保持防守：风格与阿尔法监测.docx

10 January 2019THIS CONTENT MAY NOT BE DISTRIBUTED TO THE PEOPLE'S REPUBLIC OF CHINA (THE “PRC”) (EXCLUDING SPECIAL ADMINISTRATIVE REGIONS OF HONG KONG AND MACAO)Stay defensiveStyle & Alpha MonitorEQUITIESALPHA STRATEGYGlobal Our view of the cycle remains unchanged: we are stuck in a major downswing (phase 5a of style cycle model)Quality, Non-cyclical Growth and high Yield favoured Value looks cheap but could disappoint while Momentum remains seasonally challengedCycle trough depends on trade negotiations. We remain defensiveThe prevailing trend of focusing on low Risk styles continues as the negative momentum in manufacturing PMIs picked up again in December. Given that more and more US companies cite the US-China trade conflict as one of the key risks for their businesses, we stick with our negative cycle view and believe we remain in phase 5a of the style cycle model (major downswing). Quality, Non-cyclical Growth and high Yield are our favoured strategies based on this cycle view (unchanged strategy). Value stocks look cheap but disappointments are ahead in the forthcoming earnings season as it normally happens during downswings. Momentum is still not in focus as in January price reversal is preferred seasonally.Volker Borghoff*StrategistHSBC Trinkaus & Burkhardt AG +49 211 910 3298Dr. Philipp Kaufmann*, CFAEquity StrategistH8BC Trinkaus & Burkhardt AG +49 211 910 1458* Employed by a non-US affiliate of HSBC Securities (USA) Inc, and is not registered/qualified pursuant to FINRA regulationsMonthly updates of interactive data files: Eciuity Stylizer and Monthly Style Performance DataScreens this month:Update Opportunity List: We screen for stocks whose PEs have derated considerably over the last 3 months, where share prices have fallen significantly but still exhibit positive EPS Estimate Revisions (page 1 /)Strategy Screen: We combine our Non-Cyclical Growth, Quality and Dividend models to screen for the 100 highest ranked stocks globally (page 8) Top macro calls/stocks to play: USD-strength, rising Brent Oil, flattening UST yield curve, declining VIX (pages 13-16)Global SuperStyle relative returns* December 2018Long-term global SuperStyle relative performance*-3.0-2.0-1.00.01.02.03.0 1Mlong-shortquintilereturn 1M return relto marketNov-08 Nov-10 Nov-12 Nov-14 Nov-16 Nov-18Value Quality Growth MomentumSource: HSBC, FactSet *for definitions please see appendixSource: HSBC, FactSet *for definitions please see appendixGlobal Top 100 List (Part 1)*DailyDividend 3M EPSSectorMarket VolumeDividend Growth QualityYield Revisions(HSBCCap (in 3m avg (inTotal ModelModel Model(FY1)(FY1,FY2)12M FwdCountryLevel 1)USDm) USDm)BloombergScore DecileDecile Decile(in %) (in %)PERank NameNorth America9 2-O.28 2-O.23 oq1 4-5 4 5 06 S 8 512 2 177-3 123.2 11Commerce BancsharesUSAFinancials6,203.831.6CBSH US61.42Synovus FinancialUSAFinancials3,719.476.2SNV US60.83GentexUSACons Disc5,200.448.4GNTX US59.74East West BancorpUSAFinancials6,240.553.3EWBC US59.25ComericaUSAFinancials10,976.1173.3CMA US59.16Bank of HawaiiUSAFinancials2,790.421.6BOH US58.77TJXUSACons Disc54,216.1404.2TJX