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2022-01-24
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CICC: Have U.S. stocks fallen in place? How much expectation is factored in?
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20:07","market":"us","language":"zh","title":"CICC: Have U.S. stocks fallen in place? How much expectation is factored in?","url":"https://stock-news.laohu8.com/highlight/detail?id=1119939636","media":"Kevin策略研究","summary":"当前美股估值虽然算不上便宜，但经过了近期的回调后也已经基本合理。","content":"<p><html><head></head><body>Authors: CICC Liu Gang, Li Hemin, et al</p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 fell 7.7%, and the Nasdaq fell 12%, ranking at the bottom of all major indexes. The rapid decline of U.S. stocks has aroused widespread concern. Considering that the FOMC meeting on January 27 is approaching and rate hike is expected to be \"pressing step by step\" (the current rate hike expectation in March has risen to one time),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? How flexible is the impact on valuation after the subsequent rate hike?</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p>Since the beginning of the year, the correction of U.S. stocks has been caused by the contraction of valuations, and the decline in valuations has been affected by rising interest rates and the contraction of risk premiums, and earnings are still being revised upwards. The current dynamic valuation of the S&P 500 in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is the lowest value since the epidemic, and the comparable caliber is lower than before the epidemic</b>。<b>So is this valuation level reasonable? Our model shows basically reasonable,</b>The current S&P 500 static P/E (23 times) is slightly lower than the reasonable level (23.3 times) that growth conditions and liquidity can support. In addition, some technical indicators such as oversold have become extreme, the index is at a key support level, the more critical credit spread has not risen significantly, and the short position of long-term Treasury Bond has decreased significantly.</p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>At present, CME futures imply 1 rate hike in March, 2.4 and 4.3 in June and December respectively. WSJ summarized 74 financial and academic institutions. The latest expectations in January are 2 times in rate hike in June 2022 and 3.7 times in rate hike before December. According to our model calculations,<b>The rate hike currently included in the U.S. stock market is expected to be 3.3 times in the next year, which is basically sufficient</b>； Short-end Treasury Bond is expected to be included 3.1 times; The most expectations were included in the gold price, about 5.9 times.</p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p><b>If we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance.<b>During this period, the valuation dropped by 8%, which is basically consistent with the above calculation.</b>This is what we often say. The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully included and the actual implementation stage is actually implemented.</p><p><b>4. Market prospects? January FOMC is key verification; Looking at earnings outlook in the medium term</b></p><p><b>The upcoming January FOMC meeting is a key verification point</b>, whether it implies that the rate hike in March and how to convey the future tightening path will become the basis for market corrections to be currently included in expectations.</p><p>The recent market volatility is easily reminiscent of the global turmoil after the first rate hike at the end of 2015, the fluctuation due to rising interest rates in February 2018, and even the sharp drop in October 2018. The largest pullback/retracement in these three rounds were 10.5%, 10.2% and 20% respectively.<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market. In February 2018, under the profit growth driven by tax reform, the market also repaired again and hit a new high. It was not until the profit completely peaked at the end of 2018 that it faced greater pressure.<b>The current environment is more inflationary constraints than it was in early 2016</b>Therefore, a situation similar to the one-year delay in rate hike in early 2016 may be difficult to occur under normal circumstances.<b>But the current fundamental profitability situation is not as pessimistic as it was at the end of 2018</b>, the market's profit for the US stock S&P 500 index is 8 ~ 10%, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immune base.</b></p><p><b>Body:</b></p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 index has fallen by 7.7%, and the Nasdaq has fallen by 12%, ranking bottom among all major indexes. The minutes of the Federal Reserve unexpectedly revealed that the discussion of shrinking balance sheet triggered market concerns about excessive tightening, and the resulting rapid rise in U.S. debt, especially real interest rates, was the main trigger for this round of fluctuations.