美股-投资策略-美国中小企业策略分析：小盘股修正.docx

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1、COREU.S.Small&MidCapStrategySmallCapsCorrect;SentimentINDUSTRYUPDATEEquityResearch2November2018SwingstoOverlyPessimisticTerritorySmallcapshaveworstmonthsince2011.Smallcapscontinuedtheirrecentunderperformance,postingtheirworstmonthinOctober(-10.9%)since2011.Additionally,smallcapslag

2、gedlargecaps(-7.1%)bothforthemonthandnowYTD(-0.9%vs+2.7%).ThereturnsofsmallcapswereprimarilydrivenbysmallcapGrowth(-12.7%)whichnotablyunderperformedsmallcapValue(-9.0%).TherelativeweaknessinsmallcapGrowthwasalsoevidentinthepoorperformanceofcyclicalsectorssuchasHealthCare(-15.5%)andTe

3、ch(-12.6%),whiledefensivesectorssuchasStaples(-2.4%)andUtilities(-0.8%)heldwell.Valuationsfalltolowestlevelsince2016.Smallcapvaluations(LTMEV/EBITDA)fellsharplyinOctober(13.3xto12.0x)andarenowatthelowestlevelssincethe2016smallcapbearmarket.Additionally,smallcapvaluationpremiumtolarge

4、capshasfallentoparity,whichisnoteworthycomparedtoitslong-termmedianpremium(+14.1%),indicatingthatsmallcapsarecheaprelativetolargecapsonahistoricalbasis.Attheircurrentlevelssmallcapvaluationshavefallenbelowourprojectionfor2018(13.0x),leadingustoexpectvaluationexpansionthroughtheendoft

5、heyear.Lastly,smallcapbuybacksdeclinedforthesecondstraightmonth,buthavestillseenstronggrowthYoY(17.7%).Earningsgrowthremainsstrong.SmallcapYoYLTMEBITDAgrowthfellslightlylastmonth(from11.2%to+11.1%)butisstillstrongrelativetorecentyears.Forthemonth,EBITDAmarginsimprovedslightly(10.33%t

6、o10.34%)whiletop-linegrowthwasunchanged(8.6%).Wecontinuetoexpecttop-linegrowthandmarginexpansiontodrivesmallcapEBITDAgrowthhigherin2018.Compositesentimentindicatormovestooverlypessimisticterritory.Strongpricedeclinescausedsmallcapimpliedvolatilityandcorrelationtospikesharplylastmonth

7、,whileskewonlyrosemodestly.Whileallmajorriskmetricsarenowabovetheir1yraverages,theyareinlinewithvaluesseenin2013-2016.Higherriskmetricswereaccompaniedbysmallcapfundoutflows(-$2.6Bil)forthefirsttimesinceFebruary.Thesecatalystshavepushedourcompositesentimentindicatorintooverlypessimist

8、icterritory(