US57.58Cathay General BancorpUSAFinancials2,711.217.5CATY US57.49Webster FinlUSAFinancials4,491.931.9WBS US56.210Royal Bank of CanadaCanadaFinancials98,278.6202.6RY CN56.211Raytheon CoUSAIndustrials43,517.5359.6RTN US55.312Community Bank SystemUSAFinancials2,967.814.5CBU US55.113U.S. BancorpUSAFinancials73,063.6438.2USB US54.914AflacUSAFinancials34,219.5161.0AFL US54.215Reinsurance Grp of AmericaUSAFinancials8,642.249.6RGA US54.216Snap-OnUSAIndustrials8,032.1108.8SNA US54.217Best BuyUSACons Disc13,815.7267.7BBY US54.118Sonoco ProductsUSAMaterials5,251.025.4SON US53.019Tractor SupplyUSACons Disc10,157.3128.0TSCO US52.620Texas RoadhouseUSACons Disc4,239.345.3TXRH US52.321DSWAUSACons Disc2,001.551.3DSW US52.122Home DepotUSACons Disc192,268.31,043.5HD US52.023Robert HalfUSAIndustrials6,851.284.9RHIUS51.124ExpeditorsUSAIndustrials11,456.590.2EXPD US50.125AppleUSAInfo Tech741,373.57,773.2AAPL US50.026CartersUSACons Disc3,737.284.3CRI US50.027AO SmithUSAIndustrials7,262.599.7AOS US49.728CraneUSAIndustrials4,217.330.0CR US49.329IntelUSAInfo Tech213,367.01,353.1INTC US48.930Williams-SonomaUSACons Disc3,998.1102.6WSM US48.531Quest DiagnosticsUSAHealth Care11,159.3122.3DGX US48.232Jabil IncUSAInfo Tech3,869.147.6JBL US48.133TapestryUSACons Disc9,798.0150.2TPR US47.834BrunswickUSACons Disc4,003.150.2BC US47.535Canadian Tire ACanadaCons Disc6,815.428.1CTC/A CN46.936MethanexUSAMaterials3,739.836.2MX CN46.737FastenalUSAIndustrials14,944.2179.8FAST US46.538PaychexUSAInfo Tech23,222.4163.3PAYX US46.2Europe ex UKCembra Money BankSwitzerlandFinancials2,372.65.3CMBNSW64.12114.60.414.7Partners Group HoldingSwitzerlandFinancials16,166.249.5PGHNSW56.92113.5-1.221.6EniItalyEnergy57,129.9206.0ENI IM56.71126.02.39.8SiltronicGermanyInfo Tech2,476.730.5WAF GR55.01116.9-3.25.9TGS-NOPEC GeophysicalNorwayEnergy2,454.013.7TGS NO49.61323.5-9.113.7InditexSpainCons Disc79,792.0273.0ITXSM49.53313.4-1.622.0Securitas BSwedenIndustrials5,509.620.8SECUB SS46.42233.53.214.8HeraItalyUtilities4,534.05.0HER IM46.21323.7-2.113.0Iren SpAItalyUtilities3,117.95.7IRE IM45.91334.20.99.71 HaysUK Industrials 2,606,110.9 HAS LN 46.52216.6-3.112.3Source: HSBC, FactSet *data are as of 28 December 2018 except last column: 8 January 2019. Financials are cut to top 20 positions due to Quality criterionK 123456789UGlobal Top 100 List (Part 2)*Rank NameAsia Pacific ex JapanDailyMarket VolumeSector (HSBC Cap (in 3m avg (inCountry Level USDm) USDm)Dividend Growth QualityTotalModel Model ModelBloomberg ScoreDecile Decile DecileDividend 3M EPSYield Revisions (FY1)(FY1,FY2)12M Fwd (in%)(in%) PEHuaxin Cement BChinaMaterials3,263.8Anhui Conch Cement HHong KongMaterials23,331.3Asia CementTaiwanMaterials3,712.8Taiwan CementTaiwanMaterials5,916.2Bank Rakyat Indonesia BIndonesiaFinancials31,005.9Sany Heavy Industry AChinaIndustrials9,473.2Huayu Automotive Systems A ChinaCons Disc8,449.3China Resources CementHong KongMaterials6,331.8Bank of Ningbo AChinaFinancials12,305.0InfosysIndiaInfo Tech41,008.1YageoTaiwanInfo Tech4,432.0China Communications SvcsHong KongCom Services5,607.9Fangda Special Steel Tech AChinaCons Disc2,109.6Shandong