The Future of Globalization

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1 The Future of Globalization Isabelle Mateos y Lago, Chief Multi-Asset Strategist BlackRock Investment Institute Saturday, 18 th November 2017

2 Globalization has created a broader opportunity set for asset owners Europe has embraced global investing much more than the U.S. and Japan Domestic vs. foreign assets for mutual funds and ETFs domiciled in Japan, U.S. and Europe, November Investors are also becoming more sophisticated Geographic breakdown of ETP AUM, % Foreign 8 6 PERCENT 5 PERCENT 4 Domestic 25% 2 Japan U.S. Europe Single Country ETP Multi-country ETP Sources: BlackRock Investment Institute, with data from EPFR, November Notes: For funds domiciled in Japan, U.S. and Europe, the bars represent the split of assets invested in domestic markets, vs. foreign. Global funds (that may include domestic exposure) are included as foreign investments. U.S. domestic is represented by North America. Sources: BlackRock Investment Institute, with data from BlackRock ishares, Morningstar November Notes: The chart shows the breakdown of global ETPs based on whether the indexes that they track are single country or multi-country focused. 2

3 EM is changing shape dramatically MSCI ACWI remains dominated by DM Country decomposition of MSCI ACWI Index, 1997 to present 10 8 but EM debt and equity markets have seen much bigger changes REGION WEIGHT Country decomposition of MSCI EM Index, 1997 to present REGION WEIGHT Brazil China India Korea Mexico Russia South Africa Taiwan Other Regional decomposition of JP Morgan Emerging Market Bond Index, United States Japan United Kingdom France China Germany Canada Switzerland Australia Korea Others Sources: BlackRock Investment Institute with data form MSCI, November REGION WEIGHT 10 75% 5 25% Africa Asia Europe Latin Mideast Country count (RHS) Source for both charts: BlackRock Investment Institute with data from MSCI and J.P. Morgan, November NUMBER OF COUNTRIES 3

4 China is the only large market that remains off limits China A-share market is large Market value of major stock indices, November 2017 but China equities and bonds appear underrepresented relative to China s macro influences China as % of the world 25,000 25% Macro Equity Bond 20,000 2 BILLION USD 15,000 10,000 15% 1 5,000 5% 0 S&P 500 China A- Share TOPIX EURO STOXX 50 FTSE 100 DAX 30 Source: BlackRock Investment Institute with data from Thomson Reuters Datastream, November GDP Total trade A-shares turnover as % of the world A-shares market cap as % of the world Foreign ownership in A- shares China bonds as % of world Foreign ownership in China bonds Source: BlackRock Investment Institute with data from IMF, WFE, MSCI, FactSet and Goldman Sachs, November Notes: GDP and total trade are as of 2016, A-shares turnover as% of the world and A- shares market cap as % of the world are as of April 2017, foreign ownership in A-shares is as of March 2017, China bonds as % of world is as of Sep 2016, foreign ownership in China bonds is as of 17Q1. 4

5 Economic interlinkages are important The DM growth transmission to China and EM matters more in periods of reflation Impact of hypothetical 1% growth rise over two years Beta to global growth varies by region Beta of regional GDP growth to global GDP growth, Cyclical: U.S. reflation Structural: Globalisation ramps up Cyclical: U.S. reflation Structural: China & EM getting larger EM ex-china 0.9 EM ex-china BETA DM 0.5 DM China China Sources: BlackRock Investment Institute, February Notes: This chart gives estimates of the influence of a sudden growth boost in one economic region on others, in this case developed markets, China and emerging markets excluding China. The numbers represent the cumulative percentage-point impact on growth over the following two years of a hypothetical 1% growth rise in the originating region. For example, a 1% DM growth rise would have resulted in a simultaneous 1.9% growth boost to EM ex-china in the period. The estimates are derived from BlackRock analysis modelling growth in DM, China and EM ex China where growth in one region is assumed to be a function of its own historic growth and that in the other regions Developed Market US European Union Japan UK Emerging Market Sources: BlackRock Investment Institute, with data from IMF WEO database, November Notes: GDP growth is measured on an annual basis. Beta represents the volatility of a region s GDP growth in comparison to global GDP growth. 5

