9 Week 4 of September, the cost-effectiveness and trading opportunities of major asset categories:
Equity - the deterioration of the external environment drags down short-term sentiment, and the medium-term logic is still expected to return to economic recovery
Bonds - the bond market has not changed much
Commodities - the volatile pattern of crude oil has not changed
Exchange rate - the RMB depreciation is close to the second target
overseas - the weak transaction is excessive, returning to tightening trading
Previous report: Risk pricing | The congestion of value style continues to rise (Tianfeng Macro Song Xuetao)
text: Tianfeng Macro Song Xuetao/Contact Lin Yan
Figure 1: Return on various assets in the third week of September (%)
Source: Wind, Tianfeng Securities Research Institute
Figure 2: Risk premium of various assets/strategy in the fourth week of September
Source: Wind, Tianfeng Securities Research Institute
Figure 3: Risk premium for various overseas assets/strategy in the fourth week of September
Source: Wind, Tianfeng Securities Research Institute
Note: Equity risk premium indicates the risk-return ratio of stocks, and risk premium higher indicates the higher the risk-return ratio;
liquidity premium is the market's price map for the current liquidity tightness;
liquidity expectation is the market's expectations for the forward liquidity tightness.
1, Equity: Deterioration of the external environment drags down short-term sentiment, and the medium-term logic is still expected to return to economic recovery
9 Since September, the market has been in a "internal and external troubles" sentiment. Internal troubles are doubts about the domestic economic recovery. External troubles include both the complexity of international relations and the liquidity concerns brought about by the competitive rate hike of central banks in various countries.
8 economic data is disturbed by factors such as the epidemic and high temperature power limit, and the year-on-year growth rate of manufacturing investment and consumption exceeded expectations. Policy efforts continued to drive infrastructure investment to rise, and the real estate completion chain showed signs of improvement. At present, the uncertainty on the global supply side is still high, the trend of capacity transfer is difficult to reverse, nonlinear changes in exports and manufacturing need to be paid attention to, the epidemic suppression on consumption is gradually weakening, and infrastructure will continue to be strong during the peak season (see "China Economic Logic in August Data" for details). Overall, the economy is likely to continue the recovery trend from September to October, and the slope is expected to increase.
html In the third week of September, the domestic COVID-19 epidemic improved significantly, with new infections (confirmed + asymptomatic - outcome) falling from 1,336 cases last week to 869. As of September 16, a total of high-risk areas across the country continued to drop to 1,208, and medium-risk areas quickly dropped to 1,130. Because it was around the Mid-Autumn Festival holiday, the logistics and transportation output data fell significantly compared with last week. From September 10 to September 16, the railway freight shipment volume was basically the same as last week (up 2.35% month-on-month last week), and high-speed freight fell 7.42%, continuing to fall for two weeks, and cargo flights fell 10.79% month-on-month (up 2.90% month-on-month last week). The daily execution volume of civil aviation flights is basically the same as last week (about 3,000-7,000 flights last week). In terms of risk premium of, Wind's current valuation level is in the [cheap] range (84% quantitative, see Figure 2 for details). The valuation of Shanghai Stock Exchange 50 and Shanghai Shenzhen 300 is at the [cheap] level (88% and 88% quantitative), and the valuation of CSI 500 remains at the [cheap] level (64% quantitative). Financial valuation remains [very cheap] (92% quantile), cycle valuation is [very cheap] (95% quantile), growth valuation is [very cheap] (91% quantile), and consumption valuation is [very cheap] (75% quantile). The ranking of risk premiums from high to low is: cyclical financial growth consumption. In terms of crowding, the differences between styles gradually balance, and the trading crowding of large-cap style (whether it is growth or value) is lower than that of mid-cap and small-cap. The trading congestion of small-cap growth has dropped to a high middle position (54% quantitative), and the congestion of small-cap growth has gradually returned to neutral. The trading congestion of market growth has continued to decline since mid-July and is currently in the 27% percentile, and the short-term profit-loss ratio has gradually rebounded. The congestion of market value continues to rebound (24% quantitative), but is still at a low and medium position. The congestion in mid- and small-cap values fell slightly to the 49% and 40% quantities.
