저자: JeffreyGundlach · 외국인
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Gundlach는 투자자들이 공격보다 방어 자세를 취해야 한다고 주장한다. 금리 측면: 9월 웨비나에서 연내 금리 저점(10년물 약 1.50%)을 봤다고 말했고, 연준이 QE로 나서지 않는 한 장기금리는 상승하는 것이 자연스럽다고 본다. 다만 방어의 핵심은 금리 리스크보다 신용 리스크라고 강조한다. 회사채 측면: 회사채 시장이 금융위기 전 약 5조 달러에서 현재 약 11조 달러로 커졌고, 적정 등급이 과대평가돼 있다고 본다. 모건스탠리 리서치의 레버리지 비율 기준 분석을 인용해, 투자등급 회사채의 39%가 정크 등급이어야 한다고 주장한다. 신용 지표: 기업부채/GDP가 사상 최고치이며, 투자등급과 하이일드 모두 순부채/EBITDA가 사상 최고 수준이다. 스프레드는 역사적 기준으로 낮아 경고 신호다. 단일A 이상 등급 비중은 25년 전 2/3에서 현재 35%로 떨어져 등급이 실제로는 더 나빠졌으므로, 스프레드는 평균보다 높아야 한다고 본다. 달러와 해외자금: 일본·유럽의 저금리로 해외 기관(유럽 보험사 등)이 미국 회사채를 대거 매수했고, 환헤지를 하지 않아 달러 수요를 지지했다. 미국의 순국제투자 포지션은 GDP 대비 -49%로 악화됐다. 연준 완화와 쌍둥이 적자(재정·무역)는 달러 약세 요인이며, 달러 하락이나 회사채 가격 하락 시 해외 투자자 손실이 확대되고 투매가 나올 수 있다는 경고다. 결론: 2006년 무렵과 유사한 과열 구조로 보며, 문제가 오늘 발생하든 1년 뒤든 소폭의 초과수익 대비 하방 손실이 크므로 방어적 포지셔닝이 필요하다고 주장한다. 리스크: 연준 QE 재개 시 장기금리 상승 전제가 바뀔 수 있고, 달러 약세와 회사채 가격 하락이 동시에 일어날 때 손실이 집중될 수 있다.
다듬은 글
so in in terms of that forecast and and how we should be positioning ourselves as investors and those who are watching the program for actionable ideas from you today you urged investors should start quote playing defense yo now what does that mean well what I said in my September webcast for my Total Return Fund I said I think we've seen the low in the tenure for the year and the tenure was about at 150 at the time and that that was that was the case so you should be playing defense relative to interest rate risk because interest rates at the long end the passive path of least resistance absent the Fed going into QE for is for higher I think longer-term interest rates but when I'm talking about playing defense what I'm really talking about is credit risk because credit risk to me right now is very dangerous there's a whole cocktail of fundamentals that I think lead to wanting to be early on exiting the corporate bond market and I think the time to be Exim corpo bond market is presently because the Cobra bond market is enormous ly bigger than it was prior to the global financial crisis it was it was around you know five trillion dollars then it's 11 trillion dollars now and the corporate bond market is I believe miss rated there's a study by morgan stanley research that i've been referencing now for quite some time they've been doing this for quite a few years that basically says let's pretend that morgan stanley research is a rating agency and let's pretend they're completely objective but simplistic so all they use is leverage ratios of corporations debt in assessing what the ratings should be more in stanley research department says that if you simply use leverage ratio that 39 percent fully 39 percent of the investment grade corporate bond market should be rated junk right now imagine that they're not rated junk right now because they're being a little bit lenient i believe relative to their downgrade sis system at the rating agencies but if 39 percent of the corporate bond market would be downgraded to junk you would see some pretty horrific movement against a backdrop of corporate debt-to-gdp being an all-time high and the leverage ratios of net debt EBIT da in both the investment-grade and the junk bond market are at all-time record highs so spreads are extremely narrow in in corporate bonds in fact they're narrower than people think people look at historical charts they go back several decades and they say how much extra yields do I get from investment grade corporate bonds versus Treasuries and the conclusion what you draw from that is it's kind of low by historical standards so that raises a caution flag however the percentage of the investment grade corporate bond market that's rated single-a or higher is at an all-time low it used to be two-thirds of the corporate bond market was rated singly or higher twenty-five years ago now it's 35 percent of the of that market so the rating is actually worse so the yield spread should be higher than average not at near a low level so that's a that's a very bad sign also there's a yield grab that has gone on because of yield starvation in Japan and Europe primarily that has caused tremendous buying of US assets particularly corporate bonds because there's a yield there if you look at the net investment position of the United States it's collapsed over the past several years with 49 percent of GDP value is actually is the net negative investment position of the United States so this is all foreign investment that's come in foreigners you can understand our buying US bonds because their bonds are negative if you're an insurance company in Europe what are you gonna do you can't buy buildings at negative 20 basis points that's just that's just a sure money loser so what they're doing is buying US assets and that's helped the US market it's helped the US corporate bond market but the problem is that if you buy the corporate bonds as a European insurance company if you hedge the currency risk back so you buy the dollars you hedge them back into your old guess what happens you have a negative yield you have a yield it's even more negative than the German 10-year Bund so you can't hedge it so it's been happening is European investors insurance companies in the like have been buying US corporate bonds and not hedging them and that's one of the reasons the dollar has held up because they're not hedging it back so there's incremental dollar demand the dollar has been stable for sure this year the Dixie Index started the year 96 and a quarter I didn't today but there's a 97 and a half or so yesterday so it's basically unchanged but the dollar should be falling based on two things first is when the Fed is easing it's highly correlated to dollar weakness because of course the interest rate is less attractive also when the twin deficits the budget deficit and the trade deficit are rising as a percentage of GDP which has happened for sure in the last few years it's highly correlated to dollar weakness the dollar has held up because of this naked buying by foreign investors who are yield starved thanks to the negative interest rate policy what you can't have to think about is what happens if the dollar actually starts weakening and or corporate bond prices start start dropping you're going to see a huge loss start to develop in these naked dollar holdings for these entities and my belief based upon 35 years of experience and how investors behave when they start to experience losses is they will then start to have waves of selling beside the exits right and so this is why I think you're supposed to be playing defense I believe this is almost like 2006 relative to some of the over leveraged in some of the you know the SIVs and all that stuff that went on that caused the global financial crisis it really doesn't matter if the problem happens today or a year from now you're picking up a tiny amount of money in excess yield and yet the downside flush will be such that you will see tremendous losses accruing and I think that's the fundamental risk that faces investors and that and it's all happened because of the cumulative effect of this now not short-term negative interest rate policy you
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