通货膨胀和增长对股票因素的影 响

1、Global Research | 14 April 2021Quantitative MonographsInflation and Growth Impact on Equity FactorsGlobalQuantitative EquitiesInflation risks have drastically increased and remain elevatedIn the recent inflation Q-series The Inflation Compendium and The Inflation Compendium (II), UBS Economics and S

2、trategy teams lay out our sub-consensus view on inflation. They also identify (a) heightened margins of error to that view and more generally (b) higher risk of inflation becoming a more dominant macro driver in the near term. Now more than ever, investors are pressed to review the inflation risk in

3、 their portfolios. To help investors navigate the inflation risk, the Inflation Compendium presents an extensive macro-economic framework based on breakeven inflation. By focusing on the recent history, their model is able to capture the currently most relevant economic relationships to inflation.Fo

4、cus on the longer term: three key conclusionsIn this paper, however, we take an even longer term perspective by looking at the past 100 years. It allows us to model more drastic moves in inflation and explore investment implications should inflation once again become more dominant for a prolonged pe

5、riod. Our long term historical analysis suggests (1) inflation is negative for equities - that is for inflation outcomes typical for the last century rather than the subdued inflation of the last 20 years. (2) The negative correlation between stocks and bonds becomes positive when inflation volatili

6、ty increases; and the diversification benefit of stocks and bonds that we have relied upon for the past 20 years diminishes. (3) Equity factors that are generally believed to be impervious to macro regimes over longer periods of time do exhibit large macro exposures over shorter time periods. We pro

7、pose here how to manage the macro-risk embedded in equity factors from long term inflation.Macro model based on investor expectations of inflation and growthWe extend on our recent work in Cross-Asset Strategies through a Macro Lens to equities in this paper. Our macro model extracts changes of inve

8、stor expectations of inflation and growth from asset prices over the past 100 years. The model is useful not only in explaining asset returns and volatilities but more importantly in capturing the time-variation of asset correlations. Put in the historical perspective, we highlight that the current

9、elevated risk from inflation - as atypical as it seems in the context of the past 20 years - was indeed the norm for the most part of the past century.Stocks lists with highest inflation betasWhen dealing with inflation, investors have a choice to either (a) express their inflation views by selectin

10、g assets that benefit from rising inflation or (b) in the absence of a conviction view, hedge out the embedded macro exposures. For the former, our macro- model provides long term inflation betas for individual stocks as well as for countries and industry sectors.To hedge or not to hedgeEquity facto

11、rs are relatively balanced with respect to their macro exposures - that is if measured over long periods of time. At each point in time however, they can exhibit outsized exposures to macro factors. We propose hedging these macro-exposures out for factors such as Value, Growth and Size. These factor

12、s take unrewarded macro risks and hedging yields a substantial improvement in their Sharpe of up to 0.14. For the Momentum factor on the other hand, timing macro factors is a key return driver. Instead of hedging, we construct a macro trend strategy that delivers a consistent Sharpe of 0.69.Andreas

13、Schroeder, CFAAnalyst HYPERLINK mailto:andreas.schroeder andreas.schroeder+44-20-7568 4432Paul WinterAnalyst HYPERLINK mailto:paul-j.winter paul-j.winter+61-2-9324 2080Claire JonesAnalyst HYPERLINK mailto:claire-c.jones claire-c.jones+44-20-7568 1873Amanda JorgensenAnalyst HYPERLINK mailto:amanda.jo

14、rgensen amanda.jorgensen+44-20-7568 3072Oliver Antrobus, CFAAnalyst HYPERLINK mailto:oliver.antrobus oliver.antrobus+61-3-9242 6467Fabrice Schloegel, PhDAnalyst HYPERLINK mailto:fabrice.schloegel fabrice.schloegel+852-2971 6118Michael GrayAnalyst HYPERLINK mailto:michael-f.gray michael-f.gray+1-212-

15、713 1313James CameronAnalyst HYPERLINK mailto:james-a.cameron james-a.cameron+61-2-9324 2074This report has been prepared by UBS AG London Branch ANALYST CERTIFICATION AND REQUIRED DISCLOSURES, including information on the Quantitative Research Review published by UBS, begin on page 25. UBS does and

