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2021-02-23

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As Volatility Fades, Can Cyclicals Shine?<blockquote>波动消退，周期股能否大放异彩？</blockquote>

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That jump represents the largest month-over-month increase since the fall of 2018.</li> <li>Technical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.</li> <li>Economic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations.</li> </ul> Despite a stellar 2020, market momentum did not survive January. After a strong start, stocks surrendered gains as investors tried to process triple-digit volatility in a handful of small-cap, heavily shorted names.<blockquote><ul><li>即使在从1月下旬的峰值回落后，VIX指数在本月结束时仍比开始时高出45%。这一增幅是自2018年秋季以来最大的环比增幅。</li><li>技术混乱可能会继续造成短期干扰，但有两个因素有利于股市波动性进一步下降：经济改善和异常宽松的货币条件。</li><li>经济意外指数仍稳定在正值区域，表明大多数经济数据都超出预期。</li></ul>尽管2020年表现出色，但市场势头并没有持续到1月份。在强劲开局后，由于投资者试图应对少数小盘股、被严重做空的股票的三位数波动，股市回吐涨幅。</blockquote> While the damage to markets was minimal, the boost to volatility was not. Even after fading from the late January peak, the VIX Index ended the month 45% above where it started. That jump represents the largest month-over-month increase since the fall of 2018.<blockquote>虽然对市场的损害很小，但对波动性的提振却并非如此。即使在从1月下旬的峰值回落后，VIX指数在本月结束时仍比开始时高出45%。这一增幅是自2018年秋季以来最大的环比增幅。</blockquote> While volatility has started to fade, the VIX Index and other measures of equity volatility remain well above their long-term average. Technical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.<blockquote>尽管波动性已开始消退，但VIX指数和其他衡量股市波动性的指标仍远高于长期平均水平。技术混乱可能会继续造成短期干扰，但有两个因素有利于股市波动性进一步下降：经济改善和异常宽松的货币条件。</blockquote> Starting with the economy, while a few economic indicators have softened there is ample evidence that the economy continues to improve. Economic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations. With the vaccine rollout accelerating and more stimulus on the way, I would expect further improvement.<blockquote>从经济开始，虽然一些经济指标走软，但有充分证据表明经济继续改善。经济意外指数仍稳定在正值区域，表明大多数经济数据都超出预期。随着疫苗推广的加速和更多刺激措施的出台，我预计情况会进一步改善。</blockquote> The second factor favoring lower volatility is easy money. Regardless of the precise metric - credit spreads, money supply growth, real interest rates - money has rarely been this cheap or available. This combination of an improving economy and favorable financial conditions typically coincides with low volatility.<blockquote>有利于较低波动性的第二个因素是宽松的资金。不管精确的指标——信用利差、货币供应增长、实际利率——货币很少如此便宜或可用。经济改善和有利的金融状况的结合通常与低波动性相一致。</blockquote> For example, a simple one-factor model using credit spreads as a proxy for financial conditions explains about 55% of the variation in the VIX Index (see Chart 1). Based on this relationship, volatility is still way too high. As credit markets proved resilient during the recent sell-off, high yield spreads remain tight. Narrow spreads suggest the VIX should be trading closer to 15 than 25. Looking at different measures and combinations of factors leads to a similar conclusion: Equity volatility has further to fall.<blockquote>例如，一个使用信用利差作为金融状况指标的简单单因素模型解释了VIX指数约55%的变化（见图1）。基于这种关系，波动性仍然太高。由于信贷市场在最近的抛售中表现出弹性，高收益利差仍然紧张。利差狭窄表明VIX应该接近15，而不是25。观察不同的衡量标准和因素组合会得出类似的结论：股市波动性必须进一步下降。</blockquote> High yield spreads vs VIX Index 1994 to present<blockquote>1994年至今高收益利差与VIX指数</blockquote> <img src=\"https://static.tigerbbs.com/c26775fb3ad7b326b828b0db79d3f03a\" tg-width=\"1280\" tg-height=\"854\">Source: Bloomberg, as of 1/31/21.<blockquote>资料来源：彭博，截至2011年1月31日。</blockquote> Lower Volatility = Cyclicals &gt; Defensives<blockquote>较低的波动性=周期性&gt;防御性</blockquote> Easy money and an improving economy suggest not only lower volatility but further equity gains. That said, those gains are not likely to be shared equally.