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1、 DISCLOSURE APPENDIX CONTAINS IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, INFORMATION ON TRADE ALERTS, ANALYST MODEL PORTFOLIOS AND THE STATUS OF NON-U.S ANALYSTS. FOR OTHER IMPORTANT DISCLOSURES, visit www.credit- researchdisclosures or call +1 (877) 291-2683. U.S. Disclosure: Credit Suisse does
2、 and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the Firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment de
3、cision. CREDIT SUISSE SECURITIES RESEARCH a higher starting point than when QE1 and 2 began. We upgraded cyclicals to benchmark on 15 August (VW, Michelin, Dufry, Oracle). Index-linked bond proxies. Ferrovial. Gold. Our models suggest $2,000/oz. NJA currencies should appreciate. QE should support GE
4、M. The key cheap indirect GEM consumer plays are VW and SAB Miller. Ordinarily lower TIPS yields support growth but quality growth is now expensive. CSINFLAT is Credit Suisses Delta 1 basket on these themes. Figure 1: QE3 is occurring as macro surprises have just turned positive -150 -100 -50 0 50 1
5、00 200720082009201020112012 US macro surprises QE1 QE2 Operation Twist Jackson Hole speech Source: Thomson Reuters, Credit Suisse research Research Analysts Andrew Garthwaite +44 20 7883 6477 andrew.garthwaitecredit- Marina Pronina 44 20 7883 6476 marina.proninacredit- Mark Richards 44 20 7883 6484
6、mark.richardscredit- Sebastian Raedler 44 20 7888 7554 sebastian.raedlercredit- Robert Griffiths 44 20 7883 8885 robert.griffithscredit- Nicolas Wylenzek 44 207 883 6480 nicolas.wylenzekcredit- 14 September 2012 Global equity strategy 2 Table of contents What the Feds policy means for markets 3 The
7、Fed is pursuing QE despite inflation expectations being high 4 We believe QE helps equities in four main ways 6 The costs of QE are real, but may have been exaggerated 8 We expect QE to continue until real bond yields fall to at least minus 1.5% 12 We expect synchronised QE by the end of 2012 14 The
8、 possibility of “unconventional” QE 15 How to play QE? 16 1) We stay long of equities 17 2) Cheap real assets 19 3) Buy high dividend yield stocks 25 4) Growth but only GARP 27 5) Index-linked bond proxies in the equity market 29 6) Emerging markets 31 7) Gold 37 8) Cyclicals 39 Appendices 42 Append
9、ix 1: Sector performance after previous QEs in the US 42 Appendix 2: Quality growth screens 44 Appendix 3: Growth screens 44 Appendix 4: GEM scorecard 46 Appendix 5: Country risk table 47 14 September 2012 Global equity strategy 3 What the Feds policy means for markets Following the Feds decision to
10、 start QE3, we look at the implications for markets and our preferred investment ideas on the back of QE. Firstly, here is our take on the FOMC statement. Positives This is the first time there is open-ended QE from the Fed. QE1 was limited to $1.4trn, QE2 to $600bn. In the current round of balance
11、sheet expansion, the FOMC will buy $40bn in MBS per month for as long as “the outlook for the labour market does not improve substantially”. The Fed has left the door open to further policy accommodation: if the labour market does not approve, “the Committee will undertake additional asset purchases
12、, and employ its other policy tools as appropriate until such improvement is achieved in a context of price stability”. The Fed has also softened its language on the timing of a possible future tightening of policy, stating that “a highly accommodative stance of monetary policy will remain appropria
13、te for a considerable time after the economic recovery strengthens”. It will also continue its Operation Twist until the end of the year, in a way that its holdings of longer-term securities will increase by $85bn per month over that period. Negatives Monthly purchases under the current round of bal
14、ance sheet expansion are small in comparison to previous rounds: the Fed will buy $40bn per month, compared to $140bn per month under QE1 and $75bn per month under QE2. Markets might have been disappointed that the FOMC pushed its forecast for the period over which it expected the policy rate to rem
15、ain at current levels out to only mid-2015, rather than the anticipated end-2015. Overall, we believe that the FOMC statement is bullish for equity markets, especially in light of the fact that it comes just days after the ECB said it would conduct open-ended purchases of peripheral sovereign debt u
16、nder its new OMT program. Clearly we are seeing central banks now favouring open ended commitments (SNB to keep the peg, the OMT to eradicate the convertibility premium and the Fed to target the labour market). This move to open ended commitments is critical, in our view. 14 September 2012 Global eq
17、uity strategy 4 The Fed is pursuing QE despite inflation expectations being high We note that the timing of the Fed balance sheet expansion is unusual in several regards. ? It is occurring at a time when inflation expectations (on the Feds preferred measure of 5y5y breakevens) are clearly much highe