Hualu-HengshengChinaMaterials2,848.6ANTA Sports ProductsHong KongCons Disc12,755.6Gree Electric Appliances AChinaCons Disc31,271.6Zhejiang Juhua AChinaMaterials2,650.9Haitian IntiHong KongIndustrials3,008.5VanguardTaiwanInfo Tech3,172.7Shanghai Tunnel Eng AChinaIndustrials2,866.7United TractorsIndonesiaEnergy7,006.8GlobalWafersTaiwanInfo Tech3,990.3Sansteel MinguangChinaMaterials3,044.7Gudang GaramIndonesiaCons Staples11,051.0Luxi Chemical Group AChinaMaterials2,090.9Fuyao Glass Industry Grp AChinaCons Disc8,250.5China State Constr Eng AChinaIndustrials34,856.7lluka ResourcesAustraliaMaterials2,214.3Sinotruk Hong KongHong KongIndustrials4,019.812 3 4 5 60 12 3 4 5 67 2 9 5 z & s &5 114 17 04 4 3 &2 5 2 19 744.s6 8 3 26.4 &14 2 19671231385456 329018851 1 1 2 445259211900933 CH 914 HK1102 TT1101 TTBBRIIJ 600031 CH 600741 CH1313 HK 002142 CHINFO IN2327 TT552 HK 600507 CH 600426 CH2020 HK 000651 CH 600160 CH1882 HK5347 TT 600820 CHUNTR IJ 6488 TT 002110 CHGGRM IJ 000830 CH 600660 CH 601668 CHILU AU 3808 HK5 6 8 5 J "I 7.&&&C6 css& 76666665 7 5 § 7 , 5555555555Japan6 th46456443992925690024641503498 - - - . x d) 一 -3&&7.9&&&&4.145.7.7.&9.S7.&O.Z7.4Z6&&1ORIXJapanFinancials19,260.071.58591 JP64.12ABC-MARTJapanCons Disc4,544.413.62670 JP57.63OTSUKAJapanInfo Tech5,196.620.64768 JP56.44SanwaJapanIndustrials2,658.210.05929 JP50.55ITOCHU Techno-SolutionsJapanInfo Tech4,616.613.74739 JP49.96Koei Tecmo HoldingsJapanCom Services2,126.03.23635 JP49.47USSJapanCons Disc5,245.49.34732 JP48.88Isuzu MotorsJapanCons Disc11,898.032.97202 JP48.79Hitachi High-TechnologiesJapanInfo Tech4,309.820.18036 JP46.710Sekisui ChemicalJapanCons Disc7,274.819.34204 JP45.6CEEMEA1Eregli Demir ve CelikTurkeyMaterials4,722.427.1EREGL Tl69.82Gazprom NeftRussiaEnergy23,454.32.4SIBN RM58.63TATNEFT PrefRussiaEnergy24,191.42.7TATNP RM56.84TATNEFTRussiaEnergy24,191.413.5TATN RM56.75Ford Otomotiv SanayiTurkeyCons Disc3,372.93.4FROTO Tl56.56AlinmaSaudi Arabia Financials9,060.375.4ALINMA AB56.17ARNBSaudi Arabia Financials8,503.23.5ARNB AB55.58Oil company LUKOILRussiaEnergy53,430.570.5LKOH RM54.39Turkiye Petrol RafinerileriTurkeyEnergy5,583.827.3TUPRS Tl53.810African Rainbow MineralsSouth AfricaMaterials2,137.85.3ARISJ50.511GazpromRussiaEnergy52,070.861.8GAZP RM49.112Exxaro ResourcesSouth AfricaEnergy3,331.09.5EXX SJ46.3LatAm1 Grupo Fmanciero Banorte O Mexico Financials 13,764.056.0 GFNORTEO MM 63.0Source: HSBC, FactSet *data are as of 28 December 2018 except last column: 8 January 2019. Financials are cut to top 20 positions due to Quality criterion7 6-O.z3115.5-1.67.5Opportunity ListWe update the Opportunity list we first presented in November 2018 Stocks that have severely corrected since early October 2018, where PE has declined materially but earnings revisions are still positiveThe screen includes 3 factorsThe rationaleAfter the market correction since 2 October, we look for opportunities that arise from the fact that in a typical secondary market correction stocks are punished although fundamentals have held up well. As we still believe we are in this scenario (no major bear market in sight) we screen these