<blockquote>宽松的货币政策和不断改善的经济不仅意味着波动性降低，还意味着股市进一步上涨。也就是说，这些收益不太可能被平均分享。</blockquote> Assuming volatility continues to grind lower, history suggests favoring cyclical over defensive stocks. Based on 20 years of data, when the VIX is falling the MSCI Cyclical - Defensive Return Spread Index posts an average monthly gain of around 1%. When the drop in volatility is large, 10% or more, average cyclical outperformance expands to nearly 2%.<blockquote>假设波动性继续走低，历史表明更青睐周期性股票而不是防御性股票。根据20年的数据，当VIX下跌时，MSCI周期性防御性回报利差指数平均每月上涨约1%。当波动性下降幅度较大（10%或更大）时，平均周期性表现扩大至近2%。</blockquote> Given this dynamic, I would continue to favor cyclical expressions including machinery, specialty chemicals, and cyclical parts of technology. At the same time, I would remain underweight the more overpriced parts of consumer staples, particularly household and food products. For investors, the conclusion is not just to maintain equity exposure, but to favor those parts of the market most likely to benefit from a normalization of both the economy and (hopefully) financial markets.<blockquote>鉴于这种动态，我将继续支持周期性表达，包括机械、特种化学品和技术的周期性部分。与此同时，我将继续跑输大盘消费必需品中价格较高的部分，特别是家庭用品和食品。对于投资者来说，结论不仅仅是维持股票敞口，而是支持那些最有可能从经济和（希望）金融市场正常化中受益的市场部分。</blockquote>","source":"lsy1614063402248","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>As Volatility Fades, Can Cyclicals Shine?<blockquote>波动消退，周期股能否大放异彩？</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nAs Volatility Fades, Can Cyclicals Shine?<blockquote>波动消退，周期股能否大放异彩？</blockquote>\n</h2>\n<h4 class=\"meta\">\n\niShares Market Insights2021-02-23 14:57\n\n</h4>\n</header>\n<article>\nSummary<blockquote>总结</blockquote> <ul> <li>Even after fading from the late January peak, the VIX Index ended the month 45% above where it started. That jump represents the largest month-over-month increase since the fall of 2018.</li> <li>Technical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.</li> <li>Economic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations.</li> </ul> Despite a stellar 2020, market momentum did not survive January. After a strong start, stocks surrendered gains as investors tried to process triple-digit volatility in a handful of small-cap, heavily shorted names.<blockquote><ul><li>即使在从1月下旬的峰值回落后，VIX指数在本月结束时仍比开始时高出45%。这一增幅是自2018年秋季以来最大的环比增幅。</li><li>技术混乱可能会继续造成短期干扰，但有两个因素有利于股市波动性进一步下降：经济改善和异常宽松的货币条件。</li><li>经济意外指数仍稳定在正值区域，表明大多数经济数据都超出预期。</li></ul>尽管2020年表现出色，但市场势头并没有持续到1月份。在强劲开局后，由于投资者试图应对少数小盘股、被严重做空的股票的三位数波动，股市回吐涨幅。</blockquote> While the damage to markets was minimal, the boost to volatility was not. Even after fading from the late January peak, the VIX Index ended the month 45% above where it started. That jump represents the largest month-over-month increase since the fall of 2018.<blockquote>虽然对市场的损害很小，但对波动性的提振却并非如此。即使在从1月下旬的峰值回落后，VIX指数在本月结束时仍比开始时高出45%。这一增幅是自2018年秋季以来最大的环比增幅。</blockquote> While volatility has started to fade, the VIX Index and other measures of equity volatility remain well above their long-term average. Technical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.<blockquote>尽管波动性已开始消退，但VIX指数和其他衡量股市波动性的指标仍远高于长期平均水平。技术混乱可能会继续造成短期干扰，但有两个因素有利于股市波动性进一步下降：经济改善和异常宽松的货币条件。</blockquote> Starting with the economy, while a few economic indicators have softened there is ample evidence that the economy continues to improve. Economic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations. With the vaccine rollout accelerating and more stimulus on the way, I would expect further improvement.<blockquote>从经济开始，虽然一些经济指标走软，但有充分证据表明经济继续改善。经济意外指数仍稳定在正值区域，表明大多数经济数据都超出预期。