<b>But in fact, in the first two weeks when interest rates rose fastest, the market's decline was not significant until last week's decline accelerated significantly</b>In the middle of the week, the 10-year US Treasury yields once hit a new high of 1.9% since the epidemic, making our volatility indicator send a signal again after a year. Although US Treasury yields fell from its high level in the next few days, the market decline failed to stop. The profits of some companies fell short of expectations and the passage of relevant antitrust bills by Senate members may have contributed to the market volatility.</p><p><img src=\"https://static.tigerbbs.com/37d0756a985a3ee33da49ad7b1c3d560\" tg-width=\"934\" tg-height=\"695\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The rapid decline of the U.S. stock market has aroused widespread concern in the market. Considering that the FOMC meeting on January 27 is approaching and rate hike expectations are \"pressing step by step\" (the current interest rate futures imply that expectations for March rate hike have risen to 1.0 times),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? And how elastic is the possible impact on valuation after subsequent rate hike? We analyze and answer them one by one in this article.</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p><b>The corrections in the U.S. stock market since the beginning of the year have all been caused by the contraction of valuations, and the decline in valuations has been caused by rising interest rates and the contraction of risk premiums. On the contrary, corporate profit expectations are still being revised upwards</b>。 Taking the S&P 500 index as an example, of the 7.7% decline since the beginning of the year, valuations have dragged down 8.6%, and earnings have contributed 1.0%. The Nasdaq valuation contraction is more pronounced, with valuations dragging down 12.4% of the 12% decline since the beginning of the year and earnings contributing 0.5%. The current dynamic valuation of the S&P 500 index in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is also the lowest since the outbreak of the epidemic</b>。 If calculated on a comparable basis, the current valuation is already lower than the valuation level before the outbreak of the epidemic in early 2020 based on profit expectations at that time (20.2 times vs. 21.2 times), and the current 10-year US Treasury yields and the level before the outbreak of the epidemic are also basically similar. Furthermore, if we look at the equity risk premium excluding the risk-free interest rate, the current equity risk premium (ERP) implied by the S&P 500 index has risen to 3.0%, which is already at the 64.1% quantile since 1990.</p><p><b>So is this valuation level reasonable?</b>？ Our model shows that it is basically reasonable. The current static P/E of the S&P 500 index (23 times) is slightly lower than the reasonable level (23.3 times) supported by growth conditions (December ISM manufacturing PMI 58.7) and liquidity (current 10-year US Treasury yields 1.76%).</p><p><img src=\"https://static.tigerbbs.com/8fb10dc2f5cde2d324a9c34b9782a974\" tg-width=\"932\" tg-height=\"339\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/de2367d6f77942fb10130def382336ab\" tg-width=\"946\" tg-height=\"697\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>From the technical perspective and other indicators</b>, 1) Recent fluctuations have caused the VIX index to rise significantly, and it has risen to the highest level since the end of November 2021 (the Omicron variant virus caused market turmoil); 2) The S&P 500 RSI index has entered a significantly oversold range, which is also the lowest since the first outbreak of the epidemic in 2020; 3) The S&P 500 index is near its 10-month moving average support level, while the Nasdaq is close to its 20-month moving average, and the next support level is around 13,300 points; 3) The credit spread rose slightly, but it was significantly lower than the level during the fluctuations in early 2018 and October, indicating that the financing conditions of enterprises are still relatively favorable; 4) The growth of long-term US Treasury yields has slowed down, and short positions have decreased significantly.</p><p><b>Therefore, on the whole, although the current valuation of U.S. stocks is not cheap, it is basically reasonable after the recent correction. Some technical indicators such as oversold are even extreme, but the more critical credit spread has not risen significantly, still significantly lower than the level at the end of 2018.