超低利率与贸易战：澳大利亚如何看待陌生领域的深度探讨

1、ContentsTOC o 1-2 h z u HYPERLINK l _TOC_250012 Executive Summary3 HYPERLINK l _TOC_250011 How Low Will Central Banks Go?4 HYPERLINK l _TOC_250010 What Does a Lower Yield Environment Mean for Equities?6 HYPERLINK l _TOC_250009 Does the RBA influence the market PE?8 HYPERLINK l _TOC_250008 Estimating

2、 terminal growth rates9 HYPERLINK l _TOC_250007 Trade War Implications: Yields & AUD10 HYPERLINK l _TOC_250006 Volatility and Credit Risk12 HYPERLINK l _TOC_250005 Which companies face refinancing risk?13 HYPERLINK l _TOC_250004 Macro Factor Analysis16 HYPERLINK l _TOC_250003 How to Think About Posi

3、tioning17 HYPERLINK l _TOC_250002 Return attribution and positioning17 HYPERLINK l _TOC_250001 Valuations of sectors/styles and positioning18 HYPERLINK l _TOC_250000 Preferred sectors in a trade war19Executive SummaryPositioning for ultra-low ratesIn the last six months, the market has gone from pri

4、cing in 15bp of Fed hikes to about 4 rate cuts (UBSe: -50bp in July). Closer to home, the RBA has cut the cash rate to 1.00% in June and July, after keeping rates on hold for close to 3 years, with UBS expecting one more 25bp cut in November. The dovish shift by central banks has also seen global bo

5、nd yields approach record lows, with US 10-year bond yields dipping to 2%, & Australian 10-year bond yields now c.1.4%.In response to lower rates, global equities have rallied c. 15% in the year to date, with the ASX 200 gaining c.20% over the same period. The lower rates and growth outlook suggests

6、 defensive income from equities should do well as a style.In this note, we show that while Australian equities are pricing lower rates, the fall in bond yields should have pushed PEs even higher, all else equal. Using a dividend discount model, we estimate that the observed change in the forward PE

7、multiple implies the market has priced lower future growth assumptions relative to 2018, in-line with lower actual GDP growth. Since the start of the year, the Market (ex- Resources) PE has increased from 13.8x to 16.8x, but if we plug in the implied 2018 average growth rate we arrive at a higher c.

8、20 x forward PE.How to trade a trade warPart of the decline in global yields reflects fears about the US-China trade war. While the recent G20 meeting moderates the near-term probability of a trade war, risks remain. Although not the UBS base case, trade war escalation could result in a mild global

9、recession (see the recent HYPERLINK /shared/d2yvTyd1G0J Q-Series). Under such a scenario, the HYPERLINK /shared/d2d6wrU01xE RBA would likely cut to the zero lower bound (i.e. 0.25%), while Australian growth could slow to just 1.2% y/y in 2020, the worst since the 1991 recession.In a trade war scenar

10、io, UBS expects volatility to increase and for the S&P 500 to decline to 2,300. Given the correlation between US and Australian equities, this is likely to mean higher US volatility spills over to Australia (click HYPERLINK /shared/d2Wa23Zhz0Z here for an analysis of volatility and Fed tightening cy

11、cles). An increase in volatility and wider spreads are also more likely to impact lower quality stocks that are at higher risk of financial distress. We screen for stocks in Australia that could experience financial distress and credit rating downgrades.UBS expects US 10-year bond yields to rise to

12、2.3% by 2020 (base case), but a trade war could see US yields drop to 1.3%, dragging Australian 10 year yields to just 0.6% by 2020 (vs. base case of 1.3%). The AUD is seen falling to 66c by end- 19 (base case), while under a trade war escalation scenario, the AUD could fall to 63c. The impact is re

13、latively contained, as the race to the bottom by global central banks limits the downside driven by interest rate differentials, but we note USD strength is typically observed during risk off periods.In terms of sector performance in a trade war scenario, we see the Mining & Metals (bulks) and REITs

14、 sectors as likely to outperform, while the cyclical General Industrials and Energy sectors should underperform. We also use our Macrosense model to screen for sectors that could outperform under various macro scenarios.Central banks have turned dovish and bond yields have fallen as global growth we

15、akensBy not rallying more, the market has priced lower future growth assumptions relative to 2018While the G20 Summit reduces the probability of trade war escalation, risks to growth remainso we highlight stocks with increased risk of financial distressLimited downside to AUD from interest rate diff

16、erentialsOverweight Mining & Metals and REITsHow Low Will Central Banks Go?The Fed is set to cut 50bp in JulyUnless the data HYPERLINK /shared/d218Ez3iZLDWxF5 materially and consistently outperforms, our US economists now expect the HYPERLINK /shared/d2aYBgsF0y2 Fed to cut 50bp in July. They note th

17、e Fed is now less data dependent and more in risk-management mode, driven partly by weaker global growth momentum HYPERLINK l _bookmark0 (Figure 3).& the RBA should cut again in November to a record low 0.75%In Australia, the RBA should follow with another 25bp cut in November to a record low 0.75%.

