Oportunidades Renta Fija Andy Wells, Fidelity, enero 2013
-
date post
19-Oct-2014 -
Category
Documents
-
view
715 -
download
0
description
Transcript of Oportunidades Renta Fija Andy Wells, Fidelity, enero 2013
2013: opportunities and challenges in fixed income investing
Madrid Perspectives Event17 January 2013
Andrew WellsGlobal CIO Fixed Income, Investment Solutions and Real Estate
This presentation is for investment professionals only and should not be relied upon by private investors.
Agenda
2
Macro outlook
Inflation, rates and sovereigns
Credit, high yield and emerging debt
Conclusion
Fixed income fund types for various market scenarios
Fixed income asset class returns in 2012
3
Total returns in 2012 (Euro-hedged)
Source: BoA Merrill Lynch, 31/12/2012. Total returns of market indices in Euro-hedged terms
2.1
4.5
6.0
7.0
10.5
13.0
15.0
21.5
26.6
0.0 5.0 10.0 15.0 20.0 25.0 30.0
US Treasuries
German Bunds
Spanish Government Bonds
Global Inf lation-linked Government
Global Corporates
Euro Corporates
US High Yield
Global Emerging Market Debt
European High Yield
Total return (%)
4
More positive macro economic news
Leading economic indicatorsEconomic surprise indices
Source: FIL Fixed Income Quantitative Research, 03/01/2013.
Massive debt burdens are likely to slow the recovery
5
Source: Haver Analytics, 31/12/2011; ONS, Citigroup, 31/03/2012
UK gross debt / GDP (excluding Bank debt)US debt / GDP by sector %
0
50
100
150
200
250
300
350
400
450
500% of GDP
Households
UKGovernment
Non-bankfinancialcompanies
Non-financialcompanies
88 90 92 94 96 98 00 02 04 06 08 10 12
US:Positive but low growth, with housing recovering
6
Source: Bloomberg, National Multi Housing Council, 30/06/2012
US National Multi Housing Council quarterly housing surveyApartment Market Conditions:Sales Volume Index (Above 50 = Increasing)
Apartment Market Conditions:Debt Financing Index (Above 50 = Improving)
Europe:A downward spiral of structural problems and austerity
7
Sources: Sources: Haver Analytics, Bloomberg, RBC Capital Markets, 31/10/ 2012
Manufacturing PMIsLong-term unemployment across the Euro area (m/m change, 000s)
Historic real GDP growth per annum (%)
China:Slower growth but the trend is bottoming
8
Source: Haver Analytics, NBS, Datastream, 30/11/2012.
Chinese manufacturing PMIsChinese industrial production growth
Summary: macro outlook
Signs of better growth coming through in US but Europe still under a cloud
Deleveraging across government and personal sectors will slow the pace of economic recovery
Emerging market growth being reset at a lower but still healthy level
9
Source: FIL Limited, 03/01/2013
QE driving an inflationary tail-risk
10
0
50
100
150
200
250
300
350
400
450
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Jul 07 Jul 08 Jul 09 Jul 10 Jul 11 Jul 12
US Fed: Total Assets (US$ trillion)
ECB: Total Eurosystem liabilities (EUR trillion)
Bank of England: Holdings of government securities (£ billion, R.H.S)
1.5
2.0
2.5
3.0
3.5
4.0
06 07 08 09 10 11 12
% Fed's 5 year forward breakeven inflation rate
QE1QE2
Operation Twist
Ongoing QE
Source: Bloomberg. 05/11/2012.
US Federal Reserve’s preferred measure of inflation expectations
Central Bank balance sheets
This presentation is for Investment Professionals only and should not be relied upon by private investors11
Further monetary stimulus is likely
Source: Bloomberg, Deutsche Bank (31/07/2012)
US Core Personal Consumption Expenditure (PCE)
Money velocity: Japan and US
NOMINAL GDP/MONEY SUPPLY (M2) INDEXED TO 100 AT START OF RECESSION. US RECESSION STARTED Q2 2008.
