August, 2023
Month in Review
•Global equity markets moved lower in August, and government bonds failed to offer diversification as yields rose. The Fed reaffirmed its commitment to combat high inflation, while data releases in China and Europe disappointed. The MSCI World Index fell 1.8% and the JPM Global GBI fell 0.3% (hedged to Australian dollar). The fund delivered positive returns.
•US retail sales were stronger than expected, and labour markets showed only marginal evidence of easing, with wages remaining elevated. Against this backdrop, we added a tactical short duration strategy, and took profit after yields repriced higher to reflect the resilient US data momentum and lingering inflation risks. The moves in yields in part drove higher equitymarket volatility, which benefitted our long US volatility strategy. On a view that US growth risks remain, with support from more mixed data later in the month, we added long US duration in late August, which benefitted performance.
•Chinese economic data disappointed across the board, with renewed weakness in the property sector, weak consumer spending and deteriorating credit growth. While stimulus measures were announced, they are expected to have limited impact. Our long US dollar versus short China-centric currencies such as the Australian dollar and Korean won added value. European data, particularly for manufacturing and consumer confidence, was similarly disappointing, which benefitted our short Euro Stoxx position.
•Major technology names retraced some of their previous gains, benefitting our short Nasdaq strategy via futures. While technology and broader equity markets posted negative returns, our select technology names added value due to strong stock selection. Overall, our secular equity was flat as, by contrast, our luxury consumer strategy struggled.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-24.pdfJuly, 2023
Month in Review •Global equity markets continued to move higher in July, while sovereign bonds were down. Equities were supported by signs of easing inflation momentum, alongside increased optimism about the outlook for the US and China as well as ongoing AI developments. The MSCI World Index rose 2.8% and the JPM Global GBI fell 0.5% (hedged to Australian dollar). The fund delivered negative returns.
•Growing evidence of easing inflationary pressures globally fuelled hopes of a pause in central-bank tightening and supported risk assets. Our long equity strategies added value, particularly our cloud computing and digital transformation strategies. In the UK, both headline and core inflation eased more than expected. Against this backdrop, UK gilts rallied over the month and we took the opportunity to reduce our long UK duration strategy.
•Activity data in the US remained resilient, including stronger-thanexpected second-quarter GDP growth. Stable activity data, coupled with resilience in labour markets and the aforementioned easing in inflation momentum, supported market optimism about the ability of the US to engineer a soft landing. This weighed on our long US volatility and short US equity derivatives strategies as well as our long US dollar exposure. While this backdrop supported risk assets, rates moved higher in the second half of the month, and we tactically removed our long US duration strategy. With implied volatility remaining low, we took the opportunity to add convexity to the portfolio by pivoting some of our short-biased futures into options strategies.
•Major central banks delivered mixed actions over the month. The US Federal Reserve, European Central Bank and Bank of Canada hiked rates by 25 basis points, while some central banks held rates steady. Market expectations built around the potential for the Bank of Japan to meaningfully adjust policy, which benefitted our long Japanese yen exposure, and we took profit on our long Japanese yen versus short US dollar strategy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-23.pdfJune, 2023
•Global equity markets moved higher in June, while sovereign bonds were down. Risk assets performed well amid increased optimism about the outlook for the US and China, as well as AI developments, and despite continued policy tightening from major central banks. Market moves were amplified by the fact that the multiple drivers of optimism coincided and combined with momentum-related flows at a point when liquidity was thin. The fund delivered negative returns.
•US recession risk was priced out as the expected broad data deterioration failed to materialise for another month. Increased optimism about the ability of the US to engineer a soft landing was boosted by well-behaved inflation data. Against this backdrop, our long US volatility, long US duration and short US equity derivatives strategies delivered negative returns.
•Weak Chinese data was brushed aside as expectations rose for significant stimulus, supporting China-related assets. This weighed on our long US dollar versus short China-centric currencies such as the Australian dollar, as well as our broad negative equity beta tilt.
•AI developments were a catalyst for strong technology performance. This benefitted our cloud computing and digital transformation strategies. However, it led to negative performance from our short Nasdaq exposure, which we hold in part as a near-term hedge for our secular equity and because it looks too expensive. We believe the upcoming earnings season may catalyse a reversion if AI developments are not translated into better near-term revenues.
•Major central banks broadly delivered hawkish surprises, with more than expected delivered by the Bank of England, the Bank of Canada and the Reserve Bank of Australia, which worked against our short currency exposures in these countries. The European Central Bank and the US Federal Reserve signalled that they are not done yet in this hiking cycle, while the Bank of Japan continued to leave policy unchanged, which negatively impacted our long Japanese yen exposure held for its defensive properties and the expected path of policy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-22.pdfMay, 2023
•Global equity and fixed income markets posted small negative returns for May, disguising what was a volatile month for risk assets with significant dispersion in equity sector performance. Markets were largely focused on sticky inflation data, further interest rate rises and commentary from major central banks, as well as uncertainty surrounding the US debt ceiling. The MSCI World Index was down 0.3%, though the tech sector rallied strongly, and the JPM Global GBI fell 0.8% (hedged to Australian dollar). The fund return was negative.
