高盛-聚焦美联储-降息预期对资产的影响

16September2024|7:56PMBST

GOALKickstart

Fedinfocus-cross-assetimpactfromshiftingratesexpectations

Lastweek,USinflationdatasurprisedslightlytotheupside.

TheECBcut25bpsasbroadlyexpectedand

communicationremainedcautious.UKactivitydatawasweaker,resultinginmoredovishBOErepricing.China

activitydatawasalsoweaker,increasingtheriskthatthe5%GDPgrowthtargetismissed.ThisweektheFedis

expectedtocutratesforthefirsttimein4years.Our

economistsexpecta25bpscutduerecentdataandFedcommentary,increasingtheriskofdisappointmentvs.

marketpricing-buttheyexpectadovishshiftinthestatementanddots.

Front-endyieldscontinuedtodeclinelastweekdespitelessnegativeUSgrowthmomentumandfirmerinflationdata

(Exhibit1).Thelast3-monthdeclineinUS2-yearyieldsis

amongthelargestsincethe1990s(Exhibit2).Suchlarge

_

declinesusuallyhavehappenedaroundrecessionsorlargegrowthstocks-asimilarlydovishshiftinQ4lastyearlargelyreversedinQ1thisyear.Whileoureconomistssee

downsideriskstotheirbaselineFedforecastofthree

consecutive25bpcutsinSeptember,November,and

December,theythinkmarketpricingmightbetoodovish.

ThemoredovishrepricingofFedexpectationshasboostedrate-sensitiveassets-ourRAIPC2‘Monetarypolicy’factorhastracked12mforwardexpectationsofchangesinthe

Fedfundsratesclosely(Exhibit3).Aswewrotebefore,thelargedeclineinUSrealratesatthebeginningofAugust

andthelackofsubsequentreversal,hasboostedsaferelativetoriskyassets(Exhibit4).Infact,Gold,YenandCHFaswellasdefensiveequitieshaveperformed

particularlystrongly(Exhibit5).Hawkishdisappointmentsincreasetheriskofriskyandsafeassetssellingoff

together.Havingsaidthat,aswerecentlyreiteratedwe

wouldexpectequity/bondcorrelationstobemorenegativeinthecomingmonthsasthemarket’sfocusshiftsfrom

inflationtogrowthrisks.

Wearemildlypro-riskfora12mhorizonbutremain

tacticallyNeutralinourassetallocation.Nearterm,with

elevatedequityvaluations,mixedmacromomentumand

risingpolicyuncertaintythereistheriskofmoreequity

drawdowns.Andapotentiallylimitedbondbufferandlessdiversificationfromrate-sensitivesafehavensincreases

riskinmulti-assetportfolios,inourview.Wecontinueto

likesellingupsideonlonger-datedUSbonds(e.g.,TLTcalls)

ChristianMueller-Glissmann,CFA

+44(20)7774-1714|christian.mueller-glissmann@

GoldmanSachsInternational

AndreaFerrario

+44(20)7552-4353|

andrea.ferrario@

GoldmanSachsInternational

PeterOppenheimer

+44(20)7552-5782|

peter.oppenheimer@GoldmanSachsInternational

ThisreportisintendedfordistributiontoGSinstitutionalclientsonly.

Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto/research/hedge.html.

GoldmanSachsGOALKickstart

topartiallyfundthecostofbuyingequityorcreditprotection-withtheresetinequityandcreditvolatilitylastweek,theentrypointlooksbetter(Exhibit6).

Fedinfocus-cross-assetimpactfromshiftingratesexpectations

Exhibit1:USmacrosurpriseshavestartedtoturnedlessnegativeagain

Exhibit2:ThedeclinesinUSfront-endyieldssincethesummerhavebeenlarge

3mchangeinUS2-yearyield

Exhibit3:DovishFedrepricinghasboostedrate-sensitiveassetsagain

1.4 1.2 1.00.80.60.40.20.0-0.2-0.4-0.6-0.8-1.0-1.2

-1.4

Jan-22

Jul-22Jan-23Jul-231mchangeofUS2-yearyield

Jan-24Jul-24USMAP(RHS)

