
9/27 8 ( ) -1.2% 2.0%
9/27 8 0.4% 0.1%
9/27 8 0.3% 0.6%
9/27 8 ( ) - 2.6%
9/27 - 8.00%
- 14. PAGE 13
Bloomberg ICE * ICE
(%) (bp)
(%) (bp)*
/ / 本益比 風險
2.0
2.5
3.0
3.5
4.0
4.5
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 3.00 (9/19)
0
50
100
150
200
250
300
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 114.0 (9/19) 5 : 127.8
5.0
5.2
5.4
5.6
5.8
6.0
6.2
6.4
6.6
2013 2014 2015 2016 2017 2018 2019
: 5.20 (9/19)
200
250
300
350
400
450
500
550
600
2013 2014 2015 2016 2017 2018 2019
: 338.26 (9/19) 5 : 360.2
- 15. PAGE 14
Bloomberg
(%) (bp)
(%) (bp)
/ / 本益比 風險
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 6.02 (9/19)
0
200
400
600
800
1,000
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 447.6 (9/19) 5 : 460.8
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
11.0
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 5.57 (9/19)
0
200
400
600
800
1,000
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 355.0 (9/19) 5 : 441.9
- 16. PAGE 15
Bloomberg J.P. Morgan -
(%) (bp)
(%) (bp)
/ / 本益比 風險
2.0
4.0
6.0
8.0
10.0
12.0
14.0
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 3.67 (9/19)
0
200
400
600
800
1,000
1,200
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 349.0 (9/19) 5 : 377.2
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 7.50 (9/19)
0
100
200
300
400
500
600
700
800
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 575.1 (9/19) 5 : 513.8
- 17. PAGE 16
Bloomberg J.P. Morgan (EMBIG) J.P. Morgan (CEMBI)
(%) (bp)
(%) (bp)
/ / 本益比 風險
2.0
3.0
4.0
5.0
6.0
7.0
8.0
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 5.22 (9/19)
0
100
200
300
400
500
600
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 332.79 (9/19) 5 : 347.7
2.0
3.0
4.0
5.0
6.0
7.0
8.0
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 5.14 (9/19)
0
100
200
300
400
500
600
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 340.27 (9/19) 5 : 336.8
- 18. PAGE 17
Bloomberg J.P. Morgan (JACI)
(%) (bp)
(%) (bp)
/ / 本益比 風險
2.0
4.0
6.0
8.0
10.0
12.0
2011 2012 2013 2014 2015 2016 2017 2018 2019
: 8.17 (9/19)
0
200
400
600
800
1,000
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 637.0 (9/19) 5 : 565.2
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 4.42 (9/19)
0
100
200
300
400
500
2010 2011 2012 2013 2014 2015 2016 2017 2018
: 266.58 (9/19) 5 : 257.0
- 19. PAGE 18
Bloomberg 12
MSCI 500
600 225
/ / 本益比 風險
8
10
12
14
16
18
20
2008 2010 2012 2014 2016 2018
: 16.3 (9/19) 5 : 16.1
8
10
12
14
16
18
20
2007 2009 2011 2013 2015 2017
: 17.6 (9/19) 5 : 17.0
6
8
10
12
14
16
18
2007 2009 2011 2013 2015 2017
: 14.5 (9/19) 5 : 14.9
10
12
14
16
18
20
22
24
2011 2012 2013 2014 2015 2016 2017 2018
: 17.1 (9/19) 5 : 17.1
- 20. PAGE 19
Bloomberg 12
MSCI 300
SENSEX BOVESPA
/ / 本益比 風險
4
6
8
10
12
14
16
2008 2010 2012 2014 2016 2018
: 12.7 (9/19) 5 : 12.1
0
5
10
15
20
25
30
35
2008 2010 2012 2014 2016 2018
: 12.7 (9/19) 5 : 12.6
5
10
15
20
25
2007 2009 2011 2013 2015 2017
: 19.2 (9/19) 5 : 18.2
5
7
9
11
13
15
17
2008 2010 2012 2014 2016 2018
: 11.5 (9/19) 5 : 12.2
- 21. PAGE 20
Bloomberg
VIX MOVE
CDX
/ / 本益比 風險
0
10
20
30
40
50
60
70
80
90
2008 2010 2012 2014 2016 2018
: 14.05 (9/19) 5 : 15.23
0
50
100
150
200
250
300
2007 2009 2011 2013 2015 2017
: 78.1 (9/19) 5 : 65.5
50
60
70
80
90
100
110
120
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
: 60.8 (9/19) 5 : 68.3
200
250
300
350
400
450
500
550
600
650
2012
: 324.1 (9/19) 5 : 368.3
- 22. PAGE 21
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
'14/9/19 '15/9/19 '16/9/19 '17/9/19 '18/9/19 '19/9/19
-5%
0%
5%
10%
15%
20%
25%
30%
35%
'14/9/19 '15/9/19 '16/9/19 '17/9/19 '18/9/19 '19/9/19
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
'14/9/19 '15/9/19 '16/9/19 '17/9/19 '18/9/19 '19/9/19
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
'14/9/19 '15/9/19 '16/9/19 '17/9/19 '18/9/19 '19/9/19
5 1
37.2% 0.0%
29.0% 0.0%
5 1
24.6% 0.2%
31.3% 0.1%
5 1
30.9% 0.1%
30.1% 0.1%
5 1
23.6% -0.3%
26.3% 0.1%
Bloomberg
* 50% +50%
5 ( ) 5 ( )
* 5 ( ) 5 ( )
