瑞信-全球-股票策略-全球股市：跌至基准-2019.2.18-32页.pdf

DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES,ANALYST CERTIFICATIONS,LEGAL ENTITY DISCLOSURE AND THE STATUS OF NON-US ANALYSTS.US Disclosure:Credit Suisse 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.18 February 2019 Global Equity Research Investment Strategy Global Equity Strategy Research Analysts Andrew Garthwaite 44 20 7883 6477 andrew.garthwaitecredit- Robert Griffiths 44 20 7883 8885 robert.griffithscredit- Nicolas Wylenzek 44 20 7883 6480 nicolas.wylenzekcredit- Mengyuan Yuan 44 20 7888 0368 mengyuan.yuancredit- Kartikeya Upadhyay 44 20 7888 2339 kartikeya.upadhyaycredit- Asim Ali 44 20 7883 2480 asim.alicredit- STRATEGY Equities:Down to benchmark We stick to our year-end targets,which imply c.2%upside to year-end for the MSCI AC World index.We think we are close to the end of the tactical rally,and thus believe investors should be benchmark equities rather than overweight(in line with Credit Suisses House View).What has changed for the worse?Tactical and sentiment indicators,which were at 15-year lows in December,are now neutral and discounting a normalization in global PMIs.Historically,the S&P 500 has rallied by 12%,on average,after de-rating by 14%in 3 months(as it did in Q4)it has now exceeded this.China:Many variables indicate a sharp recovery in China PMIs is already being priced in.Credit spreads:Investment-grade spreads are no longer attractive,especially given the record deterioration in quality,and IG spreads need to be below 150bps for equities to rise in YoY terms.Complacency with respect to the Fed:Typically,markets rise by 11%6 months after a Fed pause(the S&P has already risen by more than this since the Feds U-turn on 4 January).We think the Fed will stay highly data-dependent,but if GDP growth accelerates to the levels discounted by US cyclicals(2.5%),the Fed will likely tighten.Profits:US net positive earnings surprises are close to a 4-year low.We think the fundamental problem is that US labour now has pricing power and this requires below-trend US GDP growth to alleviate.Near-term complacency on trade:The number of news mentions of a trade war and related search terms has roughly halved in recent months.Other longer-standing concerns include slowing excess liquidity and that US bond yields look too high relative to global PMIs.Why not underweight?The ERP is still high(5.9%versus warranted of 4.8%);bear markets almost always require recessions within a year of a market peak and we dont expect a recession until 2021.We think earnings can stay above trend(because of tax,tech and improving asset turns)and FCF is still just enough to cover dividends and buybacks.Stay overweight tech.If equities surprise on the upside,we think it will be led by tech.If the market surprises to the downside,the net cash position,low labour costs,consolidation and cheap valuations give tech attractive defensiveness,especially as many tech products enable cost-cutting.Stay overweight European domestic cyclicals(but benchmark European cyclicals overall).European cyclicals are pricing in a PMI of 50(or 0.5%GDP growth).We would stay overweight auto components,airlines,construction,concessionaires and Spanish retail banks(Schneider,Vinci,Caixa).18 February 2019 Global Equity Strategy 2 Table of contents Equities:Down to benchmark 3 On global equities,what has changed for the worse?.3 1.Tactical indicators are now neutral 3 2.The normal re-rating has occurred 4 What else has changed?.5 1.Markets are now discounting a recovery in China 5 2.The Fed:too much complacency 8 3.US labour now has sufficient pricing power to cause US margins to peak 10 4.Global earnings revisions have been weak,and typically remain weak for longer 12 5.Credit spreads no longer attractive 12 6.Consensus seems somewhat complacent on trade 14 7.The TIPS yield cant fall much further without growth being revised growth down 15 Other factors that have not deteriorated since the start of the year,but remain problematic.15 1.Excess liquidity remains challenging 15 2.Higher volatility is here to stay 16 3.US government bond yields are higher than they should be given global PMIs 16 4.Lack of policy flexibility in the event of a downturn 17 Why do we not go underweight equities?.18 1.The equity risk premium is still attractive 18 2.US FCF is still just above dividends and buybacks 18 3.We think that EPS can stay above its trend 19 4.Bear markets(i.e.falls of more than 20%)require a US recession 19 5.The breadth of global PMIs should recover by year-end and this should help earnings revisions recover 19 6.The January effect will it work this time?20 7.Breaking through the 200-day moving average 21 Overweight tech and domestic Europe.21 Appendix 27 Further valuation charts.27 Index targets and weightings.28 18 February 2019 Global Equity Strategy 3 Equities:Down to benchmark The rally in equities year-to-date has taken