•The tech sector bucked the downward trend in equity markets and rallied strongly as investors re-priced expectations for the impact of advances in Artificial Intelligence. Our long equity strategies held to reflect secular themes such as cloud computing and digital transformation contributed positively. However, we hedged some of this exposure amid the deteriorating economic backdrop with short Nasdaq via futures and this was the biggest detractor from performance for the month. Our short US large cap via options and long US volatility strategies also detracted.
•Activity and sentiment data was mixed, with persistent weakness in manufacturing while services held up better. Europe saw weaker business confidence and retail sales, while manufacturing and consumer spending data in China disappointed. Against this backdrop, our long US dollar versus China-sensitive currencies such as the Australian dollar and South African rand added value.
•Inflation remained elevated and labour markets continued to be tight, prompting a number of major central banks to take another step in their hiking cycles.Against this backdrop, bond yields rose as markets repriced rate hike expectations and we introduced long US and UK duration strategies, which contributed positively.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-21.pdfMarch, 2023
Global equity and fixed income markets were volatile amid an unexpected banking crisis. US and European financial sectors sold off sharply and bond yields plummeted before swift action from regulators and policymakers eased investor fears of immediate contagion. The MSCI World Index and the JPM Global GBI were up 2.5% (hedged to Australian dollar). The fund return was positive, benefitting from our flexibility to adjust exposures as the backdrop shifted.
Financial turmoil was sparked by the collapse of Silicon Valley Bank, followed by the closure of Signature Bank and demise of Credit Suisse within the space of a week. The series of bank failures – the biggest since 2008 – saw bond yields drop and equities sell off sharply, particularly banks, as investors questioned the stability of other institutions. While we did not specifically predict the banking stress, we thought that central banks engaging in the most synchronised and rapid monetary tightening in 50 years was likely to create some casualties.
The portfolio was well positioned for the market moves and benefitted predominantly from long US duration, long US volatility and short equity strategies – we were net short equity at mid-month. Our long secular equity strategies, particularly rate-sensitive exposures such as digital transformation and cloud computing, added value.
Our view on US growth had deteriorated coming into March amid weakening consumer spending and manufacturing data, and we remained concerned about the impact of tightening liquidity. Meanwhile, the recent data improvement in Europe appeared close to a peak. While our view deteriorated, markets remained buoyant, and we sought to take advantage of this potential mispricing by adjusting to a more cautious portfolio. We added to our long US duration and long US volatility strategies and reduced net equity exposure through derivatives and a modest trimming of select names. These strategies performed strongly, and we took profit in the wake of the sell-off, re-risking the portfolio as we felt markets were extended to the downside.
Regulators and policymakers allayed investor fears through swift action that catalysed a rapid equity market rebound from which we benefitted through our long equity strategies before reverting back to our cautious positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-20.pdfFebruary, 2023
Global equity and fixed income markets moved lower in February as evidence of lingering inflation pressures, continued labour market tightness and resilient growth data drove an upward repricing of monetary policy expectations. The MSCI World Index and JPM Global GBI were both down 1.7% (hedged to Australian dollar). The fund return was negative.
Global inflation data and survey measures showed increasing signs of lingering price pressures, while labour markets remained tight. Key central banks continued to raise rates accordingly, with the US Federal Reserve hiking by 25 basis points (bps) and both the European Central Bank and Bank of England raising rates by 50 bps, while signalling further hikes to come. The combination of incoming data and central bank activity fuelled expectations for an extended path of monetary policy tightening, which weighed on risk assets. Our long equity exposure detracted in aggregate, particularly in rate-sensitive areas such as digital transformation and luxury consumer, although this was partly offset by our Nasdaq exposure held via options. Given the extent of rate moves coupled with the conviction that disinflation should prevail over the medium term, we took profit on our tactical US short duration strategy and switched to a long position, which detracted from performance. Elsewhere, the Bank of Japan saw a change in leadership and shifting policy stance, and we took profit on our long Japanese yen exposure and added long Japanese banks, which contributed positively to performance.
Activity data remained resilient globally, with flash purchasing managers’ indices coming in ahead of expectations. The US saw particular strength in services activity, while Europe continued to show signs of a broadbased recovery, which further supported the rate re-pricing and we consequently closed our Germany flattener strategy. In China, we remain optimistic that the ongoing recovery will continue and saw some improvement in activity levels, although the reopening effect was more muted in other measures. Coupled with the rates backdrop, this hurt our long Australian dollar exposure and long European basic resources versus short Eurostoxx strategy, while we took profit on our long Mexican peso strategy which has performed well this year.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-19.pdfJanuary, 2023
Global equity and fixed income markets rebounded sharply in January amid further signs of global disinflation, better-than-feared activity data and China’s re-opening. The MSCI World Index was up 6.2% and the JPM Global GBI was up 1.8% (hedged to Australian dollar). The fund return was positive, benefiting from our shift to a more pro-risk stance.
