巴克莱-美股-股票策略-贸易战将会平息但全球经济增长忧虑加剧-2019.10.2-24页.pdf

Equity Research 2 October 2019 CORE Barclays Capital Inc.and/or one of its affiliates does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment decision.PLEASE SEE ANALYST CERTIFICATION(S)AND IMPORTANT DISCLOSURES BEGINNING ON PAGE 20.Restricted-Internal Equity Compass Trade war concerns subside,but global growth worries increase In this monthly publication,we provide a snapshot of the domestic and international macro environment including updates to our top-down/bottom-up EPS and P/E forecast models,as well as the performance of recent thematic baskets.NTM EPS models projections declined for both top-down and bottom-up models.Falling consensus(to 4.0%from 4.6%)as well as weaker leading economic indicators lead to a decline in our bottom-up NTM projection(to-1.5%from-0.8%),while declining domestic economic forecasts(primarily inflation)moved our top-down NTM projection lower(to 4.3%from 5.0%).The continued divergence in NTM projection between our models exists because our domestic-oriented top-down model does not reflect the recent increase in international economic weakness.Our U.S.-China Trade War basket rebounded due to renewed trade optimism.Trade war concerns subsided due to the delay of tariff implementation by the U.S.and Chinas offer to buy a limited amount of U.S.agricultural goods.However,markets remained on edge as any number of issues could drive another escalation.Global growth slowdown raises recession fears.Chinas credit impulse data and key economic indicators have stagnated in the last two months indicating a soggier soft patch.Slowing international growth is also being reflected is strong downwards EPS revisions for companies with high international sales.Additionally,rates were quite volatile and at one point,Fed fund futures took out an entire Fed cut for 2020 on trade deal optimism mid-September but the futures have given up half their gains since then.As a result,in the last two weeks our optimized early recession basket has rallied sharply,signaling rising concerns of a recession.In our view,the simultaneous outperformance of the trade war and early recession baskets indicates that slowing global growth,not the trade war,is the primary driver of recession concerns.Divergent sector performance in September:Financials,Energy&Materials,Hardware&Semis,and Industrials outperformed with rising prospects of a US-China trade deal.FANGs and Healthcare underperformed as Senator Warren rose in recent national polling data for 2020 U.S.Elections.MACRO STRATEGY U.S.Equity Strategy U.S.Equity Strategy Maneesh S.Deshpande+1 212 526 2953 BCI,US Elias Krauklis+1 212 526 9376 BCI,US Japinder Chawla+1 212 526 2771 BCI,US Brian Pu+1 212 526 6923 BCI,US Barclays|Equity Compass 2 October 2019 2 EARNINGS AND PRICE FORECASTS Actual2018Q1(A)2018Q2(A)2018Q3(A)2018Q4(A)CY2018(A)LTM38.240.942.841.4163.3164.5Forecast2019Q1(A)2019Q22019Q32019Q4CY2019NTMConsensus EPS38.941.441.542.8164.6171.0Top-Down EPS38.941.443.242.7166.2171.7Bottom-up EPS38.941.441.140.6162.0162.0Avg of TD&BU Models38.941.442.241.7164.1165.4Tariff Impact0.0%0.0%-0.5%-0.7%-0.3%-0.7%Final EPS38.941.440.940.3161.5160.8Forecast Growth2019Q1(A)2019Q22019Q32019Q4CY2019NTMConsensus EPS1.7%1.2%-3.2%3.5%0.8%4.0%Top-Down EPS1.7%1.2%1.0%3.3%1.8%4.4%Bottom-up EPS1.7%1.2%-4.1%-1.8%-0.8%-1.5%Final EPS1.7%1.2%-4.5%-2.5%-1.1%-2.2%18.116.118.0Current P/E Fair Value P/EModel Tracking Projections*S&P 500 P/E Model ProjectionsProjected 2019 P/E Source:Barclays Research.Consensus estimates are from Refinitiv;data as of 26 September 2019.