汇丰银行-全球-量化策略-像巴菲特一样投资：筛选低风险、高质量、有价值的股票-2019.6.13-27页 (2).pdf

Disclosures&Disclaimer This report must be read with the disclosures and the analyst certifications in the Disclosure appendix,and with the Disclaimer,which forms part of it.Issuer of report:HSBC Trinkaus&Burkhardt AG View HSBC Global Research at:https:/ Warren Buffett achieved outstanding returns by focusing on low-risk,quality,value stocks and by identifying compounders that generate consistently high ROIC We screen for such stocks and highlight top-ranked names globally as well as in Europe/UK and the Asia-Pacific region Mimicking the style of Americas long-term top performer Recent academic research(see page 3)shows that Warren Buffetts investment success has been essentially based on applying leverage to cheap,safe,high-quality stocks.As Buffett is not known for deliberately pursuing systematic factor strategies,this style blend is more the result of his fundamentally driven value approach in the spirit of Graham and Dodd(see their well-known book Security Analysis from 1934).From a factor point of view,however,most of his holding companys long-term alpha can be explained by a pronounced tilt towards low-risk,quality,and value.Following the global financial crisis,Buffetts outperformance has vanished though,due to what appears to be less active stock selection and some unfavourable factor tilts,such as negative exposure to growth and momentum.We demonstrate that combining low risk with value and quality has continued to be a successful style mix over the last 20 years.Clearly,we are not able to identify ex ante the stocks Buffett would choose fundamentally,as the way he selects his top picks remains his own secret.However,to mimic his investment approach from a systematic factor perspective,we draw on three of our Excel-based alpha screening models,namely low-risk Statistical Bear,Quality,and Value.On pages 11 to 13,we provide Buffett-style screens featuring low-risk,quality,value stocks from a global,European and UK,as well as Asia-Pacific perspective.In the European screen,the five top-ranked names are Roche Holding,Volvo,BHP Group,Adecco and Saint-Gobain.Moreover,given Warren Buffett is a long-term investor focused on stocks with a competitive edge,strong margins and robust profitability,we would expect him to be constantly in search of so-called compounder stocks.These companies generate a consistently high ROIC and compound their intrinsic value at a superior rate.Using both our non-financial and financial compounder models,we screen for such stocks globally and regionally and highlight them on pages 18 to 20.The top-five names in the European screen are Adecco,Capgemini,Royal Ahold,Logista Holdings and Enel.13 June 2019 Dr.Philipp Kaufmann*,CFA Equity Strategist HSBC Trinkaus&Burkhardt AG philipp.kaufmannhsbc.de+49 211 910 1458 Volker Borghoff*Strategist HSBC Trinkaus&Burkhardt AG volker.borghoffhsbc.de+49 211 910 3298 *Employed by a non-US affiliate of HSBC Securities(USA)Inc,and is not registered/qualified pursuant to FINRA regulations Alpha Special Equities Alpha Strategy Global Invest like Warren Buffett:Screens for low-risk,high-quality,value stocks Equities Alpha Strategy 13 June 2019 2 Buffetts long-term alpha 3 Buffetts success from a style perspective 3 Decomposing Buffetts performance 5 Does Buffett invest systematically?5 Style and macro exposure of 13F holdings 9 Buffett-style stock screens 10 Systematic Buffett-style stock screens 10 Equity compounders 14 Financially healthy and profitable stocks 14 Appendix 21 HSBC style groups 21 HSBC SuperStyle definitions 21 Disclosure appendix 23 Disclaimer 26 Contents 3 Equities Alpha Strategy 13 June 2019 Buffetts success from a style perspective A recent academic study published in the Financial Analysts Journal(FAJ)and called“Buffetts Alpha”has sparked a lot of interest in the investment community.1 In their article,Frazzini et al.(2018)show that Buffetts long-term outperformance mainly stems from leverage applied to cheap,safe,high-quality stocks.In essence,Buffett has picked stocks based on a combination of three styles that have proved successful over the past decades:1.Safety:low-beta and low-volatility stocks,which are less risky than the overall market 2.Cheapness:value stocks with low price-to-book ratios(“margin of safety”)3.High quality:profitable,stable,and growing companies that have high payout ratios Qualitatively speaking,Buffetts investments are long-term positions,accomplished by the purchase of fundamentally sound companies that are trading well below their intrinsic value.Why would it be a worthwhile endeavour to scrutinise the investment performance of Buffetts holding company Berkshire Hathaway?The answer is very simple.According to Frazzini et al.