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ID:51867226
大小:724.27 KB
页数:30页
时间:2020-03-17
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1、alnrtenI-detcitrsReCOREEquityCompassCoronavirusleadstohighlycorrelatedselloffSpreadofthecoronavirusleadstoahighlycorrelatedselloffinU.S.equities.Thecontinuedspreadofthecoronavirus(Covid-19)beyondChinaledtoahighlycorrelateddouble-digitselloffofU.S.equitiesinFebruary.Sectorreturnssawlittledisper
2、sionduringthemonth,ourdefensiveoriented“earlyrecession”optimizedportfoliosawlittlechange,andcompanieswithhigherlevelofinternationalsalesperformedin-linewiththemarket.Theonlysegmentsofthemarketthathadnotablyhigherdeclineswerecommodity-linkedsectors(Energy+Materials)andValuestocks.Valueexposurea
3、ndRateSensitivitywerethemaindriverofreturnsduringthemonth.Despitetheheightenedfearssurroundingthecoronaviruslastmonth,ourcross-sectionalattributionmodelindicatesthatValueandRatesweretheprimarydriverofreturns.ThecontinuedimportanceofBetatoTLTindriverstockreturnsisevidentgiventhedeclineinthe10yr
4、Treasuryyieldduringthemonth(downfrom1.53%to1.15%),althoughthisdidnotleadtooutperformanceforUtilities+RealEstate.However,areasonforthesignificantnegativecorrelationbetweenreturnsandValueexposureisnotasevident.Earningsandvaluationprojectionsdeclined.NTMconsensusgrowth(whichiscurrentlyFY2020)fell
5、duringthemonth(from6.7%to6.4%),mainlyduetostrongernegativerevisionsincompanieswithhigherinternationalexposure.OurNTMbottom-upmodelprojectionroselastmonth(from-3.3%to-1.7%)asLeadingEconomicIndicatorsincreasedsuddenly.Incontrastourmacro-focusedtop-downmodelNTMgrowthprojectiondropped(from3.5%to2.
6、3%)duetolowerEMGDPprojections.TheequityselloffledtolowerSPXvaluations(from19.7xto18.9x),butstillremainwellaboveourcurrentfairvalue(17.0x).Inourview,wearenolongerinan“easysoftpatch”environmentandthusdonotbelievethatvaluationswillremainelevatedwellabovefairvalue.OurcurrentSPXPEprojectionfor2020(
7、18.3x)isthecurrentoutputofourPEmodel,aswenolongbelieveanaccommodativeFedwillbeabletokeepvaluationselevated.BarclaysCapitalInc.and/oroneofitsaffiliatesdoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorssh
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