中国股票模型组合：不确定市场环境下的微调

1、Global Research11 March 2020China Equity Model PortfolioUBS Evidence Lab inside: Fine-tuning amid uncertain market conditionsLower GDP growth may trim index EPS, but other factors may lend support Today, UBSs China macro team adjusts 2020 China GDP growth estimate from 5.4% to 4.8%, CPI from 3.3% to

2、 2.8%, nominal GDP growth from 6.7% to 6%, and Chinas 10-year government bond yield to 2.6%. Noting that listed EPS estimates are sensitive to nominal GDP growth and valuation multiples are sensitive to free risk rate, we trim our 2020 YoY EPS growth estimates for the CSI 300 and MSCI China from 10%

3、 to 9% and from 11% to 10%, respectively. Our index targets are unchanged on slight multiple expansion: CSI 300 (5,000/4,400/3,600 for upside/base/downside) and MSCI China (103/93/74 for upside/base/downside). Lower interest rates and commodity prices are fundamentally positive for Chinas economy. I

4、n H218-H119, the CSI 300 and MSCI China posted financial/non-financial net income of Rmb2.0/1.0trn and Rmb2.4/1.9trn, respectively. Our sensitivity analysis shows every 50bp cut in the lending rate on non-financial sectors debt will save Rmb1.26trn in annual interest payment.Our four investment them

5、es on track based on UBS Evidence Lab dataOur 2020 year-ahead report noted reform and innovation as main themes for China, both of which are being accelerated by the epidemic. Our four investment themes remain on track: 1) sector leaders, 2) LPR cut beneficiaries, 3) local innovators, and 4) SOE equ

6、ity incentive proxies. We provide updates on these themes backed by UBS Evidence Lab data in this report. 1) Rising SME/consumer credit risks as the outlook for jobs/income/SME viability weakens post the epidemic, 2) Accelerating innovations as Chinese governments will invest more in digital/IT infr

7、astructure and Chinese consumers are becoming more wired to the internet owing to the epidemic. 3) Beneficiaries of LPR cuts: we raise exposure to domestic market-focused value companies with high leverage, solid dividend yield, and positive EPS growth YoY in 2020 per UBS estimates. At Rmb15trn, tot

8、al interest expense paid by Chinas non- financials in 2019 equated to c80% of Chinas fiscal revenue and similar to total infrastructure investment (excluding electricity grid investments).Fine-tuning portfolio: overall constructive, interim peak likely in AprilWe forecast Chinese equities (A+H+US) t

9、o reach an interim peak in April/May on robust liquidity and easing measures. Further into 2Q, global demand and supply chain concerns may favour Chinas domestic-focused names. As of 9 March 2020, our model portfolio HYPERLINK l _bookmark0 (Figure 15) returned 0.3% YTD vs -6.3% for MSCI China, with

10、cumulative return since January 2019 at 21.6%, vs MSCI Chinas 16.4% HYPERLINK l _bookmark1 (Figure 17).ChinaEquity StrategyWendy Liu Strategist HYPERLINK mailto:wendy.m.liu wendy.m.liu+852-3712 3785Erin Zhang Strategist S1460519010002 HYPERLINK mailto:xiaoning.zhang xiaoning.zhang+86-213-866 8544Pul

11、an Li Associate Analyst HYPERLINK mailto:pulan.li pulan.li+852-2971 5578Lei Meng Strategist S1460517080001 HYPERLINK mailto:lei.meng lei.meng+86-213-866 8939(old)(new)MXCNConsumerXingyu(+), Midea, Li Ning(+), Anta(+), Wens(+), WH Group(+), GSX, TAL, Hualan Bio, Sino Biopharm, PAGD, Mindray18.1%20.3%

12、16.4%OWFinancialsPSBC(+), Huatai-H, Ping An, CPIC-H, PICC P&C, COLI, Vanke, Poly Property Mgt(+), Country Garden Srv(+)13.4%17.0%25.1%UWCyclicalsEstun, NARI(+), CNBM, Yuhong, SZ Airport11.2%7.9%10.2%UWITAlibaba, Tencent, PDD(-), NetEase, iQiyi, Meituan(+), JD(+), Bilibili(+), Dahua, Wuxi Lead(+), Yo