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

-2.0

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

-2.0

909396990205081114172023

-300

5.0

-250

3.0

-200

1.0

-1.0

-150

-100

-50

0

-3.0

50

-5.0

-7.0

100

150

200

250

-9.0

300

-11.0

350

Jul-21Jan-22Jul-22Jan-23Jul-23Jan-24Jul-24

Jan-21

RAIPC2"MonetaryPolicy"Market-implied12mfwdchangeinFedfundsrate(RHS)

Source:HaverAnalytics,GoldmanSachsGlobalInvestmentResearch

Source:HaverAnalytics,GoldmanSachsGlobalInvestmentResearch

Source:Bloomberg,GoldmanSachsGlobalInvestmentResearch

Exhibit4:USrealyieldshavedeclinedsharply,andmuchmorethaninEurope

Changeinyieldssplitintoinflationswapsandrealrates

Exhibit5:SafeassetshaveperformedparticularlystronglysinceAugust5th

Betascalculatedbasedonweeklyreturns.Localcurrencyreturns(performancefromAugust5th2024).

Exhibit6:Sellingupsideonbondstobuyprotectiononequities(orcredit)looksattractive

Costas%ofspotofsellinga3m110%callonUS20y+bonds(TLT)andbuyinga3m95%putonS&P500

50

40

_

30

20

10

0

-10

-20

-30

-40

-50

ChangesinceAugust5th

InflationswapRealrate

ReturnsinceAugust5th

2Y

5Y

10Y

2Y

5y

10Y

2Y

5Y

10Y

US

UK

Germany

9%

US10ybond…

7%

EUHY(ER)

5%

EUR/USD

3%

GBP/EUR

Japan10ybond(TR)

1%

-1%

-3%

DXY

-5%

-5%-3%-1%

Gold

S&P500STOXXEurope

600

MSCIEM

CyclG10/USDUSHY(ER)

Copper

EMBI(ER)

US10yTIPS(TR)

EMFX/USDAUD/JPY

EUR/CHF

USD/JPY

Germany10ybond(TR)

1%3%5%7%9%

Returnimpliedby1ybetatoPC1"Globalgrowth"&PC2"Monetarypolicy"

10.09.08.07.06.05.04.03.02.01.00.0

-1.0

0809101112131415161718192021222324

Source:GoldmanSachsGlobalInvestmentResearch,Haver,DatastreamSource:GoldmanSachsGlobalInvestmentResearch,Haver,DatastreamSource:GoldmanSachsFICCandEquities,GoldmanSachsGlobalInvestment

Research

16September20242

GoldmanSachsGOALKickstart

Cross-asset:Forecasts

Exhibit7:GOALassetallocationrecommendationsandGScross-assetforecasts

Equities

S&P500($)

StoxxEurope600(€)

MSCIAsia-PacificEx-Japan($)Topix(¥)

10YearGovernmentBondsUS

GermanyJapan

UK

CorporateBonds

BloombergBarclaysUSIGBloombergBarclaysUSHYiBoxxEURIG

BAMLEURHY

JPMorganEMBIDiv.Commodities

WTI($/bbl)

Brent($/bbl)

Copper($/mt)Gold($/troyoz)

FX

_

EUR/USDUSD/JPYGBP/USDAUD/USDUSD/BRLUSD/INRUSD/CNY

Cash

US3-monthTbill

Germany3-monthBubills

Allocation3m

NNNNN

N

NOWUWOW

NNNNNN

N

-

-

-

-

-

-

-

-

-

-

-

-

N

-

-

Weighting12m

OWNNNN

N

NOWUWOW

UWNNNNN

OW

-

-

-

-

-

-

-

-

-

-

-

-

N

-

-

CurrentLevel

5626

516

569

2571

3.662.150.843.77

96

322

134

359

385

70

72

9,189

2,575

1.11140.71.320.675.5583.97.09

-

-

3m

5600

510

585

2700

4.252.251.223.76

90

292

120

337

384

72

77

9,210

2,590

1.051551.270.635.3584.07.35

-

-

Forecasts

6m

Indexlevel5700

5306102800

Yield(%)4.25

2.251.413.75

Spread90

291120336383

Spotprice

72

77

9,210

2,670

Spotrate1.05

1551.270.655.3083.57.40

Spotrate

-

-

ForecastUpside/Downside(%)

