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04 ott 2019

Five ways to position your bond portfolio into year-end

Valuations in the global fixed income market are looking increasingly stretched as we enter Q4, with close to $15trn* negative-yielding debt outstanding. The global economy is slowing, while heightened geopolitical tensions increase the risk of recession. With no major breakthroughs, sovereign bond yields are unlikely to rise meaningfully from their current level. Fixed income investors are increasingly turning towards riskier assets and taking on more duration risk in their hunt for yields. 

Negative yielding debt close to record highs (market value in USD trn)*

chart1

*Source: Lyxor International Asset Management, Bloomberg, data as at 30/09/2019

Looking ahead, selectivity and asset quality will remain key to sustaining performance in a bond portfolio in Q4.

With all that in mind, here we look at five ways to position your bond portfolio into year-end.

 1. US rates: Positive on the front end of the curve

Despite persistent uncertainties, US data have continued to show strength. The steady pace of job creation, the rise in core CPI and resilient consumers are all factors that should avert a recession for now. The market is quite pessimistic on the US outlook and still prices in an 80% chance that the Fed Funds rates will fall below 1.5% by the end of 2020.

History shows that monetary policy rate adjustments greater than 75bps have only happened ahead of a recession. Recession probability models derived from the US yield curve suggest just under 40% chance of recession over the next 4-6 quarters (see chart). Should the Fed be correct in its current assessment that only mid-cycle adjustments are required, fixed income assets will soon look extremely overpriced, which would leave the long end of the US curve at risk.

On this basis, we maintain our preference for short maturities in US Treasuries. We suspect the US yield curve will retain its flattening bias in the near term. A steepening would materialise if the Fed were forced into to more aggressive easing. 

US recession risk has soared over recent months
Probability of recession calculated from the US yield curve

chart 2

Note: Shaded bars indicate recessions. Based on the spread between the 3 month Treasury bill rate and 10 year Treasury bond rate.
Source: Federal Reserve Board, Federal Reserve Bank of Cleveland, Haver Analytics. Data as at 30 September 2019

2. EUR rates & curve: Hunt for yield and carry will be key

Investor perception of Europe’s economic outlook remains negative. While the ECB has sent signals that it could provide renewed monetary support, it will only do more in the event of severe deterioration in the inflation outlook. Bold fiscal policy expansion measures could also sustain demand, but we are not there yet.

Given the outlook, the hunt for yield should remain a key driver of performance in the euro area’s bond market in the medium term. The restart of the ECB’s Asset Purchase Program (APP) should be supportive for peripheral bonds and Italy in particular. Italian bonds’ performance lagged other peripheral bond markets and they offer good carry. Despite structural political uncertainties in Italy, the newly instated pro-Europe government is likely to push for greater budget stability. This should avert rating downgrade risks for now and support flows into the market.

Even if it is unlikely that inflation expectations move much higher in the near term, there are reasons to hold inflation-linked bonds. The inflation breakeven rate is currently priced well below surveys of long-term inflation expectations. Moreover, linkers may well be included in the next ECB’s Public Sector Purchase Programme (PSPP) set to begin from November – more details will emerge at the 24 October meeting. Buying flows in a context of relatively low supply would be supportive factors particularly for French and Italian inflation linked bonds. 

ECB Balance sheet to expand further

chart 3

Source: Lyxor International Asset Management, Bloomberg, data as at 30/09/2019

3. UK rates: Higher inflation ahead

Given the pace of change in UK politics and future Brexit scenarios, it is difficult to have strong convictions on UK assets. Political developments could trigger renewed negative sentiment and hit the pound. In that case, inflation expectations could surge, at least over the next few months, which could support UK inflation-linked bonds. In the longer run, we remain concerned that the economic slowdown and fiscal easing will weigh on all assets.

4. Credit: Favour HY over IG both in Europe and the US 

We are still positive on the outlook for corporate credit and high yield. The latter should be underpinned by attractive risk-adjusted returns, the dovish monetary policy stance and low default rates on both sides of the Atlantic (see chart). 

