汇丰银行
全球
量化
策略
峰值
时间
到了
这个
因素
一直
起作用
2019.2
13
35
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:/ Global gross repurchase volumes exceeded USD1trn before slowing down again during the market correction in Q4 2018 After the peak,buyback activity is likely to decline this year due to high financial leverage and lower earnings growth By contrast,the buyback factor could benefit from re-rating and its defensive but otherwise balanced style positioning Volumes down,factor performance up?2018 was a record year for share buybacks,although the market correction during Q4 caused companies to reduce their repurchase activities again.We expect buyback volumes to retreat further from their peak levels mainly because of high financial leverage and lower earnings growth.However,the decline should be limited as FCF growth is still supportive.Besides,our newly introduced regression model shows that after the financial crisis,buybacks have become a more discretionary decision,thus less dependent on the commonly known fundamental drivers.As for the net buyback yield factor,we remain constructive and expect last years outperformance to continue.Absolute and relative valuations are low,which offers room for some re-rating.Besides,the factor could benefit in different market scenarios from both its defensiveness and slightly pro-cyclical macro exposure.We display six global and European buyback screens on pages 5 to 11,highlighting top-ranked stocks with high trailing net buyback yield and total shareholder yield,respectively,as well as cash-rich names with significant expected repurchase volumes.We provide also a link to our buyback stock-selection model(Excel file here),which can be used to screen more than 8,000 stocks globally.HSBCs global buyback screening model(relative performance)Valuation:global median 12M fwd P/E Source:MSCI,FactSet,HSBC calculations Universe is based on the largest 4,000 constituents by market cap from the MSCI ACWI IMI with at least two FY1/FY2 EPS estimates Source:MSCI,FactSet,HSBC calculations 501001502002503003504002000200320062009201220152018Top 10%(equal-weighted)Top 10%(sector-neutral)Top 10%(region-neutral)6 x8 x10 x12 x14 x16 x18 x20 x200020032006200920122015201812M fwd P/E Net Buybackers Top 10%12M fwd P/E Net Issuers Bottom 10%12M fwd P/E Universe13 February 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 Buyback Special EQUITIES ALPHA STRATEGY Global Its peak time!But the factor keeps working EQUITIES ALPHA STRATEGY 13 February 2019 2 Outlook for the year 3 Buyback volumes:slowdown after the all-time highs 3 Buyback factor could prove its resilience 3 Gross and net 12-month trailing share repurchase activities (until January 31,2019)4 Buyback stock screens 5 Screening criteria 5 Buyback market analysis 12 Volumes around all-time high,but cycle is maturing 12 Insights from timely quarterly US data 14 Mostly robust factor outperformance in 2018 14 Market-cap weighted versions of aggregate TTM total shareholder yields 17 Number of companies conducting gross and net buybacks over time 18 Its more than a free cash flow story!19 What drives global gross buyback activities?19 Rolling 36M-window multiple regressions:What impacts the monthly%-change in global 12M trl gross buyback volumes?24 A risk-off equity factor 25 What drives the buyback factors performance?25 Appendix:buyback model 28 Disclosure appendix 31 Disclaimer 34 Contents 3 EQUITIES ALPHA STRATEGY 13 February 2019 Buyback volumes:slowdown after the all-time highs 2018 was another record year for global net share repurchases,mainly driven by activities in North America.In particular,US gross and net buybacks