JAPAN RECESSIN STARTED Q2 1991
DM sovereign credit fundamentals are deteriorating
12
Source: Datastream, IMF World Economic Outlook. 31/08/2012.
- 9%
- 8%
- 7%
- 6%
- 5%
- 4%
- 3%
- 2%
- 1%
0%
Gov
t. de
ficit
(% G
DP)
40% 65% 90% 115% 120% 220% 320%
Govt. Gross Debt (% GDP)
US UK
Euro Area Japan
2007
20072007
2007 2011
2011
20112011
Core government bonds yields are artificially low
13
Difference between market level and model fair value
US 1.25%
UK 1.04%
Euro 0.71%
Source: Bloomberg, FIL Fixed Income Quantitative Research, 03/01/2013
US Treasury yields UK Gilt yields
Bund yields Fidelity duration models
Value in Spanish sovereign debt
14
0
100
200
300
400
500
600
700
Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13
Spr
ead
(bas
is p
oint
s)
Source: Bloomberg, 09/01/2013.
Yield spread of 10 year Spanish Government Bonds over 10 year German Bunds
Summary: inflation, rates and sovereigns
15
Inflationary tail risks exist, driven by ultra-easy monetary policy
Developed market sovereign credit quality is deteriorating
Core government bond yields offer little value but may remain depressed
Spanish government debt is supported by an accommodative ECB and the OMT backstop
Source: FIL Limited, 03/01/2013
Credit fundamentals are sound but turning
16
Source: FIL Ltd, Moody’s. 31/10/2012. Ratings Drift = (Issuer upgrades – Issuer downgrades) / Rated Issuers
Trailing 12 Month Rating Drift
Moody's Europe DirectionMoody's Global DirectionFidelity Fundamental RatingFidelity Fundamental Rating: CorporateFidelity Fundamental Rating: Financials + Government + Structured
- 40%
- 30%
- 20%
- 10%
0%
10%
Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12Dec- 07
This presentation is for Investment Professionals only and should not be relied upon by private investors
Spreads are attractive, even if yields are at lows
17
Yield (%)
Spread (bp)
Yield (%)
Spread (bp)
Source: FIL Limited, Bloomberg (31/10/2012)
Global high yield Global investment grade corporates
Opportunities in European credit
18 18
Source: Morgan Stanley Research, BoA Merrill Lynch Euro Corporate Bond index (ER00), January 2013
European non-financial spread to Bunds European spread dispersion by quality
0
200
400
600
800
1000
06/2007 06/2008 06/2009 06/2010 06/2011 06/2012
AA
ABBB
Some signs of releveraging, especially in cyclicals
19
Source: Morgan Stanley – Leverage Finance Chartbook, 13/11/2012.
US Corporate Gross Leverage US Corporate Cash / Debt
4.06% 10%
High yield:Low default rates but high prices
20
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
0
200
400
600
800
1000
1200
1400
1600
1800
2000
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13
Basis points
US High Yield Spread
Avg Spread: 566
US Speculative Grade Default Rate (RHS)
Baseline Forecast
Pessimistic Forecast
US high yield spread (LHS)
US high yield default rate (RHS)
Pessimistic forecast
Optimistic forecast
Source: FIL Ltd, Moodys US and Europe Speculative Grade Default Rates (issuer weighted). Bloomberg, BofA Merrill Lynch US High Yield Index (to 31/10/2012)
High yield default rates and spreads
EM debt:Improving sentiment should be good for currencies
21
Source: FIL Limited, Bloomberg, J.P. Morgan, 31/12/2012
EM PMIs and new orders/inventories ratio
Summary: Credit, high yield and emerging debt
22
Credit fundamentals are strong and investment grade spreads attractive
Early signs of releveraging must be taken seriously
Low levels of default continue to support high yield investment
Persistent improvement in global business sentiment will benefit local currency emerging market debt
Source: FIL Limited, 03/01/2013
Conclusions
Macro outlook for 2013 and beyond may disappoint as deleveraging across government and personal sectors slows economic recovery
Inflationary tail risks exist, driven by ultra-easy monetary policy
Developed market sovereign credit quality is deteriorating; core government bond yields offer little value but may remain depressed
Credit fundamentals are strong and investment grade spreads attractive, but early signs of releveraging must be taken seriously
Low levels of default support high yield investment
Persistent improvement in global business sentiment will benefit emerging market debt
23
Source: FIL Limited. 03/01/2013.