18、 The domestic backdrop is weak, with unemployment trending up, growth slowing & inflation expectations around record lows. Despite APRAs reduction of the serviceability floor, factors including expense verification and the introduction of debt-to-income limits should continue to weigh on housing dem

19、and. The weakness in global trade and manufacturing is now also spilling over to Australian business conditions HYPERLINK l _bookmark1 (Figure 4).UBS expects the Fed to cut 50bp in Julyand the RBA to cut another 25bp in NovemberFigure 3: Weakening global growth could see a risk- management mode Fed

20、cut 50bp in JulyIndex% y/y (volume)7Fed funds rate cutsGlobal GDP (LHS)*Global PMI (advanced 3 months, RHS)65Figure 4: The weakness in global manufacturing is now also spilling over to Australian business conditionsIndexRBA rate cut cyclesAustralian NAB business conditions (LHS)* Global manufacturin

21、g PMI (RHS)Index623065592060564531055350f*247050144041-1045-138* UBS global GDP forecasts-235-2040-332980002040608101214161820-3035980002040608101214161820Source: Fed, FactSet, Haver, UBS, red line is neutral PMISource: NAB, Bloomberg, RBA, UBSThere is risk of more cuts if trade war escalatesWhile U

22、S tariff escalation is not the UBS base case, if escalation is not averted, then the global weighted average tariff will rise to 2003 levels; with the US up to 1947 levels HYPERLINK l _bookmark2 (Figure 5). UBS economists estimate global growth would be 75bp lower over the next six quarters and woul

23、d resemble a mild HYPERLINK /shared/d2dedudb09aiz global recession HYPERLINK l _bookmark3 (Figure 6), with growth slowing sharply further from 3% y/y now, to 2.5% y/y by end- 2019 a similar pace to that seen during the Eurozone crisis. Over half of the global growth impact is on innocent bystanders,

24、 with spill overs from lower US & China growth on supply chains & other trade restrictions HYPERLINK l _bookmark4 (Figure 7).Under escalation, the hit to Australian GDP will likely be larger than prior global downturns, because domestic momentum is already the HYPERLINK /shared/d23J1meTJCz weakest s

25、ince the GFC, driven by tighter credit. Further, monetary policy room is far smaller today given a starting point of record low rates, limiting AUD depreciation (UBSe AUDUSD 0.66 by end-19), albeit the better HYPERLINK /shared/d2nmnMGgJEun budget provides significant rom for fiscal stimulus. We see

26、GDP 30bps lower in 2019 (1.6%, vs base case 1.9%), & 120bps lower next year (1.2% vs 2.4%), under a trade war escalation scenario HYPERLINK l _bookmark5 (Figure 8).Weak domestic momentum may increase trade war impact on Australian GDPFigure 5: Unless a deal is struck between the US & China in the ne

27、ar term, the global weighted average tariff will rise to 2003 levels; with the US up to 1947 levelsUS contribution to global total China contribution to global total Avg applied weighted tariff globallyThe US accounts for 75% of the increase in the global weighted avg tariff in the last 2Addition fr

28、om US tariffs + retaliation (2018) years, (the other 25%Addition from US tariffs + retaliation (2019) is RoW retaliation tothose tariffs) pushingus back to 2003 levels%87654321Figure 6: We estimate trade escalation could lower the level of global GDP growth by 75bps over 6 quarters; a mild global re

29、cession similar to the Eurozone crisis092 94 96 98 00 02 04 06 08 10 12 14 16 18 20Source: UBS, World Bank, HaverSource: UBS, HaverFigure 7: Over half of the global growth impact is on innocent bystanders, with spill overs from lower US & China growth on supply chains & other trade restrictionsbp 0-

30、20-40-60-80-100-120-140Figure 8: Australian growth is likely hit hard under trade wars, with GDP 30bps lower in 2019 (1.6% y/y, vs base case 1.9%), & 120bps lower next year (1.2% vs 2.4%)Base caseReal GDPTrade wars escalation% y/y (volume)% y/y (volume)6655f*443322USChinaEuropeRoWWorld RoW growth el

31、asticityChina growth elasticity US growth elasticityHuawei2nd order effect1st order effect110007091113151719 Source: UBS, Haver compares level of GDP at end 2020 with & without tariffsSource: ABS, UBSUnder such an escalation scenario, the Fed could cut an additional 100bps (on top of the expected 50

