1、 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:/ THIS CONTENT MAY NOT BE DISTRIBUTED TO THE P
2、EOPLES REPUBLIC OF CHINA(THE PRC)(EXCLUDING SPECIAL ADMINISTRATIVE REGIONS OF HONG KONG AND MACAO)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 M
3、omentum remains seasonally challenged Cycle trough depends on trade negotiations.We remain defensive The 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
4、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 loo
5、k 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.Monthly updates of interactive data files:Equity Stylizer and Monthly Style Performance Data Screens t
6、his 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 11)Strategy Screen:We combine our Non-Cyclical Growth,Quality and Dividend models to s
7、creen 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 2018 Long-term global SuperStyle relative performance*Source:HSBC,FactSet*for definiti
8、ons please see appendix Source:HSBC,FactSet*for definitions please see appendix -3.0-2.0-1.00.01.02.03.0ValueQualityGrowthMomentum1M long-short quintile return1M return rel to market8090100110120130140150Nov-08Nov-10Nov-12Nov-14Nov-16Nov-18ValueQualityGrowthMomentum10 January 2019 Volker Borghoff*St
9、rategist HSBC Trinkaus&Burkhardt AG volker.borghoffhsbc.de+49 211 910 3298 Dr.Philipp Kaufmann*,CFA Equity Strategist HSBC Trinkaus&Burkhardt AG philipp.kaufmannhsbc.de+49 211 910 1458 *Employed by a non-US affiliate of HSBC Securities(USA)Inc,and is not registered/qualified pursuant to FINRA regula
10、tions Stay defensive EQUITIES ALPHA STRATEGY Global Style&Alpha Monitor EQUITIES ALPHA STRATEGY 10 January 2019 2 Latest Alpha Strategy reports 3 Alpha Special 3 Alpha Ideas 3 Style&Alpha Monitor 3 Looking back looking ahead 4 Style performance review:All about low Risk 4 The future evaluating the c
11、ycle:Declines re-accelerate 4 Valuation and Momentum of Styles 5 Strategy and Stock Screens 5 Important style-related charts(1)6 Important style-related charts(2)7 Strategy Screen 8 Construction of list 8 Opportunity List 11 The rationale 11 Results 11 Macro Matters 13 Stock screens for the current
12、environment 13 Appendix:Performance of last months screens 17 Disclosure appendix 22 Disclaimer 25 Contents 3 EQUITIES ALPHA STRATEGY 10 January 2019 Latest Alpha Strategy reports Alpha Special Staying ahead of the curve:Latest insights from academic factor research(28 November 2018)click here Facto
13、r investing is becoming increasingly more popular and remains an ever-evolving science We highlight some of the latest findings from academic equity style and factor research papers Special emphasis is placed on the intriguing one-month momentum in factor returns as well as the low-risk effect Alpha
14、 Ideas Alpha Ideas:Playing this years turn-of-the-year loser seasonality(13 December 2018)click here The year-to-date worst performers are better positioned to recover than in previous years We identify those stocks in the US and Europe that are best placed to recover based on three factors Attracti
15、ve strategy to build baskets as sector diversification looks materially better than in the past few years Style Strategy Update:Opportunities arising(16 November2018)click here Our style cycle model indicates we have reached stage 5a(major downswing)We focus on Growth,Momentum,Quality and Dividend Y
16、ield in combination Two stock screens:(1)Style cycle based strategy and(2)Opportunity list Style&Alpha Monitor Style&Alpha Monitor-Inflection point nears(11 December2018)click here Although the global cycle remains in phase 5a(major downswing),negative momentum peters out Strategy:Combine Non-Cyclic
17、al Growth,Quality and High Yield We no longer prefer Momentum due to unfavorable seasonality Low Risk,High Yield outperform;expect Momentum to recover(6 November 2018)click here A typical correction:Low Risk,High Yield stocks fared best Value outperformed Growth but only slightly beat the market We
18、expect a Momentum recovery in November EQUITIES ALPHA STRATEGY 10 January 2019 4 Style performance review:All about low Risk Examining Decembers style performance(charts 1-4)the key message is that the prevailing trend to focus on low Risk and low Risk-related styles for alpha generation has obvious
19、ly continued.Not a surprise given the severe market sell-off last month.More importantly,high Yield and Quality were the key styles that outperformed alongside low Risk as these are the strategies to play in phase 5a of the style cycle we already argued last month.Declining PMIs(chart 18)as well as