12m3m6m12m

TotalReturn

6000-

0.12.08.0

540-

0.34.58.2

6304.99.413.4

29005.29.313.5

TotalReturn

4.16-3.5-2.6-0.12.120.00.52.81.68-2.6-4.1-6.13.751.62.74.6

TotalReturn

90-2.3-1.21.8

291

0.82.35.7

120

0.91.74.0

336

1.52.75.6

380-2.3-0.63.6

SpotReturn

70

3.53.50.6

75

6.36.33.5

10,630

0.20.215.7

2,700

0.63.74.9

SpotReturn

1.08-5.3-5.3-2.6

15010.210.26.6

1.32-3.4-3.40.4

0.67-6.2-3.2-0.2

5.20-3.6-4.5-6.3

82.50.1-0.5-1.7

7.403.64.34.3

TotalReturn

-1.232.324.03

-0.801.572.71

Source:Bloomberg,Datastream,Bloomberg-Barclays,ICE-BAML,iBoxx,GoldmanSachsGlobalInvestmentResearch

16September20243

GoldmanSachsGOALKickstart

Cross-asset:WeeklyandYTDperformance,absoluteandrisk-adjusted

Exhibit8:Localcurrencytotalreturnsandreturntovolratiosoverthepastweek

Weeklyreturns,returntovolratiosbasedonweeklyvolatility

Exhibit9:Localcurrencytotalreturnsinstandarddeviationterms

1-weekperformanceinrolling12mstandarddeviationterms

6%5%4%3%2%1%0%-1%-2%-3%

Bitcoin

Ethereum

S&P500

Copper

Gold

WTIOil

GSCITR

Stoxx600

UK10y

MXAPJ

MSCIEM

Bitcoin+13%

Ethereum+10%

1weekperformance

1weekreturntovolratio(RHS)

USIG

US10y

USHY

German10y

EURHY

Japan10y

EURIG

GBP/USD

EUR/USD

Topix

USD/JPY

6

5

4

3

2

1

0

-1

-2

-3

S&P500

2.5

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

Bitcoin

Gold

Stoxx600

Ethereum

Copper

UK10y

GSCITR

USHY

US10y

WTIOil

MXAPJ

MSCIEM

USIG

EURHY

German10y

Japan10y

EURIG

1weekperformance

GBP/USD

Topix

EUR/USD

USD/JPY

inSDterms

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearchSource:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

Exhibit10:Localcurrencyreturnsandreturntovolratios

YTDreturns

_

Bitcoin

50%40%30%20%10% 0%-10%-20%

GSCIGold

S&P500

MSCIWorld($)

Stoxx600

MXAPJ($)

Topix

MSCIEM($)

USHY

EMCredit($)

Ethereum

EURHY

USIG

GSCIIndMetals

US10y

USDcash

US30y

EURIG

EURcash

GSCIEnhanced

UK10y

German10y

EUR/USD

GSCIEnergy

JPY/USD

Japan10y

UK30y

10yInflation

German30y

YTDreturninlocalcurrency

YTDreturntovolratioinlocalcurrency(RHS)

Japan30y

5

4

3

2

1

0

-1

-2

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

16September20244

GoldmanSachsGOALKickstart

Cross-asset:Riskappetiteindicator

Exhibit11:Riskappetiteindicatorlevelandmomentumfactors

SeeJuly2016GOALforconstructiondetails

2

1

0

-1

-2

-3

Momentum:GSRAIM(3mchangesz-score)

