HOLT的创新与持续改进

1、HOLTMarch 9, 2020Innovation & Continuous ImprovementThomas G. HillmanHOLT Director of Research HYPERLINK mailto:tom.hillman tom.hillmanDISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, LEGAL ENTITY DISCLOSURE AND THESTATUS OF NON-US ANALYSTS. US D

2、isclosure: Credit Suisse does 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

3、in making their investment decision.HOLTs focus on innovation and continuousimprovementHOLTs framework is adaptive for changing accounting rules and market conditions.Innovative culture30+ years of continuous improvement to the framework.Listening to client feedback to extend research and improve th

4、e product.HOLT is continuously improving or adding tools, expanding data coverage, buildingout factors, and improving data quality.Rigorous oversight and approval process CFROI Framework Committee consists of a global team of senior HOLT members that approve semi-annual model enhancements.This prese

5、ntation provides an overview of HOLTs coverage, an overview of innovation and continuous improvement to the HOLT framework over the last eight years, and a summary of the areas of new research.HOLT coverageEMEAAmericasAccounting Quality:2,300 firmsCorporate Performance:3,600 firmsCarbon Analytics:3,

6、200 firmsGlobal database covering nearly 20,000 companies in 65+ countries. The HOLT database contains 98% of global market capitalization.Non-Japan AsiaJapanCorporate Performance:5,800 firmsAccounting Quality:3,100 firmsMgmt. Incentives:2,100 US firmsPay Analytics:2,100 US FirmsCarbon Analytics:4,0

7、00 firmsCorporate Performance:3,000 firmsAccounting Quality:2,300 firmsMgmt. Incentives:400 firmsPay Analytics:2,000 FirmsCarbon Analytics:3,000 firmsCorporate Performance:5,000 firmsAccounting Quality:3,600 firmsMgmt. Incentives:50 firms (Australia)Pay Analytics:600 Firms (Australia)Carbon Analytic

8、s:5,000 firmsSource: HOLT Lens as of January 2020.Innovation highlights (2012 - 2020)Valuation & Corporate Performance-Scorecard & FactorsLease accounting change required capitalization (2020)page 5Accounting quality score (2019) page 24Equity-method investments estimated fair market value (2018) pa

9、ge 7Summary enhancement & additions to HOLT Scorecard (2014-20)page 26Incorporating special dividends in growth rate (2018)Factor library - scoring methodology enhancements page 29Stock option treatment - deduction from cash flow (2017) page 8Additional scoring options page 33 Economic profit (2015)

10、 page 9Quality factor enhanced page 35 M&A acquisition accounting distortions adjustment enhanced (2014)Risk factor added page 39Growth improved for acquisitive firms (2014)Market implied discount rate & history relative valuations factors page 40HEAT monthly expectation analysis (2012) page 11Growt

11、h factor addedCapitalized leases - nominal rate and smooth average (2013)Scorecard, styles and HOLTfolio integrated into Lens page 41Capital DeploymentEnvironmental, Social and Governance (ESG)Segment CFROI model (2020 and 2017) page 13Management incentive score (2020 and 2015)page 47Excess cash sce

12、nario analysis (2016)page 14Carbon financial modelling tool (2019) page 50Cash deployed company report (2015)page 15Carbon adjusted CFROI (2018)page 52Added M&A database - assess acquisition skill (2012) page 16ESG screening variables (2016)Relative pay for performance analytics (2016) page 49Foreca

13、stingQuality Control & ProcesseCap company report (2018)Quality control and production process page 54eCap - Super, Almost and At Risk screening variables (2017) page 19Quality control rules page 58 Conditional probability (2016) page 20New company additions page 59 One-click load of detail IBES con

14、sensus for Flex Valuation (2015) page 21Timeliness of data page 60Flex Valuation tools enhanced - explicit financials forecasted (2015)Quality control enhancements (2012-2020) page 61Areas of new research page 64Credit Suisse equity analyst forecasts integrated into Lens (2015) page 22Valuation & Co

