Макроэкономические условия и динамика рынков в июле. Тактика управлящих портфелем ARGO SP
Число заболеваний коронавирусом в мире не уменьшается, заставляя страны вновь повышать степень внимания к проблеме. Негативные последствия ощутимы и в банковском секторе: JP Morgan, Citigroup и Wells Fargo заявили о создании большего резерва под обеспечение плохих кредитов, чем в 2008 г. Центральные банки и рейтинговые агентства, также оставаясь реалистами, закладывают в базовый сценарий волну неплатежеспособности, снижение рейтингов и дефолты в объеме, превышающем показатели 2009–2010 гг. Все прекрасно понимают, что новая остановка экономики, процесса восстановления рынка труда и сокращение потребительских расходов приведет не только к ухудшению качества кредитных портфелей, но и при усилении дефляционных процессов сделают проблему бюджетного дефицита и роста долга для многих стран критической.
С другой стороны, во 2К20 экономика уже прошла свою низшую точку, и при сохранении фискально-бюджетных и монетарных мер, а главное, научно-исследовательских прорывов в области здравоохранения, может перейти к быстрому восстановлению уже с 3К20. Сегодня мало кто стремится вновь вводить режим полного lockdown: тотальная остановка экономики во 2К20 привела к большим потерям, чем это было в 2008–2009 гг., и общество не настроено продолжать жертвовать экономикой в угоду безопасности. Динамика опережающих показателей по сектору услуг и промсектору, демонстрируя ускоренные темпы восстановления, заставляет поверить в рост: июльские показатели и вовсе продемонстрировали переход в фазу роста, превысив 50 пунктов, в то время как Китай, который пережил все еще в 1К20, уже отчитался о росте ВВП на 3,2% во 2К20.
Пока лучшие ожидания по экономике воодушевляют инвесторов, центральные банки оказываются перед дилеммой: если ситуация стабилизируется, а рынки будут способны функционировать самостоятельно и эффективно, то приоритетом центральных банков станет постепенное ужесточение монетарной политики для целей поддержания ценовой стабильности. Так, если ЕЦБ еще продолжает наращивать объем активов на балансе (€6,4 трлн по итогам июля), то ФРС уже третий месяц подряд старается удержать его не выше $7 трлн.
Понятно, что сценарий осени всецело зависит от развития эпидемиологической ситуации и сопутствующих ограничений. Однако куда важнее понимать, как рынки будут себя вести в ответ на новые условия, когда экономика начнет восстанавливаться, власти будут готовы «уже вот-вот» запустить программу вакцинирования, а центральные банки во избежание потери контроля над ценовой стабильностью начнут сворачивать экстренные меры стимулирования. В этом случае доллар и цены на золото могут развернуться, а спрос на риск на развивающихся рынках снизиться.
По итогам июля акции фонда ARGO выросли на 1,43% по Классу 1, USD; на 1,35% по Классу 2, USD и на 0,95% по Классу 2, EUR. Дюрация активов в целом по портфелю снизилась до 2,2 года, число активов в портфеле возросло до 41, доходность к погашению осталась на уровне 7,5-7,8%, а качество активов – на уровне «ВВ-». В июле были погашены инвестиции в фонд Флаг, а также прошла экспирация июльских пут-опционов out-of-the-money на нефть марки Brent (которые рассматривались как аналог инструмента с фиксированной доходностью).
Управляющие также зафиксировали прибыль по двум старым облигациям в портфеле, уровень справедливой оценки которых был достигнут в июле и даже несколько превысил его. Цены других активов продолжили восстанавливаться, приближаясь к своим обоснованным значениям. Помимо этого, управляющие несколько увеличили инвестиции в акции облигационных ETF, инвестирующих в короткие бумаги различных регионов – вес этих инструментов в составе портфеля вырос до 4%.
Исторически каждый кризис приводил в среднесрочной перспективе к ухудшению кредитного качества эмитентов и росту числа дефолтов. Ожидая возможного негативного развития ситуации в 2020–2021 гг., управляющие намерены осуществлять скрупулёзный контроль финансового положения эмитентов облигаций в своем портфеле, а также распределять риски, приобретая «агрегированные портфели», такие как высоколиквидные ETF. Это позволит обеспечить присутствие на рынке и высокую степень проинвестированности портфеля АРГО, избегая индивидуального риска на конкретного заемщика.
Александр Овчинников, управляющий фондом ARGO SP
Last updated: 13.05.2022
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