RiskAppetiteIndicator:GSRAII(1yz-score)-4

0809101112131415161718192021222324

Exhibit12:Riskappetiteindicatorsfordifferentassetclasses

SeeJuly2016GOALforconstructiondetails

4

3

2

1

0

-1

-2

-3

-4

EquitiesCredit

EquityvolatilityBonds

FX

Jan-22May-22Sep-22Jan-23May-23Sep-23Jan-24May-24

Sep-24

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

Exhibit13:Cyclicalsvs.defensives1-yearrollingz-scoreacrossregions

SeeJuly2016GOALforconstructiondetails

4

3

2

_

1

0

-1

-2

-3

WorldUS

EuropeJapanEM

-4

Jan-22May-22Sep-22Jan-23May-23Sep-23Jan-24May-24Sep-24

Exhibit14:Sub-componentsofequityriskappetiteindicator

SeeJuly2016GOALforconstructiondetails

4

2

0

-2

-4

EMvs.DMCyclicalsvs.Defensives

Smallvs.LargeUSlowvolstocksvsmarket

MSCIWorldERPFinancialsvs.Staples

-6

Jan-22May-22Sep-22Jan-23May-23Sep-23Jan-24May-24Sep-24

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

16September20245

GoldmanSachsGOALKickstart

Cross-asset:RiskAppetiteprincipalcomponentanalysis

Exhibit15:GSRAIprincipalcomponentExhibit16:PC1:Globalgrowthfactorvs.GlobalMAPScore

SeeApril2019GOALforconstructiondetails

6

4

2

0

-2

-4

-6

PC1:Globalgrowth-8PC2:Monetarypolicy

PC3:Dollar

-10

PC4:Euroarearisk

Jan-22May-22Sep-22Jan-23May-23Sep-23Jan-24May-24Sep-24

15

10

5

0

-5

-10

-15

PC1:Globalgrowth

GlobalMAPScore(RHS)

1011121314151617

5

4

3

2

1

0

-1

-2

-3

-4

-5

18192021222324

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit17:PC2:Monetarypolicyfactorvs.US10-yearTIPSyieldExhibit18:PC3:Dollarfactorvs.USDTWI

8

6

4

2

_

0

-2

-4

-6

PC2:Monetarypolicy

US10-yrTIPSyield(inverted)

-8

-10

1011121314151617

8

PC3:Dollar

6USDTWI(inverted)

4

2

0

-2

-4

-6

-8

101112131415161718192021222324

18192021222324

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

16September20246

GoldmanSachsGOALKickstart

Cross-asset:Balancedportfoliosanddynamicallocationstrategiesperformance

Exhibit19:60/40equity/bondportfolioperformanceacrossregionslast12m

Relativetotalreturnperformanceindexedto10012mago

120

US

115

Europe

Japan

110

105

100

95

90

Sep-23Dec-23Mar-24Jun-24Sep-24

Exhibit20:Riskparityportfolioperformanceacrossregionslast12m

Weightedinverselyby3mrealisedvolatilityofequityand10ybonds

120

116

112

108

104

100

96

92

Sep-23

US

EuropeJapan

Dec-23Mar-24Jun-24Sep-24

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit21:60/40portfoliowithvolatilitytargetstrategiesoverlayvs.US60/40portfolio

60%S&P500,40%US10ybond;basedon1mrealisedS&P500volatility

Exhibit22:60/40portfoliowithvolatilitytargetstrategiesandmomentumoverlayvs.US60/40

60%S&P500,40%US10ybond;Strategymethodologysee:GOAL:TheBalancedBear-Part2

101

100

_

99

98

Target:12(Cap150%)

Target:15(Cap115%)

Target:10(NoCap)

97

Sep-23Dec-23Mar-24Jun-24Sep-24

105

Momentum+Voltarget12

104Momentum+Voltarget15

Momentum(High120%/Low60%)

103

102

101

100

99

98

97

Sep-23Dec-23Mar-24

Jun-24

Sep-24

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

16September20247

GoldmanSachsGOALKickstart

Cross-asset:Equityvs.creditmonitor

Exhibit23:USDcashcreditvs.USequity

Cashcreditexcessreturns(beta-adjusted)vs.S&P500totalreturns

Exhibit24:USDsyntheticcreditvs.USequity

Syntheticcreditexcessreturns(beta-adjusted)vs.S&P500totalreturns

Exhibit25:EURcashcreditvs.Europeanequity

Cashcreditexcessreturns(beta-adjusted)vs.MSCIEuropetotalreturns

30%

S&P500

USDIGER(beta-adj.)USDHYER(beta-adj.)

20%

10%

0%

-10%

Sep-23Nov-23Jan-24Mar-24May-24Jul-24Sep-24

30%S&P500

CDXIG(beta-adj.)CDXHY(beta-adj.)