随着疫苗推广的加速和更多刺激措施的出台，我预计情况会进一步改善。</blockquote> The second factor favoring lower volatility is easy money. Regardless of the precise metric - credit spreads, money supply growth, real interest rates - money has rarely been this cheap or available. This combination of an improving economy and favorable financial conditions typically coincides with low volatility.<blockquote>有利于较低波动性的第二个因素是宽松的资金。不管精确的指标——信用利差、货币供应增长、实际利率——货币很少如此便宜或可用。经济改善和有利的金融状况的结合通常与低波动性相一致。</blockquote> For example, a simple one-factor model using credit spreads as a proxy for financial conditions explains about 55% of the variation in the VIX Index (see Chart 1). Based on this relationship, volatility is still way too high. As credit markets proved resilient during the recent sell-off, high yield spreads remain tight. Narrow spreads suggest the VIX should be trading closer to 15 than 25. Looking at different measures and combinations of factors leads to a similar conclusion: Equity volatility has further to fall.<blockquote>例如，一个使用信用利差作为金融状况指标的简单单因素模型解释了VIX指数约55%的变化（见图1）。基于这种关系，波动性仍然太高。由于信贷市场在最近的抛售中表现出弹性，高收益利差仍然紧张。利差狭窄表明VIX应该接近15，而不是25。观察不同的衡量标准和因素组合会得出类似的结论：股市波动性必须进一步下降。</blockquote> High yield spreads vs VIX Index 1994 to present<blockquote>1994年至今高收益利差与VIX指数</blockquote> <img src=\"https://static.tigerbbs.com/c26775fb3ad7b326b828b0db79d3f03a\" tg-width=\"1280\" tg-height=\"854\">Source: Bloomberg, as of 1/31/21.<blockquote>资料来源：彭博，截至2011年1月31日。</blockquote> Lower Volatility = Cyclicals &gt; Defensives<blockquote>较低的波动性=周期性&gt;防御性</blockquote> Easy money and an improving economy suggest not only lower volatility but further equity gains. That said, those gains are not likely to be shared equally.<blockquote>宽松的货币政策和不断改善的经济不仅意味着波动性降低，还意味着股市进一步上涨。也就是说，这些收益不太可能被平均分享。</blockquote> Assuming volatility continues to grind lower, history suggests favoring cyclical over defensive stocks. Based on 20 years of data, when the VIX is falling the MSCI Cyclical - Defensive Return Spread Index posts an average monthly gain of around 1%. When the drop in volatility is large, 10% or more, average cyclical outperformance expands to nearly 2%.<blockquote>假设波动性继续走低，历史表明更青睐周期性股票而不是防御性股票。根据20年的数据，当VIX下跌时，MSCI周期性防御性回报利差指数平均每月上涨约1%。当波动性下降幅度较大（10%或更大）时，平均周期性表现扩大至近2%。</blockquote> Given this dynamic, I would continue to favor cyclical expressions including machinery, specialty chemicals, and cyclical parts of technology. At the same time, I would remain underweight the more overpriced parts of consumer staples, particularly household and food products. For investors, the conclusion is not just to maintain equity exposure, but to favor those parts of the market most likely to benefit from a normalization of both the economy and (hopefully) financial markets.<blockquote>鉴于这种动态，我将继续支持周期性表达，包括机械、特种化学品和技术的周期性部分。与此同时，我将继续跑输大盘消费必需品中价格较高的部分，特别是家庭用品和食品。对于投资者来说，结论不仅仅是维持股票敞口，而是支持那些最有可能从经济和（希望）金融市场正常化中受益的市场部分。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.blackrock.com/us/individual/insights/volatility-fades-cyclicals-shine?cid=synd%3ASA%3AAsVolatilityFadesCanCyclicalsShine&source=content_type%3Areact%7Cfirst_level_url%3Aarticle%7Csection%3Amain_content%7Cbutton%3Abody_link\">iShares Market Insights</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index",".DJI":"道琼斯"},"source_url":"https://www.blackrock.com/us/individual/insights/volatility-fades-cyclicals-shine?cid=synd%3ASA%3AAsVolatilityFadesCanCyclicalsShine&source=content_type%3Areact%7Cfirst_level_url%3Aarticle%7Csection%3Amain_content%7Cbutton%3Abody_link","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1117195825","content_text":"Summary\n\nEven after fading from the late January peak, the VIX Index ended the month 45% above where it started. That jump represents the largest month-over-month increase since the fall of 2018.