Informe de DB en Octubre. En lo que se refiere al Yen se cumple.
Esto es lo que indica en relación al CHF.
The CHF to benefit from carry unwind and weaker growth
Weaker growth dynamics, sustained volatility, a
favourable trend in fiscal and external balances are all
factors suggesting an appreciating trend in the defensive
and counter-cyclical CHF going forward.
Sustained volatility to generate further carry
unwinding
The appreciation in the CHF has been surprisingly
subdued over the past 12 months given the degree of
market uncertainty and the rise in volatility. Indeed, taking
a historical look at developments in the trade-weighted
CHF versus the VIX shows that the CHF is the G10
currency most consistently positively correlated with
equity market volatility. That combined with the fact that
CHF vols have generally been lagging the rest of the G10
in this latest surge in volatility, would suggest we will see
a catch up going forward, with attendant upside in the
CHF. Bottom line, the outlook for weaker global growth
dynamics, higher risk premia and ongoing tightening of
liquidity, should result in a further unwinding of carry.
Speculative market only marginally long the CHF
Also, and using it as a contrarian indicator, speculative
positioning in the CHF, according to the DB Positioning
Index, has been strangely subdued for quite some time.
Currently it is only just in long territory, well behind long
positioning in the JPY and the USD. We believe this is
likely to change as the CHF re-asserts its safe-haven
status in the current environment. Also, the large FDI
outflows which have undermined the CHF over the past
couple of years are likely to slow down as the less
favourable liquidity and financing environment weighs on
Swiss multinationals’ plans to expand abroad and thus
limit M&A outflows.
Weaker growth dynamics supportive of the CHF
While the outlook for the Swiss economy is for a
slowdown, much as in the rest of the world, so far in this
cycle Swiss economic indicators have been holding up
relatively well. While economic data and domestic
monetary policy currently are not major drivers in the FX
market, at the least this would suggest that when policy
rate spreads return to the fore in terms of driving FX, they
should not be an obstacle to further CHF appreciation.
Also, in a wider perspective the CHF has consistently
been one of the most counter cyclical currencies among
the G10s over the past 30 years. This should make it well
positioned to take advantage of what increasingly looks
like a more prolonged global economic slowdown.
Furthermore, with volatility now having established itself
at high and sustained levels, the focus in the FX markets
is likely to increasingly fall on fundamentals and valuation.
In this respect the CHF is favourably placed, being the
only G10 currency that enjoys surpluses in both the fiscal
and external balances, as well as being undervalued
compared with recent trends and also in a more traditional
PPP valuation framework.
One way of capitalizing on the above perspectives is to
buy the CHF against the lowest yielding of the typical procyclical
currencies, namely the CAD and the SEK.
Por cierto,
link de Bloomber interesante.