13、nyou(+)46.1%45.5%42.3%OWDefensivesChina Mobile, China Tower, CCS(+),China Telecom(+),CR Power, Datang-H(+),Huaneng-H(+),Yangtze Power ,SZ Gas6.3%9.1%6.0%OWCash5.0%0.2%-CategoryModel portfolio stock picks ( +/-1% weight changes and newly added stocks denoted)WeightWeightMXCNRel.Note: * Our model port

14、folio sector weighting is based on our top-down views and the availability of stock picks. * For consumer-related sectors, we overweight education and healthcare. Source: UBS estimates HYPERLINK /investmentresearch /investmentresearchThis report has been prepared by UBS Securities Asia Limited. ANAL

15、YST CERTIFICATION AND REQUIRED DISCLOSURES BEGIN ON PAGE 29. UBS 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 consi

16、der this report as only a single factor in making their investment decision.2020E index targets: lower nominal GDP growth to trim index EPS, but other factors to lend supportMSCI China: MSCI China declined from the recent peak of 87.5 on 17 February to80.22 as of 9 March 2020, partly amid market fea

17、rs concerning the spread of COVID-19 around the globe and the resultant disruption to the global demand, global supply chain and global growth and the largest single day percentage decline in crude prices since 1991 over March 9th.Our bottom-up estimates on MSCI China EPS YoY growth in 2020 now stan

18、d at 10% in our base case, 100bp lower from the 11% we previously forecast. That said, we believe more abundant liquidity and lowered yield on Chinas 10-year government bond could support valuation expansion, and thus we leave our year- end targets unchanged.We understand from our sector analysts th

19、at as many listcos have not changed their full-year sales targets, potential downside from the COVID-19 outbreak is yet to be fully reflected in 2020 EPS estimates. Historical data suggest that every 100bp decline in Chinas nominal GDP corresponds with a 150bp decline in MSCI Chinas EPS YoY growth.

20、As the UBS China economics team has revised down its 2020E nominal GDP growth estimate to 6% from 6.74%, MSCI China EPS YoY growth may take a 111bp hit. We believe this is well captured by the 6% YoY EPS growth assumption in our downside case, which also assumes additional uncertainty from the China

21、-US trade friction.Figure 1: MSCI China year-end target forecastMSCI China (MXCN)103+14%15.8xUpside:+28%93+10%14.8xBase:+16%80.2274+6%12.2xDownside: -8%as of 9 Mar 2020Year- end target110105100959085807570652020E EPSy-y2020EP/E implied201820192020Source: Thomson Reuters, Datastream, UBS estimatesCSI

22、 300: The A-share market fell sharply on the first trading day after the Chinese New Year (CNY) holiday due to the coronavirus outbreak, then gradually stabilised and rebounded on declining new cases and eased liquidity conditions. Despite the recent global market volatility, A-shares have been rela

23、tively resilient as the virus looks to have been contained in China. A higher level of work resumption along with strong retail investment sentiment has supported the market, in our view.Historical data suggests that for every 1% decline in Chinas nominal GDP growth, CSI 300s EPS growth could declin

24、e by 3.5%. Our bottom-up estimate of CSI 300 EPS YoY growth in 2020 now stands at 7% in our base case, 300bp lower than the 10% previously forecast. We maintain our year-end target for CSI 300 at 4,400, as we expect lower rates and policy support could lift valuations. Q1 economic and earnings data

25、will be released from mid-April. We expect downward earnings revisions in the upcoming earnings season, as we believe sell-side analysts have yet to fully reflect the impact of the outbreak on earnings in 2020E.Figure 2: CSI 300 year-end target forecastSource: Wind, UBS estimates2523211917151311975

26、Figure 3: MSCI China: FY1 PEFigure 4: CSI 300: trailing PE+1 SD 14.2xCurrent 12.2x Median 11.8x-1 SD 9.3xSource: IBES, Datastream, UBSSource: Wind, UBSFigure 5: MSCI China: FY1 P/BVFigure 6: CSI 300: trailing P/BV4.5x4.0 x3.5x3.0 x2.5x2.0 x 1.5x+1 SD 2.0 xCurrent 1.6x Median 1.5x1.0 x0.5x0.0 x -1 SD