\nTechnical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.\nEconomic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations.\n\nDespite a stellar 2020, market momentum did not survive January. After a strong start, stocks surrendered gains as investors tried to process triple-digit volatility in a handful of small-cap, heavily shorted names.\nWhile the damage to markets was minimal, the boost to volatility was not. Even after fading from the late January peak, the VIX Index ended the month 45% above where it started. That jump represents the largest month-over-month increase since the fall of 2018.\nWhile volatility has started to fade, the VIX Index and other measures of equity volatility remain well above their long-term average. Technical dislocations may continue to cause short-term disruptions, but two factors favor a further drop in equity volatility: an improving economy and exceptionally easy monetary conditions.\nStarting with the economy, while a few economic indicators have softened there is ample evidence that the economy continues to improve. Economic surprise indexes remain solidly in positive territory, suggesting most economic data is beating expectations. With the vaccine rollout accelerating and more stimulus on the way, I would expect further improvement.\nThe second factor favoring lower volatility is easy money. Regardless of the precise metric - credit spreads, money supply growth, real interest rates - money has rarely been this cheap or available. This combination of an improving economy and favorable financial conditions typically coincides with low volatility.\nFor example, a simple one-factor model using credit spreads as a proxy for financial conditions explains about 55% of the variation in the VIX Index (see Chart 1). Based on this relationship, volatility is still way too high. As credit markets proved resilient during the recent sell-off, high yield spreads remain tight. Narrow spreads suggest the VIX should be trading closer to 15 than 25. Looking at different measures and combinations of factors leads to a similar conclusion: Equity volatility has further to fall.\nHigh yield spreads vs VIX Index 1994 to present\nSource: Bloomberg, as of 1/31/21.\nLower Volatility = Cyclicals > Defensives\nEasy money and an improving economy suggest not only lower volatility but further equity gains. That said, those gains are not likely to be shared equally.\nAssuming volatility continues to grind lower, history suggests favoring cyclical over defensive stocks. Based on 20 years of data, when the VIX is falling the MSCI Cyclical - Defensive Return Spread Index posts an average monthly gain of around 1%. When the drop in volatility is large, 10% or more, average cyclical outperformance expands to nearly 2%.\nGiven this dynamic, I would continue to favor cyclical expressions including machinery, specialty chemicals, and cyclical parts of technology. At the same time, I would remain underweight the more overpriced parts of consumer staples, particularly household and food products. For investors, the conclusion is not just to maintain equity exposure, but to favor those parts of the market most likely to benefit from a normalization of both the economy and (hopefully) financial markets.","news_type":1,"symbols_score_info":{".IXIC":0.9,".DJI":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":431,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":20,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/369548564"}