全球-量化策略-全球量化策略.docx

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1、21 March 2019EquitiesGlobalQuantitativeJarrod Castle, CFAAnalyst +44-20-756 88883Dominic EdridgeAnalyst +44-20-756 88779Rory McKenzie Analyst +44-20-7568 1977Claire Jones, CFA Analyst +44-20-7568 1873Bilal Aziz, CFA Analyst +44-20-7567 3646Cristian Nedelcu,CFA Analyst +44-20-7568 4375Heidi Richardso

2、n Analyst +44-20-7567 2892Louise Wiseur Analyst +44-20-756 81234Global ResearchBLT: Quantitative MonographsHooray for Leisure.Changes in the 11th edition of our BLT Quantitative MonographsWe have seen a number of changes in this months BLT Quantitative analysis namely: (1) Support Services and Leisu

3、re rank as the most attractive sub-sectors with 11 of max 30 stock appearances in the top five (vs 12 and 11 respectively in our last report). (2) Lufthansa is at the top position in the top 5 with 3 appearances in total, while Whitbread ranks worst (3 appearances in the bottom 5). (3) Accor, Getlin

4、k, IAG, SThree and TUI are new entrants in the top 5. Note that we published in January our 2019 Outlook for Support Services, Leisure and Airlines.Leisure continues to see the most stock appearances in the bottom fiveThe Leisure sector appears to be having the most stock appearances in the bottom f

5、ive (13x out of the 30 possible places) with Thomas Cook and Whitbread (share price reflects coming capital returns) appearing 3x each. The Transport sector saw an increase in the number of appearances in the bottom categories with now 12 appearances (vs 10 in our last report). easyJet and Wizz Air

6、appear twice in the bottom five. The Business Services sector appears 5x (vs previous 7x)in the bottom category.A number of new entrants in the top five and some departuresIn terms of major top 5 changes for the 6 factors: (1) New top five entrants are Accor, Getlink, IAG, SThree and TUI. (2) Air Fr

7、ance-KLM, Cineworld, DKSH, DP World and Bureau Veritas no longer rank in the top five. (3) Air France-KLM, AP Moller, Randstad and TUI are new entrants in the bottom five. (4) Whitbread and Thomas Cook appear 3x each in the bottom five, while easyJet, Restaurant Group, William Hill and Wizz Air appe

8、ar twice.A number of stocks where quants and fundamentals alignWe highlight Lufthansa (Buy, PT 26.5) in the Transport sector. In Business Services we highlight Experian (Buy, PT 2250p) as a high-quality company with continued positive momentum. While Serco (Buy, PT 140p) stands out in UK outsourcing

9、, Capita (Neutral) continues to screen poorly. In Leisure, we highlight Playtech (Buy, PT 520p).This report has been prepared by UBS AG London Branch. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES BEGIN ON PAGE 17. UBS does and seeks to do business with companies covered in its research reports. As

10、 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.Figure 15 shows stocks that have had low volatility and hence that sc

11、reen as attractive. SGS, Bunzl and Compass remain at the first, second and third spot respectively. Experian has replaced DKSH this time taking the fourth spot while Accor is now in the top five taking the fifth spot. Bureau Veritas and DKSH are no longer in the top five this month.Figure 15: Stocks

12、 which look attractive by volatilitySource: UBS Quantitative Research Volatility is based on the sum of the squares of the daily (net) total returns in US$ of the stock over the preceding 12 months. All data is as of 28,h February 2019.NameRatingVolatility Change in rankSGS SA-REGNeutral296.65=BUNZL

13、PLCNeutral314.36COMPASS GROUP PLCBuy327.31EXPERIAN PLCBuy407.17+3ACCOR SABuy430.96+1INTERCONTINENTAL HOTELS GROUNeutral432.60+3BUREAU VERITAS SABuy453.27-2NATIONAL EXPRESS GROUP PLCNeutral454.45GETLINKSENeutral477.11NewSECURITAS AB-B SHSSell479.79There are a few changes in the bottom five rank. Thom

14、as Cook remained the worst rated stock by volatility followed by Capita in the second spot. Restaurant Group and FirstGroup interchanged their positions (third and fourth respectively). AFK is the new entrant and has replaced MITIE Group at the fifth spot.Figure 16: Bottom 10 stocks by volatilitySou

15、rce: UBS Quantitative Research Volatility is based on the sum of the squares of the daily (net) total returns in US$ of the stock over the preceding 12 months. All data is as of 28th February 2019.NameRatingVolatilityChange in rankTHOMAS COOK GROUP PLCNeutral (CBE)8265.16CAPITA PLCNeutral (CBE)2703.