(2018),Berkshire Hathaways class A share is by far the best-performing security among all US common stocks and US equity mutual funds that have existed since 1976.Indeed,using the longest available return time series on Refinitiv Datastream,we find that Berkshire Hathaways class A shares outperformed the S&P 500 by 12.8%per year on average since November 1976.This impressive relative return is measured on a total return basis(price change plus reinvested dividends).Note,however,that Berkshire Hathaway has not paid a dividend since 1967.So in this specific comparison,only passive S&P 500 investors could enjoy dividend payouts.Interestingly,during this decades-long sample period,Berkshire Hathaways class A stocks have been much more volatile than the market(annualised 252-day volatility of 23.1%vs.16.7%for the S&P 500),alluding to the finding of higher financial leverage in the FAJ article.Frazzini et al.(2018)estimate Berkshire Hathaways average leverage in terms of the equity multiplier to be 1.7x.The holding company enjoys rather low costs of leverage due to writing put options and so-called“float”generated by its insurance business.Insurance float is known as the difference between premiums collected and claims eventually paid out to policyholders.This 1 Frazzini,A.,Kabiller,D.,Pedersen,L.H.(2018):Buffetts Alpha,Financial Analysts Journal,Vol.74,No.4,35-55.Buffetts long-term alpha Recent academic research shows that Berkshire Hathaway is the best performer among all US common stocks and US equity mutual funds,with a return history from 1976 onwards According to the paper,Buffetts alpha is neither luck nor magic but a reward for leveraging low-risk,high-quality,value stocks Warren Buffetts long-term outperformance is the result of buying low-risk,high-quality,value stocks Since 1976,Berkshire Hathaway outperformed by a wide margin but was also more volatile than the market,likely due to higher financial leverage Equities Alpha Strategy 13 June 2019 4 float is mostly positive as claims usually do not have to be paid out until many years into the future and thus the resulting liquidity can be invested in the meantime by Berkshire Hathaways insurance subsidiaries.While some might argue that Warren Buffetts success is simply a statistical outlier,others stress the individual skills both he and his long-time partner Charles Munger possess to be able to follow such a rigorous fundamental investment approach and to overcome widely known behavioural biases.2 For instance,their long-term investment horizon allows them to be patient,to exercise self-control,and to refrain from taking part in market fads.Besides,long holding periods do not force them into fire sales as they are able to withstand market downturns more easily than liquidity-seeking market participants.1.Absolute performance of Berkshire Hathaway(class A shares)vs.S&P 500 Source:Refinitiv Datastream,HSBC calculations Total returns(TR)are measured as price change plus reinvested dividends.Note that Berkshire Hathaway did not pay any dividends during the sample period.The result of Buffetts long-term investment strategy can be seen in chart 1 above.Since 1990,Berkshire Hathaways class A share has outperformed the S&P 500 by a significant margin.As can be clearly seen,Buffett and his team stayed away from the dot-com era in the late 1990s,a stance which initially caused heavy underperformance but then proved more than correct in the subsequent bursting of the bubble.Moreover,the stock was able to outperform during the early parts of the 2008 global financial crisis.More recently,however,it has merely performed in line with the market,since around 2011.We show in the next section Decomposing Buffetts performance that this diminishing relative performance is a result of less active stock selection and some unfavourable factor tilts,such as negative exposure to growth and momentum.With respect to Berkshire Hathaways traditional value focus,note that value as a more cyclical style has not performed well over the current decade of subdued economic growth and low interest rates,compared to its growth-related style counterparts.We also find that in the last two decades,Buffett and his team deviated somewhat from their long-term exposure to the low-risk/quality/value-combination.In other words,they have not fully stuck to the long-held investment principles that made them so successful in the first place.2 See for example,Otuteye,E.,Siddiquee,M.(2019):“Buffetts Alpha:Further Explanations from Behavioral Value Investing Perspective”,SSRN Working Paper,March 2019.05010015020025030035040005001,0001,5002,0002,5003,0003,5004,000199019921994199619982000200220042006200820102012201420162018Berkshire Hathaway-Share Class A(TR,LHS)S&P 500(TR,LHS)Relative total return Berkshire Hathaway vs.S&P 500(RHS)Individual stock selection skills probably also contributed to Buffetts success In the current decade,Berkshire Hathaway has no longer been an outperformer 5 Equities Alpha Strategy 13 June 2019 Does Buffett invest systematically?Long-sample multi-factor performance attribution Similar to Frazzini et al.s FAJ article,we take a closer look at what style biases Berkshire Hathaways stock performance exhibits.Such an analysis allows