20、falling 10Y US Treasury Yields(chart 6)helped high Yield to outperform(chart 6).Only Non-cyclical Growth,another preferred style in phase 5a,disappointed.The fact that Momentums performance in the month was neutral,confirms that the downswing has already moved to a later stage,taking into account th
21、at in the first stage of a downturn Momentum stocks normally suffer.In the meantime more and more high Momentum stocks have moved from overbought to oversold levels but in the short term seasonality at the beginning of the year favours price reversal stocks.For all style performance details please r
22、efer to the excel file by clicking on the link(front page).The future evaluating the cycle:Declines re-accelerate Sometimes just one month can make the difference.In November,it looked like the negative trends in the global economy were improving,but in December negative momentum in manufacturing PM
23、Is picked up again.The crucial question is whether this is the final accelerated fall before the cyclical trough or if the downward moves continue for many months.We believe the answer to this question is not in the usual cyclicality path of PMIs but rather in the results of the forthcoming US-China
24、 trade negotiations,given that more and more US companies cite the US-China trade conflict as one of the key risks for their businesses,already biting into orders or induce commodity-related raw material cost pressures1.Given that in China the situation looks even worse with regards to the trade con
25、flict,without a meaningful agreement it remains unclear whether we will see the bottom of the cycle short term.In terms of our style cycle models this means the risk that we face a downward cycle finally entering phase 6a has been rising.For the time being,we believe the market remains in the later
26、stages of phase 5a.The key question is when the cycle bottoms out and less so if and when we move from 5a to 6a,given that the preferred strategies in phase 6a(Profitability,low 1see:https:/www.instituteforsupplymanagement.org/ismreport/mfgrob.cfm?SSO=1 Looking back looking ahead As the market sold-
27、off in December,low-Risk styles dominate Downward momentum of manufacturing PMIs re-accelerated No strategy change:Combine Quality,Non-cyclical Growth and high Yield in phase 5a of the style cycle model Low Risk styles again dominate top end of style returns There is still little visibility on wheth
28、er we are approaching the bottom of the cycle Quality,Non-cyclical Growth and high Yield are favoured in phase 5a 5 EQUITIES ALPHA STRATEGY 10 January 2019 Risk)are very similar to 5a(Profitability,Non-cyclical Growth,low Risk).A signal that we enter phase 6a is another sharp fall of the US-PMI and
29、the global manufacturing PMI nearing the 50 mark(currently it is at 51.5).Valuation and Momentum of Styles Value stocks look cheap based on PE(chart 9)after the overall market correction but earnings are vulnerable for this cyclical style given the downward move of manufacturing PMIs.We expect many
30、disappointments in the forthcoming Q4-18 earnings season.Dividend Yield stocks,on the other hand,have a more defensive exposure and they trade at a meaningful discount to history and thus are a better fit,given that they are also preferred by our two cycle models.Momentum styles still do not look at
31、tractive.In particular,Price Momentum stocks trade at a significant premium to history.Besides they lost earnings revisions Momentum itself(chart 10)and therefore deviate less positively from the market average that make Momentum less attractive overall.Strategy and Stock Screens Based on the analys
32、is above,we do not change the strategy this month and remain focussed on phase 5a(major downswing)and on the bottom right-hand cluster of our BY-EM model.Strategy Style Strategy:Based on our cycle models we focus on Non-Cyclical Growth,Quality and High Yield.Stock Screens Strategy Screen:Based on ou
33、r style strategy we combine our Non-cyclical Growth,Quality and Dividend models.We pick those names that exhibit a minimum decile-rank of 3 in each of the three models.We select the top 100 ranked stocks.Update of Opportunity list:We screen for stocks that have been getting considerably cheaper in t
34、he last 3 months by PE,where share prices have fallen significantly but still exhibit positive EPS Estimate Revisions,indicating that fundamentals did not deteriorate in the last 3 months.The screens as of last month outperformed the MSCI World AC by 1.3%(Strategy Screen)and 2.3%(Opportunity Screen)
35、.Dividend looks attractive but Momentum less so EQUITIES ALPHA STRATEGY 10 January 2019 6 Important style-related charts(1)3.Style&Alpha Models:Global relative returns 4.Detailed factor group performance in January 2019 Source:FactSet,HSBC Source:FactSet,HSBC 5.Value/Growth vs.10Y Treasury Yield 6.D