Opportunities in corporate credit, challenges in government yields
24
Fixed income fund types for various market scenariosMacroeconomic Scenario Most attractive bond
asset classesFidelity Funds that will benefit
Appropriate new Fidelity products
1) Our base Case: low growth/low rates (highest probability)
• Low growth, low interest rates, more QE• Low default rates• Continued search for yield favouring spread product• Total returns lower than 2012 as headroom for spread
compression is now lower• HY, IG credit and EMD to outperform government bonds
• High yield • EMD (especially local
currency and corporate)• Investment grade credit• Inflation-linked bonds (in
anticipation of longer term QE effects)
• FF Euro High Yield• FF US High Yield• FF Asian High Yield• FF Global High Yield Focus• FF EM Debt• FF Euro Bond• FF Euro Corporate Bond• FF Sterling Bond• FF Asian Bond• FF Global Strategic Bond
• FF EM Local Currency Debt (due Q1 2013)
• FF EM Corporate Debt (due Q1 2013)
• Brazil Strategic Bond (pilot due Q1 2013)
• FF Global Income 50% IG / 35% HY / 15% EMD (due Q1 2013)
2) Tail risk: better macro conditions (low probability)• Material solutions to Eurozone crisis take effect• DM growth and investor sentiment recover sharply• Rising government bond yields in anticipation of rate
rises and a cessation of QE• Fears of rising inflation• EM growth accelerates further• Longer duration bonds underperform; credit partly
protected by spread compression; inflation-protection becomes attractive
Rising interest rates
•Shorter duration•Absolute return
• FF Global High Grade Income• FF China RMB Bond• FF Euro Short Term Bond• FF high yield range • FIF MoneyBuilder Income
Reduced Duration• FAST FI Diversified Alpha• FF Global Strategic Bond
Rising inflation•Inflation-linked bonds
• FF Global Inflation-linked Bond• FF EM Inflation-linked Bond
3) Tail risk: worse macro conditions (lowest probability)
• DM economies lurch back into bad recession• EM growth slows further• Economic contraction delays recovery in sovereign
debt levels, leading to more sovereign credit downgrades
• Default rates rise dramatically• Risk assets underperform, particularly high yield and
financials; high quality, liquid sovereigns outperform
Bad recession•Strategic bonds •High quality sovereigns
• FF Global Strategic Bond• FF Global High Grade Income
Increasing sovereign risk•Strategic bonds•High quality sovereigns
• FF Global Strategic Bond• FF Global High Grade Income
Source: FIL Limited, 31/12/2012.
25
3 Year SICAV Performance to 31 December 2012
25Fidelity Internal Information
Source: FIL Limited, Morningstar Workstation, 31/12/2012. Performance is net of fees and in fund base currency. Calculation basis is NAV-NAV with gross income reinvested. Quartile rankings are based on 3 year performance. Excludes institutional and money market funds. Past performance is not a reliable indicator of future results. The value of investments can go down as well as up and investors may not get back the amount invested. * FF Global Inflation-linked Bond Fund’s benchmark is 1-10 years whereas the peer group uses longer all maturities inflation-linked benchmarks* * FF Asian High Yield Fund's Morningstar sector is the Fixed Income Asia Pacific sector composed of 9 other funds only, none of which is a high yield bond fund.
