core conclusion: ① historical data show that the rise of US bond interest rate has little impact on A-share trend and style, and profit is the decisive variable of style. ② It is expected that this year's policy driven growth will be superior and the market will be stable in 12 years. ③ At present, we continue to focus on the main line of steady growth, such as finance, real estate and new infrastructure. The latter is more flexible and focuses on the main line of recovery in the second half of the year.
US bond interest rate's influence on A-share trend and style
On April 6 local time, the Federal Reserve released the minutes of the FOMC meeting in March, which revealed a more radical tightening rhythm. The US bond interest rate in the recent 10 years has risen rapidly from 2.39% on April 1 to 2.72% on April 8. What is the impact of the Fed's tightening policy upgrade and the continued rise in US bond interest rates on A-Shares and market style? We review history and analyze it.
1, China US interest rate spread has little impact on A-Shares
With the continuous advancement of this round of Fed tightening cycle, the market's expectation of the Fed's annual interest rate hikes in 2022 (calculated by 25 BP per hike) has risen to 10 times, and the US bond interest rate has risen sharply again in the near future. Since April 1 (as of 2022 / 04 / 08, the same below), the 10-year US bond interest rate has increased by 33 BP At the same time, with the continuous rise of the long-term interest rate of US bonds, the interest rate gap between China and the United States is only three BP at present, even lower than the level at the end of the tightening cycle at the end of 2018. However, the tightening cycle of the Federal Reserve has just begun, and there may still be pressure to further narrow the interest rate gap between China and the United States in the future.
historically, the impact of narrowing the interest rate gap between China and the United States on Foreign Investment: the inflow of bond market slowed down, and the disturbance of stock market inflow was not obvious facing the rising interest rate of US bonds, some investors are worried that the narrowing of the interest rate gap between China and the United States will cause capital outflow, which will affect China's capital market. So does the concern exist? Reviewing the historical data, we found that when the interest rate gap between China and the United States narrowed, the speed of foreign capital flowing into China's bond market did slow down: referring to the data of China bond depository, since the opening of the "North Link" of the bond link in 2017, if the overall interest rate gap between China and the United States 10-year Treasury bonds in that month was less than 50 BP, the average increase in the holdings of bonds by foreign institutions in that month was 14 billion yuan; When the interest margin reaches 50-100bp, the average increase of bonds held by foreign-funded institutions in the current month is about 38 billion yuan, and when the interest margin is 100200bp, the average increase of bonds held by foreign-funded institutions reaches 44 billion yuan; From May 20 to January 21, when the overall interest rate difference between China and the United States was higher than 200bp, the average monthly scale of foreign institutions increasing their holdings of bonds was nearly 120 billion yuan.
However, compared with the bond market, the disturbance of China US interest rate spread to A-share foreign capital is significantly smaller. We calculated the 3-month rolling correlation coefficient between the inflow and outflow of funds from the Shanghai Hong Kong stock connect to the north and the interest rate difference between China and the United States since 14 / 11 / 17. On average, the average value of the correlation coefficient between the funds from the north and the interest rate difference between China and the United States in 10-year and 2-year periods is close to 0.00, that is, the impact of the interest rate difference between China and the United States on the funds from the north is minimal over a long period of time. In fact, it is not just A-shares. From a global perspective, the interest rate spread between the United States and other countries has little impact on stock market funds. A typical example is 201617. At that time, the interest rate spread between emerging market countries and the United States continued to narrow, but more than $100 billion of global funds still flowed into emerging market stock markets in 201617.
since 2005, the correlation between China US interest rate spread and the trend of A-Shares has been weak as a whole if we directly calculate the three-month rolling correlation coefficient between China US 10-year Treasury bond interest spread and wandequan a, on average, the average value of the correlation coefficient since 2002 is 0.00, and the average value of the correlation coefficient since the Shanghai Hong Kong stock connect on 14 / 11 / 17 is still 0.00. It can be seen that the widening or narrowing of China US interest spread over a long time is basically irrelevant to the rise and fall of a shares.
Looking back on the period of narrowing interest rate spread between China and the United States in history, we can find that the overall performance of A-Shares during the period of narrowing interest rate spread is not bad:
① during the period from April 12 to June 6, China's policy was relatively loose, and the interest rate of 10-year Treasury bonds continued to decline. However, in the same period, the interest rate of U.S. Treasury bonds was rising as a whole with the continuous progress of interest rate hike, which narrowed the interest rate gap between China and the United States and even began to hang upside down. However, A-Shares still went bull from May 6 to June 6, and the total A-share rose by about 80%.