16、49RESTAURANT GROUP PLCNeutral2117.18-1FIRSTGROUP PLCNeutral1943.84+1AIR FRANCE-KLMNeutral1826.32-2PLAYTECH PLCBuy1800.45MITIE GROUP PLCNeutral1650.30+2ELIORNeutral1645.02=WIZZ AIR HOLDINGS PLCNeutral1378.09-1STAGECOACH GROUP PLCBuy1339.02NewLow EV to EBIT - Airlines at the topEV to EBIT is a popular

17、 value metric. It is a simple way of identifying stocks that screen cheap. Some value stocks are cheap because they are in distress, while other value stocks seem to be simply neglected and investors do not fully realise their future earnings potential.SGS continues to be at the top spot by low vola

18、tilityThomas Cook continues to rank worst by volatilityThree out of the top five by EV/EBIT are in the Transport sectorFigure 17 shows stocks that appear cheap by the EV to EBIT metric. Three out of five shares are related to Transport. Nevertheless, in the case of the airlines the data is unlikely

19、to correctly capture the different balance sheet structures. Wizz Air continues to be at the top spot (rated Neutral) with Lufthansa (rated Buy) in the top five. We think airline valuations reflect the fact that we are late in the cycle. TUI is the new entrant and is at the second spot this month wi

20、th Thomas Cook atthe third spot. IAG is also the new entrant in transport (rated Neutral) taking the fifth spot while AFK and Playtech are no longer in the top five.Figure 17: Stocks which rank highly by EV to EBITSource: UBS Quantitative Research, EBIT to EV data is based on UBS house numbers(12 mo

21、nth forwards time weighted) or Worldscope data if that is not available. All data is as of 28,h February 2019.NameRatingEV to EBITChange in rankWIZZ AIR HOLDINGS PLCNeutral3.9=TUIAG-DISell4.9+4THOMAS COOK GROUP PLCNeutral (CBE)4.9-1DEUTSCHE LUFTHANSA-REGBuy5.8+1IAGNeutral6.0NewSTHREE PLCBuy6.9+1FIRS

22、TGROUP PLCNeutral7.0NewPLAYTECH PLCBuy7.4-4MITIE GROUP PLCNeutral7.4+1GO-AHEAD GROUP PLCNeutral7.5-1In the bottom five, AP Moller (new entrant to the top five) has replaced Getlink as the worst rated in this category along with Getlink at the second spot. Whitbread has replaced Experian at the third

23、 spot. ADP remains at the fourth spot while Experian is at the fifth spot from third earlier.Figure 18: Bottom 10 stocks by EV to EBITSource: UBS Quantitative Research, EBIT to EVdata is based on UBS house numbers(12 month forwards time weighted) or Worldscope data if that is not available. All data

24、 is as of 28th February 2019.NameRatingEV to EBITChange in rankAP MOLLER-MAERSK A/S-BNeutral29.3NewGETLINK SENeutral27.4+1WHITBREAD PLCNeutral20.0+1ADPNeutral19.1EXPERIAN PLCBuy19.0+2AMADEUS IT GROUP SANeutral18.6+1SGS SA-REGNeutral17.9-2INTERTEK GROUP PLCNeutral17.5HOMESERVE PLCNeutral17.0+2GREGGS

25、PLCNeutral16.9NewHigh free cash flow yield - Mixed blend of Transport, Leisure and Support ServicesFree cash flow yield is another value metric. It can help to identify firms that screen as cheap. Having a higherfree cash flow is also, to some degree, a quality measure because having strong cash flo