20%

10%

0%

-10%

Sep-23Nov-23Jan-24Mar-24May-24Jul-24Sep-24

20%

MSCIEurope

15%

EURIGER(beta-adj.)EURHYER(beta-adj.)

10%

5%

0%

-5%

-10%

Sep-23Nov-23Jan-24Mar-24May-24Jul-24Sep-24

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit26:EURsyntheticcreditvs.Europeanequity

Syntheticcreditexcessreturns(beta-adjusted)vs.MSCIEuropetotalreturns

Exhibit27:EMcashcreditvs.EMequity

Cashcreditexcessreturns(beta-adjusted)vs.MSCIEMtotalreturns

Exhibit28:EMsyntheticcreditvs.EMequity

Syntheticcreditexcessreturns(beta-adjusted)vs.MSCIEMtotalreturns

20%

15%

10%

MSCIEurope

ItraxxEurope(beta-adj.)

ItraxxEuropeXover(beta-adj.)

5%

0%

_

-5%

-10%

Sep-23Nov-23Jan-24Mar-24May-24Jul-24Sep-24

20%

15%

10%

5%

0%

-5%

-10%

-15%

Sep-23

MSCIEM

EMBIER(beta-adj.)

Nov-23Jan-24Mar-24May-24Jul-24Sep-24

20%

MSCIEM

15%

CDXEM(beta-adj.)

10%

5%

0%

-5%

-10%

-15%

Sep-23Nov-23Jan-24Mar-24May-24Jul-24Sep-24

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

16September20248

GoldmanSachsGOALKickstart

Cross-asset:Valuationandriskpremia

Exhibit29:Cross-assetvaluationtable

Ahigherpercentilemeansmoreexpensiverelativeto10yhistory

EquityGovernmentbonds

S&PStoxxMSCIGermanJapan

500600EM10y10y

Valuationmetric12mforwardP/EratioYield

MXAPJTopixUS10yUK10yUSIGUSHY

Current:21.1x13.3x13.0x13.2x11.6x3.7%2.1%0.9%3.8%109bp339bp

Expensiveness(last

84%25%41%33%34%16%18%4%14%86%84%

10ypercentile):

3Mchange:0.1x0.0x-0.6x-1.4x-0.6x-0.6%-0.3%-0.1%-0.3%2bp10bp

Average:18.2x14.4x13.3x13.9x12.1x2.4%0.6%0.2%1.8%143bp440bp

95th:22.1x17.4x16.2x17.3x14.8x4.3%2.5%0.8%4.3%192bp693bp

5th:15.5x11.9x11.6x12.0x10.5x0.7%-0.5%-0.1%0.3%101bp316bp

Note:GSDEERisourfairvaluemacromodelforexchangerates.USIGspreadisfromiBoxx.EM($)isJPMEMBI.

Source:Datastream,I/B/E/S,iBoxx,GoldmanSachsGlobalInvestmentResearch

CreditEURIG

Spread134bp

45%

-1bp136bp203bp96bp

EURHY

361bp63%

6bp404bp583bp279bp

EM($)

385bp40%

-10bp -2bp509bp292bp

FX

EUR/USDUSD/JPY

Actual-GSfairvalue

-0.09€/$57%

0.04€/$-0.09€/$0.00€/$-0.16€/$

46.2$/¥13%

-17.6$/¥20.8$/¥55.5$/¥6.5$/¥

Exhibit30:Creditspreadminusequityriskpremiumestimatesacrossmarkets

Equityriskpremiabasedon1-stageDDMusinglocal10-yearyieldsandLTGDPconsensusestimates.Usingpast10yearsofdata.

Exhibit31:Equityvs.creditrelativevaluation

USDividendYieldminusCreditspreads

4

2

0

-2

-4

_

USDHY

-6

1.60

EURHY

-0.29

+/-1Stdev.CurrentAverageHigh/low

-0.68

USDIG

EURIG

-2.54

EM($)

-0.80

3

USDYminusUSDIGCreditSpreads

2

USDYminusUSDHYCreditSpreads(RHS)

1

0

-1

-2

-3

-4

-5

199019941998200220062010201420182022

4

0

-4

-8

-12

-16

-20

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

16September2024