② during the period from 09 / 01 to 10 / 04, the interest rates of 10-year Treasury bonds in China and the United States were in an upward trend. Due to the slower upward slope of China's treasury bond interest rates, the interest rate spread between China and the United States narrowed as a whole, but at this time, the A shares were in a bull market atmosphere as a whole, and the A shares of Wande increased by more than 100% from 09 / 01 to 10 / 04.
③ during 20152018, with the start of the tightening cycle of the Federal Reserve, the interest rate difference between China and the United States also narrowed as a whole. The interest rate difference decreased significantly in the second half of 15 years, the second half of 16 years and 18 years, but the overall trend of A-Shares fluctuated in the second half of 15 years. In the second half of 16 years, Wande a had the largest increase of about 20%. In 18 years, under the background of Sino US trade friction and China's deleveraging policy, A-Shares fell.
2, interest rate and style are only weakly correlated, and profit is the core factor
In addition, since the yield of US bonds is usually regarded as the anchor of global risk-free interest rate, some views believe that driven by the rise of US bond interest rate, China's interest rate will rise accordingly, which will suppress the performance of risky assets, especially growth stocks with generally relatively high valuation, The most impressive example is the decline led by growth stocks after the Spring Festival in 2021 and the rise of US bond interest rates since the beginning of the year in 2022.
US stock experience shows that growth stocks may not lose in the upward stage of interest rate so does the rise in US bond interest rates in history necessarily correspond to the decline led by growth stocks? From the experience of US stocks, the correlation between the two is weak. For example, during the 19992000 fed interest rate hike cycle, the US bond interest rate rose as a whole, but during this period, the US stock growth stocks represented by the NASDAQ index still significantly outperformed the US stock value stocks represented by the S & P 500; Similarly, in 20152018, under the background of the continuous promotion of the tightening policy of the Federal Reserve, the interest rate of US bonds rose sharply, but the style of US stocks was still obviously biased towards growth in the same period; During the 200406 fed interest rate hike cycle, the US bond interest rate also rose sharply, but at this time, the overall style of US stocks was slightly biased towards value.
After analyzing the relationship between the rise of US bond interest rate and the growth style of a shares, we should first clarify how to describe the value growth style of a shares. In style: slightly better market and value - a share outlook series 120211210 in 2022, we analyzed that the rotation of the value growth style of A-Shares in history can be described by the relative trend of national securities growth / national securities value and wind growth style fund / value style fund index, In addition, the relative trend of gem index / CSI 300 and SME index / CSI 300 are common indicators in the market.
According to the above four indicators to measure style, the style rotation of A-Shares occurs once every 3-5 years: the market style is partial to value from 2003 to 2008, the market style is partial to growth from 2009 to 2015, the market style is partial to value from 2016 to 2018, and the market style is partial to growth from 2019 to 2021. If you observe more carefully, there will also be phased style changes within a certain style cycle. For example, in the large cycle in which the overall growth style is dominant from 2009 to 2015, the value style has been phased dominant, such as 201112 and the second half of 2014.
In addition, from a graphic point of view, there seems to be a deviation between the growth enterprise market index / Shanghai and Shenzhen 300 and the growth / value trend of the state securities in 201315. However, if you carefully look at the trend of the two in this period, you can find that the style depicted by the two indicators is consistent in the rhythm and direction of change, but there are differences in the range of change.
historically, the correlation between US bond interest rate and A-share style is weak so how much is the correlation between US bond interest rate and A-share growth stocks in history? Calculate the three-month rolling correlation coefficient between the yield of us 10-year Treasury bond and the relative ratio of national securities growth / value index. On average, the average correlation coefficient since 2005 is -0.03, and the average since the opening of Shanghai Hong Kong stock connect in November 2014 is -0.15. It can be seen that there is only a weak negative correlation between US bond interest rate and A-share growth style. From the perspective of probability, the probability of A-share growth outperforming when the interest rate of US Treasury bonds rises since 2005 is 49%, and the probability since 2015 is 51%. In addition, we specifically reviewed the period when the US bond interest rate rose significantly in history. During this period, the growth and value of A-Shares may win: at the end of the US Federal Reserve's interest rate hike cycle in the first half of 2006, at the beginning of 200910 after the financial crisis, and at the time of the US "taper" panic in the second half of 2013, the US 10-year bond interest rate rose sharply. However, during this period, the growth of national securities outperformed the value of national securities, and the gem index outperformed Shanghai and Shenzhen 300, In the previous round of fed interest rate hike cycle, the US bond interest rate also rose in the middle of 04 / 06-05 / 12 and 15 / 12-18 / 12 of the previous round of interest rate hike cycle, during which the A-share style was dominated by the overall value.