26、ws makes firms more resilient.AP Moller, new entrant, is the worst rated by EV to EBITThomas Cook again number one ranked by free cash flow yieldFigure 19 shows stocks that look attractive by free cash flow yield. We see a couple of changes to the list this month. Two out of top five are from the Tr

27、ansport sector. Thomas Cook remains at the first spot while MITIE Group replaced AFK at the second spot. Atlantia has improved from fifth to third spot. Playtech has moved down to fourth spot from third. However, Lufthansa is the new entrant in the top five taking the fifth spot. AFK is no longer in

28、 the top five. Strong FCF generation by airlines is indicative of the late cycle characteristics.Four out of five worst ranked by FCF yield are from the Transport sectorFigure 19: Stocks which rank highly by free cash flow yieldSource: UBS Quantitative Research, We define free cash flow as trading p

29、rofit + depreciation + net interest-tax charge - capex. Data is taken from UBS where available, and filled in with Worldscope data where not. All data is as of 28th February 2019. Note: The FCF estimate used here excludes exceptional costs e.g. restructuring, and so may overstate some FCF yields inc

30、luding Capitas (however, we have still included Capita in this table to be consistent with the quant team definition) and Thomas Cook.Al ACFree cashflow yieldChange in rankTHOMAS COOK GROUP PLCNeutral (CBE)47.77MITIE GROUP PLCNeutral15.83+2ATLANTIA SPANeutral (CBE)15.83+2PLAYTECH PLCBuy15.26-1DEUTSC

31、HE LUFTHANSA-REGBuy14.26+1TUI AG-DISell12.80NewAGGREKO PLCSell11.95SPIE SABuy11.86+1REXEL SABuy11.78-1AIR FRANCE-KLMNeutral11.21-8We see minimal changes to the bottom five by free cash flow. easyJet remains the worst rated stock followed by Wizz (replaced Fraport), the second worst. Fra port moved t

32、o the fourth spot from second earlier. Fraport is also currently going through a heavy investment stage with high capex at both Frankfurt and international airports, leading to a negative FCF generation. On a normalised FCF Fraport would trade on c5% FCF yield. Vopak continues to rank third worst wh

33、ich is down to the structure of its profits (with a significant portion coming from JVs and associates), as well as significant capex due to a combination of new projects underway, as well as self-improvement capex. Whitbread remains at the fifth spot.Figure 20: Bottom 10 stocks by free cash flow yi

34、eldSource: UBS Quantitative Research, We define free cash flow as trading profit + depreciation + net interest - tax charge - capex. Data is taken from UBS where available, and filled in with Worldscope data where not. All data is as of 28th February 2019.NameRatingFree cash flow yieldChange in rank

35、EASYJET PLCNeutral-5.56WIZZ AIR HOLDINGS PLCNeutral-3.34-2VOPAKBuy-3.26二FRAPORT AG FRANKFURT AIRPORTBuy-3.23+2WHITBREAD PLCNeutral-1.23ADPNeutral0.02-1MERLIN ENTERTAINMENTSell0.18+1GETLINK SENeutral0.65-1RYANAIR HOLDINGS PLCBuy0.81+1GREGGS PLCNeutral2.79二Comparative valuation tablesTransport comp sh

36、eetLogisticsCompanyRatingMktcap mEV mShare priceTarget priceEV/EBITDAEV/EBIT2019eP/E2020e2021eDiv yieldEPS orowthNet debVEBITDA2019e2020e2021e2019e2020e2021e2019e2020e2021e2019e2020e2019e2020eCEVA Logistics AGNeutral1,4582.35430.00NA8.1x7.3x6.2x11.5x10.4x8.7x14.0x11.5x9.6x1.1%1.7%2.1%311%22%2.9x2.5x

37、DSVRestricted13,42014,49856311.9x11.4x11.2x18.3x17.2x17.0x23.9x21.9x21.8x0.4%0.5%0.6%9%9%1.4x0.9xKuehne + NagelBuy14.66415.80413915413.7x13.0x11.9x16.4x15.5x14.0x19.5x18.4x16.8x4.5%4.6%4.7%11%6%O.Ox0.1xPanalpinaRestricted3.3543,71116013.3x12.1X11.1X27.3x23.2x20.3X33.2x28.1X24.6x2.4%2.4%2.4%45%18%0.3