Figure 4: Style Index Trading Congestion (Percentile)
Source: WIND, Tianfeng Securities Research Institute
0 Average congestion in the first-tier industries decreased by 5% compared with last week, and only two industries increased their trading congestion compared with last week (real estate and banking), while the remaining 28 all decreased to varying degrees. The congestion of electricity, coal, transportation, machinery and petroleum and petrochemicals is the highest, the congestion of real estate continues to rebound rapidly, and the congestion of food and beverage, medicine, construction and building materials, and banks is the lowest, and short-term profit and loss are more attractive. Figure 5: Trading congestion in primary industries (percentiles)
Source: WIND, Tianfeng Securities Research Institute
html In the third week of September, the net outflow of northbound funds was 6.088 billion yuan, the largest net outflow in the past two months. Among them, the net inflow scale of Gree Electric Appliances , Longi Green Energy and China Ping An is the highest. The net inflow of southbound funds reached HK$10.77 billion. Hang Seng Index 's risk premium remains at the 70% quantile, and its valuation is relatively low.2, bond bonds: The bond market has not changed much
html In the third week of September, the central bank's open market operations netted 202 billion yuan, the capital side remained stable, and the liquidity premium remained at a historical low (6% percentile), at a [extremely loose] level. Market expectations for future liquidity tightening remain high (94% quantile). Stabilizing growth and maintaining employment are still the top priority of monetary policy. The signpost for subsequent changes in liquidity environment may be the continuous improvement of economic, especially real estate data. In the third week of September, the term spread fell slightly compared with last week, but it was still at a relatively high position (75% percentile). The duration strategy has a relatively high cost performance. The credit premium fell slightly from last week, but it remained at a historical low (8% minus minus ), the interest rate spread of in the low- and medium-rated minus 6 is still narrow, and the valuations of high-rated and medium-rated credit bonds are extremely expensive (the credit premium is in the 10% minus minus minus 7% minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus minus html In the third week of September, optimism in the bond market was still at a medium and high position. The short-term trading congestion of interest-rate bonds fell slightly compared with last week, but it was still in a congested position (82% percentile), and the short-term profit-loss ratio of interest-rate bonds is still low. The short-term trading congestion between CSI convertible bonds and credit bonds continues to decline. Among them, the short-term trading congestion of CSI convertible bonds fell sharply to the 26% quarter, which was at a low level.3. Commodity: The volatile pattern of crude oil has not changed
Energy products: In the third week of September, Brent oil price fell 0.92%, closing at $91.57 per barrel. In terms of inventory, the US strategic oil reserves decreased by 1.90% compared with last week. At present, the game between recession expectations and supply premium is fierce. Under the interweaving of a pair of contradictory pricing logic, the short-term oscillation pattern of crude oil has not changed. The uncertainty in the future of mainly comes from changes in geopolitical events: negotiations on the Iran nuclear agreement, changes in OPEC production, easing of the conflict between Russia and Ukraine, and sanctions against Russia by EU , European energy crisis, etc. At present, the price comparison between natural gas and crude oil is still at a high level, and the demand for energy substitution supports oil prices.
Base Metals: In the third week of September, LME copper fell slightly by 0.60%, recording US$7,809.5/ton, and the copper-oil ratio was at a relatively low level. The congestion of COMEX copper's non-commercial holdings increased to the 26% quarter. Shanghai aluminum rose 1.90%, while Shanghai nickel continued its significant gain last week, up 8.15%.
precious metals: In the third week of September, the London spot gold price fell 2.45% to close at US$1,674.02. The non-commercial holding congestion of COMEX gold is falling back to the 12% percentile, and market sentiment is negative. But on the other hand, the total gold holdings of the world's largest gold ETF-SPDR rose by 24.10% compared with last week, and the market sentiment is relatively stable.
4, foreign exchange rate: RMB depreciation is close to the second target
Driven by the acceleration of balance sheet reduction , in the third week of September, the onshore US dollar liquidity premium rose to the 11% percentile, but overall, onshore US dollar liquidity is still loose.In September, the FOMC Fed raised interest rates by 75, and the offshore dollar liquidity premium rose slightly with the onshore, maintaining a historical high (88% percentile). The differentiation of the liquidity premium represents the widening difference in financial conditions between the United States and non-US economies. Before the two converge, the dollar's strength is difficult to reverse.