15、rporate PerformanceNew Lease rule impact on investor metricsHOLTs adjusted operating and valuation metrics are generally unaffected by this accounting rule change. However, investors utilizing traditional data sources could encounter distortions that need to be adjusted.Whats The impact?Wheres The I

16、mpact ReportedIt DependsMetrics ImpactedTotal AssetsGross Plant, Net Plant, Other Asset, Right of Use AssetReturn on Capital, Asset UtilizationTotal LiabilitiesDebt, Other liabilities, lease liabilityLeverage, Enterprise ValueOperating EarningsUS GAAP2Only for companies reporting under IFRSEBITDAIFR

17、S1Net IncomeOnly for companies reportingEPSHOLTs Adjusted Cash Flow & Balance Sheet MetricsIFRS1US GAAP2under IFRSNo Impact*Source: CS HOLT Accounting & Tax Analysis. *HOLT is still reviewing the potential impacts and disclosure related to this accounting rule change and may need to adjust its metho

18、dology, however it is important to note that overall HOLTs adjusted metrics will remain more comparable than traditional financial statements given its longstanding adjustment to capitalize leases. 1: Assumes beginning of lease term. 2. General impact will be no change, however there can be some imp

19、acts from other aspects of the new standard such as changes in leases classification type that can have an impact on net income for some companies.New lease rule different methodsHOLT measures the return on all capital used in the business and has long capitalized operating leases. The new lease acc

20、ounting rules require leases to be capitalized over the remaining contract life, not the economic life of the asset.Capitalization of Operating Lease MethodologyHOLTvs.US GAAP and IFRSRemaining contract lifeShort term, low value (IFRS), and variable rentexpense are excludedCapitalize (PV) Minimum Le

21、ase PaymentsEconomic life of the assetTotal rent expenseCapitalize (PV) the Total Rent ExpenseSource: HOLT Accounting & Tax. Note HOLT may elect to exclude certain rent payments (e.g. variable rent) depending on disclosure post adoptionHOLT assumes a company will use the leased assets over its full

22、economic life a better representation of the required investment and obligations to generate cash flows.Equity method investments fair market valueThe accounting for equity method investments provides investors with little information. The investments company report provides three scenarios based up

23、on a DCF approach that incorporates fade to help investors understand large differences between investments at book versus their potential fair market value.Method for Estimating the Fair Market Value of Equity-Method InvestmentsThe estimate of fair market value can be derived using the DCF equation

24、 below given a firms equity method ROE, cost of equity, fade and growth assumptions based upon HOLTs long-term fade assumptions.( + ) = ( + )ROE = Return on equity Re = Cost of equityg = Equity growth rate f = Fade rateFor additional details, please refer to “Dont Suffer From a Terminal Flaw- Add Fa

25、de to Your DCF”Stock option treatment deduction from cash flowStock compensation expense is excluded from HOLTs gross cash flow to measure the true economic impact on operating returns and valuation. The impact of stock options can be assessed by viewing the relative wealth chart with CFROI adjusted

26、 to exclude stock based compensation or viewing the stock option company report.Economic ProfitHOLTs Economic Profit helps investors quantify the value creation or destruction of a firms business, and also better gauge the trade-off between asset growth and return on capital levels.AMZNs CFROI level

27、s are declining but remain above their cost of capital.AMZNs growth has been persistent at double-digit levels.AMZNs trade-off of growth for CFROI has been a wealth- creating strategy.EP change components provide insight into wealth creation. AMZN wealth creation has been via growth.Market expectati

28、ons todayThe green dot represents the market implied CFROI necessary to equate todays market price. Investors can use the data to help determine if the market is optimistic or pessimistic about a companys prospects, based on future CFROI levels implied by the stock price. But how does this compare t

29、o historyHistorical market expectation analysisMonthly data provide the relationship between forecast CFROI and market implied CFROI (green dot) for the last 15 years. This relationship can help investors determine whether the valuation for a particular stock is high or low relative to the companys

30、own history.Capital DeploymentEstimated segment CFROIHOLTs estimated segment CFROI decomposes a companys consolidated CFROI into its reported segments. This analysis allows investors to identify critique management effectiveness, identify underperforming segments, improve forecast fade rates and pre