</b></p><p><img src=\"https://static.tigerbbs.com/11ea793515f02755f87d5a99f32de18b\" tg-width=\"934\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/a671607e48d113aad7136dbc9aa2366f\" tg-width=\"931\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>Since this round of market volatility is due to tightening concerns, how much rate hike expectation is currently included in US stocks and other types of assets? At present, the probability of the Fed's rate hike in March this year implied by CME futures has risen from 54.1% at the end of 2021 to the current 97.1%, and the number of implied rate hike in March has risen to 1.0 in June and December respectively. to 2.4 times and 4.3 times. In addition, the latest consensus forecast of 74 major financial and academic institutions compiled by the WSJ in January is 2 times in rate hike before June 2022 and 3.7 times in rate hike before December.</p><p>Compared with the above expectations, according to the calculation of our model,<b>The U.S. stock market currently includes 3.3 rate hike expectations for the next year</b>(Backward deduction of implied expectations through equity risk premium model); The expectation included in the short-term Treasury Bond is 3.1 times (the implied rate hike expectation is observed through the approximate observation of interest rate expectation and term premium); The most expectations are included in the gold price, about 5.9 times (the implied expectations are backwards through the correlation between gold and real interest rates).</p><p><b>Therefore, it can be seen that although there are still some gaps compared with the expectations implied by interest rate futures (but this expected change is inherently drastically affected by trading factors), the rate hike expectations included in the U.S. stock market as a whole have been relatively sufficient</b>, unless it exceeds expectations again in the future.</p><p><img src=\"https://static.tigerbbs.com/0114c79e1b619345d802853dc2b7e8e4\" tg-width=\"934\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/89c40d4e219a4ae83feecd8f65d68664\" tg-width=\"932\" tg-height=\"376\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p>Typically, the risk-free rate in valuation pricing is more of a long-end Treasury Bond, such as a 10-year US Treasury yields. But if we wrote in \"How does monetary tightening affect interest rate trends?\" According to the analysis, the rate hike has a more direct impact on short-term interest rates. Because long-term interest rates are affected by various factors such as growth, inflation and trading, their response to changes in Federal Funds rate caused by rate hike is not linear, and sometimes it even peaks in stages after the policy is implemented.</p><p>But rate hike will still raise short-term financing costs. In order to measure the elasticity of rate hike's impact on valuation, we use the short-end Treasury Bond (2-year), which is more sensitive to Federal Funds rate, as a \"bridge\". From the historical experience, the 2-year Treasury Bond interest rate is directly and highly correlated with the trend of the effective interest rate of federal funds (R square reaches 93.7%), so it can have a good fitting effect, but sometimes there are cases of early reaction. On the other hand, the 2-year US Treasury yields has also had a relatively obvious negative correlation with the valuation of the US stock market since 2018 (the correlation coefficient reaches-89%).<b>Therefore, based on the above historical correlation, if we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is about 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance, and the valuation fell during this period. The range is 8%, which is basically consistent with the above calculation.</p><p>Looking ahead, unless the path of the rate hike exceeds expectations again, short-term interest rates have been responded in advance to a certain extent, which is consistent with our calculation conclusion above, then the same suppression on valuation may have been partially taken into account, which is what we often say,<b>The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully accounted for and the actual implementation stage.</b></p><p><img src=\"https://static.tigerbbs.com/6a5f080df35ed5ea8b5adb873590b99a\" tg-width=\"941\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>4. Future prospects of the market? January FOMC meeting is key verification; Looking at earnings outlook in the medium term</b></p><p>Based on the above analysis, we can see that,<b>No matter from various dimensions such as the magnitude of valuation correction, rate hike expectations included, or the degree of oversold, the market has already responded to tightening concerns to a certain extent. Statically, valuations are relatively reasonable. The 10-year U.S. bond surge and fall also illustrate this point</b>。</p><p>However, the short-term performance of the market is more dominated by sentiment, so it is more important for recent sentiment and market performance to stabilize first, otherwise the decline itself will trigger greater volatility and contagion risks. At present, the S&P 500 is basically at a key support level, while the next key support level for the Nasdaq is around 13,300 points.<b>Therefore, the upcoming January FOMC meeting is a key verification point (January 27). Whether it implies that the March rate hike and how to convey the future tightening path will become the basis for the market to revise the current expectations</b>。 