opportunities using the following 3 factors (excluding PE threshold)(1) 3M Earnings Revisions (FY1, FY2) are still positive (2) 12M Fwd PE 3M chng: The 12M Fwd PE has declined by a minimum of 10% in the last 3 months(3) The stock has lost more than 15% since 2 October 2018 (the day before the correction started) Stocks with a 12M Fwd PE of >50 are excludedResultsThe number of stocks fall to 34 from 82 last month. No company from Europe ex UK, LatAm and CEEMEA make it to this month's list. North America, Japan and Asia/Pacific ex JP are nearly equally represented, followed by UK with 4 stocks. The sector mix looks good as all 11 sectors are included. Materials and Energy (5 each) lead, followed by Financials, Industrials and Information Technology (each 4).Opportunity Screen*Rank Name North AmericaRank Name North AmericaCountry Sector (HSBC Level 1)DailyMarket Volume Cap (in 3m avg (in USDm) USDm)Bloombergi3M EPS12M Fwd PE change RevisjonsTotal 12M Fwd 3M change from (FY1, FY2)Score P/E (in %) 2/10/18 (in %)1PG&EUSAUtilities12,391.1390.9PCG US2EQTUSAEnergy4,891.7150.4EQT US3Helmerich & PayneUSAEnergy5,192.486.9HP US4DomtarUSAMaterials2,197.231.4UFS US5First Horizon NationalUSAFinancials4,221.060.2FHNUS6Molina HealthcareUSAHealth Care7,091.1115.8MOH US7Host Hotels & ResortsUSAReal Estate12,377.6115.6HSTUS8American Equity Invt LifeUSAFinancials2,487.115.1AELUS9Howard HughesUSAReal Estate4,120.623.1HHCUS10Bristol-Myers SquibbUSAHealth Care83,144.2478.7BMY US11Northrop GrummanUSAIndustrials42,059.4399.5NOC US12Phillips 66USAEnergy39,177.2287.0PSX US0693322 67.5。4cs 7665555444334 6 3 0& S s 41128 0155& 6 工 4 a2 110 8 8 18 S7,&9,7.6 12 2 1 一 2 4 3 4 4S 4 S4.7. 7/ 4 di d)6 cqoq aS & S7,69 di§ 2 2 n J oq 3 & 8 4 3 & 4 4 2 118 o7f- 87 8 7 6z 4ss87027300351232222221o22 600884 CH53.817.2002353 CH51.522.0009150 KS51.18.4002038 CH50.723.6000629 CH49.78.7002024 CH39.339.11347 HK38.713.2XIACF US38.122.83323 HK37.94.8002468 CH28.612.48 7 8 3 4 0& 3 2 4 s s3 3 8 2 8 55 7 9 62 4 oS & 15 111Ningbo Shanshan AChinaMaterials2,112.82Yantai Jereh Oilfield AChinaEnergy2,092.73Samsung Electro-MechanicsSouth KoreaInformation Technology7,038.74Beijing SL Pharmaceutical AChinaHealth Care5Pangang Group Vanadium AChinaMaterials3,753.36Suning com AChinaConsumer Discretionary13,356.87Hua Hong SemiconductorHong KongInformation Technology2,357.88Xiaomi BHong KongInformation Technology37,311.59China National Bldg Matls HHong KongMaterials5,601.510STO Express AChinaIndustrials3,667.8UKAsia Pacific ex Japan1Phoenix Group HoldingsUKFinancials5,197.913.2PHNXLN66.710.5-59.3-15.564.72So凹os GroupUKInformation Technology2,212.611.1SOPH LN57.732.1-29.5-23.612.03EVRAZUKMaterials8,877.620.1EVR LN41.95.7-15.5-15.915.84Burford CapitalUKFinancials4,443.120.1BUR LN24.813.9-10.8-15.20.8Japan1ARIAKEJapanConsumer Staples2,121.57.72815JP90.132.3-52.2-32.453.62Kyowa ExeoJapanIndustrials2,750.611.91951 JP67.89.0-49.6-16.363.33SharpJapanConsumer Discretionary6,107.332.06753 JP65.511.7-10.2-48.516.14SoftBank GroupJapanCommunication Services72,815.8781.89984 JP60.47.9-15.1-31.112.55SonyJapanConsumer Discretionary61,278.8353.26758 JP50.2