31、pare for management meetings.Excess cash scenario analysis and company reportEither excess cash scenario or the excess cash company report can be used by investors to understand thefirms CFROI level with excess cash removed. Large excess cash can alter trends in CFROI levels, and as a result it is u

32、seful to look at the CFROI after removing excess cash from the Gross Investment base.Cash deployed company reportThe cash deployed company report provides investors insights into managements allocation of capital by providing trends in total cash, debt and the deployment on R&D, capex, net share rep

33、urchase, dividends, special dividends, M&A, and interest.Mergers & acquisitions databaseThe HOLT mergers and acquisitions database provides investors a quick summary of historical transactions done by a company in any year. Using the HOLT M&A database through the HOLT Framework allows users to judge

34、 the acquisition skill of a company, which can be a valuable reference in future transactions.Johnson & JohnsonM&A databaseAcquirer vs. TargetClicking on a public targets name displays a comparison of the economic return and drivers between acquirer and the target.For example, JNJ in 2012 completed

35、its $19.2 billion acquisition of Synthes.Upon merger, JNJs CFROI levels increased by over 100 bps after the merger.ForecastingAdditional eCap metrics in screening Super-eCAPs: the crme-de-la-crme of Quality: Firms with ten or more years of persistent and above-average profitability. More than 90% of

36、 Super eCAPs continue to earn CFROI above 8% over the next 4 or 5 years.Screening criteria in Lens Almost eCAP: companies that narrowly miss passing one or more eCAP rules. This is an interesting set of firms to consider as possible additions to a Quality portfolio or to enhance the stability of an

37、existing strategy. eCAP at risk: eCAP companies that show early-warning signs of losing their eCAP status due to deteriorating CFROI.Conditional probabilityHOLTs Conditional Probability helps users gauge the likelihood of a company achieving operating profit and growth rate forecast scenarios.Condit

38、ional Probability ScenariosUsers can evaluate Conditional Probability calculations for both market implied and individual CFROI forecast scenarios.Click the Flex Valuation option for the selected company, and display the CFROI and Asset Growth Inputs.The probability of achieving the market implied C

39、FROI forecast is displayed.Drag the black fade line or input your own forecast values and the conditional probability will evaluate your scenario.Flex valuation Load IBES consensusFlex valuation enables investors to use their own assumptions to drive their own discreet financial statements for analy

40、sis in the HOLT framework. Or investors can start by one-click loading detailed IBES Consensus Estimates or CS Analyst Forecasts to provide a more refined starting point in the modeling process and a better understanding of implied expectations.IBES EstimatesIBES Consensus Estimates are available fo

41、r approximately 6,000 firms across the following drivers:Sales Growth %EBITDA Margin %CAPEX,R&D Sales %Effective Tax RateDividends Per ShareCS Analyst forecastsHOLT Lens has approximately 1,400 companies globally loaded with the CS Research Analyst Forecasts. This feature leverages the key analyst a

42、ssumptions of the analysts to derive a forecast and valuation using the HOLT framework.Scorecard & FactorsHOLTs accounting quality score (HAQS) 2019 refreshA Brief ReviewHOLTs Accounting Quality Score (HAQS) leverages a proprietary database and a patented scoring methodology to identify accounting a

43、nomalies“ across 15 categories in corporate financial statements. HAQS in LensHAQS is 100% quantitative, does not detect fraud, and not a short signal on its ownit is one part of the investor process to help systematically identify accounting risks that warrant further qualitative investigation.HAQS

44、 has a good track record of identifying companies at-risk to accounting driven issues (recent examples: GE, Valeant, Chicago Bridge and Iron, Carillion) as well as underperforming share prices, particularly during risk-off environments.HOLTs accounting quality score (HAQS)2019 HAQS RefreshHighlights

45、 of Refresh Complete Audit: Over the past year, we reviewed hundreds of formulas and made numerous systematic fixes such as adding caps/floors, utilizing pro-forma sales and multiple behind-the-scenes touchups. Documentation: Every formula as well as in-depth testing results (distribution of scores

