【文章标题】：The Maradona Theory of Interest Rates 【文章标题】：《马拉多纳利率理论》
【文章正文】：
Hi everyone, Alf here - I am back with another research piece for you. 大家好，我是Alf——我又为你们带来了一篇研究文章。
As always, the idea is to share some of the frameworks I use to run my macro strategy. 一如既往，本文旨在分享我在宏观策略中使用的一些框架。
If you want to be in touch with me: 如果你想与我联系：
alf@palinurocapital.com alf@palinurocapital.com
I hereby present the Maradona theory of interest rates from Mervyn King (credit to my friend Mario Baronci): 在此，我向大家介绍默文·金（Mervyn King）提出的马拉多纳利率理论（感谢我的朋友马里奥·巴龙奇）：
This week, the Fed announced various nominees for the task forces Warsh has set up. 本周，美联储公布了沃什（Warsh）所设工作组的各项提名。
Former BoE chief Mervyn King was chosen to lead the new ”communications task force”. 英国央行前行长默文·金被选中领导新的”沟通工作组”。
Back when he was at the helm of the BoE, 当年他在执掌英国央行时，
King proposed the Maradona approach to Central Bank communication: pretend to go right (be hawkish), pretend to go left (be dovish), and in the end get to your final objective without really moving much. 金提出了央行沟通的“马拉多纳策略”：假装向右（鹰派），假装向左（鸽派），最终无需真正大幅移动就能达到目标。
And given the output of the macro models I use to look at US growth, labor market and inflation the Maradona approach to interest rates could be the best fit. 鉴于我用来观察美国增长、劳动力市场和通胀的宏观模型输出结果，马拉多纳式的利率路径可能是最合适的选择。
What if Warsh says something hawkish now, something dovish later, and in the end Fed Funds just stay where they are for a while longer? 如果沃什现在说些鹰派的话，之后又说些鸽派的话，最终联邦基金利率在更长时间内维持不变，会怎样？
Consider the two charts below: 请看下面两张图表：
The top chart 上图
shows how US real consumer spending (blue) is running below its 10-year average, and US companies are not hiring workers in cyclical industries at a rapid pace (orange). The hiring plans for the foreseeable future are also pretty weak (black). 显示美国实际消费支出（蓝色）正运行在10年均值之下，美国企业在周期性行业的招聘速度也不快（橙色）。可预见未来的招聘计划同样相当疲弱（黑色）。
The bottom chart 下图
is a valuable, real-time proxy for nominal income growth coming from labor – US withheld income taxes are growing just in line with the last 10 years. 是衡量劳动名义收入增长的一个有价值的实时代理指标——美国代扣所得税的增速与过去10年基本一致。
The two engines of core US growth – the labor market and consumer spending – are far from being hot. 美国核心增长的两大引擎——劳动力市场和消费支出——远未过热。
And when that’s the case, the odds of sticky inflationary pressures are also much lower: 在这种情况下，顽固通胀压力出现的概率也低得多：
The left chart 左图
shows how US core goods inflationary pressures have risen in line with our PCA-based prediction model – 显示美国核心商品通胀压力与基于PCA的预测模型同步上升——
no major inflationary impulse left in the tank there 通胀推动力已经所剩无几，
especially as the USD has stopped depreciating against major trade partners and hence imported core goods prices are set to slow down a bit. 尤其是美元已停止对主要贸易伙伴贬值，因此进口核心商品价格将会有所放缓。
The right chart 右图
shows how Zillow and the Cleveland NTRR tend to anticipate changes in Shelter CPI. 显示Zillow和克利夫兰NTRR指数往往能预示居住类CPI的变化。
I didn’t even bother to fit a lead/lag timeline there as it’s quite obvious that official housing CPI in the US lags real-time rent measures due to the statistical methodology used to calculate shelter CPI. 我甚至懒得去拟合领先/滞后时间线，因为很明显，由于计算居住类CPI所使用的统计方法，美国官方住房CPI滞后于实时租金指标。
And if anything, there should be some mild disinflationary pressures in the US housing market. 而且如果有任何倾向的话，美国住房市场应该会出现一些温和的反通胀压力。
This leaves us with the following: 这让我们得出以下结论：
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The core engines of US real growth running at trend levels (~2% real annualized);
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美国实际增长的核心引擎运行在趋势水平（约2%的实际年化增长率）；
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A far from hot US labor market
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远非火热的美国劳动力市场
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Real-time indicators of wage growth and nominal labor income growth being disinflationary;
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工资增长和名义劳动收入增长的实时指标呈反通胀特征；
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No major inflationary pressures in the pipeline;
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未来没有重大通胀压力；
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Pretty much Goldilocks!