16、 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 decisi

17、on.Contents HYPERLINK l _TOC_250016 Executive Summary - Dealing with Elevated Inflation Risks 3 HYPERLINK l _TOC_250015 Macro Model 4Inflation, Growth and Risk Appetite as Macro Drivers 4 HYPERLINK l _TOC_250014 Macro Factor mimicking Portfolios 6 HYPERLINK l _TOC_250013 Macro Model 7 HYPERLINK l _T

18、OC_250012 Implications for Traditional Long/Only Portfolios 8 HYPERLINK l _TOC_250011 Differences to our Strategist Model 8 HYPERLINK l _TOC_250010 Equity Factors through a Macro Lens 10 HYPERLINK l _TOC_250009 Equity Factors 10 HYPERLINK l _TOC_250008 Macro Factors since 2000 11 HYPERLINK l _TOC_25

19、0007 Macro Exposures 12To hedge or not to hedge 14 HYPERLINK l _TOC_250006 Macro Trend Following 16 HYPERLINK l _TOC_250005 High Inflation Beta Screens 18 HYPERLINK l _TOC_250004 Conclusion 18 HYPERLINK l _TOC_250003 References 20 HYPERLINK l _TOC_250002 Appendix 22 HYPERLINK l _TOC_250001 Required

20、Disclosures 25 HYPERLINK l _TOC_250000 Global Disclaimer 27Andreas Schroeder, CFAAnalyst HYPERLINK mailto:andreas.schroeder andreas.schroeder+44-20-7568 4432Paul WinterAnalyst HYPERLINK mailto:paul-j.winter paul-j.winter+61-2-9324 2080Claire JonesAnalyst HYPERLINK mailto:claire-c.jones claire-c.jone

21、s+44-20-7568 1873Amanda JorgensenAnalyst HYPERLINK mailto:amanda.jorgensen amanda.jorgensen+44-20-7568 3072Oliver Antrobus, CFAAnalyst HYPERLINK mailto:oliver.antrobus oliver.antrobus+61-3-9242 6467Fabrice Schloegel, PhDAnalyst HYPERLINK mailto:fabrice.schloegel fabrice.schloegel+852-2971 6118Michae

22、l GrayAnalyst HYPERLINK mailto:michael-f.gray michael-f.gray+1-212-713 1313James CameronAnalyst HYPERLINK mailto:james-a.cameron james-a.cameron+61-2-9324 2074Quantitative MonographsUBS ResearchExecutiveSummary-Dealingwith Elevated Inflation Risks2020 was a year of an extraordinary COVID related gro

23、wth and inflation shock and extreme fiscal and monetary stimulus followed by the vaccine-supported growth prospects (albeit in a form of a K-shaped recovery) and reflationary optimism. All this happened against the pre-existing macro-economic and political backdrop of a decade long abundance of liqu

24、idity, (near) zero interest rates and diminishing effectiveness of the monetary policy and quantitative easing as well as structurally lower growth, aging demographics, rising populism, trade war and the reversal of globalisation. And so it comes as no surprise that markets become increasingly worri

25、ed about inflation and central banks ability to keep it in check without jeopardising prospects of a recovery.In the recent inflation Q-series The Inflation Compendium and The Inflation Compendium (II), our Economics and Strategy teams addressed a number of the most important questions with respect

26、to inflation and build a strong case for inflation to land below both central bank targets and market consensus. To arrive at their view, our Economists and Strategist decompose inflation drivers into sub-components from the perspectives of economic recovery, the central role of the Fed and other ce

27、ntral banks, the commodity prices and the strength of the dollar.The authors also compare the current environment to that following the Global Financial Crisis and draw parallels to the effectiveness of central banks to spur growth and combat inflation with respect to the level of interest rates, th

28、e size of the central banks balance sheets, and the amount of liquidity injected into the system. They highlight the usefulness and the limits of central banks main inflation tool - the Phillips curve.The Inflation Compendium concludes by pointing out heightened margins of error to their view and mo

29、re generally higher risk of inflation surprises. Given this outlook, investors are increasingly becoming worried about their inflation exposures and rightly so.To help investors navigate inflation and inflation risk, in this paper we extend on our longer term maco-model described in Cross-Asset Stra