*The Model Tracking Projections reflect the current output of our EPS and P/E models,which can deviate from our official price target forecasts.For more information regarding the Bottom-Up,Top-Down,and PE models please see U.S.Equity Strategy:SPX 2900 This is How We Get There,6/11/2018 S&P 500 Official Price Target Forecast2019 EPS:$162P/E Ratio:18.5x2019 Price Target:3000SPX Price ForecastSPX P/E ForecastMacro Variables:Interest Rates,Inflation,Inflation Volatility,Ind.ProdTrailing SPX P/E RatioSPX EPS ForecastBottom-up SPX EPS ForecastSPX Bottom-up Consensus ForecastLeading Economic IndicatorsTop-down SPX EPS ForecastPure Growth&Inflation Factor ForecastsBarclays Forecasts for 11 Macro IndicatorsP/E Ratio ModelEPS ModelBarclays|Equity Compass 2 October 2019 3 Bottom-up model projections decline due to weaker consensus and LEI Our bottom-up model forecasts S&P 500 earnings by starting with bottom-up sell-side analyst consensus forecasts and adjusts them for the current economic environment using the moving average of 3M returns of the Leading Economic Index(LEI 3MA)FIGURE 1 S&P 500 consensus earnings projections and LEI both fell last month,pushing out bottom-up NTM forecast lower-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%2.5%-10%-5%0%5%10%15%20%25%Jan-12Jul-13Jan-15Jul-16Jan-18Jul-19Bottom-Up Rolling NTMConsensus Rolling NTMLEI 3MA(RHS)Projected Growth Source:Barclays Research,Refinitiv Note:LEI 3MA,which is the 3M moving average of the LEI 3M Change,is lagged by one month to account for reporting lag Following months of steady improvement our bottom-up NTM S&P 500 EPS growth projections fell slightly in September(to-1.5%from 0.8%),ending a streak of four months of improvements.The increase in our model projections was driven by lower consensus projections(contribution of-0.4%)and a slight decline in smoothed 3M LEI(contribution of-0.3%).Figure 2 shows a formal attribution of the components of our bottom-up model,on both an NTM basis and for a fixed calendar period(2019Q3 2020Q2).Our bottom-up model forecast for the 2019Q3 2020Q2 period has fallen over the last month(-0.7%),adding to declines seen over the last 6M(-1.2%).The recent declines have been primarily driven by both lower LEI values and declining consensus,while the 6M change in our projections has been driven by both lower consensus expectations as well as the interaction between LEI and consensus expectations.FIGURE 2 Our rolling NTM bottom projections fell last month due to both lower consensus and LEI FIGURE 3 The gap between consensus projections and our bottom-up model has narrowed recently due to a more stable LEI -4%-2%0%2%4%6%8%10%12%14%Feb-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19Bottom-Up Current NTMConsensus Current NTMProjected Growth for 2019Q3-2020Q2 Source:Barclays Research,Refinitiv Source:Barclays Research,Refinitiv Contribution to Bottom Up Model Projections Actuals2019Q3-2020Q2Rolling NTMCurrent1M Chg6M Chg1M Chg6M ChgConsensus4.0%-0.4%-0.2%-0.4%1.1%LEI 3MA0.1%-0.3%0.1%-0.3%0.2%InteractionNA0.0%-1.0%0.0%0.0%TotalNA-0.7%-1.2%-0.7%1.3%Barclays|Equity Compass 2 October 2019 4 Top-down model projections decline due to weaker growth outlook Our top-down model distils a combination of macro variables into factors which capture the growth in the US economy(Pure Growth)and the US inflation adjusted for growth(Pure Inflation).We use the historical relationship between SPX EPS Growth and Pure Growth/Inflation as well as our current Barclays economist forecasts to project forward SPX EPS growth.Our top-down NTM EPS model forecast fell sharply in September(to 4.3%from 5.0%)and is now at its lowest level in the past five years.Declining domestic inflation forecasts drove our NTM top-down model projections lower,even as domestic employment forecasts improved slightly.FIGURE 4 