In Europe, the corporate credit market has seen record issuance since the beginning of the year with volumes currently standing over €520bn. This record level has already been absorbed by strong market demand. The asset class has benefited from continuous inflows stemming from yield-starved investors. With sovereign bond yields deeply negative, such a trend is unlikely to change.  

High yield default rate remains low in the US

chart 4

Source: Lyxor International Asset Management, Macrobond, data as at 6/09/2019. Past performance is not a reliable indicator of future performance. 

5. EM debt: Prefer hard currency

Monetary easing around the world should continue to bolster the performance of emerging-market debt, which tends to be less volatile than emerging equities and remains attractive in terms of real yields. Subdued inflation pressure also offers ample scope for rate cuts. A simple modelling using EM forex index, U.S. Treasuries 10-year yield, commodity prices, macro momentum, and China credit impulse point to a spread level justified by macro fundamentals (see chart). Trade tensions should continue to affect the outlook for EM currencies, hence our preference for hard currency bonds. 

Fundamentals justify EM debt spread levels

chart 5

Source: Lyxor International Asset Management, Macrobond, data as at 15/09/2019. Past performance is not a reliable indicator of future performance. 


Risk Warning

This document is for the exclusive use of investors acting on their own account and categorised either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets in Financial Instruments Directive 2014/65/EU. These products comply with the UCITS Directive (2009/65/EC). Société Générale and Lyxor International Asset Management (LIAM) recommend that investors read carefully the “investment risks” section of the product’s documentation (prospectus and KIID). The prospectus and KIID are available free of charge on www.lyxoretf.com, and upon request to client-services-etf@lyxor.com.

Except for the United-Kingdom, where this communication is issued in the UK by Lyxor Asset Management UK LLP, which is authorized and regulated by the Financial Conduct Authority in the UK under Registration Number 435658, this communication is issued by Lyxor International Asset Management (LIAM), a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/EU) and AIFM (2011/61/EU) Directives. Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority).

The products mentioned are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on the London Stock Exchange, assuming normal market conditions and normally functioning computer systems. Units of a specific UCITS ETF managed by an asset manager and purchased on the secondary market cannot usually be sold directly back to the asset manager itself. Investors must buy and sell units on a secondary market with the assistance of an intermediary (e.g. a stockbroker) and may incur fees for doing so. In addition, investors may pay more than the current net asset value when buying units and may receive less than the current net asset value when selling them. Updated composition of the product’s investment portfolio is available on www.lyxoretf.com. In addition, the indicative net asset value is published on the Reuters and Bloomberg pages of the product, and might also be mentioned on the websites of the stock exchanges where the product is listed.

Prior to investing in the product, investors should seek independent financial, tax, accounting and legal advice. It is each investor’s responsibility to ascertain that it is authorised to subscribe, or invest into this product. This document is of a commercial nature and not of a regulatory nature. This material is of a commercial nature and not a regulatory nature. This document does not constitute an offer, or an invitation to make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates, Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to herein.

Research disclaimer

Lyxor International Asset Management (“LIAM”) or its employees may have or maintain business relationships with companies covered in its research reports. As a result, investors should be aware that LIAM and its employees may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Please see appendix at the end of this report for the analyst(s) certification(s), important disclosures and disclaimers. Alternatively, visit our global research disclosure website www.lyxoretf.com/compliance.

Conflicts of interest 

This research contains the views, opinions and recommendations of Lyxor International Asset Management (“LIAM”) Cross Asset and ETF research analysts and/or strategists. To the extent that this research contains trade ideas based on macro views of economic market conditions or relative value, it may differ from the fundamental Cross Asset and ETF Research opinions and recommendations contained in Cross Asset and ETF Research sector or company research reports and from the views and opinions of other departments of LIAM and its affiliates. Lyxor Cross Asset and ETF research analysts and/or strategists routinely consult with LIAM sales and portfolio management personnel regarding market information including, but not limited to, pricing, spread levels and trading activity of ETFs tracking equity, fixed income and commodity indices. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and reports. Lyxor has mandatory research policies and procedures that are reasonably designed to (i) ensure that purported facts in research reports are based on reliable information and (ii) to prevent improper selective or tiered dissemination of research reports. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, competitive factors and LIAM’s total revenues including revenues from management fees and investment advisory fees and distribution fees.

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