30、tegies through a Macro Lens to equities. Our macro-model extracts growth and inflation expectations from asset returns rather than from breakeven rates and therefore spans over 100 years. The model explains asset returns well, but more importantly, it also captures the time-variation in asset volati

31、lities and correlations.We highlight the importance to consider a much broader set of economic outcomes than those experienced over the past 20 years when inflation was anchored at 2% and derive three key investment implications.Firstly, we find that despite the empirical evidence over the last 20 y

32、ears where inflation was anchored around 2% and small increases of inflation benefited equities, our longer term analysis suggests, rising inflation hurts equities.Our model also suggests that when inflation becomes more dominant, stock/bond correlations turn positive. This has a major impact on the

33、 diversification in the traditional 60/40 allocations that we got accustomed to over the past 20 years.Finally we discuss macro exposures of equity factors and confirm a common finding that equity factors are relatively balanced with respect to their macro exposures - that is if measured over long p

34、eriods of time. At each point in time however, they can exhibit outsized exposures to macro factors. We propose hedging these macro-exposures out for factors such as Value, Growth and Size. These factors take unrewarded macro risks and hedging yields a substantial improvement in their Sharpe of up t

35、o 0.14. For the Momentum factor on the other hand, timing macro factors is a key return driver. Instead of hedging, we construct a macro trend strategy that delivers a consistent Sharpe of 0.69.Extraordinary year 2020Inflation Compendium answers key investor questions with respect to inflationInflat

36、ion risks are elevatedLong term macro model based on investor expectations of growth and inflationLooking beyond the anchored inflation expectationsEquities are negatively impacted by inflationNo more diversification benefit for stocks and bondsEquity factors are relatively well balanced. over long

37、horizons but have significant short term macro-exposuresMacro ModelIn Cross-Asset Strategies through a Macro Lens we developed a macro model based on inflation, growth and risk appetite as the main macro risk drivers of risk and return of a broad range of assets. In this section we recap the main pi

38、llars of the model and refer the reader to the original publication for the full details.Figure 1 and Figure 2 offer a qualitative summary of the economic relationship between various asset classes and inflation and growth. We outline the rational along with the empirical evidence in the following f

39、ew paragraphs.Figure 1: Impact of Growth and InflationAssetTickerAsset ClassGrowth InflationMetalsSPGCINTR Commodities+EnergySPGCENTR Commodities+AgsSPGCAGTR Commodities+Live StockSPGCLVTR Commodities+S&P 500SPTREquities+MSCI WorldNDDLWIF Equities+MSCI EMNDUEEGF Equities+HY Corp USLF98ERCredit+WGBI

40、USSBUSLNominal BondsWGBI WorldSBWGLNominal BondsTIPSBCIT1UInfl Linked+Infl Linked World BCIW1UInfl LInked+Precious Metals SPGCPMTR Commodities+Source : UBS Quants, BloombergFigure 2: quadrantsQuadrant 2S&P 500MSCI World MSCI EMHY Corp USQuadrant 3WGBI USWGBI WorldQuadrant 1 Metals EnergyAgsLive Stoc

41、kGrowthInflation Quadrant 4TIPSInfl Linked World Precious MetalsSource : UBS QuantsInflation, Growth and Risk Appetite as Macro DriversEquities are generally perceived as growth assets as higher economic growth typically translates into a combination of rising revenues, wider profit margins and incr

42、eased profits for individual companies. When investors expectations of growth rise, the prospects of the increased future profits make stocks a great investment. As investors pile into stocks, their prices are bid up and the returns increase.We provide empirical evidence for this relationship in Fig

43、ure 3. In the left chart we plot the performance of S&P 500 conditional on the growth regimes (1) over the past 100 years. The overall strong performance of S&P 500 (in blue) has been overwhelmingly realised during the rising growth regimes (in green) while moving sideways in falling growth periods

44、(orange).Equities =+ Growth- Inflation1. In this analysis, we used year-on-year changes in US Real GDP and US CPI time series from GFD Finaeon and defined the up regime for growth and inflation when the current year-on-year change was positive vs. its 12-month moving average; and the down regime res