have surged as a result of the US administrations tax reform and the business-friendly provision concerning the one-time repatriation of foreign earnings accumulated overseas.Some headwinds are currently coming from politics.In a recent New York Times op-ed,US senators Chuck Schumer and Bernie Sanders called for legislation that is supposed to curb share buybacks in order to increase the reinvestment of corporate earnings in terms of R&D,equipment,higher wages,paid medical leave,retirement benefits and worker retraining.1 The current debate regarding the potential detrimental economic effects of share buybacks is not new and highly controversial,but could gain relevance again during the 2020 US presidential election campaign.As a result,some US companies might refrain from accelerating their repurchase programs again to avoid being part of the dispute.Overall,we expect global buyback volumes to move down during 2019 due to high corporate financial leverage and lower earnings growth.The decline should,however,be only moderate as support comes from still decent FCF growth.Buyback factor could prove its resilience Do declining volumes affect the net buyback yield factor?Not really,only if measured in terms of aggregate total market cap.A declining aggregate gross buyback yield would predict an underperformance on average.However,the buyback factor performs well in times of heightened market uncertainty as we have seen over last year.The factor is also relatively cheap with a 12M fwd P/E discount of 19%versus the market,thus likely to benefit from some re-rating.Style-wise,it represents a blend of value,quality,and low risk and could thus benefit from either a further risk-off environment or a cyclical recovery after the weakening global PMI cycle.We therefore remain constructive on the buyback factor and expect it to outperform during 2019.1 New York Times,February 3,2019.Opinion piece by US senators Chuck Schumer(D-NY)and Bernie Sanders(I-Vermont).Outlook for the year In North America,12M trl gross and net share repurchases reached an all-time high with USD866bn and USD654bn,respectively,causing global gross buyback activities to exceed the USD1trn threshold again for the first time since pre-crisis 2007 Volumes have begun to decline noticeably since Q4 2018 and are likely to retreat further from their peaks,while the buyback factor looks set to continue its outperformance Buyback boom in North America probably saw its peak due to one-time effects High financial leverage and lower earnings growth are headwinds going forward We expect the buyback factor to outperform in 2019 EQUITIES ALPHA STRATEGY 13 February 2019 4 Gross and net 12-month trailing share repurchase activities(until January 31,2019)1.Global:12M trl gross buyback volume 2.Global:12M trl net buyback volume Source:MSCI,FactSet,HSBC calculations Universe is based on the constituents of the MSCI ACWI IMI Source:MSCI,FactSet,HSBC calculations Universe is based on the constituents of the MSCI ACWI IMI 3.North America:12M trl gross buyback volume 4.North America:12M trl net buyback volume Source:MSCI,FactSet,HSBC calculations Universe is based on the North American constituents of the MSCI ACWI IMI Source:MSCI,FactSet,HSBC calculations Universe is based on the North American constituents of the MSCI ACWI IMI 5.Europe incl.UK:12M trl gross buyback volume 6.Europe incl.UK:12M trl net buyback volume Source:MSCI,FactSet,HSBC calculations Universe is based on the Europe/UK constituents of the MSCI ACWI IMI Source:MSCI,FactSet,HSBC calculations Universe is based on the Europe/UK constituents of the MSCI ACWI IMI 