Growing evidence of easing inflationary pressures globally fueled hopes of a slower pace of tightening by central banks and supported risk assets. Increasing net equity exposure early in the month benefited performance.
Our long equity strategies added value, particularly our cloud computing and digital transformation strategies, as well as our long NASDAQ exposure via options on which we took profit. Switching our US dollar exposure from long to short versus long Japanese yen was also beneficial, while a weaker dollar also supported our long gold strategy, which we removed. To reflect our view that markets might be getting too optimistic about central banks slowing, we introduced a tactical short US duration strategy.
Activity data surprised to the upside in China and Europe, supported respectively by the removal of further virus-related restrictions and an improved energy backdrop. Our China-exposed luxury consumer names performed well amid the re-opening. To reflect the better backdrop, we removed our long European healthcare and utilities relative value equity strategies and added long European basic resources equity via futures. We also switched our Australian dollar exposure from short to long and added long Euro versus short Swiss franc with both expressions having a positive beta.
While data was mixed in other regions, the probability rose for a global recovery. This led us to reduce our defensive portfolio tilt beyond China and Europe. We added select semi-conductor names and removed our long US utilities and healthcare versus short US large-cap strategy. We also introduced a long Norwegian Krone versus short Swedish Krone strategy to reflect our view on divergent monetary policy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-1-2.pdfDecember, 2022
•Global equity and fixed income markets fell sharply in December amid more-hawkish-than-expected central bank policy, while global activity data was mixed. The MSCI World Index dropped 5.1% and the JPM Global GBI was down 1.8% (hedged to Australian dollar). The fund return was negative.
•More-hawkish-than-expected monetary policy weighed on investor sentiment. The European Central Bank delivered a 50 basis-point rate hike coupled with hawkish communication, and announced quantitative tightening measures. Further to this, other key central banks including the US Federal Reserve remained hawkish, and the Bank of Japan made a surprise adjustment to its yield curve control policy. Our long Japanese yen exposure, which we increased over the month, added value, as did our long US versus short Australian duration strategy, long defensive equity relative-value strategies and long gold. Conversely, our long US duration detracted, while our long US technology exposure through our cloud computing and digital transformation strategies also suffered.
•Activity data surprised positively in Europe but remained mixed elsewhere. European business and consumer survey data both came in better than feared, in part supported by an improved energy backdrop, while US data including manufacturing surveys, retail sales and housing was more muted. These mixed developments on growth were coupled with increasing signs of disinflation globally, including the US consumer price index, which delivered a second consecutive downside surprise. We reflected the slightly better balance of risks in the portfolio by bringing net equity exposure out of negative territory, though to levels that remain below our long-run average. This move worked against us in the month.
•China abandoned its strict Covid-19 policy as the government announced the widespread removal of virus-related restrictions. Strategies held in part to reflect our near-term caution on China, such as our short Australian dollar versus long US dollar strategy, detracted amid immediate optimism for China’s reopening. However, this in turn benefited our China-exposed luxury consumer and emerging market financial equity strategies.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-18.pdfNovember, 2022
•Global equity and fixed income markets moved higher in November, as inflation momentum showed signs of easing in key regions, supporting market expectations for a slower pace of hiking by major central banks going forward. The MSCI World Index was up 5.5% and the JPM Global GBI was up 2.0% (hedged to Australian dollar). The fund return was positive.
•Downside surprises in the US and then Eurozone inflation prints fuelled hopes of a slower pace of tightening by central banks and supported risk assets despite global inflation remaining elevated. This data followed the US Federal Reserve (Fed) raising the fed funds rate by 75bps for the fourth consecutive meeting and reiterating their commitment to policy tightening, albeit at a slower pace. Against this backdrop, and also supported by light positioning and better China sentiment, our long equity exposure contributed positively to performance, with areas such as healthcare innovation, emerging market financials and luxury and lifestyle adding the most value. Our strategies held to provide protection from a risk-off environment detracted, particularly our short-biased equity futures and options in the US and Europe. As bond yields moved lower, we closed our long US and Australian duration strategies.
•Survey activity data in developed markets showed further signs of weakening with purchasing managers’ indices moving further into contractionary territory and business and consumer sentiment similarly remaining weak, while hard activity data was mixed. In China, economic data came in lower than expected, but sentiment improved amid the easing of lockdown restrictions combined with additional policy support including measures to aid the property market. However, surging case counts, alongside low vaccination protection, means the path to reopening will likely remain challenging.