18、r than they were when the previous rounds of monetary easing were announced (QE2 was de facto announced in Bernankes Jackson Hole speech in 2010). We on the global equity strategy team think this is an important point, which shows, in our view, that the Fed is willing to tolerate higher levels of in
19、flation expectations. This matters, given that it is changes in inflation expectations that drive changes in equity multiples. Figure 2: Inflation expectations are higher than when the Fed did QE1, QE2 and Operation Twist 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 200720082009201020112012 5y 5y breakeven infla
20、tion QE2 QE1 Operation Twist Jackson Hole Source: Thomson Reuters, Credit Suisse research ? It is also occurring against the backdrop of macro surprises being higher than they were when previous rounds of policy easing were announced. The rationale is clearly that ISM new orders (the best single lea
21、d indicator of growth) are below the level seen before both QE2 and Operation Twist, while employment remains sluggish. (Bernanke noted his “grave concern” for the labour market and the “enormous suffering and waste of human talent it entails” in his recent Jackson Hole speech). 14 September 2012 Gl
22、obal equity strategy 5 Figure 3: Macro surprises are higher than at QE1, Jackson Hole or Operation Twist Figure 4: but ISM new orders are weaker than when the Fed did QE2 and Operation Twist -150 -100 -50 0 50 100 200720082009201020112012 US macro surprises QE1 QE2 Operation Twist Jackson Hole QE3 2
23、0 25 30 35 40 45 50 55 60 65 70 200720082009201020112012 ISM new orders QE1 QE2 Operation Twist Jackson Hole Source: Thomson Reuters, Credit Suisse research Source: Thomson Reuters, Credit Suisse research Could it be the case that the Fed is easing just as the economy is beginning to stabilise? This
24、 is quite a potent combination for risk assets. Recall, our 10 factor lead indicators of US GDP has already bounced from c0.6% to 1.8% GDP growth. 14 September 2012 Global equity strategy 6 We believe QE helps equities in four main ways a) It improves the GDP outlook by improving the fiscal debt fun
25、ding arithmetic A one percentage point fall in index-linked bond yields reduces the fiscal tightening required to stabilise the government debt-to-GDP ratio by around one percentage point in the US, given that total government debt is c.100% of GDP (see page 12 for details). If the real bond yield w
26、as close to its historic norm of 3%, rather than the current -0.8%, the US government would have to engage in additional fiscal tightening of around c4% of GDP to stabilise its debt-to-GDP ratio. Fiscal tightening of this magnitude would be very damaging for US growth and to the degree to which addi
27、tional QE helps to avoid such a scenario (assuming a compromise over the fiscal cliff at the end of this year), it is clearly a positive. b) By keeping bond yields low, QE boosts GDP growth directly In his most recent Jackson Hole speech, Bernanke quoted a study which found that the first two rounds
28、 of QE may have raised the level of output by 3%. Given that QE equivalent to 16% of GDP boosted output by 3% in the first two rounds of QE, this suggests that, as a rule of thumb, QE equivalent to 1% of GDP has added around 0.2% to output. A BoE study found that, roughly speaking, QE equivalent to
29、1% of GDP boosted GDP by c0.1% of GDP in the UK. The transmission channels for this boost to growth are: ? QE reduces the incentive to save by raising inflation expectations, thus lowering real rates across the yield curve. Given that the top income quintile of US income earners has a savings ratio
30、of close to 20%, in theory it is the rich who are encouraged to dis- save rather than the lower income quintiles; ? QE lowers the real cost of capital for corporates and reduces their incentive to hold cash; ? QE lowers the discount rate for assets with fixed annuities (stable growth stocks, real es
31、tate, and of course, bonds) and thus increases the opportunity cost of investing in safe assets (we estimate that a 10% rise in the equity market reduces the household savings ratio by around 30bp). ? QE focused on MBS helps housing and as Bernanke said: all recoveries after WWII have been driven by
32、 housing. We believe many investors underestimate the positive feedback loop that a pick-up in housing has on household and bank balance sheets. c) QE helps to rebalance global growth One of the biggest anomalies globally is that the consumer share of GDP in the G7 is c.63%, compared to that of the
33、BRICs at c.43%. QE in the developed world should lead to capital flows into emerging markets (as funds look for higher yields). This would lead to GEM currency appreciation. At this point GEM policy makers have two options: either to accept stronger currencies, enhancing the purchasing power of cons