us close to the year-end targets for global equities we published in our Outlook piece(see 2019 Research Outlook:Equities,Regions and Macro,26 November 2018).We leave these targets unchanged,implying c.2%upside to global equities,but think we are close to the end of our tactical rally,and thus believe investors should be benchmark equities rather than overweight.This is in line with the Credit Suisse House View.On global equities,what has changed for the worse?1.Tactical indicators are now neutral Our aggregate tactical indicator became more than 1.5 standard deviations oversold on 24 December,a level which,outside of the financial crisis,has provided a relatively reliable buy indicator.Now our aggregate tactical indicator is essentially neutral,while investor positioning data has also normalized.Figure 1:Aggregate tactical indicators have returned to neutral levels Figure 2:Bull/Bear ratio for individual investors is neutral Source:Refinitiv,Credit Suisse research Source:Refinitiv,Credit Suisse research As the first chart below highlights,this tactical indicator has also tended to move in line with global PMI manufacturing new orders,and is now discounting a normalization in PMIs.-2.0-1.5-1.0-0.50.00.51.01.52005200720092012201420162019Indicates sentiment more extendedAggregate tactical indicator,5-yr z-scoreGreen(solid)circles indicate successful signals;red(dotted)circles unsuccessful signals-3.0-2.0-1.00.01.02.03.02010201120122013201420152016201720182019#of std devnBull/bear,Individual Investors 18 February 2019 Global Equity Strategy 4 2.The normal re-rating has occurred US equities de-rated by 14%in Q4.Historically,after this has happened,the US equity market has rallied by 12%over the subsequent 3 months.We have now seen a rally of 16.5%since Christmas Eve.Figure 3:The aggregate tactical indicator is consistent with global PMIs bouncing Figure 4:The S&P de-rated 14%over 3 months Source:Refinitiv,Credit Suisse research Source:Refinitiv,Credit Suisse research The table below details the performance of the S&P in the aftermath of a de-rating comparable to that seen in Q4.Figure 5:Historically the S&P has tended to rally by 12%over the 3 months following such a de-rating;it has now rallied by 14%from its low Source:Refinitiv,Credit Suisse research -2-1.5-1-0.500.51-2.0-1.5-1.0-0.50.00.51.01.52009201020122013201520162017Aggregate tactical indicatorGlobal PMI manufacturing new ordersstandardized,rhs91113151719211994199619982000200220042006200820102012201420162018S&P500 median P/EAveragePeakTroughCurrent1 months later3 months later6 months later12 months laterMar-98Aug-98-23%3%23%28%38%Apr-99Feb-00-30%10%1%10%-9%May-01Sep-01-18%6%12%10%-21%Jan-02Feb-03-32%3%13%19%36%May-07Feb-08-21%-1%5%-4%-45%May-08Feb-09-31%11%21%40%50%Apr-10Jun-10-17%7%11%22%28%Apr-11Sep-11-24%14%11%24%27%Sep-18Dec-18-14%7%12%19%13%88%100%88%63%of times positiveAveragePeakTroughDe-ratingS&P absolute performance 18 February 2019 Global Equity Strategy 5 What else has changed?Beyond these more tactical considerations,we see the following issues for equity markets:The extent of the recovery in China;The durability of the Feds dovish tilt in light of the rally in risk assets;US labor gaining pricing power;The earnings outlook in the US as margins come under pressure and;The fact that credit spreads no longer appear attractive;The risk of complacency around the trade war;Upside risks to the TIPS yield.We discuss all of these issues in more detail below.1.Markets are now discounting a recovery in China After a period of strong performance in January,nearly all the major China proxies are discounting a rise in China PMIs,particularly German autos and European mining,as shown below,or copper,as shown in the Appendix.This creates something of an asymmetry of risk:if the Chinese government delivers on stimulus hopes and boosts macro momentum,the China proxies have already discounted a positive outcome(with the relative performance of German autos already appearing consistent with our Chinese auto teams above-consensus forecast for 5%growth in Chinese car sales in 2019).If for any reason such stimulus hopes are disappointed,the downside risk could be significant.Figure 6:The European mining sector appears to be discounting a significant rise in PMIs Figure 7:while German autos are discounting a strong pick-up in Chinese auto sales Source:Refinitiv,Markit,Credit Suisse research Source:Refinitiv,Credit Suisse research 4647484950515253545520142016201720190.070.090.110.130.150.170.19European mining rel market,5 month lagChina manufacturing PMI new orders,-40%-30%-20%-10%0%10%20%30%40%-20%-10%0%10%20%30%201020122013201420152016201720182019China car sales y/y,by volumeGerman autos relative to the Europeanmarket,6m/6m%change,rhs+5%Y/Y CS forecast 18 February 2019 Global Equity Strategy 6 In our view,we have yet to see the appropriate policy response in terms of credit growth(either