China's treasury bond interest rate is also weakly correlated with A-share style compared with the US bond interest rate, the relationship between China's bond interest rate and style is more direct. Therefore, we further analyze the correlation between China's bond interest rate and A-share style. From the three-month rolling average correlation coefficient between China's 10-year Treasury bond yield and the relative ratio of national securities growth / value index, the average correlation coefficient since 2005 is only -0.03, that is, the correlation between China's interest rate and A-share style is weak. From the perspective of probability, since 2005, when the yield of China's 10-year Treasury bond rises, the probability of growth outperforming the value is 51%, and when the interest rate of 10-year Treasury bond decreases, the probability of growth outperforming is 50%.
Looking back on the upward stage of China's interest rate, we can find that the style of A-Shares is not fixed during this period. For example, during the sharp rise of China's 10-year Treasury bond interest rate in 200910, the second half of 2013 and April November of 20, the growth style is dominant, the growth of national securities outperforms the value of national securities, and the gem index outperforms Shanghai and Shenzhen 300, while the overall value style is dominant during the sharp rise of China's treasury bond interest rate on 06 / 10-08 / 08 and 16 / 10-18 / 01. In addition, according to the previous analysis, the overall growth of A-Shares is dominant in 200915 and 201921. Observing the trend of China's 10-year Treasury bond interest rate in these two periods, it can be seen that the interest rate has increased and decreased. Among them, the interest rate center in 200915 has increased as a whole, while the interest rate center in 19-21 has decreased as a whole. In addition, in the large cycle in which the overall growth style was dominant in 200915, the value was dominant in the second half of 11-12 and 14 years. In these two periods, the interest rate of China's ten-year Treasury bonds was in a downward trend as a whole.
profit is the decisive factor of style since the correlation between the interest rate level of China and the United States and the A-share style is not strong, what is the core variable that determines the style? In fact, for a long time, the stock is a "weighing machine". From the perspective of medium and long cycle, the fundamentals determine the rise and fall of the stock price. Therefore, the differentiation of profit trend is the watershed of style switching. For example, from 2013 to 2015, the overall style of A-Shares tended to grow. Behind it was the cumulative year-on-year growth difference of net profit attributable to the parent of the national securities growth index value index (GEM index - Shanghai and Shenzhen 300, the same below), which increased from - 6.6% (- 2.9%) in 13q2 to 15.6% (34.3%) in 15q3, and the difference of Roe (TTM) increased from 0% (- 5.7%) to 3.9% (- 0.6%) in the same period; The reason why the growth began to lose in 201618 was that the performance growth rate of the relative value of growth began to decline. The cumulative year-on-year growth difference of the parent net profit of the national securities growth index value index (GEM index - Shanghai and Shenzhen 300, the same below) fell from 15.6% (34.3%) in 15q3 to - 30.1% (- 44.9%) in 18q4, and the difference of roe in the same period fell from 3.9% (- 0.6%) to - 2.1% (- 4.7%); In 201921, the performance of growth stocks began to be better than that of value stocks, so the style began to return to growth.
3, spring will come
three bad news are fading, and the power of repair is accumulating in the quarterly strategy report "the end of spring - 20220404", we pointed out that the three major bad news - the Fed's interest rate hike, the Russian Ukrainian conflict and the Chinese epidemic - led to a "cold winter" in the market in the first quarter, frustrated investor confidence and depressed market sentiment. When looking forward to this year at the end of last year, we made a qualitative judgment: "2022 is a rest in the long bull, a stage of shaking the market and gaining momentum", "the market amplitude will increase", "if the stock fund index returns to the historical average next year, the increase of the fund index from now to the end of next year will be about - 6%, and investors need to reduce the expectation of annual yield", For details, please refer to "Qu Zequan, wrong is straight - China's capital market outlook 2022 - 20211211" and "outlook 22 years: our three special judgments - 20211219". Even so, the sharp decline in the market at the beginning of the year still exceeded our expectations. If calculated from February last year, the CSI 300 has fallen for 14 months, with a maximum decline of 33%. Compared with history, the time and space of adjustment is very obvious. Looking back, with the convening of the Jin Wen meeting on March 16, we believe that "spring" will come and the market will fill the pit slowly in the future. Some investors are worried that the market bottom may be lower after the policy bottom, but we pointed out in the historical review of policy bottom, market bottom and performance bottom-20220406 that the process from policy bottom to performance bottom is a complex bottom building process, and the market bottom is not necessarily lower than the policy bottom. Focusing on the long term, this period is a layout period.