34、umers (as import prices fall and export prices rise) or to sterilise inflows, which is likely to lead to higher inflation, as occurred in China in 2010. d) Funds flow effect By purchasing bonds from institutions, the Federal Reserve increases cash balances, and part of this cash will likely move int
35、o risky assets. 14 September 2012 Global equity strategy 7 Beneficiaries of MBS purchases may be slightly different from Treasury purchases As our fixed income team highlights, given the Fed has opted to purchase MBS rather than Treasury securities can make a difference to the identity of the relati
36、ve beneficiaries of QE. We would highlight the following three points: ? The external sector: 44% of the Treasury market is held overseas, and as a result the purchase of Treasuries sees dollars flow out of the US. Agency debt purchases are in a sense more domestic, with only 13% of agency debt and
37、GSE-backed MBS held overseas. Purchases of the latter would therefore likely place less downward pressure on the dollar. ? Households hold a lot more Treasuries relative to Agency debt and GSE-backed MBS. However, MBS purchases should help maintain downward pressure on mortgage rates, reducing non-d
38、iscretionary spending by households. ? Banks: Banks have high holdings of Agency debt and GSE-backed MBS relative to Treasuries and are therefore relative winners from MBS purchases. Figure 5: Holdings of Treasuries and Agency and Figure 25: Hedge fund positioning has moved up a bit, but continues t
39、o be low in absolute terms and significantly below sentiment as measured by the bull/bear ratio Figure 26: A continued rebound in macro surprises should support equities 10% 20% 30% 40% 50% 60% -30 -20 -10 0 10 20 30 40 50 Jan-09Aug-09Mar-10Oct-10May-11Dec-11Aug-12 Advisors sentiment - bulls minus b
40、ears Global equity long / short bias, rhs -1.5 -1 -0.5 0 0.5 1 1.5 2001200220042006200820102012 -50 -40 -30 -20 -10 0 10 20 30 40 50Macro surprise indicator, stdev S 5=Sell) Share price, local currency (11 Sep) -P/E (12m fwd) -2012e Momentum, %- P/B -HOLT2012e, % Source: MSCI, IBES, Factset, Thomson
41、 Reuters, Credit Suisse HOLT, Credit Suisse research (c) UK REITS We continue to believe that the UK IPD yield should be c6% not 7.3% above the UK index linked bond yield, as it is now and on this basis, REITs should trade at a c30% premium to NAV. Below we also show that UK REITs relative performan
42、ce has lagged that of US peers. For more details, see our report UK: A port in a storm, 29 June. The top picks of Credit Suisses UK real estate analyst, Steve Bramley-Jackson, are Hammerson and Land Securities. 14 September 2012 Global equity strategy 24 Figure 40: The required yield on commercial p
43、roperty is 4.9% Figure 41: Given the IPD yield of 6.2% and a debt to equity ratio of 0.67x, we think REITs should be on an even higher premium to NAV Benefit Real rental growth-0.9 Costs Tenancy risk (UK “A“ corp bond spread)2.5 Obsolescence risk1.0 S,G (+=BUY; -=SELL) -40% -30% -20% -10% 0% 10% 20%
44、 30% 40% 50% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 3m annualised net flows as % of assets rel Source: Thomson Reuters, Credit Suisse research Source: EPFR, Credit Suisse research ? The valuation of emerging markets is now also more attractive Similarly, NJA P/E relative to the
45、US and relative global markets are now at the lowest level since 2006. 14 September 2012 Global equity strategy 35 Figure 72: NJA P/E relative to the US is now at the lowest level since 2006 Figure 73: as is the P/E relative to global markets 35% 50% 65% 80% 95% 110% 125% 140% 1988199219962000200420
46、082012 12m fwd P/E - Asia Ex JP relative to USA Average (+/- 1SD) 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% 1990199319972001200420082012 12m fwd P/E - Asia Ex JP relative to World Average (+/- 1SD) Source: Thomson Reuters, Credit Suisse research Source: Thomson Reuters, Credit Suisse research Our
47、scorecard (see Appendix 4) highlights Russia, Poland, China and Korea as looking particularly attractive. Of these, our emerging markets strategists see most upside potential in Korea, which outperformed through the second half of 2010 when global IP bottomed and the Fed pursued QE2, conditions whic
48、h could also hold through the remainder of this year. Our strategists also point to the scope for policy easing in Korea, and the high concentration of quality cyclicals in the Korean market as positive attributes in current market conditions. ? Currency appreciation helps the GEM consumer Currency
49、appreciation should improve the purchasing power of the emerging market consumer. The problem is that the valuations of the indirect consumer plays are now very demanding (many are also in the quality screens highlighted earlier). Figure 74: Indirect GEM consumer plays trade on a 10% premium over direct play on 12-month forward P/Es Figure 75: Indirect plays relative to global markets look very extended 50% 80% 110% 140%