us to compute Buffetts average long-term alpha and to identify to which systematic factors he has been exposed.To this end,we regress monthly total excess returns of Berkshire Hathaways share class A on seven US factors retrieved from Fama and Frenchs data library.3 Our sample period covers as much data as available and runs from 11/1976 to 03/2019.In particular,we regress the stocks monthly total excess returns on the following seven long-short US factors4:Market Rf is the excess return of the broad US market over the one-month US Treasury Bill rate SMB(“Small-Minus-Big”)captures the size effect as a long-short return spread between small-cap and large-cap stocks HML(“High-Minus-Low”)is the value factor and computed as a long-short return spread between stocks with high book-to-market ratio and low book-to-market ratio RMW(“Robust-Minus-Weak”)is a long-short factor mimicking the return behaviour between stocks with high operating profitability and low operating profitability,respectively CMA(“Conservative-Minus-Aggressive”)is a long-short return spread capturing the performance behaviour of companies that do not invest much and those that invest and grow their asset base aggressively.Company investment is proxied by the y-o-y percentage change in total assets on the balance sheet 3 Fama-French factors can be downloaded from a website maintained by Kenneth R.French at the Tuck School of Business,Dartmouth College,US.4 We employ total stock returns in USD,including both price appreciation and reinvested dividends.Monthly excess returns are measured in excess over the risk-free interest rate proxied by the 1M US Treasury Bill rate.Decomposing Buffetts performance Berkshire Hathaway generated significant alpha of about 8.5%per year on average since 1976 Style and factor tilts point towards value and high profitability,as well as lower than average risk Buffett does not seem to be a contrarian investor and also abstains from following medium-term momentum strategies We compute Buffetts alpha and his factor exposures Equities Alpha Strategy 13 June 2019 6 MOM is the long-short momentum factor based on previous 12M-1M cross-sectional price momentum LT REV is the long-term price reversal L/S factor based on a cross-sectional ranking of stock returns from month t-60 to t-13.Note that previous loser stocks are in the long leg,while previous winner stocks are in the short leg Table 2 below shows the regression results and broadly confirms the findings of the FAJ article discussed earlier.Berkshire Hathaway earned an annualised alpha of about 8.5%on average,adjusted for the exposure to the market,size,value,quality,momentum,and price reversal effects.The market beta is below one,while the sensitivities to SMB and MOM are virtually zero,indicating that Berkshire Hathaway used to have no specific size bias on average and did not follow a medium-term momentum strategy.By contrast,exposures to HML and RMW are both positive and highly significant,reflecting the strong value and profitability bias of Warren Buffetts investment strategy over the long run.The moderately positive,albeit insignificant,coefficient on the“Conservative-Minus-Aggressive”factor(CMA)suggests Berkshire Hathaways portfolio tended to hold companies that grow their balance sheet assets not too excessively.A little bit surprising is the significantly negative coefficient on the long-term price reversal factor(LT REV).This finding means that Buffett and his team are not contrarian investors,which somewhat stands in contrast to the commonly held belief that they like to buy companies that are out of favour with the market.In fact,quite the contrary,Berkshire Hathaway rather held stocks that have already gone up in price over the previous five years.5 One recent example consistent with this approach is the latest purchase of a small stake in Amazon stocks as part of the FAANG group that outperformed strongly over the last years.6 2.Fama-French US factor regression for Berkshire Hathaway class A shares(monthly total returns,11/1976-03/2019)Factor Beta coefficient t-statistic*p-value Adj.R2 Annualised 7-factor alpha 8.52%2.71 0.01 28.3%Market Rf 0.88 9.29 0.00 SMB-0.04-0.28 0.78 HML 0.54 3.65 0.00 RMW 0.34 2.66 0.01 CMA 0.24 1.11 0.27 MOM 0.04 0.69 0.49 LT REV-0.42-2.53 0.01 Source:Refinitiv Datastream,Kenneth Frenchs Data Library,HSBC calculations*t-statistics are based on Newey-West HAC standard errors Note that the explanatory power of this multi-factor performance attribution is not overwhelming with an adjusted R2 of 28%.Put differently,Berkshire Hathaway was able to generate the substantial average alpha of 8.5%per year through its managers strong stock selection skills.Besides,the company followed a long-term rewarding strategy combination of below-average market risk,high profitability(quality)as well as value.In chart 3 below,we ran the same multi-factor regressions for a rolling 36-month window since 11/1976.The graph shows the monthly alpha in percentage and the corresp