Our NTM top-down model has fallen sharply over the last year,but saw a moderate rebound this month Source:Barclays Research,Refinitiv The recent decrease in our NTM top-down forecast has been driven by our NTM“Pure Growth”factor,which is a proxy for general U.S.economic growth.After rebounding since May the Z-Score of the NTM Pure Growth factor has fallen back to a value of-0.5,the lowest level since the 2015/2016 mini-industrial recession.Our“Pure Inflation”factor,which can be thought of as inflation adjusted for growth,fell this month(to 0.36 from 0.60)due to lower inflation projections.This decrease in projected“Pure Inflation”added 0.3%to our top-down NTM projection,which is intuitive as inflation independent of growth is typically a drag on SPX earnings growth.Much like our bottom-up model,we also calculate EPS projections on both an NTM basis and for a fixed calendar period(2019Q3 2020Q2).Projections for the current calendar period moved in tandem with the current NTM,as the EPS contribution from a decline in our Pure Growth factor was slightly offset by the contribution from the decline in Pure Inflation,leading the 0.7%decline in the EPS forecast for the current fixed calendar period.Figure 6 shows that while our top-down forecast for the current calendar NTM(4.3%)fell sharply this month,it still remains above the consensus projection of 4.3%(and well above our bottom-up projection of-1.5%).This would indicate that while expectations of lower U.S.economic growth are a major risk factor,international economic growth remains a larger concern for SPX earnings growth.-2-1.5-1-0.500.511.522.50%2%4%6%8%10%12%14%16%18%Jan-12Jul-12Jan-13Jul-13Jan-14Jul-14Jan-15Jul-15Jan-16Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19Jul-19Projected GrowthTop-Down Rolling NTMNTM Pure Growth(RHS)NTM Pure Inflation(RHS)Z-ScoreBarclays|Equity Compass 2 October 2019 5 FIGURE 5 Our NTM top-down projections fell on a rolling basis and for the current calendar period due to a decline in our“Pure Growth”factor,stemming from lower inflation forecasts FIGURE 6 Although our top-down projection for the current calendar NTM fell last month,it still remains above consensus expectations 0%2%4%6%8%10%12%14%Jun-18Sep-18Dec-18Mar-19Jun-19Consensus Calendar NTMTop-Down Current NTMProjected Growth for 2019Q3-2020Q2 Source:Barclays Research,Refinitiv Source:Barclays Research,Refinitiv Stocks with high international exposure see strongest downward revisions since February Declining consensus expectations for 2019 continue to be primarily driven by concerns over a slowdown in non-US economies.Companies with the highest levels of international sales(High Int Sales)have seen their 2019 net income expectations decline by 17.6%since 9/2018,compared to only 0.8%for stocks with no international exposure(No Int Sales).High Int Sales companies have been responsible for 50%of the decline in consensus since 9/2018.High Int Sales 2019 net income expectations fell sharply in September(-1.6%),the largest decline since February 2019.Surprisingly,companies with low international sales(No Int Sales)and low Int Sales(Qnt1)also saw downward revisions,but not to the extent seen in the High Int Sales basket.We believe this points to ongoing concerns over slowing non-US economies hampering U.S.earnings growth.FIGURE 7 Companies with high international sales saw significant declines in 2019 EPS expectations this month FIGURE 8 as did companies no or low international sales exposure,but to a smaller extent Source:Barclays Research,Refinitiv Source:Barclays Research,Refinitiv Contribution to Top Down Model Projections Actuals2019Q3-2020Q2Rolling NTMCurrent1M Chg6M Chg1M Chg6M ChgPure Growth-0.45-1.0%-4.1%-1.0%-0.8%Pure