0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%02004006008001,0001,2001,4001990199319961999200220052008201120142017Gross Buyback Volume in USDbn(LHS)Gross Buybacks/Market Cap in%(RHS)-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%-1,000-800-600-400-20002004006008001990199319961999200220052008201120142017Net Buyback Volume in USDbn(LHS)Net Buybacks/Market Cap in%(RHS)0.0%1.0%2.0%3.0%4.0%5.0%6.0%01002003004005006007008009001,0001990199319961999200220052008201120142017Gross Buyback Volume in USDbn(LHS)Gross Buybacks/Market Cap in%(RHS)-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%-600-400-20002004006008001990199319961999200220052008201120142017Net Buyback Volume in USDbn(LHS)Net Buybacks/Market Cap in%(RHS)0.0%1.0%2.0%3.0%4.0%5.0%0501001502002503003504001990199319961999200220052008201120142017Gross Buyback Volume in USDbn(LHS)Gross Buybacks/Market Cap in%(RHS)-3.5%-3.0%-2.5%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%-300-250-200-150-100-500501001990199319961999200220052008201120142017Net Buyback Volume in USDbn(LHS)Net Buybacks/Market Cap in%(RHS)5 EQUITIES ALPHA STRATEGY 13 February 2019 Screening criteria Screen(1):50 top-ranked stocks from our buyback screening model Global screen:minimum market cap of USD5bn(European screen:USD2bn)Global screen:global buyback model decile 1 or 2(European screen:regional decile 1 or 2)Global screen:15 top names sorted by 12M trl net buyback yield from North America,15 top names from Europe,and 20 top names from other regions Please see the appendix on pages 28-30 for more information on the models methodology Screen(2):Top 50 names from our total shareholder yield screen Global screen:minimum market cap of USD5bn(European screen:USD2bn)Non-financial stocks only 12M trl total shareholder yield and its three subcomponents net buyback yield,common dividend yield and debt reduction yield must all be positive Total Shareholder Yield=(12M trl Common Dividends Paid+12M trl Net Buyback Volume 12M trl Net Change in Total Debt)/Market Cap To avoid value traps in case of declining market cap in the denominator of all four factors,we require 6M DPS Revisions(FY1,FY2)to be positive For more information on the idea behind total shareholder yield,please see our Buyback Special All-in-one:The case for total shareholder yield,12 December 2017.Screen(3):Top 50 global cash-flow generating net buybackers Global screen:minimum market cap of USD5bn(European screen:USD2bn)Non-financial stocks only Buybacks conducted in the recent past and expected to be continued in a significant way:12M trl net buyback yield 0%and 12M fwd gross buyback yield 2%Supportive free cash-flow generation:12M fwd FCF Yield 12M trl FCF Yield=5%European screen:12M trl net buyback yield 0%,12M fwd gross buyback yield 0%,12M fwd FCF Yield 12M trl FCF Yield 0%Buyback stock screens We highlight three stock screens to play the buyback theme The screens draw on HSBCs buyback stock-selection model,our total shareholder yield approach,and on expected gross buybacks supported by strong FCF yields Stock lists are provided for both a global universe and a European+UK focus We highlight three different screens with both a global and European focus EQUITIES ALPHA STRATEGY 13 February 2019 6 7.50 top-ranked stocks from HSBCs global buyback model(market cap USD5bn,market data as of 11 Feb 2019)*Rank Company Name Bloomberg Ticker Country GICS L1 Sector Market Cap(in USDm)Price(local)12M fwd P/E FY1 DY(in%)12M trl Net Buyback Yield(in%)Total Model Score North America 1 QUALCOMM QCOM US United States IT 61,520 50.83 USD 12.4x 4.9 38.2 63.4 2 Baker Hughes a GE A BHGE US United States Energy 25,687 24.82 USD 22.0 x 2.9 25.6 