•In anticipation of markets refocusing on a contractionary growth environment and amid the re-pricing in risk assets, we reduced our net equity exposure and added to defensive strategies. We increased our US dollar strategy versus pro-cyclical currencies such as the Korean won, Australian dollar and South African rand, which detracted over the month. We also increased our short US and European high yield strategies, held via credit default swaps and our gold exposure, which added value.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-17.pdfOctober, 2022
•Equity markets strongly rebounded in the second half of October, while sovereign debt sold off. Investor positioning had been extended and expectations rose for some central banks to start stepping down from aggressive hiking cycles, amid a backdrop of mixed activity data. The MSCI World Index was up 7.2% and the JPM Global GBI fell 0.4% (hedged to Australian dollar). The fund return was positive.
•Survey data continued to deteriorate globally, with broad-based weakness in flash purchasing managers’ indices and softening consumer confidence, while interest-rate sensitive areas of the economy declined sharply. Acknowledging the weaker backdrop, the Reserve Bank of Australia and Bank of Canada delivered below-expectation rate hikes and the European Central Bank gave softer commentary, which tempered market expectations for future tightening. Our long Australian duration strategy added value, while the dovish tilt supported equity markets, which benefitted our long secular equity strategies (particularly digital transformation and consumer names) and our long US large cap call options strategy, but saw our short equity futures detract.
•Global inflation remained elevated, with the Eurozone Consumer Price Index (CPI) hitting a record high and US CPI surprising to the upside. Coupled with continued US labour market strength, this resulted in the Federal Reserve (the Fed) remaining hawkish. Against this backdrop, our long US duration position detracted. With no change in stance from the Fed and the Bank of Japan remaining dovish, our long Japanese yen exposure also detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-16.pdfSeptember, 2022
•Equity and fixed income markets moved sharply lower in September, as central banks reaffirmed their commitment to combatting inflation and global growth data remained weak. The MSCI World Index was down 8.8% and the JPM Global GBI fell 3.3% (hedged to Australian dollar). The fund return was negative.
•US inflation data surprised to the upside, with particular strength in services components, while the labour market showed continued resilience. Central banks, including the US Federal Reserve, reaffirmed their commitment to combatting inflation, and concerns about continued tightening of financial conditions through aggressive policy action saw risk assets sell off sharply. In this environment, our short equity derivatives, short credit and long US dollar exposures all added value, while our long equity strategies detracted, as did our long duration position. We had scaled into US and Australian debt with the expectation that the market would focus on weaker growth and rates would approach peak policy pricing.
•While inflation and policy risks dominated market moves, activity data remained weak, with disappointing manufacturing and retail sales data corroborating our view of global contraction. Fiscal support packages were announced in Europe and in the UK, but concerns about the inflationary impulse and potential implications for monetary policy fuelled sharp moves in UK assets, and we took profit on our short sterling exposure intra-month.
•We have tactically taken profit on some of our defensive positioning following the aggressive downside extension in markets as our expectations for a short-term rebound increased commensurately. We took profit on our short credit, short basic resources equity and long US dollar exposure, and reduced our short equity futures to take our net equity exposure into positive territory. This moderate re-risking is expected to be short-lived before adjusting back to more defensive positioning, reflecting our view of global contraction over the coming months.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-15.pdfAugust, 2022
Equity and fixed income markets were volatile in August and ultimately ended the month in negative territory, as investors digested central banks’ ongoing commitment to managing inflation and resultant tightening financial conditions, while growth data deteriorated further. The MSCI World Index was down 3.5% and the JPM Global GBI fell 2.9% (hedged to Australian dollar). The fund return was positive.
Global inflation remained elevated, but a modest drop in the US print fuelled hopes of a policy pivot by the US Federal Reserve (Fed) and supported risk assets early in the month. While easing energy prices supported some moderation in US inflation, there was an acceleration in price pressures in other regions, notably the eurozone and UK, which prompted a sharp sell-off in global bonds and equities in the second half of the month.
Key central banks reaffirmed their commitment to policy tightening at Jackson Hole towards the end of August, notably in speeches from Fed Chair Powell and European Central Bank board member Schnabel. This exacerbated the sell-off in equity markets as investors adjusted their expectations for the path of policy. Our long equity strategies detracted, with higher growth exposures in technology and consumer weighing most on returns. However, our defensive positioning overall was beneficial as strategies held to provide protection, particularly our short-biased US and European equity futures and options, contributed positively to performance. Our short US and European high yield strategies held via credit default swaps were also additive.
Global growth deteriorated further, with purchasing managers’ indices showing weakness broadening out to services and softening demand. With ongoing weak activity in China, our long US dollar versus Chinasensitive currencies such as the Australian dollar, South African rand and Chinese renminbi added value. Reflective of a potential shift in market focus to decelerating growth and a potentially stabilising inflation backdrop in the US, we added long US duration and took profit on some of our long US dollar exposure by switching to long Japanese yen.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-1-1.pdfJuly, 2022
•Global equity and fixed income markets rebounded in July, as weaker activity data tempered expectations for further central bank tightening and second-quarter earnings releases were better than feared, against a backdrop of light positioning and poor investor sentiment. The MSCI World and the JPM Global GBI were up 7.9% and 2.1% respectively (hedged to Australian dollar). The fund return was negative.
