发布时间：2019-06-17
2019年5月资产管理月度简报
尽管美国和中国之间的贸易协定在一个月前似乎接近达成，但谈判已暂停。与此同时，美国将对所有进口自中国的商品征收关税，中国也将对从美国进口的600亿美元商品征收关税作为反制。为了希望墨西哥采取行动遏制中美洲移民，特朗普总统威胁要对墨西哥进口商品征收关税，尽管最近已达成了《USMCA》（新北美自贸协定）或《NAFTA 2》（北美自由贸易协定2）。对于美国消费者和全球增长的影响很可能将会是负面的。包括石油和有色金属在内的大宗商品价格，在近几周内下跌了10%以上，而政府债券收益率则处于九个月以来的最低水平。
5月31号退出
如下图所示，标普500指数在5月31日突破了200日移动平均线，与20日移动平均线切入50日线重合。4月1日，当标普指数为2851时，我们进行了再投资。该指数随后升至2940点的两个新高，并于上周五跌至2753点。我们在4月至5月之间出现了小幅亏损，但与去年10月卖出时持平，为2708点。回想一下我们的第一条规则：当市场趋势转为负面时，不要继续投资。
美国经济增长依然强劲
美国国内生产总值（GDP）仍保持在复苏较快的+3.2%增长率，而中国似乎正在下滑至+6%以下。与此同时，疲软的德国工业需求使欧元区经济增速放缓至1.3%。美国企业能否继续实现足够强劲的盈利，以证明股价上涨是合理的？尽管这一趋势并不新鲜，但美国企业一直在以创纪录的速度回购股票。这既支撑了它们的股价，也表明企业缺乏投资他们的业务的信心。
我们的政策
正如读者所知，La Soleille不会根据经济、行业或公司分析做市场预测，只按照市场行情和其它技术指标作出判断。在资产管理方面，我们遵循的原则是：• 鉴别并紧跟上涨行情（追逐风险）；• 出现下跌行情时立刻清仓（规避风险）；• 确认触底时逐步建仓（重新追逐风险）；• 利用指数基金进行分散投资，尽量降低投资一种股票或债券的风险。我们利用价格-概率数学建模法判断市场是否显现利好或下跌趋势，是否走强或走弱，是否有可能在下一个周期（对我们而言是一个月）继续利好或下跌行情，（以此控制“摩擦性”交易成本）。La Soleille在趋势变化时采取相反立场，尤其是在止跌反弹时。
回顾和展望
尽管上证综指已经企稳，但在2019年，上证综指(+16.9%)将其全球表现最佳的国家股指位置，让给了俄罗斯(+19.7%)，其次是澳大利亚(+14.5%)、瑞士(+13.2%)、加拿大(+12.6%)和德国(+12.1%)，均高于标普500指数(+11.0%)。值得注意的是，俄罗斯、澳大利亚和加拿大的经济与大宗商品紧密相连，而德国工业趋疲弱，瑞士则依赖于向欧盟日趋放缓的商品出口：基本面因素并不总是能解释股市走势。在5月31日出售所有头寸后，我们持有100%的现金。我们将耐心等待，直到股价建立起一个可靠的底部。上周五强劲的技术信号让我们在两个月后退出市场。股市下跌缓慢，上周有所加速（标准普尔500指数下跌-6％）。我们的方法很明确：我们已经避免了从10月到12月的下跌，并且不再受到进一步疲软的影响。
James Cunningham
Chief Investment Officer
首席投资官
La Soleille Family Office (Suisse) SA
瑞士雷梭勒家族办公室
May 31st, 2019
2019年5月31日
Although a trade agreement between the US and China seemed close a month ago, talks have been suspended. Meanwhile, America is set to impose tariffs on all Chinese imports, with China retaliating with its own tariffs on $60 billion of imports from the US. In hopes that Mexico will act to restrain migrants from Central America, President Trump has threatened to impose tariffs on Mexican imports despite the recently agreed USMCA or “NAFTA 2” treaty. The impact on US consumers and on global growth is likely to be negative. Commodities including oil and base metals have declined by more than 10% in weeks, while government bond yields are at lows not seen for nine months.
Back out on May 31st
As can be seen on the chart below, the S&P 500 index crossed the 200-day moving average on May 31st, coincident with the 20-day average cutting through the 50-day line. We had reinvested on April 1st when the S&P stood at 2851. It subsequently rose to two new peaks at 2940 before declining to 2753 on Friday. We have incurred a small loss in April-May but are roughly where we sold in October, at 2708. Recall our first rule: don’t stay invested when the market trend turns negative.
US Growth Still Strong
American GDP remains resilient at +3.2%, while China seems to be slipping below +6%. Meanwhile, weak German industrial demand has slowed the Euro-area to +1.3%. Can US companies continue to deliver earnings strong enough to justify higher share prices? Althgough the trend is not new, Amercian corporations have been buying back their shares at a record pace. This both supports their share prices and suggets that companies lack the confidence to invest in their businesses instead.
Our Policy
As our readers know, La Soleille does not make predictions but acts on market trends and other technical signals alone. In asset management we follow four principles:
• Identify and follow positive trends (risk on)
• Sell fast when they turn negative (risk off)
• Buy again when a bottom is confirmed (risk back on)
• Diversify by using index-tracking funds, thus minimizing exposure to any particular stock or bond
We use mathematical modeling of prices and probabilities to determine if a trend is positive or negative, strengthening or weakening, and likely or not to continue for the next period which for us is one month, to control trading cost “friction”.
Summary And Outlook
Although it has stabilized, Shanghai (+16.9%) has ceded its place as the best-performing national stock index thus far in 2019 to Russia (+19.7%) followed by Australia (+14.5%), Switzerland (+13.2%), Canada (+12.6%) and Germany (+12.1%), all above the S&P 500 at +11.0%. Note that the Russian, Australian and Canadian economies are tied to commodities, while German industry is weak and Switzerland depends on exports to a slowing EU: fundamentals do not consistently explain stock market trends. After the sale of all of our positions on May 31st we are 100% in cash. We will be patient until a credible bottom in share prices builds.
We are back out of the markets after two months on a strong technical signal last Friday. The decline in equities has been a slow drift, accelerating somewhat last week (-6% on the S&P 500 index). Our method is clear: we have avoided the drop from October to December and are insulated against further weakness going forward.
James Cunningham
Chief Investment Officer
La Soleille Family Office (Suisse) SA
May 31st, 2019
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