6 Stock markets non-domestic exposure has been growing A rise in foreign revenue Share of foreign revenue, Non-U.S. regions are even more global Revenue share by region, November SHARE OF FOREIGN REVENUE (%) REVENUE SHARE 75% 5 25% US Small-cap US Large-cap U.S. EM Japan Europe ex- UK Foreign Domestic Share UK Sources: BlackRock Investment Institute with data from FTSE, Russell and Thomson Reuters, January Notes: the bars indicate the share of overseas revenue for members of the Russell 2000 index of U.S. small-cap companies. The line shows the share for members of the Russell 1000 index of U.S. large caps. Source: BlackRock Investment Institute with data from FactSet, November Notes: The regions listed above are represented by MSCI USA, MSCI EM, MSCI Japan, MSCI Europe ex-uk and MSCI UK indexes. 6

7 As a result, we should expect higher correlations in returns Stock market correlations with EM have risen dramatically Regional correlation with EM equities, Sector-wise, stock market correlations between DM and EM are also increasing Sectoral correlation between DM and EM equities, Utilities Telecom CORRELATION WITH EM EQUITIES Real Estate Materials IT Industrials Healthcare Financials Energy 1 Cons. Staples US Japan UK Europe ex UK Present Cons. Disc Source: BlackRock Investment Institute with data from Thomson Reuters, November Notes: the chart shows the correlations based on daily data between the time periods shown above. Returns data based on MSCI USA, MSCI Japan, MSCI UK, MSCI Europe ex-uk and MSCI EM indexes. Source: BlackRock Investment Institute with data from Thomson Reuters, November Notes: the chart shows the correlations based on daily data between the time periods shown above. Returns data based on MSCI indexes. DM is represented by MSCI WORLD sector indexes, EM is represented by MSCI EM sector indexes. 7

8 But diversification still comes to those who are willing to wait Diversification can be found over longer time periods Correlation of EM and DM equity returns, CORRELATION 4 2 1M 12M 24M 36M HOLDING PERIOD Source: BlackRock Investment Institute with data from Thomson Reuters, November EM equity returns are based on MSCI Emerging Markets Index. DM equity returns are based on MSCI World Index. The period covered by the calculation is from May 1988 to May 2017, and the return data is based on 1-month rolling basis. 8

9 Bond markets are increasingly connected Neutral rates are increasingly determined by global factors Bond yields correlations are also rising Factors affecting G7 neutral rates, Co-movement of major bond yields, U.S. G7 ex U.S. 100 Foreign 75 75% 5 CORRELATION (%) 50 25% 25 Domestic Sources: BlackRock Investment Institute, with data from G7 statistical agencies and central banks, Thomson Reuters, November Note: This chart shows the variance decomposition of the US and G7ex-US neutral rate over two time periods. The bars display the proportion of the variance that is attributable to domestic or foreign shocks. This estimate follows the methodology in Holston, Laubach & Williams (2016). Source: BlackRock Investment Institute, November Notes: this chart shows a seven-year rolling regression (r-squared, or co-efficient of determination) of monthly changes in U.S. 10-year yields on a factor that captures the monthly change in German, Japanese and UK 10-year yields. The regression shows what proportion of U.S. yield changes may be explained by a common global factor extracted from all the yield moves. 9

10 Important information General disclosures This material is prepared by BlackRock and is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of November 2017 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not guaranteed as to accuracy. As such, no warranty of accuracy or reliability is given and no responsibility arising in any other way for errors and omissions (including responsibility to any person by reason of negligence) is accepted by BlackRock, its officers, employees or agents. This material may contain forward-looking information that is not purely historical in nature. Such information may include, among other things, projections and forecasts. There is no guarantee that any forecasts made will come to pass. Reliance upon information in this material is at the sole discretion of the reader. This material is issued for Institutional Investors only (or professional/wholesale investors as such term may apply in local jurisdictions) and does not constitute investment advice or an offer or solicitation to purchase or sell in any securities, BlackRock funds or any investment strategy nor shall any securities be offered or sold to any person in any jurisdiction in which an offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. Index returns are for illustrative purposes only and do not represent any actual fund performance. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results BlackRock, Inc. All Rights Reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners. 10

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