Inflation0.360.3%0.3%0.3%-1.2%TotalNA-0.7%-3.8%-0.7%-2.0%-20%-15%-10%-5%0%5%Sep-18Dec-18Mar-19Jun-19No Int SalesQnt1Qntl2Qntl3High Int SalesChange in Forecasted 2019 Net Income0%1%2%3%4%5%6%7%8%No Int SalesQnt1Qntl2Qntl3High Int SalesContributionto 2019E decline since 9/2018Barclays|Equity Compass 2 October 2019 6 Recent weakness in Chinese credit and economic growth indicate a soggier soft patch The Chinese credit cycle has been the primary driver of the slowdown in non-US macro growth,especially EM growth and earnings growth for internationally focused U.S.companies.While the policies implemented by Chinese policymakers stabilized credit growth(Figure 9),credit impulse data and key economic indicators(Figure 10)have moderated in the last two months indicating a soggier soft patch.Chinese equities earnings growth are more driven by trade than domestic factors.Imports/Exports remain weak(Figure 11),and escalation of US-China trade war tensions could further weigh them down.Interestingly,imports have continued to decline with exports almost flat as opposed to prior troughs due to Chinas policy measures being more domestically oriented and limiting the amount of pass-through to the rest of the world.A model based on growth in net exports,rail volume and bank loans does a very good job at predicting NTM earnings growth for Chinese equities.However,the actual LTM EPS yoy growth has recently surprised to the downside at-5.5%,much lower than the model-predicted growth of 4.7%(Figure 12).FIGURE 9 A rebound in the China credit cycle is not definitive,due to a recent moderation in credit impulse FIGURE 10 NBS PMI also declined after a strong rebound earlier,indicating a soggier soft patch ahead 15202530354045Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18y/yCreditImpulse 44464850525456586062Mar-09Mar-11Mar-13Mar-15Mar-17Mar-19PMIPMI.ManufPMI.NewExportOrdersPMI.NonManufPMI.NewOrders Source:Barclays Research,Bloomberg Source:Barclays Research,Bloomberg FIGURE 11 While China imports/exports are already in negative territory,US-China trade tensions could make things worse FIGURE 12 Model predicted earnings growth fell in May driven by lower rail volume growth-60-40-20020406080Jan-06Jan-08Jan-10Jan-12Jan-14Jan-16Jan-18y/yExports.YoYImports.YoYnetExports.YoY -40%-30%-20%-10%0%10%20%30%40%50%Jan-07 Jan-09Jan-11 Jan-13Jan-15Jan-17 Jan-19EPS y/yEPS.YoYModel.Forecast Source:Barclays Research,Bloomberg Source:Barclays Research,Bloomberg Barclays|Equity Compass 2 October 2019 7 High International Sales Basket Rationale To quantify the non-US economic impact on US equities we monitor the performance of equities with the high international sales exposure(high ISP).There is a strong correlation between the China Credit Impulse lagged by 1Yr and the performance of the high ISP basket,indicating that the China credit cycle is a strong predictor of the future performance of stocks with high international exposure.Figure 13shows the performance of high ISP basket relative to the SPX,the China credit impulse lagged by one year,as well as our regression predicted value of the high ISP basket based on the China credit impulse.FIGURE 13 Relative performance of stocks with high international sales tracks the China Credit Impulse with one-year lag FIGURE 14 The High ISP basket has increased slightly in the last month,but performance has been very volatile 0510152025303540450.800.901.001.101.201.301.40Mar-06Mar-09Mar-12Mar-15Mar-18FwdHighISPFwdHighISP.predChina.CreditImpulseRelativePerformance 1Y forwardChina Credit Impulse 9092949698100102104Jan-18 Apr-18Jul-18Oct-18Jan-19 Apr-19Jul-19HighISP BasketDaily RelativePerformance Source:Barclays Research,Bloomberg,Ref