If expectations are fulfilled, we expect that there may still be periodic disturbances, but as long as it does not exceed expectations, it may basically be a process of fulfilling expectations. On the contrary, if there is no hint of rate hike, it will be an obvious dovish signal for the market, but considering the current situation, this possibility is relatively small.</p><p><img src=\"https://static.tigerbbs.com/ff77348e7cac54161a66c21c742c56db\" tg-width=\"962\" tg-height=\"488\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/b8f03bb7aa68e02a6180aee15dd33896\" tg-width=\"995\" tg-height=\"673\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The recent market volatility is easily reminiscent of the global turmoil triggered in early 2016 after the first rate hike at the end of 2015, the volatility in February 2018 due to rising interest rates, and even the sharp drop in October 2018. By simply comparing these three experiences, it is not difficult to see that the initial inducing factors are all related to tightening expectations and rising interest rates, which have indeed caused obvious pullback/retracement. The maximum pullback/retracement in these three rounds are 10.5%, 10.2% and 19.6% respectively (S&P 500).<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market, although the rate hike shrinking balance sheet continued to advance during this period. In February 2018, under the profit growth driven by tax reform, the market also repaired again and reached a new high. It was not until the end of 2018 that the profit completely peaked that it faced greater pressure.</p><p><b>The current environment is more inflationary constraints than in early 2016, so a situation similar to the one-year delay of rate hike in early 2016 may be difficult to occur under normal circumstances, but the current fundamental profitability situation is not as pessimistic as it was in late 2018</b>。 The market's expectation for U.S. GDP growth this year is 3.9%, and the profit of the U.S. stock S&P 500 index is 8 ~ 10%. The fourth quarter 2021 performance period of U.S. stocks kicked off last week. Although the performance of bank stocks represented by JPMorgan Chase and Citigroup exceeded expectations again, the guidance deviated, putting pressure on stock prices. Netflix, the leader in Internet technology, exceeded expectations by 66.3% in the fourth quarter, but its stock price fell by more than 20% due to lower-than-expected user growth. Although only 13% of the companies in the current S&P 500 Index disclose their performance, the number of companies exceeding expectations accounts for 74%. The consensus expectation is that the EPS of the S&P 500 index in the fourth quarter of 2021 will be 23.6% year-on-year, which is not bad, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and the supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immunity base</b>。 If the epidemic can be quickly repaired and the supply of some commodities and even employment is eased, it will at least help alleviate the tight pressure of the market to a certain extent, and the revision of the subsequent policy path will not be ruled out (which has also appeared many times in history).</p><p></body></html></p>","source":"kevinclyj","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>CICC: Have U.S. stocks fallen in place? How much expectation is factored in?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nCICC: Have U.S. stocks fallen in place? How much expectation is factored in?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">Kevin策略研究</strong><span class=\"h-time small\">2022-01-23 20:07</span>\n</p>\n</h4>\n</header>\n<article>\n<p><html><head></head><body>Authors: CICC Liu Gang, Li Hemin, et al</p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 fell 7.7%, and the Nasdaq fell 12%, ranking at the bottom of all major indexes. The rapid decline of U.S. stocks has aroused widespread concern. Considering that the FOMC meeting on January 27 is approaching and rate hike is expected to be \"pressing step by step\" (the current rate hike expectation in March has risen to one time),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? How flexible is the impact on valuation after the subsequent rate hike?</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p>Since the beginning of the year, the correction of U.S. stocks has been caused by the contraction of valuations, and the decline in valuations has been affected by rising interest rates and the contraction of risk premiums, and earnings are still being revised upwards. The current dynamic valuation of the S&P 500 in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is the lowest value since the epidemic, and the comparable caliber is lower than before the epidemic</b>。