27、 1.1xSource: IBES, Datastream, UBSSource: Wind, UBSHang Seng Index (HSI): The HSI index is a hybrid of Chinese equities and local HK equities. Similarly to the MSCI-China, we trim index-level 2020E EPS growth forecast in the upside/base cases by around -1% to 5.5%/3.5 from 6.4%/4.5%. But we slightly

28、 expand P/E multiple in anticipation of better liquidity and lower yield outlook. The PE multiple in our upside case (11.5x) is at its historical median since end-2007 (c11.4x), while the PE multiple in our downside case is at around half of a standard deviation below the historical mean.Figure 7: H

29、ang Seng index year-end target forecastHang Seng Index36,00034,0002020E EPSgrowth2020Eimplied PE32,00030,0005.5%11.5xUpside:18%28,2003.5%11.1xBase:11%25,2001.5%10.1xDownside:-1%30,00028,00026,00024,00022,00025392.51 (as of10 March 2020）2018201920202020E YE index targetSource: Thomson Reuters, Datast

30、ream, UBS estimatesMSCI Hong Kong (MXHK): For the MXHK, we reiterate our view in our 2020 year-ahead outlook note that we are cautious on both the valuation and the asset value of the MXHK constituents. We reiterate our 2020 year-end index targets at 14,500/15,700/13,000 for base/upside/downside sce

31、narios, implying 1.11x/1.15x/ 1.02x 2020E P/BV.Figure 8: MSCI Hong Kong year-end index target forecastMSCI Hong Kong14210.9March3 (as of 92020)18,00017,50017,00016,50016,0002020EBPS growth2020Eimplied P/BV15,50015,00014,50014,00013,50013,00012,50015,70014,50013,0004.0%1.15x2.0%1.11x-1.0%1.02xUpside:

32、Base:Downside:+10%2%-9%201820192020Source: Thomson Reuters, Datastream, UBS estimates2020E YE index targetFigure 9: HSI: FY1 PEFigure 10: MSCI Hong Kong: FY1 PE23211917151311975 13.3x (+1SD)11.4x (Median) 10.8x (Current)9.4x (-1SD)17.6x (+1SD)232119171513 1197515.8x (Median) 14.9x (Current)13.9x (-1

33、SD)Source: IBES, Datastream, UBSSource: IBES, Datastream, UBSFigure 11: HSI: FY1 P/BVFigure 12: MSCI Hong Kong: FY1 P/BV3.532.52 1.51 0.501.68x (+1SD)1.34x (Median) 1.14x (Current) 0.99x (-1SD)1.49x (+1SD)2.521.5 1 0.501.28x (Median)1.11x (Current) 1.07x (-1SD)Source: IBES, Datastream, UBSSource: IB

34、ES, Datastream, UBSFigure 13: HSI: FY1 dividend yieldFigure 14: MSCI Hong Kong: FY1 dividend yield7.0%7.0%6.0%6.0%5.0%5.0%4.0% 4.0% (+1SD)3.7% (Current)4.0% 4.0% (+1SD)3.5% (Median)3.0% 3.5% (Median)3.1% (-1SD)3.0% 3.4% (Current)3.1% (-1SD)2.0%2.0%1.0%1.0%Source: IBES, Datastream, UBSSource: IBES, D

35、atastream, UBSKey changes to UBS China equity model portfolioOne apparently permanent change in China post the epidemic is that the government (both central and local) will likely invest more in the digital/IT infrastructure necessary to improve public services. Meanwhile, Chinese consumers are goin

36、g through a digitalisation boot camp with likely lasting changes. We add data/ultra-high voltage equipment, selected online service platforms, enterprise software, and property management service providers to our model portfolio.We selectively add domestic-market focused value plays with high levera

37、ge, high yield, and positive EPS growth in 2020 per our analyst estimates. IPPs and telcos are represented for this purpose.As the coronavirus spreads globally, we prefer listings with large China domestic-market focus and limited overseas exposure to avoid potential weakness in overseas demand.We a

38、dd one SOE bank to our model portfolio for its lower valuation, stronger yield and higher EPS growth over joint stock banks in 2020, based on our analyst forecasts.The UBS Evidence Lab data indicates greater-than-expected willingness to buy autos post the epidemic plus heightened awareness of EV, pa