•Central banks delivered further rate rises, as anticipated given inflationary pressures. The Federal Reserve increased rates by 75 basis points (bps) for the second consecutive meeting with a clear focus on stronger-thanexpected inflation including accelerating Consumer Price Index prints. The European Central Bank delivered its first interest rate hike in 11 years, with a bigger-than-expected rise of 50bps, bringing the policy rate to zero, in addition to announcing details of an anti-fragmentation tool to support the transmission of policy as rates rise. Outstanding questions on activation of this tool, a weakening growth backdrop in Europe relating to gas supply disruption, and heightened political uncertainty in Italy led us to add a long German Bund versus short Italian BTP strategy.
•Data prints showed a further weakening of global growth, with flash purchasing managers’ indices outside of China moving into contractionary territory, and consumer sentiment also weakening. Although Chinese economic data surprised to the upside, recovery is expected to remain muted amid mounting concerns around the property sector, the strict Covid-19 response, and limited expected stimulusresponse. In this environment of growing downside risks, we introduced a long US dollar versus short Chinese renminbi strategy.
•Market expectations for future monetary policy tightening faded somewhat amid weakening growth data and this supported risk assets. In this environment, our strategies held to provide protection from a risk-off environment detracted, particularly our short-biased equity futures and options in the US and Europe and our short US and European high yield strategies held via credit default swaps. Meanwhile, our long equity exposure, particularly our quality growth names in global consumer brands, cloud computing and software that reflect our long-term secular themes, contributed positively to performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-14.pdfJune, 2022
Global equity markets moved sharply lower in June amid tightening financial conditions and rising risks of recession, while fixed income markets also suffered as inflation kept central banks on a hawkish path. The MSCI World Index and the JPM Global GBI were down 8.1% and 1.3% respectively (hedged to the Australian dollar). The fund return was positive. • Inflation data surprised to the upside in June, which prompted many central banks across developed and emerging markets to further tighten monetary policy. A stronger-than-anticipated Consumer Price Index (CPI) print and move higher in inflation expectations in the US saw the Federal Reserve raise interest rates by 75 basis points for the first time in nearly three decades, a move that was at the upper end of expectations. In Europe, upwards pressure on headline inflation was broad-based and the European Central Bank turned more hawkish by announcing it would move to normalise policy, with the first rate hike of the cycle anticipated next month. Market concerns shifted away from decelerating growth towards higher inflation and, against this backdrop, we removed our long US and Australian sovereign bond strategies and switched our long Japanese yen exposure to long US dollar.
• Growth data showed rising risks of moving from a global slowdown into contraction, with weakness in incoming business surveys and consumer data outside of China, which is re-opening following Covid-induced lockdowns. Against this backdrop of weaker growth and tighter financial conditions, risk assets sold off sharply. Our long equity strategies detracted in aggregate, with higher growth and consumer exposures weighing on returns. However, the market moves benefited the fund more broadly, as we had moved to be positioned more defensively overall. Strategies held to provide protection from a risk-off environment, particularly our short-biased equity futures and options in the US and Europe, contributed positively. Our short US and European high yield strategies held via credit default swaps were also additive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-13.pdfMay, 2022
• Global equity and fixed income markets ended May in negative territory, with risk assets selling off for much of the period before a sharp month-end rally. Investors were initially focused on the rising risk of recession before positive news on China's lockdowns helped spur a rally. The MSCI World Index and the JPM Global GBI were down 0.2% and 0.6% respectively (hedged to Australian dollar). The fund's return was negative.
• Growth data showed more cause for concern with pockets of weakness emerging. The US experienced weak jobless claims, softening mortgages and disappointing retail earnings as discount retailers struggled amid higher inflation and shifting consumer choices. The negative consumer picture weighed on our luxury and lifestyle names, causing them to detract most from performance. Meanwhile, the impact of lockdowns in China has been more severe than feared, with global disruptions, particularly in manufacturing, though the lifting of restrictions provided some relief at month-end. With downside growth risk broadly increasing, our long equity strategies detracted, while our defensive relative value strategies (long healthcare and utilities versus short the broader market) were additive.
