MIdeaAsiaQuantitativeStrategy-MonthlyPerspectives|AsiaPacificRisingmomentumvolatility,narrowingbreadthAsia/EMequitiesmomentumreversedfollowinglowerUSCPIdataandFedChairPowell'stestimonyonJuly9-10.WeremainbalancedonValuevsGrowthinAPxJ/EMbuttodayturnneutralinJapan.Increasingvolatilityofmomentumisakeyportfolioriskgivennarrowequitybreadth.MMorganStanleyAsiaLimited+JasonNg,CFAQuantitativeStrategistJason.Dl.Ng@morganstanley.com+8522848-8845MorganStanleyAsia(Singapore)Pte.+DanielKBlakeEquityStrategistDaniel.Blake@morganstanley.com+656834-6597JonathanFGarnerEquityStrategistJonathan.Garner@morganstanley.com+656834-8172MorganStanleyAsiaLimited+CrystalNgEquityStrategistCrystal.Ng@morganstanley.com+8522239-1468Exhibit1:Only37%ofconstituentsoutperformedMSCIEMoverthepast12months,an8thpercentilelowonbreadthoverthelast20years20%30%40%50%60%70%80%300500700900110013001500%ofstocksoutperformedMSCIEMinpast12months(RHS)MSCIEMIndexSource:Bloomberg,MorganStanleyResearch;dataasofJune,2024.Macrofactordriversandpreferences:ThemarketisnowfullypricedfortheSeptemberFedratecutthatoureconomistshavebeenforecasting(Exhibit13).Withmoredisinflationevidence,US10Yyieldshavetrendedbelow4.2%,whileimpliedbondvolatilityhasalsofallenMTD.Thecurvehassteepenedastherate-sensitivefrontenddroppedmorerelativetothelongendofthecurve,andourratesstrategistsexpec...
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