36、ividend Yield relative vs.10Y Treasury Yields Source:MSCI,FactSet,HSBC Source:MSCI,FactSet,HSBC 7.Style Cycle Model 8.Bond Yield Economic Momentum Model Source:FactSet,HSBC Source:FactSet,HSBC 9.12M fwd P/E:Range,Premium,Discount(global)10.6M EPS Revisions(FY1,FY2):Range,Premium,Discount(global)Sour
37、ce:FactSet,HSBC Source:FactSet,HSBC -5%0%5%10%15%20%ValueMomentumValue/MomentumGrowthDividendContrarianQualityEarningsPredictabilityShortStatisticBullStatisticBearUniversalAlphalast 1Mannualized since 2000-3.0-2.0-1.00.01.02.03.04.05.0Absolute ValueRelative ValueDividend YieldProfitabilityFinancial
38、Health&EfficiencyNon Cyclical GrowthAggressive GrowthFundamental MomentumAnalyst RevisionsAnalyst SentimentPrice MomentumRisk(low to high)Size1M long-short quintile return1M return rel to marketSTRENGTHENINGWEAKENINGVALUEVALUEMOMENTUMMOMENTUMAGGRESSIVE GROWTHRISK Tolerance:HIGHRISK Tolerance:HIGHVAL
39、UEDIVIDEND YIELDMOMENTUMPROFITABILITY MID-CAPSNON-CYCLICAL GROWTHMOMENTUMRISK Tolerance:NEUTRAL RISK Tolerance:LOWEconomic Momentum(PMI Trend)10Y Bond YieldsRISINGDECLINING-60%-40%-20%0%20%40%60%-60%-40%-20%0%20%40%60%Absolute ValueDividend YieldProfitabilityNon-cyclicalGrowthAggressiveGrowthFundame
40、ntalMomentumAnalystRevisionsPriceMomentumLow Sizemediancurrent premium/discountpremium/discount 6M ago-20%-15%-10%-5%0%5%10%15%20%25%30%-20%-15%-10%-5%0%5%10%15%20%25%30%Absolute ValueDividend YieldProfitabilityNon-cyclicalGrowthAggressiveGrowthFundamentalMomentumAnalystRevisionsPriceMomentumLow Siz
41、emediancurrent premium/discountpremium/discount 6M ago 7 EQUITIES ALPHA STRATEGY 10 January 2019 Important style-related charts(2)11.12M fwd PE of global SuperStyles(top quintile Q1)12.US-PMIs(ISM)Source:FactSet,HSBC calculations Source:FactSet,HSBC 13.Global manufacturing PMIs 14.OECD Leading indic
42、ator vs.US manufacturing PMI Source:FactSet,HSBC Source:FactSet,HSBC 15.US activity surprise index 16.G7 CPI surprise Source:HSBC,Bloomberg Source:FactSet,HSBC 17.Global non-cyclical vs.cyclical stock performance 18.High Dividend yield global vs.US manufacturing PMI(inversed)Source:FactSet,HSBC Sour
43、ce:FactSet,HSBC 5791113151719212325Dec-94Dec-97Dec-00Dec-03Dec-06Dec-09Dec-12Dec-15Dec-18ValueQualityGrowthMomentum4045505560659095100105110115120125130Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13Dec-14Dec-15Dec-16Dec-17Dec-18Cyclical rel to Non-Cyclical stocksUS ISM(rhs)EQUITIES ALPHA STRATEGY 10 January 2
44、019 8 Construction of list This screen combines the three strategies that should be most eligible for phase 5a of our style cycle model combined with the result of our four cluster bond yield economic momentum model.These strategies are Quality,Non-cyclical Growth and High Yield.To be included on th
45、e list,a stock needs to rank within the first three deciles(top 30%)in each of the three models.Stocks have to exhibit a minimum market cap of USD2bn and daily trading volume of at least USD2m.Asia/Pacific ex JP is the key overweight region when combining the three models,UK(only one stock)is the ma
46、in underweight.In terms of sectors,Consumer Discretionary(23 stocks)and Financials(20)are most represented,followed by Industrials(15)and Materials(14).Strategy Screen We screen stocks using our Non-cyclical Growth,Quality and Dividend models We show the top 100 stocks globally applying our tactical
47、 approach for style strategy Consumer Discretionary and Financials remain top sectors;regionally Asia/Pac ex JP is the biggest overweight,UK top underweight 9 EQUITIES ALPHA STRATEGY 10 January 2019 Global Top 100 List(Part 1)*Rank Name Country Sector(HSBC Level 1)Market Cap(in USDm)Daily Volume 3m
48、avg(in USDm)Bloomberg Total Score Dividend Model Decile Growth Model Decile Quality Model Decile Dividend Yield(FY1)(in%)3M EPS Revisions(FY1,FY2)(in%)12M Fwd PE North America 1 Commerce Bancshares USA Financials 6,203.8 31.6 CBSH US 61.4 1 1 1 1.8 2.1 16.5 2 Synovus Financial USA Financials 3,719.4
49、 76.2 SNV US 60.8 2 1 2 3.2-0.9 9.4 3 Gentex USA Cons Disc 5,200.4 48.4 GNTX US 59.7 1 1 1 2.4-2.2 12.8 4 East West Bancorp USA Financials 6,240.5 53.3 EWBC US 59.2 2 1 3 2.1 0.4 10.6 5 Comerica USA Financials 10,976.1 173.3 CMA US 59.1 2 1 3 3.6 1.4 10.0 6 Bank of Hawaii USA Financials 2,790.4 21.6
50、 BOH US 58.7 1 1 1 3.5-0.8 14.3 7 TJX USA Cons Disc 54,216.1 404.2 TJX US 57.5 1 1 1 1.6-2.2 19.0 8 Cathay General Bancorp USA Financials 2,711.2 17.5 CATY US 57.4 2 1 2 3.5 0.8 11.3 9 Webster Finl USA Financials 4,491.9 31.9 WBS US 56.2 2 1 3 2.7 2.2 14.8 10 Royal Bank of Canada Canada Financials 9