• Central banks remained hawkish and squarely focused on inflation although some US Federal Reserve members made comments about a potentially slower pace of hiking later in the year depending on the path of inflation. Against this backdrop, we switched our long US dollar exposure to long Japanese yen. The European Central Bank is expected to end asset purchases early in the third quarter, followed by rate hikes as early as July amid continued stronger inflation. In part to reflect this more hawkish policy path in Europe, as well as the deteriorating growth backdrop, we reduced net equity exposure.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-12.pdfApril, 2022
• Global equity and fixed income markets sold off in April as inflation remained elevated and renewed lockdowns in China and the war in Ukraine caused further disruptions. The MSCI World was down 7.3% and the JPM Global GBI fell 2.8% (hedged to Australian dollar). The fund return was negative.
• Inflationary pressures remained in focus as elevated inflation data and strong labour markets prompted central banks to further tighten monetary policy. Comments from the US Federal Reserve were incrementally hawkish and expectations for an accelerated tightening path led to a sharp move higher in global bond yields. Against this backdrop, our long equity exposure delivered negative returns, particularly tech which is more sensitive to higher discount rates. However, our short Nasdaq strategy via futures, which we held to tactically hedge some of our long tech exposure, added value. Within long equity, our global media streaming strategy was another key detractor, driven by negative earnings updates, which highlighted a higher market penetration rate and lower structural profitability than previously expected, and we removed the strategy from the portfolio. Meanwhile, our long US large-cap put options and shortbiased equity futures held for portfolio protection, which we tactically adjusted over the month, provided positive performance.
• An escalation of Covid-19 outbreaks in China triggered more lockdowns in a number of cities and provinces, weighing on global manufacturing surveys and renewing concerns around global supply chain disruptions. In this environment of growing downside risks to growth, our long US dollar versus China-sensitive currencies such as Australian dollar and South African rand, held for diversification benefits, added value. Given nearer term risks in the region, we took profit on our long Chinese renminbi versus short Taiwanese dollar strateg
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-10.pdfJanuary, 2022
• Global equity and fixed income markets sold off sharply and volatility spiked amid a more hawkish stance from key central banks, while tensions in eastern Europe contributed to risk-off sentiment. The MSCI World fell 5.1% and JPM Global GBI fell 1.6% (hedged to Australian dollar). The fund delivered a negative return, with our secular equity strategies detracting most amid the re-pricing.
• The US Federal Reserve meeting minutes suggested more hawkish rhetoric than anticipated amid a strong labour market and higher inflation backdrop. Rates sold off along the curve driven by rising real yields, which triggered a rotation in equity markets that was felt most acutely in high growth areas. The yield curve subsequently flattened and equity volatility spiked as investors aggressively de-risked, prompting a wider sell-off across all sectors except energy. Our long equity exposure, which we held at slightly above average levels versus history amid fading Omicron and China concerns, detracted in aggregate from performance. Our long US dollar versus short South African rand strategy also detracted, failing to deliver the diversification we expected in a risk-off move.
• Our secular equity strategies suffered most amid the re-pricing on concerns about the increased cost of capital amid higher real rates. Our software and consumer discretionary names detracted most, while our global media streaming strategy also struggled due to slower-than-expected subscriber growth. We reassessed our holdings, and with the fundamentals remaining strong and valuations having improved we added to select high-quality names.
• As the sell-off broadened out and volatility looked likely to remain, we introduced a long US large cap put strategy, which added value as the market moved lower. We also introduced a long Nasdaq versus short UK equity strategy to benefit from a reversal in tech underperformance, which contributed modestly to performance later in the month.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-7.pdfDecember, 2021
• Global equity markets ended December in positive territory, supported by diminishing concerns about the economic impact of the Omicron variant, while global government bonds moved lower amid more hawkish central bank decisions. The MSCI World Index rose 3.9% and the JPM GBI Index fell 0.9% (hedged to Australian dollar). The fund return was negative.
• Key central banks continued to adopt a hawkish stance supported by increased labour market tightening and perceptions that inflationary pressures are more persistent. The US Federal Reserve (Fed) announced plans to accelerate tapering and brought forward expectations for rate hikes, the European Central Bank announced plans to reduce monthly asset purchases over 2022 and the Bank of England raised rates earlier than anticipated. Our long Japanese yen versus short US dollar strategy, introduced to express our view of policy convergence, detracted given a more hawkish than expected Fed. In contrast, policy in China is shifting towards easing with a renewed focus on growth over reform, prompting us to take profit on our long UK versus short basic resources strategy, which had reflected slowing activity.
• Covid-19 cases reached record highs although sentiment improved as the month progressed. The emergence of the highly transmissible Omicron strain led to increased market volatility. Global business surveys reflected this near-term disruption, particularly in the services sector. Our relative value strategies with defensive exposures added value, namely our long European utilities strategy versus short Europe and long US healthcare versus short US large cap via equity futures. Our select exposures in healthcare, payment companies and US homebuilders delivered positive returns, providing some cushion to monthly performance
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-6.pdfOctober, 2021
• Global equity markets rallied, supported by a strong earnings season and less immediate risk to the growth outlook stemming from China. Meanwhile, bond markets experienced extreme volatility amid a sharp repricing in shortterm yields against a higher inflation backdrop. The MSCI World Index rose 5.3% and the JPM GBI Index fell -0.1% (hedged to Australian dollar). The fund return was positive.
