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【广发资产研究】全球杠铃策略如何应对美国衰退风险?—债务周期下的资产配置新策略系列(七)

Core Viewpoint - The article emphasizes the need for long-term investors to deeply interpret the reshaping of the global order and assess the cost-effectiveness of various assets, particularly in light of the increasing risks associated with U.S. recession and the implications of new investment paradigms [3][10]. Group 1: Introduction - The article discusses two key variables at the beginning of the year: Deepseek and equivalent tariffs, which reinforce the underlying logic of a new investment paradigm characterized by increasing de-globalization, trends in AI industries, and debt cycles [3][10]. - It suggests that the global risk premium has risen, potentially amplifying asymmetric pricing risks, particularly regarding the underpricing of recession risks in major asset classes [3][10]. Group 2: U.S. Recession Trading - Historical data indicates that U.S. recession trading often begins 1-6 months before the National Bureau of Economic Research (NBER) officially declares a recession [4][47]. - Typical characteristics during U.S. recession trading include declines in U.S. stocks and industrial metals, falling 10-year Treasury yields, widening credit spreads, and defensive stocks outperforming cyclical stocks [4][47]. Group 3: Volatility During Recession Trading - The article notes that during past U.S. recession trading phases, asset volatility has generally increased, with risk assets experiencing greater volatility than safe-haven assets [5][65]. - Specific examples include the Nasdaq and Hang Seng Index showing higher volatility compared to gold and U.S. Treasuries during recession periods [5][65]. Group 4: All-Weather Strategy Model - The article proposes an all-weather strategy model to adjust for the underestimation of U.S. recession risks, focusing on the asymmetric pricing risks present in current asset allocations [6][73]. - It ranks various assets based on their volatility amplification factors during past recession trading periods, with Nasdaq, Indian SENSEX30, and Hang Seng Technology leading the list [6][73]. - The model suggests adjusting asset weights based on these factors, increasing allocations to underweighted assets like Chinese convertible bonds and A-share dividends while reducing exposure to overvalued assets like Nasdaq and Indian SENSEX30 [6][73].