新兴市场-投资策略-贸易观点：过于防御性的风险

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1、PleaserefertoimportantinformationandMARdisclosuresattheendofthisreportTRADEIDEA

2、EMEA4April2019EQUITY&DERIVATIVESRiskofBeingtooDefensiveTRADEIDEASShortSX5EDec-193150putandlong1.1xSMIDec-198850putoptionforflatpremiumindicatively.(SX5Efwdref:3325,SMIfwdref:9305)LongaDec-19SX5E/SMI10

3、3%(105%)outperformanceoptionfor1.6%(1.1%)indicatively.LongSX5EDec-19ATMcallcontingentonSMI<103%(105%)atexpiryfor1.1%(1.5%)indicatively.(Ref:SX5EDec-19ATMcallat3.2%)KEYMESSAGESWethinkeurozonePMIswillreboundinthenearterm,boostingEuropeancyclicalstocks,andtheEuroStoxx50willoutperfor

4、mtheSwissMarketIndexasaresult.BNPParibasFXstrategistsexpecttheUSDtoweaken,whichislikelytopressureSwissexportermargins,giventhehighproportionoftheirprofitsthataregeneratedinforeigncurrency.EuroStoxx50fundamentals(returnonequity)haveimprovedinthelastfewyears,andinourviewthisisnotfu

5、llyreflectedinrelativevaluations.Theriskofbuyinganoptionislimitedtothepremiumpaid.Riskofsellingaputoptionislimitedtotheputstrike.Fig.1:SX5E/SMIvsCyclical/DefensiveoutperformanceWeexpectEuropeanPMIstorebound,inlinewiththeUSandChina.CyclicalandvaluestocksinEuropehaveunderperformed

6、overthelastninemonths(Figure1),butweexpectanear-termreboundonthebackofimprovedeurozonePMIs.ConsiderpositioningforthisthemeviaalongEuroStoxx50(SX5E)againstshortSwissMarketIndex(SMI)position.SwissstocksarelikelytounderperformiftheUSDweakensasweexpect.TheSMIgeneratesmoreforeignreven

7、ueinforeigncurrencythantheSX5E(Figure3).BNPParibasFXstrategistsexpecttheUSDtoweakenthisyear,forecastingEURUSDat1.2andUSDCHFat0.97bytheendof2019(currentvaluesare1.12and0.99respectively).ThisweaknessislikelytobealargerheadwindforSwissexportersthanfortheireurozonecounterparts,inourv

8、iew.Weseecontinuedpricingpressureondrugpricesasarisktohealthcaresectorearnings.AlongSX5E/shortSMIpositionhaslargeshorthealthcareexposure(Figure5).WeexpectSX5EprofitabilitytoimproverelativetoitsSwisscounterparts(Figure6).TheSX5Estilltradesatalowerprice-to-bookandprice-to-earningst

9、hantheSMI(Figure7),whichinourviewisunjus