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几乎是金发女孩经济！
In the meantime, the option-implied distribution for Fed Funds in 12 months from now looks like this: 与此同时，未来12个月联邦基金利率的期权隐含分布如下：
The median expectation remains for 2-3 hikes, but the biggest mispricing against the macro environment I just described sits in the hawkish tail of this distribution. 中位数预期仍是加息2-3次，但与我刚才描述的宏观环境相比，最大的错误定价在于该分布的鹰派尾部。
The market is pricing in a ~35% probability for 4+ hikes over the next 12 months. I think that’s wrong. 市场正在定价未来12个月加息4次及以上的概率约为35%。我认为这是错误的。
So, how to position for a world in which macro data justifies the Maradona theory of interest rates? 那么，在一个宏观数据支持马拉多纳利率理论的世界里，该如何布局？
The most aggressive and convex approach would be to buy precious metals here. 最激进且最具凸性的做法是此时买入贵金属。
The chart at page 4 shows my Euphoria/Greed index for Silver 第4页的图表显示了我的白银兴奋/贪婪指数
– it’s the average percentile for the call/put skew, RSI and the distance from the 50-day moving average. ——它是看涨/看跌偏斜、RSI以及距50日均线距离的平均百分位。
If one systematically buys or sells the underlying asset when the index is above 90 or below 10, the 6-month forward returns are pretty solid and with a high win rate. 如果在该指数高于90或低于10时系统性地买入或卖出标的资产，6个月远期回报相当稳健，且胜率很高。
Buying gold or silver here seems to be a positive expected value idea if your time horizons are long enough. 如果你的时间视野足够长，此时买入黄金或白银似乎是一个正期望值的想法。
But it also requires the Fed Fund distribution at page 4 to materially change – not only the very hawkish 4+ hikes tail doesn’t need to materialize, but to unlock convexity in this trade the Fed should remain on hold. 但这也需要第4页的联邦基金利率分布发生实质性变化——不仅是不需要出现4次以上加息的极端鹰派尾部，而且要让这笔交易释放凸性，美联储应维持利率不变。
If you instead want to solely focus on fading the 4+ hikes hawkish tail, the best trades to do that remain EM FX and equity longs: 如果你只想专注于逆势做空4次以上加息的鹰派尾部，最好的交易仍然是新兴市场外汇和股票多头：
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If the Fed ends up hiking once or twice over the next 12 months, there won’t be any macro surprises and interest rate differentials would still largely favor BRL, COP, ZAR, MXN etc;
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如果美联储在未来12个月内最终加息一次或两次，就不会出现任何宏观意外，利差仍将大幅利好巴西雷亚尔、哥伦比亚比索、南非兰特、墨西哥比索等货币；
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1-2 hikes in the face of US nominal growth at 5%+ are irrelevant for equities as they don’t materially affect financial conditions – no macro surprises unfold, so long equities in a world of steady growth.
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在美国名义增长达到5%以上的背景下，1-2次加息对股市无关紧要，因为它们不会实质性地影响金融条件——不会出现宏观意外，因此在稳定增长的环境中做多股票。
The Maradona theory of interest rates is likely to materialize. 马拉多纳利率理论很可能会成为现实。
Perhaps in its full format (Fed on hold), or maybe Maradona-Warsh will actually move a tiny bit to the right (hike once or twice). 也许是以完整的形式（美联储按兵不动），又或者马拉多纳-沃什实际上会稍微向右移动一点（加息一次或两次）。
But in the grand scheme of things, the market seem to be pricing fat macro tails that are unlikely to occur. 但总体而言，市场似乎正在定价不太可能出现的肥大宏观尾部风险。
This was it for today. As always, remain hungry for macro and humble in markets. 今天就到这里。一如既往，保持对宏观的饥渴，对市场的谦逊。
To be in touch with me: 如果你想与我联系：
alf@palinurocapital.com alf@palinurocapital.com
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