45、pectively.Figure 3: Performance of Equities conditional on macro regimesSource : UBS Quants, Bloomberg, GFD FinaeonFigure 4: Performance of US nominal government bonds in macro regimesSource : UBS Quants, Bloomberg, GFD FinaeonIn the right chart, we observe that the performance of S&P 500 conditiona

46、l on rising vs. falling inflation was the opposite, equities achieved most of their performance in periods of falling inflation; while rising inflation periods only contributed marginally.The economic linkages to inflation are more complex. On one hand, company assets are typically real assets and s

47、tocks are claims on these real assets, and therefore stock prices should be resilient to changes in inflation. On the other hand, higher than expected inflation typically weighs down on companies profit margins as input prices rise faster than output prices. This generally leads to lower profit marg

48、ins and is bearish for equities.Nominal bond yields comprise real yields and inflation (and their respective risk premia). Rising real growth leads to higher real yields and therefore to lower bond prices and low/ negative returns. Similarly higher inflation, too, causes nominal yields to rise and b

49、onds to sell off. The empirical evidence is shown in Figure 4.Inflation linked bonds (such as TIPS in the US) share the same real growth component as nominal bonds, but they differ fundamentally in their relationship to inflation. Since inflation linked bonds pay out realised CPI/RPI plus a spread,

50、their payouts are inherently inflation hedged. Therefore in periods of rising inflation, inflation linked bonds are one of the few safe havens along with other real assets. Increased demand for inflation protection pushes their prices up. Inflation linked bonds offer the cleanest way to measure infl

51、ation expectations in isolation. Unfortunately inflation linked bonds only started trading in the 80s in the UK and in late 90s in the US.With commodities, we differentiate raw materials such as energy, industrial metals and agricultural commodities and precious metals as stores of value. As far as

52、raw materials are concerned, they are one of the inputs into the production process and rising growth generally translated into higher demand for raw materials which cannot be met by long term supply planning.Nominal Bonds =GrowthInflationInflation Linked Bonds =Growth+ InflationCommodities =+ Growt

53、h+ InflationAs for inflation, rising commodity prices translate in higher input prices and are propagated as higher output prices which causes inflation. More specifically, energy is a direct component of inflation and as such energy prices are directly linked to inflation.Gold and other precious me

54、tals on the other hand are considered safe havens and are used as store of value (if one keeps the industrial use of some precious metals out of the equation). As such they also appreciate when inflation increases. However, in high growth regimes they do not offer high enough returns and therefore s

55、ell-off in favour of more growth oriented assets.Macro Factor mimicking PortfoliosWe back out the time series of investor expectations for growth and inflation by conveniently building factor mimicking portfolios from assets that benefit from rising and falling growth and inflation. To that end, we

56、first construct four portfolios corresponding to the quadrants in Figure 2. (2) Figure 5 shows the performance of the quadrant portfolios.Our growth mimicking portfolio then goes long the rising-growth quadrants 1 and 2 and short falling-growth quadrants 3 and 4. Similarly our inflation mimicking po

57、rtfolio goes long rising-inflation quadrants 1 and 4 vs. a short position in falling-inflation quadrants 2 and 3. Please see Cross-Asset Strategies through a Macro Lens for more details on the construction of the portfolios and their advantages with respect to stable correlations and relative volati

58、lities within each quadrant.In addition, we capture the general performance of risky assets by combining all quartile portfolios in equal parts - this is our proxy for investors risk appetite and includes the accrual of various risk premia. Figure 5 and Figure 6 plot the performance of the quadrant

59、portfolios and our macro factor mimicking portfolios respectively.Precious Metals =Growth+ InflationGrowth = assets that benefit from rising growth - assets that benefit from falling growthInflation = rising inflation assets - falling inflation assetsRisk appetite = average asset performanceFigure 5

60、: Performance of quadrant portfoliosFigure 6: Performance of macro portfoliosSource : UBS Quants, Bloomberg, GFD FinaeonSource : UBS Quants, Bloomberg, GFD FinaeonFigure 7 shows the current asset weights of macro portfolios.2. In each quadrant, we inverse volatility weight assets using volatilities