与冠状病毒高度相关的抛售.docx

与冠状病毒高度相关的抛售.docx

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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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