46、etc.) is now documented. We will also publish a comprehensive white paper in H1 2018. Future enhancements: Future improvements to HAQS will be easier and more frequent. New variables: We added Intangibles and Non-GAAP EPS, two growing areas of interest.Enhancements and additions to the HOLT scorecar

47、dScoring methodology enhancementsAdditional scoring optionsFactor enhancements and additionsOperational Quality (enhancement)Risk factorGrowth FactorMarket-implied discount rate (MIDR)Relative to history factors (MIDR and Valuation)Reference material: Factor Library PrimerFactor Percentile and Peer

48、Rank Construction and UsageQuality Factor Primer Growth Factor PrimerMarket Implied Discount Rate Factor Primer Relative to History FactorsHOLT scorecardOPERATIONAL QUALITYIdentifies companies with appealing corporate performance characteristicsEnhancedWhat makes a good company? It has a competitive

49、 advantageScorecard FactorsDescriptive FactorsNewRISKIdentifies stocks with desirable Beta and volatility characteristicsMOMENTUMIdentifies stocks gaining frompositive market sentimentGROWTHIdentifies stocks based on their ability to generate high cash flow growthWhat makes a good story? It has posi

50、tive sentimentVALUATIONIdentifies stocks that are attractively valued according to the HOLT DCF modelWhat makes a good stock? It has attractive valuationOVERALL SCOREHOLT STYLEFactor library and HOLT scorecard designScoring methodology enhancementsHOLT Scorecard methodology will be enhanced through

51、a more rigorous construction methodology based on standardized factor exposures, replacing the rank-based implementation currently in place.Benefits: Using factor exposures in the place of ranks allows the Scorecard factors to embed cardinal information from the distribution of each metric that is i

52、ncremental to the ordinal data used in the existing Scorecard.CFROI revision exampleThe current Scorecard is susceptible to two related types of distributional distortions: artificially expanding marginal differences and muting large differences. When assessed for any given company, the difference b

53、etween the two implementations tends to be small; however, over a large distribution of stocks, the cumulative impact of a rank-based construction can lead to composite scores that are not optimally sorted. The use of standardized scores creates a more robust model that mitigates this issue.Example:

54、Mobileiron (MOBL, CFROI Revisions: -0.0065) andRemark Media (MARK, CFROI Revisions: 0.0003).The difference between the CFROI revisions of these firms is essentially zero.However, a rank-based scoring methodology results in an amplification of the difference between the two values (MARK ranks 62.7% v

55、s. 30.3% for MOBL).Old Rank-Based ScoreNew Exposure-Based ScoresFactor percentile and peer ranksThe Factor Library, standardizes data using both a cardinal and an ordinal process allowing users to choose between Factor Percentile and Peer RankFactor Percentile is a standardized value of a factor tha

56、t preserves both the order and the distribution of the data and therefore captures the magnitude of the difference between firms. It is primarily used when aggregating data or as an input to further calculations, such as composite factors like Quality or for using in portfolio construction.Peer Rank

57、 is the position of the company in a peer group ordered by a Factor Percentile. A Peer Rank is convenient for screening and categorizing stocks,e.g. HOLT Investment Styles, because a known portion of a universe falls above or below a desired level.Factor Percentiles should be used if the question is

58、 how much better is this stock?Peer Ranks should be used in cases where the underlying question is which stock is better?Factor percentile and peer ranks (example)The values of Factor Percentile and Peer Ranks are always directionally similar; however, the magnitudes be quite different, which highli

59、ghts how the values may be used.In a large universe, a company that is close to the median company has similar factor percentile and peer rank values. E.g. McDonalds.A company that is further away from the median company has materially different Factor Percentiles and Peer Ranks.Target and Biogen Pe

60、er Ranks are close, but the difference in their Factor Percentiles highlight the magnitude of the difference in the underlying company data.Additional scoring options 8 variationsBenefits:Allowing expanded choice of the universe removes unnecessary sorting of companies for some users while allowing