GLOBAL_EQUITY_STRATEGY:SYNCHRONISED_QE_AND_HOW_TO_PLAY_IT-2012-09-20.pdf
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1、 DISCLOSURE APPENDIX CONTAINS IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, INFORMATION ON TRADE ALERTS, ANALYST MODEL PORTFOLIOS AND THE STATUS OF NON-U.S ANALYSTS. FOR OTHER IMPORTANT DISCLOSURES, visit www.credit- researchdisclosures or call +1 (877) 291-2683. U.S. Disclosure: Credit Suisse does
2、 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 consider this report as only a single factor in making their investment de
3、cision. CREDIT SUISSE SECURITIES RESEARCH a higher starting point than when QE1 and 2 began. We upgraded cyclicals to benchmark on 15 August (VW, Michelin, Dufry, Oracle). Index-linked bond proxies. Ferrovial. Gold. Our models suggest $2,000/oz. NJA currencies should appreciate. QE should support GE
4、M. The key cheap indirect GEM consumer plays are VW and SAB Miller. Ordinarily lower TIPS yields support growth but quality growth is now expensive. CSINFLAT is Credit Suisses Delta 1 basket on these themes. Figure 1: QE3 is occurring as macro surprises have just turned positive -150 -100 -50 0 50 1
5、00 200720082009201020112012 US macro surprises QE1 QE2 Operation Twist Jackson Hole speech Source: Thomson Reuters, Credit Suisse research Research Analysts Andrew Garthwaite +44 20 7883 6477 andrew.garthwaitecredit- Marina Pronina 44 20 7883 6476 marina.proninacredit- Mark Richards 44 20 7883 6484
6、mark.richardscredit- Sebastian Raedler 44 20 7888 7554 sebastian.raedlercredit- Robert Griffiths 44 20 7883 8885 robert.griffithscredit- Nicolas Wylenzek 44 207 883 6480 nicolas.wylenzekcredit- 14 September 2012 Global equity strategy 2 Table of contents What the Feds policy means for markets 3 The
7、Fed is pursuing QE despite inflation expectations being high 4 We believe QE helps equities in four main ways 6 The costs of QE are real, but may have been exaggerated 8 We expect QE to continue until real bond yields fall to at least minus 1.5% 12 We expect synchronised QE by the end of 2012 14 The
8、 possibility of “unconventional” QE 15 How to play QE? 16 1) We stay long of equities 17 2) Cheap real assets 19 3) Buy high dividend yield stocks 25 4) Growth but only GARP 27 5) Index-linked bond proxies in the equity market 29 6) Emerging markets 31 7) Gold 37 8) Cyclicals 39 Appendices 42 Append
9、ix 1: Sector performance after previous QEs in the US 42 Appendix 2: Quality growth screens 44 Appendix 3: Growth screens 44 Appendix 4: GEM scorecard 46 Appendix 5: Country risk table 47 14 September 2012 Global equity strategy 3 What the Feds policy means for markets Following the Feds decision to
10、 start QE3, we look at the implications for markets and our preferred investment ideas on the back of QE. Firstly, here is our take on the FOMC statement. Positives This is the first time there is open-ended QE from the Fed. QE1 was limited to $1.4trn, QE2 to $600bn. In the current round of balance
11、sheet expansion, the FOMC will buy $40bn in MBS per month for as long as “the outlook for the labour market does not improve substantially”. The Fed has left the door open to further policy accommodation: if the labour market does not approve, “the Committee will undertake additional asset purchases
12、, and employ its other policy tools as appropriate until such improvement is achieved in a context of price stability”. The Fed has also softened its language on the timing of a possible future tightening of policy, stating that “a highly accommodative stance of monetary policy will remain appropria
13、te for a considerable time after the economic recovery strengthens”. It will also continue its Operation Twist until the end of the year, in a way that its holdings of longer-term securities will increase by $85bn per month over that period. Negatives Monthly purchases under the current round of bal
14、ance sheet expansion are small in comparison to previous rounds: the Fed will buy $40bn per month, compared to $140bn per month under QE1 and $75bn per month under QE2. Markets might have been disappointed that the FOMC pushed its forecast for the period over which it expected the policy rate to rem
15、ain at current levels out to only mid-2015, rather than the anticipated end-2015. Overall, we believe that the FOMC statement is bullish for equity markets, especially in light of the fact that it comes just days after the ECB said it would conduct open-ended purchases of peripheral sovereign debt u
16、nder its new OMT program. Clearly we are seeing central banks now favouring open ended commitments (SNB to keep the peg, the OMT to eradicate the convertibility premium and the Fed to target the labour market). This move to open ended commitments is critical, in our view. 14 September 2012 Global eq
17、uity strategy 4 The Fed is pursuing QE despite inflation expectations being high We note that the timing of the Fed balance sheet expansion is unusual in several regards. ? It is occurring at a time when inflation expectations (on the Feds preferred measure of 5y5y breakevens) are clearly much highe
18、r than they were when the previous rounds of monetary easing were announced (QE2 was de facto announced in Bernankes Jackson Hole speech in 2010). We on the global equity strategy team think this is an important point, which shows, in our view, that the Fed is willing to tolerate higher levels of in
19、flation expectations. This matters, given that it is changes in inflation expectations that drive changes in equity multiples. Figure 2: Inflation expectations are higher than when the Fed did QE1, QE2 and Operation Twist 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 200720082009201020112012 5y 5y breakeven infla
20、tion QE2 QE1 Operation Twist Jackson Hole Source: Thomson Reuters, Credit Suisse research ? It is also occurring against the backdrop of macro surprises being higher than they were when previous rounds of policy easing were announced. The rationale is clearly that ISM new orders (the best single lea
21、d indicator of growth) are below the level seen before both QE2 and Operation Twist, while employment remains sluggish. (Bernanke noted his “grave concern” for the labour market and the “enormous suffering and waste of human talent it entails” in his recent Jackson Hole speech). 14 September 2012 Gl
22、obal equity strategy 5 Figure 3: Macro surprises are higher than at QE1, Jackson Hole or Operation Twist Figure 4: but ISM new orders are weaker than when the Fed did QE2 and Operation Twist -150 -100 -50 0 50 100 200720082009201020112012 US macro surprises QE1 QE2 Operation Twist Jackson Hole QE3 2
23、0 25 30 35 40 45 50 55 60 65 70 200720082009201020112012 ISM new orders QE1 QE2 Operation Twist Jackson Hole Source: Thomson Reuters, Credit Suisse research Source: Thomson Reuters, Credit Suisse research Could it be the case that the Fed is easing just as the economy is beginning to stabilise? This
24、 is quite a potent combination for risk assets. Recall, our 10 factor lead indicators of US GDP has already bounced from c0.6% to 1.8% GDP growth. 14 September 2012 Global equity strategy 6 We believe QE helps equities in four main ways a) It improves the GDP outlook by improving the fiscal debt fun
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