html In the third week of September, the RMB exchange rate continued to weaken, and the offshore RMB exchange rate rose by 0.59% to 6.97. As of now, the RMB cost-effectiveness is still at an absolute low in history (0.18% percentile). This round of depreciation is close to the second target we gave (above 7.0). The depreciation is gradually sufficient from a spatial perspective, but the time point of trend appreciation still needs to be waited. (See "What is the relationship between exchange rate and stock market?") At present, the impact of exchange rate depreciation on capital outflows and sentiment in the A-share market is also weaker than that during the same exchange rate point period in history. The short-term trading congestion of the RMB continued to drop to the 2% quarter, and the sentiment bullish on the RMB remained at a low level.5, Overseas: Excessive trading, returning to tightening trading
html In the first half of August, the US 10-2Y term spread was once inverted to nearly 50bps, and the term spread between 10Y and 3M also narrowed to within 10bps. We reminded that the recession transaction pricing was sufficient. Extreme recession expectations have allowed the vulnerability of loose trading to a higher level. Therefore, as September FOMC approached, after the Fed's hawkish attitude increased, the accumulated vulnerability began to be released, and the market's trading logic turned to tightening trading.After the US midterm elections, the decline in the Fed's political pressure is a critical point in the transformation of the monetary tightening state (see "Jackson Hole Powell's Speech and Comments" for details), and is also a key sign for the market to end tightening transactions and return to loose trading. In the third week of September, CME Fed observations showed that the number of annual interest rate hikes implied by futures is expected to rise slightly to a high of 16.4 times (25bp each). The probability of raising interest rates in September is 82%, and the probability of raising interest rates by 100/125bp is 18%. A larger rate hike is expected in November.
html In the third week of September, the nominal interest rate of 10Y rose 12bp to 3.45%, and the real interest rate of 10Y rose 16bp to 1.07%. The 10-year break-even inflation expectation fell by 4bp to 2.38%. The 10-2-year US bond interest rate spread continues to remain inverted, and the 10-3-month interest rate spread is at a low level of around 25bp. The US credit premium is at a medium level (50% Quantity), and the speculative and investment-grade credit premiums are still around the median (48% and 52% Quantity), and the credit environment is slightly improved compared with mid-August. html In the third week of September, all three major U.S. stock indexes fell by about 5%, and VIX rose to around 26. In terms of risk premium, the risk premiums of S&P 500 and Dow Jones are at the neutral high and neutral low levels respectively (at the 60% historical quantile and 44% historical quantile since 1990), and the risk premium of Nasdaq is slightly as high as 33% quantile, and the valuation is neutral and expensive.Risk warning
Risk warning:
Team introduction
Song Xuetao | Macro chief researcher
CSI Association training lecturer, and hundreds of people from the Insurance Asset Management Industry Association. PhD in Economics from North Carolina State University. He has served as a visiting researcher at the People's Bank of China Research Bureau and a special invited researcher at CF40, and has published CF40 monographs, academic papers, central bank work papers, etc. The Golden Bull Awards in the 2018, 2019 and 2020 Most Valuable Analyst in the Market (Top 15), the Golden Bull Awards in the 2021 Best Analyst (No. 3), Wind Gold Analyst in the 2020 and 2021 Wind Gold Analyst (No. 3), Shanghai Securities News Best Analyst (No. 5), 2019, 2020 and 2021 Sina Gold Kirin Analyst, 2020 21st Century Gold Analyst (No. 5), and 2020 and 2021 No. 2021 New Fortune Best Analyst.
Xiang Jingshu | Researcher
has worked at the core quantitative hedge fund AHL under Yingshiman Investment. London Business School Master. Mainly responsible for the research on the US economy, global central banks and US stocks and US bonds.
Lin Yan | Researcher
used to work in the quantitative investment and research department of Hongshang Assets ( Sequoia Capital in China's securities asset management platform), and was responsible for the commodity futures investment lines. Wuhan University Master of Financial Engineering, mainly responsible for the quantitative research of major asset allocation and fundamentals.
Guo Weiwei | Assistant researcher
Master of Finance at Wuhan University, mainly responsible for ESG, industrial policy, and industry research.
Zhang Wei | Researcher
University of International Economics and Business Master of Finance, mainly responsible for economic policy and interest rate research.
Sun Yongle | Researcher
Central University of Finance and Economics Master of Industrial Economics, mainly responsible for domestic macroeconomics and monetary liquidity research.