• Market sentiment improved as the risk of immediate spillovers to growth from the Chinese property sector eased alongside stabilisation in global business surveys. Chinese activity data continues to be impacted by power shortages and the property market slowdown, while in Europe and the US, Purchasing Managers’ Indices stabilised. However, lingering supply-side constraints continue to weigh on recovery. Given less immediate risks from the Chinese growth outlook and a strong earnings season, equity markets rallied, which benefitted our long equity strategies, with broad strength across several favoured names in tech, consumer discretionary, healthcare and financials
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-5.pdfSeptember, 2021
• Global equity markets sold off in September amid continued signs of a deceleration in economic activity and uncertainty in the Chinese outlook, while government bond yields rose in response to higher energy prices and a more hawkish than expected policy stance from major developed market central banks. The MSCI World Index was down -3.7% and the JPM GBI Index was down -1.2% (hedged to Australian dollar). The fund return was negative.
• A continued downturn in global growth data weighed on investor sentiment, with Purchasing Managers’ Indices weaker than expected as supply chain disruption continues to weigh on business and consumer sentiment. In this environment, our long equity strategies detracted in aggregate, with higher growth sectors such as tech and consumer discretionary weighing on returns. Despite this backdrop, our global media streaming strategy performed well on idiosyncratic drivers as sentiment was supported by upcoming content releases and improved subscriber growth expectations.
• China growth concerns escalated further amid news of the potential default of a large Chinese property developer and its spill-over effects on confidence and the broader economy. Our long UK versus short basic resources equity strategy, held to reflect a slowdown in Chinese growth and concerns around new regulations, performed well in this environment. Given increased risks for an incremental deceleration in global growth, we added to our protection strategies via short US and emerging market equity futures and long European equity put options, which added value over the month and caused our net equity exposure to move lower.
• Monetary policy came into focus as global bond yields moved higher in response to a sharp rise in energy prices and a more hawkish than expected policy stance from major developed market central banks. The US Federal Reserve gave advance notice of tapering being warranted soon and signalled interest rate increases may follow faster than previously expected. The Bank of England delivered a similar hawkish shift, bringing forward pricing of rate hikes to early next year. Our long financials equity exposure delivered positive performance, along with our long US dollar exposure versus South African rand and Korean won strategies, which we held for portfolio diversification benefits.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-4.pdfJuly, 2021
• Developed market equities and government bonds ended July in positive territory after a volatile month, as a strong start to the second-quarter earnings season supported markets while sentiment was negatively impacted by the rapid spread of the Delta variant and the slowing of growth momentum. The MSCI World Index was up 1.7% and JPM GBI Index was up 1.4% (hedged to Australian dollar). The fund return was modestly negative.
• Risk assets were supported amid stronger-than-expected second-quarter earnings and lower yields, with over half of the S&P 500 companies having reported earnings, and close to 90% of those reporting beating analysts’ earnings expectations. Our long equity exposure contributed positively to performance, particularly our quality growth names in global consumer brands, cloud computing and software, and global healthcare equipment.
• The pace of acceleration in global growth showed some signs of slowing, led by the US and China, with economic and activity data coming in softer than expected. The rapid spread of the Delta variant also weighed on investor sentiment, with new daily infections continuing to rise across regions. Against this backdrop, cyclicals underperformed more quality growth areas of the market, and our long equity exposures in financials, semis and energy sectors detracted.
Given signs of a slowdown and cyclical underperformance, we reduced our cyclical/value tilt by closing our exposures in semis as well energy, as fundamental support for the latter weakened with less certain demand recovery and an announced increase in supply from OPEC+. We also closed our long European banks, industrials and insurance strategies held via futures and introduced a long US utilities vs short US large-cap strategy via futures to add to the defensive tilt of the portfolio, supported by attractive valuations.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-3.pdfJune, 2021
Global risk assets and government bonds rose amid continued improvement in economic activity and growth data, and despite the Fed signalling a modestly more hawkish policy stance.
The MSCI World Index was up 2.4% and the JPM GBI Index was up 0.6% (hedged to Australian dollar). The fund return was positive. • The Fed turned modestly more hawkish by acknowledging that the balance of risks around inflation has shifted while reiterating its belief that higher inflation is expected to be transitory. This prompted an update to Fed committee members’ rate-hiking expectations, with two hikes now anticipated by the end of 2023, and further discussion expected on the timing of asset-purchase tapering. Against this backdrop, value underperformed higher-quality growth areas of the equity market, which benefitted our exposures in cloud computing and software, global consumer brands and global pharmaceuticals. We took some profit on our long NASDAQ versus short US large-cap equity strategy, which benefitted from the reversal. Given reduced conviction in cyclical exposures, which would benefit from a reflationary environment, we closed our long basic resources and EU insurance equity strategies, resulting in more balanced factor exposures within the portfolio
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-2.pdfMay, 2021
Global equity markets ended May in positive territory after a volatile month, as inflation concerns grew amid a continued improvement in economic activity. The MSCI World Index was up 1.0% and JPM GBI Index was up 0.2% (hedged to Australian dollar). The fund return was positive.
