发布时间：2019-02-21
1月资产管理月报
La Soleille Family Office (Suisse) SA
瑞士雷梭勒家族办公室
Asset Management Bulletin
资产管理月度简报
强劲反弹
以领头羊纳斯达克综合指数（下图中黄线）和标准普尔500指数（下图中蓝线）为代表的美国股指，从2018年9月份的高点经历了直至12月24日的加速下跌。但之后，股市大幅飙升，标普500指数从2019年1月份的低点 + 7.9％上涨至 +15％。年底的波动并不罕见，投资者会以损失来抵消收益，从而降低税点。空头回补可能加速了2018年最后一周交投清淡的反弹。评论人士相继指出：尽管全球经济增长放缓，特别是美联储在进一步提高美元利率方面所持的谨慎态度。两年期与十年期美国国债收益率之间的差距已经扩大，对此，有人表示这是经济衰退的风险在减小，但由于短期国债收益率下降，短期内经济增长会放缓。
乐观主义是否合理
从技术角度来看，9月份以来的高点和低点的不断下跌的格局已经被打破。我们目前需要修正远超于12月的低点水平，才能重拾对新的上升趋势的信心。2018年底标准普尔500指数仅比2017年底的水平高出0.3％。
欧洲显示出相似的近期模式
德国的GDP在2018年第四季度下降，而意大利实际上已陷入衰退。虽然欧洲经济增长和企业利润的基本面弱于美国，但自圣诞节以来，欧洲斯托克600指数已经与标准普尔500指数同步回升。
中国与美国
贸易谈判正在朝着2月底达成协议的方向发展，但仍存在重大障碍：美国希望中国不仅要购买更多的美国商品，还要减少国有企业的优惠融资条件。这将违背中国领导人所制定的大力扶持国企的政策。我们认为期望于达成一个完整、全面的协议有些过于乐观。同时，华为卷入在波兰和东欧国家的信息安全调查，尚未走出困境。
我们的政策
诚如读者所知，雷梭勒家族办公室不会根据经济、行业或公司分析结果进行市场预测。我们只按照市场趋势和其它指标判断市场走势。在资产管理方面，我们遵循以下四个原则：
确定并遵循利好趋势（追逐风险）；
下跌时迅速杀跌（规避风险）；
确认触底时再次建仓（再次追逐风险）；
利用行业、国家和区域指数跟踪基金和一篮子组合进行分散投资, 尽量降低投资一种股票或债券的风险。
我们采用价格-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。雷梭勒家族办公室不随股市走势而决定是否投资，尤其是在股市从触底反弹之时。
小结与展望
自2017年底，少数几个国家的股市表现十分抢眼，包括巴西（以美元计：+27.0％），其次是阿根廷（+19.9％）和沙特阿拉伯（+18.8％）。我们的投资模型尚未在各大主要市场的下跌中得出决策性的暂停警告，我们将保持100％的现金，直到市场显露出新的趋势。
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
January 31st, 2019
2019年1月31日
English Version
Strong Bounce
From their September highs, the bellwether NASDAQ (yellow line in the chart below) and S&P 500 (blue) US stock indices experienced an accelerating decline to December 24th. Since then, stocks have rallied strongly, with the S&P 500 up some +15% since that low of which +7.9% in January. Volatility at year-end is not unusual, as investors take losses to offset gains to lower taxes.Short-covering probably accelerated the bounce in thin trading in the last week of 2018. Commentators cite continued, though decelerating global economic growth and, especially, caution on the part of the Federal Reserve in raising US dollar interest rates further. Spreads between two- and ten-year US Treasury yields have widened, which some say indicates less risk of a recession, but because shorter yields have fallen, indicating lower growth in the near term.
Is the Optimism Warranted
In technical terms, the pattern of falling highs and lower lows from September has been broken, just. We would need to see a correction from here that stops well above the December lows to gain confidence in a new upward trend. The S&P 500 is just 0.3% above its level at the end of 2017.
Europe Shows a Similar Recent Pattern
German GDP declined in the last quarter of 2018 and Italy is technically in recession. Although European fundamentals in growth and corporate profits are weaker than in America, the broad Eurostoxx 600 index has recovered in parallel to the S&P 500 since Christmas.
China Versus America
Trade negotiations are progressing towards the basis of an agreement by the end of February, but major obstacles remain: the US wants China not just to buy more American goods but to reduce preferential financing terms for state-owned enterprises. This would go against President Xi’s established policy to foster national champions. We consider expectations of a full, comprehensive agreement overly optimistic. Meanwhile, Huawei’s woes continue, with suspicions of espionage in Poland and other East-European countries.
Our Policy
As our readers know, La Soleille does not make predictions based on economic, industry or company analysis. We act 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 sector, national and regional index-tracking funds and baskets, 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”). La Soleille is contrarian at the trend change, particularly when a downtrend turns positive.
Summary and Outlook
The few nationalstock markets showing a strong performance since the end of 2017include Brazil(+ 27.0% in US dollars), followed Argentina (+19.9%) and Saudi Arabia (+18.8%). Our models do not yet indicate a decisive break in the major markets’downtrend, and we remain 100% in cash until a new trend manifests itself.
James Cunningham
Chief Investment Officer
La Soleille Family Office (Suisse) SA
January 31st, 2019
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