\u3000\u30001. The meaning behind the stock bond yield difference index
First, the calculation formula: 10-year Treasury bond yield index dividend yield (rolling dividend in the past 12 months). By rolling the three-year mean and standard deviation, the channel of “mean + / – 1, mean + / – 2x times standard deviation” of stock debt spread is constructed.
① build a channel of “mean + / – 1, + / – 2x standard deviation”, which essentially reflects the probability distribution of stock bond return difference.
In normal distribution（ μ-σ，μ+σ) The probability area is 68%; ( μ- two σ，μ+ two σ) 95%.
② key points: calculate the mean value and standard deviation of stock bond income difference, and adopt a three-year rolling cycle, mainly considering that many of China’s macroeconomic cycles have a three-year cycle, such as the credit cycle.
Second, the meaning: from the perspective of asset allocation, consider the cost performance relationship between stocks and bonds.
① when the yield difference between stocks and bonds reaches + 2x standard deviation, the cost performance of the index decreases significantly and the cost performance of bonds begins to improve. ② When the stock bond yield difference runs to – 2x standard deviation, the cost performance of the index increases significantly.
\u3000\u30002. What assets does the stock bond yield difference index apply to
\u3000\u Dayu Water-Saving Group Co.Ltd(300021) . Theoretical perspective: for assets with high valuation sensitivity or assets that can be peg, first of all, the position of valuation represented by stock bond yield difference. The premise of index effectiveness is that an index or industry has high sensitivity to valuation. In other words, the valuation level has guiding significance for the rise and fall of the index or industry.
Secondly, the valuation sensitivity is similar to the applicability of PEG – they all point to the core assets with relatively stable profits and DCF. The premise of PEG index is continuous profit and stable growth.
As for the applicability of the stock bond yield difference model, the theoretical analysis is summarized as follows:
(1) sectors and companies with large fundamental changes and fluctuations are not sensitive to valuation, or there is no band for valuation, DCF or peg is not allowed, and the stock bond yield difference index is generally not applicable. For example, the scientific innovation board and the cycle index.
(2) however, the sectors and companies with relatively stable profits are very sensitive to the valuation, and the valuation has a fluctuating band. Such assets can be DCF or PEG, and generally also apply to the stock bond yield difference index. For example, SSE 50, CSI 300, Shenwan consumption, medicine and biology, food and beverage, Meimei 50, CSI 500, etc.
(3) however, with the weakening of fundamental volatility, the applicability of some industries and companies that were not applicable in the past will gradually improve. For example, it refers to the growth enterprise market and the consumer electronics market.
\u3000\u Gifore Agricultural Science & Technology Service Co.Ltd(300022) . Data results: the broad-based index and industries with strong consumption attributes have good applicability. (1) the yield difference between stocks and bonds is applicable to most broad-based indexes and consumption indexes.
(2) types of industries applicable to stock bond income difference: mainly industries with relatively stable profits and no ups and downs.
① generally industries with strong consumption attributes, such as medicine, food and beverage. ② Among manufacturing and growth industries, industries with high maturity and weak volatility also meet the requirements, such as consumer electronics, components, light industry, etc.
(2) there are four main types of industries for which the stock bond yield difference is not applicable: ① cyclical industries with large profit fluctuations.
Typical cycle industries such as coal, steel, chemical industry and aquaculture. ② High growth industry. If it is in the profit upward stage, the market is more concerned about the growth rate, and the regularity of the – 1x or – 2x pressure level above the stock debt difference is poor; If it is in the profit decline stage, the market pays more attention to the safety margin. At this time, the lower – 2x standard deviation has better support. Typical, such as military industry, computer, semiconductor. ③ Industries with high dividends but lower valuations.
Generally, the dividend yield of such industries is stable, but the growth of the industry is weak, and the valuation may go down. Typical, such as banks, real estate, utilities, etc. ④ Industries with few components or high concentration.
If the industry concentration is too high or the number of components is small, the dividend rate will fluctuate greatly due to the influence of individual leading dividends. Typical examples are white electricity and food processing.
\u3000\u Bode Energy Equipment Co.Ltd(300023) . From the perspective of stock bond yield difference: which industries are currently entering the cost-effective region (1) index: those close to the – 2x standard deviation are: Shanghai and Shenzhen 300, wandequan a, Shanghai stock index and Shenzhen Stock Exchange 100. Assuming that the interest rate and dividend remain unchanged, the above indexes are still 8.9%, 4.9%, 5.0% and 5.5% lower than – 2x.
(2) industry: gradually approaching the – 2x standard deviation are: Shenwan consumption, medicine and biology, consumer electronics, electronic components, light industry manufacturing, machinery and equipment. Located near – 1x are: Mainland consumption, food and beverage.
Risk tips: macroeconomic risk, risk of unpredictable events outside China, risk of performance falling short of expectations, etc.