38、x0.2xTotal32,89736,36713.0x12.2x11.4x20.7x18.7x17.1x25.5x22.8x21.1x2.4%2.5%2.6%22%11%0.5x0.3xPostalCompanyRatingMktcap mEV mShare priceTarget priceEV/EBITDA2019eEV/EBIT2019eP/E2020e2021e2019eDiv yieldEPS growthNet debt/EBITDA2019e2020e2021e2020e2021e2020e2021e2019e2020e |2019e2020eAustrian PostNeutr

39、al2.5402,62937.6035.008.4x8.5x7.9x11.7x12.2x10.9x16.0x16.6x15.0x5.7%5.9%6.0%1%-4%-1.0x1.0xBpostBuy1.6602,2428.3012.804.4x4.4x4.2x6.4x6.7x6.1x6.9x7.2x6.6x15.8%15.8%15.8%-11%-5%0.3x0.4xDeutsche Post-DHLBuy36,82655,69029.8732.007.6x6.9x6.4x14.0x11.8x10.6x14.1x11.9x10.7x4.0%4.7%5.4%2%18%1.9x1.7xPostNLNe

40、utral1.0991,5042.352.235.3x4.5x4.2x7.4x6.0x5.4x7.8x6.4x5.9x10.2%10.8%11.8%-5%23%0.5x0.4xRoyal MailNeutral3,0972,9162.652.823.8x3.1x2.6x9.6x6.7x5.1x8.0x8.2x6.9x9.3%9.7%10.1%3%-25%-C.2X-0.3xTotal45,22264,9817.3x6.6x6.2x13.3x11.3x10.1x13.4x11.6x10.4x5.1%5.7%6.3%1%13%1.5x1.3xPorts & ShippingCompanyRatin

41、gMktcap mEV mShare priceTarget price2019eEV/EBITDA2020e2021e2019eEV/EBIT2019eP/E 2020e2021 eDiv yieldEPS arowthNet debt/EBITDA2020e2021e | 2019e2020e2021 e2019e2020e2019e2020eNeutral24,40835,0678,9709,6006.6x6.4x5.3x31.1x23.6x15.0x191.8x54.8x23.8x1.7%1.7%1.7%-12%250%2.1x1.5xDP WorldBuy11,59619,30615

42、.8619.807.3x7.2x6.5x10.6x10.4x9.3x10.5x9.9x8.5x2.8%3.0%3.3%-1%5%3.9x3.4xHHLANeutral1.4052.46120.0620.108.6x7.8x7.2x14.0x12.2x10.9x15.9x13.8x12.2x3.8%4.0%4.5%-10%15%0.6x0.5XHapag-LloydNeutral4,58010,41126.0623.806.7x6.0x5.3x12.9x11.3x9.3x10.5x8.6x6.8x1.9%2.3%3.0%833%22%3.2x2.8xVopakBuy5,5738,09243.65

43、45.208.7x8.4x8.0x14.9x14.3x13.2x17.4x16.3x14.7x2.6%2.9%3.4%10%7%3.1x2.9xTotal37,40956,8346.9x6.7x5.8x23.4x18.7x12.9x129.0x39.4x18.6x2.1%2.2%2.3%-9%165%3.6x3.1xBus & RailCompanyRatingMktcapEVShareTargetEV/EBITDAEV/EBITP/EDiv yieldEPS growthNet debt/EBITDAmmpriceprice2019e2020e2021e2019e2020e2021e2019e2020e2021 e2019e2020e2021 e2019e2020e2019e2020eFirstGroupNeutral1.3132,933931003.3x3.3x3.2x7.1x7.2x6.8x6.4x6.5x5.7x5.2%5.2%6.4%12%-2%1.5x1.5xGo-Ahead GroupNeutral1,0319022,0461,7104.3x4.2x3.8x7.7x7.4x6.5x12.7x12.3x11.5x5.0%5.0%5.0%-11%3%-0.6x0.9xNational ExpressNeutral2.5483,7104274157.5x7.3x