• An increased focus on higher inflation outcomes impacted markets as investors grew concerned that this might lead to an earlier unwinding of accommodative monetary policy.This was prompted by a higher-than-expected US Consumer Prices Index print and strengthening wage data in a disappointing April US employment report. The pick-up in inflation was largely due to supply constraints amid re-openings, which have extended to labour markets and are factors that we expect to be transitory. However, market volatility increased and the risk-off reaction particularly hurt our secular growth tech and consumer discretionary exposures. We took advantage of more attractive valuations intramonth to add to our favoured names, and introduced a long Nasdaq versus short
US large-cap equity strategy to benefit from a reversal in tech underperformance, which contributed later in the month.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund-1.pdfMarch, 2021
• Global equity markets rose and government bonds fell amid further improvement in economic and growth activity. The MSCI World Index was up 4.2% and the JPM GBI Index was down 0.3% (hedged to Australian dollar).
• Global growth continues to improve as indicated by purchasing managers’ indices, with particular strength in manufacturing and export orders. Investor optimism was further helped by the agreement to deliver a sizeable US fiscal package. In this environment, risk assets performed well and our long equity exposure contributed positively to performance, particularly our select consumer discretionary, industrials and semiconductor names. We also benefitted from our exposure to select US homebuilders, which we introduced against a backdrop of strong demand and structural lack of supply in the US.
• Monetary policy came into focus amid the move higher in global bond yields, with most developed market central banks maintaining a dovish message. In addition to the ECB increasing the pace of near-term purchases in its Pandemic Emergency Purchase Programme, the Reserve Bank of Australia re-emphasised its commitment to yield curve control. The US Federal Reserve also delivered a dovish message with no median rate hike over its forecast period in spite of significant upgrades to growth and, to a lesser extent, inflation. However, market expectations for a rate rise consolidated around late 2023. This improved US outlook and monetary policy implications supported introducing a short US duration strategy, some of which is held versus long Australian duration, which added value over the month. We also introduced a long US dollar exposure versus select emerging market currencies to reflect the view of higher yields, in addition to holding diversification benefits.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-sustainable-fund.pdfDecember, 2020
Global equity markets continued their ascent in December, supported by positive developments on vaccines, diminishing risk around key events and solid data. The MSCI World Index was up 3.4% and the JPM GBI Index was flat (hedged to the Australian dollar). The fund delivered a positive return.
• Positive vaccine developments supported risk sentiment, as the first vaccines against Covid-19 were authorised and administered. The increased confidence in the path to recovery overshadowed rising virus infection cases and saw equities perform well. In this environment, our long equity strategies contributed positively to performance, particularly cyclical exposures including our long DAX call options and long basic resources futures strategies. The risk-on environment also led to US dollar weakness, which benefitted our gold position and prompted us to take profit on our long Australian dollar versus short US dollar strategy.
• Investor optimism was further helped by reduced event risk, following the announcement of a US fiscal stimulus package and a Brexit deal.US Congress approved a relief plan worth nearly USD 900 billion, which includes direct payments to households and more generous unemployment benefits. This package should support US consumer spending, and our US small-cap exposure, payment companies and US off-price retailers added value following the news. The removal of a hard-deal Brexit scenario further reduced uncertainty as the UK and the European Union reached an agreement ahead of the year-end deadline.
• Economic data showed some improvement, with global purchasing managers’ indices reversing the downward moves seen in November when a number of economies experienced lockdown restrictions. The improvement in activity was a further support to markets, however we continue to protect the portfolio from the risk of a greater virus resurgence and/or disruption in the vaccination process through short-bias equity strategies, which detracted from performance. We have also added a long euro versus short US dollar put strategy as protection from a near-term reversal in USD weakness.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-macro-opportunities-fund.pdfasset_class: Alternatives
asset_category: Macro
peer_benchmark: Alternatives - Macro Index
broad_market_index: Credit Suisse AllHedge Global Macro Index
manager_contact_details: Array
ticker: PER0758AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://am.jpmorgan.com/au/en/asset-management/adv/products/fund-explorer/auut
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fund_features:
To achieve capital appreciation in excess of its Benchmark by investing primarily in securities, globally, using financial derivative instruments where appropriate. The Fund invests primarily either directly or through the use of financial derivative instruments, in equity securities, commodity index instruments, convertible securities, debt securities, deposits with credit institutions and money market instruments. Issuers of these securities may be located in any country, including emerging markets
structure: Managed Fund