the credit proxy that our economists use or total social financing,though the latest figures were a little stronger)or fiscal easing(which is just 1%of GDP compared to 4%of GDP in 2015 and 10%of GDP in 2008/09),and we have had no cut in the benchmark rate.In addition,the three key components of demand(exports,housing and manufacturing FAI)are all likely to slow further from here.We show in the Appendix that export orders imply exports should fall and falling manufacturing profits imply manufacturing FAI,which is a third of FAI,should slow sharply.Figure 8:Non-bank lending has only marginally risen in the last month Source:Refinitiv,Markit,Credit Suisse research Housing,which we would judge to be the most important component,appears particularly vulnerable,with the decline in property transactions consistent with a decline in construction activity,as shown in the chart below.We continue to think housing is the key as it accounts for half of household wealth,23%of local government revenue,half of banks collateral and c13%of GDP,and on this there are mixed data points.Property turnover implies a fall in house prices,and within a year of falling house prices,Ireland,Spain,the US and Japan had a recession.We need to remember that China has had the fourth largest increase in credit to GDP over a 10-year period of any country(only Spain,Ireland and Thailand saw larger rises ahead of their economic crises).-12%-7%-2%3%8%13%18%23%28%33%Jan-16Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19Bank loan growthOff balance sheet lendingCorporate bond growthTSF growth*%chg Y/Y 18 February 2019 Global Equity Strategy 7 Figure 9:Chinese property transactions point to downside for housing starts Figure 10:and to downside for house prices Source:Refinitiv,Credit Suisse research Source:Refinitiv,Credit Suisse research The bottom line for us is that China does have policy flexibility.China will likely return to a small current account surplus of 0.5%of GDP this year,and with a primary budget deficit that is just 3%above real bond yields,trend GDP growth only has to be above 3%for government debt to GDP to fall.The problem,however,is that the pain threshold for stimulus is likely much higher than normal.This is partly because of the extent of overall debt(after all,government to GDP debt including SOEs,state and local is 170%,the combined fiscal deficit is 6%of GDP and aggregate private sector leverage is above that of the US).As importantly,with urban unemployment rates close to all-time lows(just 3.8%),there is less need to resort to aggressive stimulus.Underlying all of this is a president with an unlimited term who is therefore more likely to consider the long-term consequences of another increase in leverage.That makes the backdrop somewhat different from the significant stimulus efforts seen in 2009 or 2015.-50%-30%-10%10%30%50%70%-30%-10%10%30%50%70%90%2005200720092011201320152018China property transactions(floorspace),y/y%,3mmaChina floorspace under construction,y/y%3mma,12m lag rhs-7%-2%3%8%13%-40%-20%0%20%40%60%80%100%2005200720092011201320152018China property transactions(floorspace),y/y%,3mmaHouse price inflation,rhs,lag 6m 18 February 2019 Global Equity Strategy 8 2.The Fed:too much complacency There are three areas where we see too much complacency:i)The Fed as a stabilizer on the down side as well as the up side We think that the Fed is likely to act as a stabilizer for equity markets from here.While it is the case that the Fed pause has helped markets recover from their December lows,should the S&P re-test its previous highs of around 2,900,we would not be at all surprised to see the Fed moving back in a more hawkish direction(in line with our House View).In that sense,the Fed is not just insuring against downside risk,it is also capping the upside opportunity.This is because,if anything,the impact of financial markets on the economy(and thus the Fed)is higher than it has ever been:FOMC research(Maki and Dynan,2002)suggests that the wealth effect from equities is 10%to 15%(triple that of Greenspans estimate of 3%to 5%)and thus a 10%rise in equities would equate to a 1%to 1.5%rise in GDP.70%of corporate loans are carried by the bond market(at a time when corporate leverage to GDP is back to previous highs).Thus any fall in spreads boosts growth.Moreover,we can see that CEO business confidence and bank lending conditions reacted quickly to the sell-off in equities.Both could reverse quickly.Figure 11:CEO confidence corrected sharply lower as the equity market fell Figure 12:Bank lending conditions are tightening in the US Source:Refinitiv,Credit Suisse research Source:Refinitiv,Credit Suisse research We think against a backdrop where core CPI is 2.2%and core PCE is 2.0%,and where GDP growth is forecast by 70%of economists to be in line with or above trend in 2020,that if markets rally meaningfully further,the Fed will become more hawkish.In