论坛首发 JP Morgan Global FX Strategy2013

2013 Outlook: Less stress, less value, tougher returns (John Normand) 4
2012 has been a year of toil and trouble: macro and policy shocks in every region but little trend in the tradedweighted
dollar and below-average returns for fund managers. 2013 should be easier in some ways (less risk
from China & Europe, more central bank liquidity) and harder in others (low yields and vol premia, high
currency valuations). Expect another year of modest USD weakness (2% trade-weighted), where most
opportunities stem from tactical trading. Industry returns would only reach 2% as a best case if the carry focus
persists, since G-10 and EM rates are so low and many central banks oppose currency strength.
 Four global macro themes and top trades (Paul Meggyesi, John Normand, Matthias Bouquet) 16
(1) Global growth stagnation and abundant liquidity, but regional risks rotate (worst-of carry basket of AUD,
RUB and TRY vs USD); (2) Less euro stress, more European fundamentals (long NOK/SEK and NOK/GBP;
dual at-expiry digital with EUR/NOK lower and EUR/GBP higher); (3) Currency wars – ceasefires and new
fronts (long USD/JPY, KRW/JPY and CHF/JPY; dual-at-expiry EUR/NOK lower and EUR/JPY higher;
bearish EUR/CHF seagull); and (4) Valuation gaps to narrow (long NOK/JPY)
 Post-mortem on 2012 forecasts and trade recommendations (John Normand) 18
Since markets entered 2012 priced for global recession, we expected the dollar to decline if policymakers
prevented the worst-case scenario. That view was counter-consensus but correct. We underestimated,
however, the damage the BoJ could do the yen and what Greek elections would do to the euro. On macro trade
recommendations, success rates were 60% or better for cash, non-digitals and digitals.
 Volatility: Moderate correction, little drama (Arindam Sandilya, Matthias Bouquet) 20
FX vols are abnormally low for a sub-trend global expansion. VXY should correct to 9%. Short gamma will
prove ineffective in the absence of implied/realized premia: sell forward vols along steep curves instead. Buy
9M DNTs (GBP/USD, GBP/CAD) to monetize narrow ranges. EUR/USD vol curve likely to bear flatten:
enter short 5Y/long 1Y gamma-neutral calendars. Outright yen vol shorts have diminished in value: buy crossyen
vs. USD/JPY 1Y 25D JPY put switches. Retain carry-efficient hedges via butterflies in EUR and AUD.
 Long-term Technical Strategy: Currency stalemate (Niall O’Connor, Thomas Anthonj) 32
The broad USD picture is expected to stay mixed with early strength eventually giving way to a bearish
reversal during the second half. The long-term downtrends in euro crosses appear intact. Buy USD/NOK,
CAD/JPY and TRY/JPY & sell EUR/INR. Keep these pairs on the watch list: GBP/USD, EUR/commodity
FX, USD/MXN, AUD/USD, KRW/JPY and TRY/ZAR.
 Feature: Obama’s second term–where is US headed? (Ken Landon) 50
The dollar tends to benefit in the immediate aftermath of US Presidential elections. Obama's appointment of
the next Treasury Secretary would send an important signal about the priority of currency policy.
 Yen: Uncertain policies, erratic currency (Tohru Sasaki, Junya Tanase, Anna Hibino) 54
Japanese monetary and fiscal policy are hugely in flux next year, but given the challenge of creating inflation,
USD/JPY is unlikely to move out of the 75-85 range which has help for two years, but spike risk is significant
in Q1/Q2, and the yen crosses should gain for a second-consecutive year.
 Euro: The end of its beginning (John Normand) 70
After three years of crisis, the euro has reached the end of its beginning, since trauma has forced the
restructuring of institutions and economies which should have occurred prior to the euro’s launch in 1999.
Economic adjustment has years more to run, but this process isn't currency-negative when the balance of
payments is improving, the recession close to an end and the Fed committed to easing. The Q4 target is 1.34.
 Sterling: More lives than a cat (Paul Meggyesi) 78
GBP strength in 2012 defied rather than reflected macroeconomic fundamentals, since the UK under-delivered
on growth and over-delivered on inflation, QE and the external deficit. Since sterling’s fortunes remain
inversely tied to the euro's, a less traumatic year in Europe will ask more challenging questions of sterling.