The end of this round of policy began at the central economic work conference in December last year. When the panic fell in mid March, the market bottom may have appeared. Looking back, the Beijing Dynamic Power Co.Ltd(600405) self stable growth policy of market climbing pit will exert its force. The national standing committee meeting on April 6 pointed out that "some of the complexity and uncertainty of China's external environment exceeded expectations", "the new downward pressure on the economy has increased", "we should make timely and flexible use of a variety of monetary policy tools, give better play to the dual functions of aggregate and structure, and increase support for the real economy"; On April 7, Hu Chunhua, member of the Political Bureau of the CPC Central Committee and vice premier of the State Council, presided over a symposium on the employment situation. At the symposium, he stressed that every effort should be made to stabilize and expand employment and ensure the completion of the goal and task of stabilizing employment set by the central economic work conference.
On April 8, Premier Li Keqiang presided over a symposium of experts and entrepreneurs, pointing out that "policies and measures need to be strengthened in advance and in time, the ones that have been issued should be implemented in place as soon as possible, the ones to be launched should be clarified as early as possible, and new plans should be studied and prepared at the same time". We believe that a series of follow-up policies are expected to be introduced one after another. With the steady growth policy being implemented one after another and achieving practical results, it is expected that the annual GDP growth of about 5.5% can be realized, and the corporate profits are expected to stabilize and recover in the second half of the year. We expect that the net profit attributable to the parent company of all A-Shares in 22 years will increase by about 5-8% year-on-year. This year's fundamentals and policies are similar to those of 12 and 16 years, more like 12 years. Steady growth has driven the economy to stabilize. The stock market is also similar to those of 12 and 16 years, more like 16 years. After hitting the pit at the beginning of the year, the pit is gradually filled. From the perspective of allocation, the main line in the first half of the year is the steady growth policy, and the main line in the second half of the year is economic recovery.
growth style and cost performance have appeared, and the first quarterly report may be the catalyst for the dominant growth stage since there is a pit filling market behind, it is necessary to choose the direction of layout. From the perspective of style, the growth style of A-Shares in 201921 has outperformed for three consecutive years, and the value style has begun to dominate since this year. Is this style switching a short-term twists and turns, or a prelude to the big style switching similar to that in 16-18? In fact, we have previously analyzed that the decisive variable affecting the style from the medium-term perspective is profit, and the core of judging the profit trend from top to bottom is to grasp the trend of national industrial change. The outline of the 14th five year plan points out that China has turned to a high-quality development stage. It is necessary to "accelerate the development of modern industrial system", deeply implement the strategy of manufacturing power and develop strategic emerging industries, and "accelerate digital development" to build a digital China. As we have analyzed in many previous reports, China is currently in a critical stage of industrial structure transformation and upgrading, and the driving force of economic development will shift from trend to scientific and technological innovation. Among them, digital economy and low-carbon economy are important starting points for high-quality development. From the data, the profit of high-tech manufacturing industry in 2021 increased by 48.4% over the previous year, with an average growth of 31.4% in two years, accounting for a higher proportion of industrial profits above designated scale than that in 2020 In 2019, it will increase by 2.1 and 4.2 percentage points respectively. From a medium and long-term perspective, the growth style conforming to China's transformation direction is still dominant in the profit trend.
How do you understand that the value is dominant at the beginning of the year? In fact, looking back on history, in the period when one style is dominant, another style will also fight back and rebalance in stages. For example, in the interval where the overall value is dominant in 200308, the style also tended to grow in stages in 2006. For example, when the overall growth outperformed in 200915, the value style also dominated in stages in 11-12 and the second half of 14. We believe that from the macro background, this year is similar to 12 years, that is, the steady growth policy has made efforts to support the economy, and the style may also be similar to 12 years, which is a phased rebalancing year. At the quarterly level, 22q1 benefited from the steady growth policies of traditional sectors such as infrastructure and real estate, and the value style is dominated by stages. After entering the second quarter, the growth is expected to be dominated by stages. The possible catalysts are policy and fundamentals. In terms of policy, according to the data released by infrastructure link, among the proposed projects that can be counted in various places this year, the number of projects related to new infrastructure (environment, power and Communication Engineering) accounts for 16% and the scale accounts for 13%. These projects are expected to be gradually implemented in Q2; From the perspective of profitability, we analyzed that the prosperity of new energy and technology in the first quarter was high in the first quarter in the first quarter of the year. Measured by the matching degree of profit and valuation, we selected the stocks of TMT, military industry, new energy industry chain, medicine and other representative growth industries with the largest shareholding scale among the heavy positions of active partial equity funds, and analyzed the valuation and profitability of the top 30 heavy positions of growth stocks. It is found that the average historical quantile of PE of the top 30 heavy positions of the fund is 43% and the median is 50%, while the average value of PEG (PE / 21q3 net profit attributable to the parent company, year-on-year) is The median has also reached about 0.9, and the matching degree of valuation profit has been more reasonable. At present, the average (median) of PE (TTM) of the top 30 heavyweight growth stocks of the fund is 60 times (53 times), while wind is unanimously expected to show that its average (median) of PE in 2022 is 35 times (33 times).