32、bp cut in July), with the US economy flying dangerously low to the ground but avoiding a recession. The ECB and BOJ could push further into negative territory (-70bp and -25bp), while China could accelerate credit growth (adjusted TSF) to 13% y/y, but GDP would still fall below 6% y/y. The RBA could

33、 also cut an additional 50bp to just 0.25%, and likely contemplate HYPERLINK /shared/d2MYeC4f1K7pl7 unconventional HYPERLINK /shared/d2MYeC4f1K7pl7 monetary policy.Fed could cut an additional 100bps and RBA could also cut an additional 50bpWe note that the risk of an escalation in trade war tensions

34、 in the near-term has reduced following the G20 meeting, with the removal of restrictions on Huawei alone removing 40bp of downside risk for Chinese GDP HYPERLINK l _bookmark4 (Figure 7). However, with negotiations continuing, trade war escalation cannot be ruled out.What Does a Lower Yield Environm

35、ent Mean for Equities?The ASX 200 has now recorded its strongest half year rally since 1991 HYPERLINK l _bookmark6 (Figure 9), driven in part by the dramatic fall in bond yields over recent months HYPERLINK l _bookmark7 (Figure 10). Lower bond yields have also pushed up PE dispersions to the highest

36、 level since the GFC HYPERLINK l _bookmark8 (Figure 11) and the valuation of the Market (ex-Resources) is now at its highest level since 2001 HYPERLINK l _bookmark9 (Figure 12).Market (ex-Resources) PE is highest since 2001Figure 9: The ASX 200 has recorded its strongest half year rally since 199125

37、%20%15%10%5%0%-5%-10%-15%Jun-89 Jun-91 Jun-93 Jun-95 Jun-97 Jun-99 Jun-01 Jun-03 Jun-05 Jun-07 Jun-09 Jun-11 Jun-13 Jun-15 Jun-17Jun-19-20%Figure 10: driven in part by the dramatic fall in bond yields over recent months1891781671561451341231121019001030507091113151719* Based on 12-month forward EPS%

38、P/E (ASX100, LHS)*Australian 10-year bond yield (RHS)RatioASX 200 Market ex-Resources - half year return to 30 JuneSource: FactSet, Datastream, UBS, All Ords used when ASX 200 not availableSource: Datastream, I/B/E/S, UBSFigure 11: Lower bond yields have driven PE dispersions (80th percentile PE / 2

39、0th percentile PE) to a cycle high2.01.31.22006200820102012201420162018DispersionMedianFigure 12: and the valuation of the Market (ex- Resources) to its highest level since 200120181614121089799010305070911131517Market ex Resources P/EMedianSource: FactSet, Datastream, UBS, Market

40、ex-ResourcesSource: I/B/E/S, UBSIn the long-run, however, there appears to be diverging structural trends between bond yields and equities. In contrast to the sharp decline in bond yields over the past 20 years, the earnings yield (i.e. the inverse of PE) of the Market (ex- Resources) has shown litt

41、le sign of deviating from its historical 7% average HYPERLINK l _bookmark10 (Figure 13). As a result, there has been a widening trend in the estimated equity risk premium from c.2% in the early 2000s to c.6% today HYPERLINK l _bookmark11 (Figure 14).Figure 13: The earnings yield for the Market ex-Re

42、sources has remained relatively constant, despite falling yields12%10%8%6%4%2%0%19982001200420072010201320162019Figure 14: as a result, the estimated equity risk premium has increased over time9%8%7%6%5%4%3%2%1%0%19982001200420072010201320162019Real bond yieldReal bond yield trend Earnings yield Ave

43、rage Equity risk premiumEquity risk premium trendSource: Datastream, FactSet, UBSSource: Datastream, FactSet, UBSDespite the differing long-term trends observed between real yields and the equity risk premium, periods of falling real yields have generally led to positive returns in the Australian ma

44、rket HYPERLINK l _bookmark12 (Figure 15). Notably, even in the 12 months after real bond yields have bottomed, equities have generally rallied HYPERLINK l _bookmark13 (Figure 16).Divergence between 10-year real bond yield and PE means the ERP has increased over timeFigure 15: The Market (ex-Resource

45、s) tends to outperform while yields are falling (this cycle is around average)35%30%25%20%15%10%5%0%Figure 16: and in the subsequent 12 months after real yields have bottomed35%30%25%20%15%10%5%0%-5%Dec-97 to Nov-03 to Feb-11 to Nov-13 to Nov-15 to Sep-18 toSep-98 to Jan-06 toJul-12 to Apr-15 to Aug