31.8 3 NXP Semiconductors NV NXPI US United States IT 26,374 89.25 USD 11.5x 0.6 19.3 47.3 4 DaVita DVA US United States Health Care 9,293 55.99 USD 11.7x 0.0 17.5 59.7 5 Liberty Global A LBTYA US United States Communication 19,137 24.28 USD 65.1x 0.0 16.0 39.0 6 Hewlett Packard Enterp HPE US United States IT 22,155 15.84 USD 9.8x 2.9 15.6 60.5 7 AXA Equitable Holdings EQH US United States Financials 9,615 18.18 USD 4.6x 1.4 15.3 62.4 8 Oracle ORCL US United States IT 183,860 51.23 USD 14.3x 1.5 14.9 50.7 9 eBay EBAY US United States Consumer Disc.32,561 35.59 USD 13.1x 0.0 14.3 52.0 10 Herbalife Nutrition HLF US United States Consumer Staples 9,058 58.02 USD 17.8x 0.0 14.2 54.6 11 Textron TXT US United States Industrials 12,816 52.75 USD 14.3x 0.2 13.8 61.8 12 Applied Materials AMAT US United States IT 38,059 39.9 USD 11.1x 2.1 13.7 50.3 13 Whirlpool WHR US United States Consumer Disc.8,506 132.91 USD 9.0 x 3.6 13.3 52.3 14 Teradyne TER US United States IT 6,788 37.87 USD 16.8x 1.1 12.5 52.3 15 Starbucks SBUX US United States Consumer Disc.87,040 69.99 USD 24.7x 2.1 12.3 55.3 Europe 1 Pandora PNDORA DC Denmark Consumer Disc.5,453 328 DKK 8.4x 5.5 11.7 50.0 2 Sika SKFOF US Switzerland Materials 18,328 129.8 CHF 22.6x 1.6 11.5 33.1 3 Danske Bank DANSKE DC Denmark Financials 16,381 121 DKK 6.8x 7.6 10.1 78.6 4 Land Securities Group LSGOF US UK Real Estate 8,442 8.85 GBP 15.0 x 5.4 7.5 50.6 5 Royal Ahold Delhaize AD NA Netherlands Consumer Staples 30,967 23.2 EUR 13.6x 3.1 7.1 49.1 6 Ryanair Holdings RYA ID Ireland Industrials 14,493 11.34 EUR 12.0 x 0.0 6.8 48.8 7 Unilever UNA NA Netherlands Consumer Staples 93,863 48.545 EUR 19.0 x 3.4 5.7 43.9 8 British Land BLND LN UK Real Estate 7,165 5.83 GBP 16.9x 5.3 5.2 78.2 9 Berkeley Group Holdings BKG LN UK Consumer Disc.6,377 38.42 GBP 10.8x 4.1 5.1 52.6 10 Swiss Re SREN VX Switzerland Financials 32,591 96.64 CHF 10.5x 5.4 4.7 66.0 11 Burberry Group BRBY LN UK Consumer Disc.10,101 19.085 GBP 22.4x 2.3 4.5 35.6 12 WPP WPP LN UK Communication 13,396 8.252 GBP 8.2x 7.3 4.5 37.0 13 Kingfisher KGF LN UK Consumer Disc.6,192 2.281 GBP 9.0 x 4.7 4.5 45.9 14 Ferguson WOSCF US UK Industrials 15,999 53.61 GBP 13.0 x 3.0 4.4 40.6 15 Pearson PSON LN UK Communication 9,486 9.436 GBP 15.7x 2.0 4.3 41.5 Rest of the world 1 Beijing Enterprises Hldgs 392 HK Hong Kong Utilities 7,237 45 HKD 6.7x 2.4 19.4 40.8 2 Yahoo Japan 4689 JP Japan Communication 14,466 310 JPY 17.6x 2.9 14.6 49.3 3 Qantas Airways QAN AU Australia Industrials 6,491 5.65 AUD 8.7x 3.5 10.7 58.9 4 Resona 8308 JP Japan Financials 10,640 505.4 JPY 6.7x 4.2 8.1 62.1 5 Nomura Holdings 8604 JP Japan Financials 13,329 421.2 JPY 9.1x 2.0 7.3 82.4 6 CK Hutchison Holdings 1 HK Hong Kong Industrials 39,629 80.65 HKD 7.3x 4.1 6.4 44.7 7 ENN Energy Holdings 2688 HK Hong Kong Utilities 11,114 77.6 HKD 14.2x 1.9 5.6 39.3 8 Astellas Pharma 4503 JP Japan Health Care 29,016 1618 JPY 15.4x 2.3 5.1 61.6 9 Aisin Seiki 7259 JP Japan Consumer Disc.10,903 4085 JPY 8.5x 3.7 5.1 43.6 10 ANA Holdings 9202 JP Japan Industrials 12,620 3998 JPY 11.7x 1.8 5.0 51.8 11 Nitto Denko 6988 JP Japan Materials 9,188 5838 JPY 13.0 x 3.1 4.9 29.6 12 FUJIFILM Holdings 4901 JP Japan IT 22,398 4805 JPY 12.6x 1.7 4.9 36.5 13 Daiwa Securities Group 8601 JP Japan Financials 8,397 545.5 JPY 10.8x 4.0 4.8 68.7 14 Bridgestone 5108 JP Japan Consumer Disc.28,089 4072 JPY 10.0 x 3.9 4.6 49.7 15 Mitsubishi UFJ Financial Group 8306 JP Japan Financials 70,691 571 JPY 7.7x 3.9 4.5 62.5 16 Attijariwafa Bank ATW MC Morocco Financials 9,859 448.7 MAD 14.6x 2.8 3.7 38.7 17 Sompo Holdings 8630 JP Japan Financials 13,280 3927 JPY 7.4x 3.3 3.7 64.9 18 NSK 6471 J