financial real estate still has space since late November last year, we have taken financial real estate as the first echelon. The logic lies in the steady growth policy and the repair of financial real estate valuation. "Highlights of financial real estate in history - 20223" pointed out that "since 2010, there have been 6 times of both absolute and relative returns in the financial real estate sector. The background of several highlights of financial real estate is loose macro policy + low valuation and low fund allocation ratio". In the past few months, financial real estate has also run out of excess return. Since the beginning of January (as of April 8, 2022, the same below), the excess return of Shenwan bank index relative to CSI 300 has been 19 percentage points, and the excess return of Shenwan real estate index has been 38 percentage points. Compared with the above six quotations, on average, the average excess return of banks relative to CSI 300 is 18 percentage points and that of real estate is 20 percentage points. In this quotation, the excess return of banks and real estate has been very obvious.
At present, the overall valuation of the large financial sector is still at the bottom. At present, the bank Pb (LF) is 0.63 times (from low to high 4% since the beginning of 2013), the real estate is 1.08 times (11%), and the securities is 1.44 times (11%), and the over allocation proportion of the fund position is relatively low compared with the CSI 300. The steady growth policy continues to exert force and is optimistic about the market in the second quarter. Banks and real estate with undervalued and low allocation are still expected to continue to rise in the future. However, compared with history, the space to outperform the index may not be too large, while the brokerage index has greater potential to outperform the index. As of April 8, 2022, a total of 40 A-share securities companies have disclosed their performance in 2021, accounting for 81% of all listed securities companies. The total net profit attributable to the parent company of these companies has reached 190 billion yuan, an increase of 27% over 2020.
new infrastructure is more flexible, such as low-carbon economy and digital economy "new infrastructure" is the balance point between short-term steady growth and medium and long-term economic restructuring. In the first quarter, under the background of the continuous implementation of steady growth policies, financial, real estate and traditional infrastructure related industries performed better, and the steady growth policy continued to be promoted in the second quarter. Among them, the growth rate and flexibility related to new infrastructure are greater, especially the correction of related industries in the first quarter is more obvious, and the potential in the second quarter is greater, especially the photovoltaic wind power in the low-carbon economy, Cloud computing and data center in digital economy. According to the prediction of Haitong power new group, the new installed capacity of wind power in China will increase by about 50% year-on-year in 2022, and the new installed capacity of photovoltaic will increase by more than 50%. According to the 14th five year plan for the development of digital economy, the CAGR of the added value of the core industries of digital economy is expected to reach 14.1% in 20-25 years. According to the white paper on cloud computing issued by China Academy of information and communications, the compound growth rate of the annual cloud computing market scale will be as high as 36.8% in 22-25 years.
We analyzed in the first quarterly report: which areas are performing better? - 20220329 that the prosperity of new energy and technology in the first quarter was high. The industry high-frequency data showed that the new installed capacity of photovoltaic power generation in China increased by 62.3% year-on-year from January to February, the export amount of Cecep Solar Energy Co.Ltd(000591) batteries increased by 113.9% year-on-year, and the cumulative retail sales of new energy passenger vehicles increased by 153.1% year-on-year; In the field of digital economy, from January to February, the output of mobile communication base station equipment increased by 53.1% year-on-year, significantly higher than 11.7% in 21q4, and the growth rate of Telecom main business revenue was 9.0%, higher than 6.9% in 21q4. In terms of the performance of the first quarterly report, Haitong research power new group expects the year-on-year growth rate of the net profit attributable to the parent of power battery 22q1 to be more than 100%, photovoltaic to be 40-50%, computer group expects industrial software and national defense informatization to be about 30%, communication group expects network equipment suppliers to be 20-30% and optical devices to be about 40%.
risk tip: inflation continues to rise sharply, and macro policies outside China are tightened.