39、rticularly Tesla, which we also express in this round of model portfolio adjustment.Figure 15: UBS China equity model portfolio as of 9 March 2020RICCompany NameWeighting*Old (9 MarMXCN2020)+/-%*(Pro- forma)Mkt cap 3m ADT (USD (USDbn)mn)UBS RatingClose price (LC)UBS TP (LC)PER (x)19E20EPBR (x)19E 20

40、EEPS (CNY)19E20EEPS growth (%)19E20EDiv Yld19EConsumer16.4%18.1%20.3%2238.HKGuangzhou Automobile1.6%-1.6%3.532Buy8.81.0-%601799.SS Xingyu Lighting1.8%1.8%4.121Buy103.1118.038.531.03.3%2313.HKShenzhou2.3%-2.3%19.241Buy99.1127.014.6

41、19.82.0%000333.SZ Midea Group2.4%1.5%55.7236Buy55.363.016.714.62.9%2331.HKLi Ning0.5%6.941Neutral21.826.533.60.60.796.021.00.8%2020.HKAnta Sports Products1.0%1.0%22.175Buy63.788.728.02.02.7%300498.SZ Wens Foodstuff Group2.0%2.0%26.5167Buy34.751.713.1

42、6.04.0255.6117.35.1%0288.HKWH Group1.5%2.0%15.038Buy7.99.513.039.24.6%EducationGSX.NGSX1.6%2.0%9.730Buy40.640.075.230.929.7174.6143.2-TAL.NTAL*2.5%2.5%32.454Buy54.768.065.442.012.428.556.1-Health Care002007.SZHualan Biological2.2%1.5%8.6129Buy42.842.041

43、.61.01.0%1177.HKSino Biopharm2.1%1.5%18.467Buy11.413.234.00.30.325.014.30.4%1833.HKPAGD1.5%2.0%10.061Buy72.890.0-54.6-107.06.111.4-0.7-0.619.511.50.0%300760.SZShenzhen Mindray1.9%2.0%45.4170Buy259.2283.068.055.117.024.723.40.4%Financials25.1%13.4%17.0%Banks16

44、58.HKPSBC3.0%3.0%12.718Buy5.00.8%Securities6886.HKHuatai - H2.5%2.5%3.014Buy13.417.80.91.01.059.04.33.7%Insurance2318.HKPing An Insurance2.9%2.5%81.4384Buy85.0115.0%2601.HKCPIC - H1.4%1.5%8.754Buy24.335.0%

45、2328.HKPICC P&C2.4%1.5%23.227Buy6.21.055.55.03.8%Real Estate0688.HKCOLI2.0%1.5%36.355Buy25.84.217.918.84.6%000002.SZChina Vanke2.3%1.5%43.1386Buy30.83.9%6049.HKPoly Property Development1.5%1.5%4.827Buy67.074.736.61.61.3-52.

46、0-20.30.4%6098.HKCountry Garden Services1.5%1.5%10.723Buy30.833.847.938.613.451.826.90.5%Cyclicals10.2%11.2%7.9%Industrials0586.HKConch Venture1.0%-1.0%8.724Buy37.543.018.55.01.7%603338.SSZhejiang Dingli1.7%-1.7%3.421Buy67.882.441.91.62.325.839.30.4%300124.SZShe

47、nzhen Inovance1.6%-1.6%7.350Neutral29.132.348.438.06.0-16.627.60.6%002747.SZEstun1.0%0.5%1.427Buy11.914.0118.40.10.2-3.3126.80.5%600406.SSNARI Technology1.7%1.7%14.679Buy21.928.32.91.01.213.919.32.0%Materials3323.HKCNBM2.3%2.0%9.742Buy8.91.5

48、%002271.SZYuhong Waterproof1.9%2.0%7.178Buy33.335.023.91.41.738.320.41.2%Transports000089.SZShenzhen Airport1.7%1.7%2.529Neutral0.30.3-11.9-8.41.0%Internet & Tech42.3%46.1%45.5%InternetBABA.NAlibaba Group*9.6%10.0%530.3803Buy197.7275.028.048.358.125.820.3-0700

