报告为摩根大通全球外汇策略，聚焦瑞郎（CHF）。团队此前今年一直做空瑞郎，直至上周欧洲利差扩大触发止盈止损，现认为做多瑞郎是对其在运行周期组合更好的战术对冲，可防范收益率对市场隐含增长的影响及欧洲内部利差进一步走阔的风险。年初至今瑞郎估值未反映法德（OAT）利差变动，因市场机制从套息转向避险使典型公允价值模型贝塔失效；本轮EUR/CHF下跌对利差的贝塔为-0.02，不及2024年法国大选时的-0.05，若匹配历史均值EUR/CHF应低于0.9250。股市韧性、全球增长及瑞郎利差走阔延迟了反应，但欧洲周期股篮子与量化策略QMI数据暗示区域增长见顶，利好瑞郎。跨境债权与持仓数据显示瑞郎融资套息交易相对市场规模已根深蒂固，或存在更广泛的瑞郎空头；全球PMI或因收益率滞后影响而见顶。建议将瑞郎作为澳元、挪威克朗、英镑等周期性套息货币的组合对冲。
We had been short CHF this year until the European spread widening caused us to hit take-profit-stop levels last week, and we now consider long CHF a better tactical hedge to the cyclical portfolio we are running. CHF valuations don't reflect the OAT move from a beta and historical performance perspective, as typical fair value model betas broke down due to a regime shift from carry to risk-off. Equity resilience, global growth and wider CHF rate spreads delayed the reaction to OAT widening, though European cyclical equity baskets and QMI data now imply peak regional growth, which is bullish CHF. Cross-border claims and positioning data suggest that CHF-funded carry trades have become entrenched relative to the size of the market, implying a possibly broader CHF short in various forms. The rise in yields and its impact on market implied growth will be a key factor for how CHF trades from here, and we now view CHF as a portfolio hedge to cyclical carry elsewhere such as AUD, NOK and GBP