2
1
4
2
3
2
1
1
1
1
2
1 12.9
12.1
6.2
5.5
6.5
3.1
11.5
12.9
4.9
5.0
6.7
9.1
9.7
10.4
7.2
6.5
7.5
3.9
10.2
10.7
5.2
4.5
8.0
8.5
0 5 10 15
FF Asian High Yield FundBofA ML Asian $ HY Corp Constrained
FF European High Yield FundBofA ML Euro High Yield Constrained
FF MoneyBuilder European Bond Fund10.0% BofA ML Euro HY Const; 90.0% BofA ML Euro Large Cap
FF Euro Bond FundBofA ML EMU Large Cap Inv Grade
FF Euro Corporate Bond FundBofA ML Euro EMU Corporate
FF Euro Short Term Bond FundBofA Merrill Lynch 1-3 EMU Broad Market
FF US High Yield FundBofA Merrill Lynch US High Yield Blended Index
FF Emerging Market Debt FundJPM EMBI Global
FF International Bond FundBarclays Global Agg G5 x MBS
*FF Global Inflation-Linked Bond FundBarCap World Government IL Bonds 1 to 10 year Index
FF US Dollar Bond FundBofA ML US Corp & Govt Master Large Cap
FF Sterling Bond FundBofA ML Sterling Large Cap
%
Fund (Net, three year %)
Comparative index (%)
25
Important information
26
This information is for Investment Professionals only and should not be relied upon by private investors. It must not be reproduced or circulated without prior permission. This communication is not directed at, and must not be acted upon by persons inside the United Kingdom or the United States and is otherwise only directed at persons residing in jurisdictions where the relevant funds are authorised for distribution or where no such authorisation is required. Fidelity/Fidelity Worldwide Investment means FIL Limited and its subsidiary companies. Unless otherwise stated, all views are those of Fidelity. Fidelity only offers information on its own products and services and does not provide investment advice based on individual circumstances. Fidelity, Fidelity Worldwide Investment, the Fidelity Worldwide Investment logo and F symbol are trademarks of FIL Limited. Fidelity Funds is an open-ended investment company established in Luxembourg with different classes of shares. Reference to FF before a fund name refers to Fidelity Funds. Holdings can vary from those in the index quoted. For this reason the comparison index is used for reference only. This document may not be reproduced or circulated without prior permission. No statements or representations made in this document are legally binding on Fidelity or the recipient. Past performance is not a reliable indicator of future results. The value of investments can go down as well as up and investors may not get back the amount invested. For funds that invest in overseas markets, changes in currency exchange rates may affect the value of an investment. Foreign exchange transactions may be effected on an arms length basis by or through Fidelity companies from which a benefit may be derived by such companies. Data Source - © 2013 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. The value of bonds is influenced by movements in interest rates and bond yields. If interest rates and so bond yields rise, bond prices tend to fall, and vice versa. The price of bonds with a longer lifetime until maturity are generally more sensitive to interest rate movements than those with a shorter lifetime to maturity. The risk of default is based on the issuer's ability to make interest payments and to repay the loan at maturity. Default risk may therefore vary between different government issuers as well as between different corporate issuers. The investment policy of this fund means it can be more than 35% invested in Government and public securities. These can be issued or guaranteed by other countries and Governments. For a full list please refer to the fund's prospectus.We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus, which is available along with the current annual and semi-annual reports free of charge from our distributors, from our European Service Centre in Luxembourg;For the purposes of distribution in Spain, Fidelity Funds is registered, with the CNMV Register of Foreign Collective Investment Schemes under registration number 124, where complete information is available from Fidelity Funds authorised distributors. The purchase of or subscription for shares in Fidelity Funds shall be made on the basis of the Key Investor Information Document (KIIDS) that investors shall receive in advance. The Key Investor Information Document (KIIDS) is available free of charge and for inspection at the offices of locally authorised distributors as well as at the CNMV ; Issued by FIL Investments International (FSA registered number 122170) a firm authorised and regulated by the Financial Services Authority. FIL Investments International is a member of the Fidelity Worldwide Investment group of companies and is registered in England and Wales under the company number 1448245. The registered office of the company is Oakhill House, 130 Tonbridge Road, Hildenborough, Tonbridge, Kent TN11 9DZ, United Kingdom. Fidelity Worldwide Investment’s VAT identification number is 395 3090 35.FIPM 382