49、.HKTencent10.6%10.0%470.91016Buy383.0460.06.110.012.124.020.70.4%PDD.OPinduoduo7.7%-3.2%4.5%42.4224Buy36.546.0-63.8250.218.615.7-4.01.014.8125.7-NTES.ONetEase6.9%6.0%41.5247Buy321.3370.014.918.03.33.4120.5123.0%IQ.OiQIYI3.4%4.0%14.5178Buy20.026.0-11.3-16.011.932.8-12.2-8.623.029

50、.30.0%3690.HKMeituan Dianping2.0%2.0%64.6339Buy98.8110.0153.30.51.5116.4195.20.0%JD.OJD.com2.0%2.0%58.5521Buy39.953.037.37.28.2%BILI.OBilibili2.0%2.0%8.1129Buy25.131.0-52.1-38.27.09.5-3.3-4.6-81.0-37.40.0%Technology0981.HKSMIC3.3%-3.3%9.4175Sell (CBE)14.310.038.8-99.7

51、1.51.00.3-0.166.5-136.8-601231.SS USI2.2%-2.2%6.6133Buy21.023.036.351.50.01002236.SZ Dahua2.4%2.5%8.4190Buy19.526.118.71.01.420.031.50.01300450.SZ Wuxi Lead1.5%1.5%6.3146Buy49.363.543.31.11.616.839.20.6%600588.SS Yonyou1.0%1.0%16.3187Buy45.350.0110.897.815.914

52、.30.40.566.613.20.5%Defensives6.0%11.4%9.1%Telecom0941.HKChina Mobile (HK)1.4%0.8%153.2170Buy58.280.0-9.42.05.5%0788.HKChina Tower1.1%1.0%43.0106Buy1.92.41.60.00.081.731.71.0%0552.HKCCS1.0%1.0%5.414Buy6.17.311.910.73.0%0728.HKChina Telecom0.8%29.027Buy

53、0.20.3-5.04.74.6%IPPs0836.HKChina Resources Power0.9%1.0%5.78Buy47.26.4%0991.HKDatang International Power1.0%1.0%0.91Buy1.21.9-8.4130.82.5%0902.HKHuaneng Power International1.0%1.0%1.813Buy3.05.57.00.40.6168.756.510.4%Renewabl

54、e energy600900.SSYangtze Power1.5%1.0%55.958Buy17.623.617.41.01.1-%Gas601139.SSShenzhen Gas1.5%1.5%2.814Buy6.79.416.013.92.017.414.52.6%Cash5.1%-4.9%0.2%Autos, Auto Parts & TrucksConsumer DiscretionaryConsumer StaplesNote: Share prices of A-shares and HK-listed stocks as

55、 of 10 March 2020. Share prices of US ADRs as of 9 March 2020. Past performance is not an indication of future results. Valuation and estimates are based on UBS forecasts. *Only weighting changes over 1% are displayed. * For Alibaba and TAL, valuations and forecasts are for 2020-21.Source: Thomson R

56、euters, Datastream, UBS estimatesFigure 16: Sector weightings after our latest adjustment OW UW UW OW OW60%ConsumerFinancialsCyclicalsInternet& TechDefensives50%40%Latest model portfolio weightingBenchmark weighting30%20%10%0%Note: Benchmark refers to MSCI China. Benchmark weighting data as of 9 Mar

57、ch 2020. Source: Thomson Reuters, Datastream, UBS estimatesFigure 17: Model portfolio performance since initiationFigure 18: Tracking indicatorsPortfolio: 21.6%MXCN: 16.4%(as of 09-Mar-2020)40%35%30%25%20%15%10%5%0%-5%Alpha0.04-0.040.04Beta0.670.740.65Mean excess return7.99-64.29306.29Information ra

58、tio0.43-4.5813.54Tracking Error13.1211.3512.63 TotalBullBear Note: The performance returns are based on total return (capital appreciation plus dividends) but excluding transaction costs such as commissions, fees, margin interest and interest charges. Actual transactions adjusted for such transactio

59、n costs will result in reduced total returns. Prices of stocks in this performance reflect closing prices. A complete record of all the recommendations upon which the report is based is available from UBS upon written request. Past performance is not a reliable indicator of future results. Data as o

60、f 9 March 2020.Source: Bloomberg, Datastream, UBS estimatesNote: We use MCHI US as a proxy to MSCI China for tracking indicator calculation. The performance returns are based on total return (capital appreciation plus dividends) but excluding transaction costs such as commissions, fees, margin inter