46、-16 to?Sep-98Jan-06Jul-12Apr-15Aug-16Jun-19Sep-99Jan-07Jul-13Apr-16Aug-17Annualised return while yields are fallingAverageReturn in 12 months after yields bottomAverage Source: Datastream, FactSet, UBSSource: Datastream, FactSet, UBS, ? for this cycle as real yields still to bottomFigure 17: On aver

47、age, PE multiples expand even after real yields bottom (albeit not in the past two cycles)2.52.01.51.00.50.0-0.5-1.0-1.5Figure 18: EPS also continues to grow 12 months after real yields bottom12%10%8%6%4%2%0%-2%-4%Sep-98 to Jan-06 to Jul-12 to Apr-15 to Aug-16 to? Sep-99Jan-07Jul-13Apr-16Aug-17Sep-9

48、8 to Jan-06 to Jul-12 to Apr-15 to Aug-16 to? Sep-99Jan-07Jul-13Apr-16Aug-17Change in PE 12 months after yields bottomChange in EPS 12 months after yields bottomSource: Datastream, FactSet, UBS, ? for this cycle as real yields still to bottomSource: Datastream, FactSet, UBS, ? for this cycle as real

49、 yields still to bottomDoes the RBA influence the market PE?Clearly the Australian market has benefited from falling yields but wed like to see to what extent RBA rate cuts, specifically, have helped the market PE. In contrast to the observation that Fed rate cuts have generally HYPERLINK /shared/d2

50、AKeuEugm6 failed to help the market PE in the US since the early 2000s (also see a note on HYPERLINK /shared/d2PdtvJEvW the Fed Trap), we highlight RBA rate cuts, as well as dovish RBA sentiment, has led to PE expansion in Australia.Firstly, the direction of the last rate change seems to have some i

51、mpact on the PE. As HYPERLINK l _bookmark14 Figure 19 shows, RBA easing in the late 90s saw the PE expand by several PE points. Although there is no evidence of PE expansion during easing in the early 2000s, easing in the GFC, and the absence of hikes since 2011, has generally seen the PE rise. Conv

52、ersely, we see tightening in 1999 and in the late 2000s resulting in PE contraction. On average, the PE has expanded by 0.06 points each month (0.8 annualised) if the last rate change was a cut HYPERLINK l _bookmark16 (Figure 21).Comparing RBA sentiment to the PE shows similar trends HYPERLINK l _bo

53、okmark15 (Figure 20). We gauge RBA sentiment with natural language processing to form a score based on the number of words related to easing versus words related to tightening in the RBA minutes. On average, the PE has expanded by 0.09 points each month (1.1 annualised) if the RBA was dovish at the

54、last meeting HYPERLINK l _bookmark17 (Figure 22).On average, the PE has expanded if the last RBA rate change was a cutsimilar trends if RBA sentiment was dovishFigure 19: Direction of last rate change related to PEFigure 20: as is RBA sentiment*2020181816161414121210101997199920012003200520072009201

55、120132015201788202018181616141412121010200620072008200920102011201220132014201520162017201888Last change = HikeLast change = CutASX 100 PE (NTM)HAWKISHDOVISHASX 100 PE (NTM) Source: UBS, I/B/E/S, FactSetSource: UBS, I/B/E/S, UBS sentiment index based on RBA minutesFigure 21: Average monthly change i

56、n PE based on direction of last rate changeFigure 22: Average monthly change in PE based on RBA sentiment*0.080.06Change in PE points0.040.020-0.02-0.04-0.06-0.08-0.1Last change = HikeLast change = Cut Average monthly change in PE (NTM)0.120.1Change in PE points0.080.060.040.020-0.02-0.04-0.06Hawkis

57、hDovishAverage monthly change in PE (NTM)Source: UBS, I/B/E/S, FactSetSource: UBS, I/B/E/S, UBS sentiment index based on RBA minutesEstimating terminal growth ratesWe introduce a dividend discount model valuation for the Market (ex-Resources) to explain historical performance trends, where: = 12 + 1

58、2 12 1 + ( ) (1 + )Where = 1 10 + 10 Using actual index prices, an estimate for (cost of equity) and consensus estimates for forward dividends, were able to derive , the market implied terminal growth rate. = 12 12 (1 + ) 12 Notably, the implied growth rate in this simple dividend discount model tra

59、cks our measure of adjusted nominal GDP (real GDP + CPI ex tax) well HYPERLINK l _bookmark18 (Figure 23). It also suggests that markets have not only priced in falls in interest rates, but also the moderation in measured GDP growth over the past year HYPERLINK l _bookmark19 (Figure 24). The pattern

60、of interest rates and terminal growth rates moving together is typical, with historical patterns also suggesting that a 1% fall in bond yields is significantly offset by a 0.58% fall in the implied terminal growth rate HYPERLINK l _bookmark20 (Figure 25 & HYPERLINK l _bookmark21 Figure 26).Based on