<b>So is this valuation level reasonable? Our model shows basically reasonable,</b>The current S&P 500 static P/E (23 times) is slightly lower than the reasonable level (23.3 times) that growth conditions and liquidity can support. In addition, some technical indicators such as oversold have become extreme, the index is at a key support level, the more critical credit spread has not risen significantly, and the short position of long-term Treasury Bond has decreased significantly.</p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>At present, CME futures imply 1 rate hike in March, 2.4 and 4.3 in June and December respectively. WSJ summarized 74 financial and academic institutions. The latest expectations in January are 2 times in rate hike in June 2022 and 3.7 times in rate hike before December. According to our model calculations,<b>The rate hike currently included in the U.S. stock market is expected to be 3.3 times in the next year, which is basically sufficient</b>； Short-end Treasury Bond is expected to be included 3.1 times; The most expectations were included in the gold price, about 5.9 times.</p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p><b>If we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance.<b>During this period, the valuation dropped by 8%, which is basically consistent with the above calculation.</b>This is what we often say. The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully included and the actual implementation stage is actually implemented.</p><p><b>4. Market prospects? January FOMC is key verification; Looking at earnings outlook in the medium term</b></p><p><b>The upcoming January FOMC meeting is a key verification point</b>, whether it implies that the rate hike in March and how to convey the future tightening path will become the basis for market corrections to be currently included in expectations.</p><p>The recent market volatility is easily reminiscent of the global turmoil after the first rate hike at the end of 2015, the fluctuation due to rising interest rates in February 2018, and even the sharp drop in October 2018. The largest pullback/retracement in these three rounds were 10.5%, 10.2% and 20% respectively.<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market. In February 2018, under the profit growth driven by tax reform, the market also repaired again and hit a new high. It was not until the profit completely peaked at the end of 2018 that it faced greater pressure.<b>The current environment is more inflationary constraints than it was in early 2016</b>Therefore, a situation similar to the one-year delay in rate hike in early 2016 may be difficult to occur under normal circumstances.<b>But the current fundamental profitability situation is not as pessimistic as it was at the end of 2018</b>, the market's profit for the US stock S&P 500 index is 8 ~ 10%, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immune base.</b></p><p><b>Body:</b></p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 index has fallen by 7.7%, and the Nasdaq has fallen by 12%, ranking bottom among all major indexes. The minutes of the Federal Reserve unexpectedly revealed that the discussion of shrinking balance sheet triggered market concerns about excessive tightening, and the resulting rapid rise in U.S. debt, especially real interest rates, was the main trigger for this round of fluctuations.<b>But in fact, in the first two weeks when interest rates rose fastest, the market's decline was not significant until last week's decline accelerated significantly</b>In the middle of the week, the 10-year US Treasury yields once hit a new high of 1.9% since the epidemic, making our volatility indicator send a signal again after a year. Although US Treasury yields fell from its high level in the next few days, the market decline failed to stop. The profits of some companies fell short of expectations and the passage of relevant antitrust bills by Senate members may have contributed to the market volatility.</p><p><img src=\"https://static.tigerbbs.com/37d0756a985a3ee33da49ad7b1c3d560\" tg-width=\"934\" tg-height=\"695\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The rapid decline of the U.S. stock market has aroused widespread concern in the market. Considering that the FOMC meeting on January 27 is approaching and rate hike expectations are \"pressing step by step\" (the current interest rate futures imply that expectations for March rate hike have risen to 1.0 times),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? And how elastic is the possible impact on valuation after subsequent rate hike? We analyze and answer them one by one in this article.</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p><b>The corrections in the U.S. stock market since the beginning of the year have all been caused by the contraction of valuations, and the decline in valuations has been caused by rising interest rates and the contraction of risk premiums. On the contrary, corporate profit expectations are still being revised upwards</b>。 Taking the S&P 500 index as an example, of the 7.7% decline since the beginning of the year, valuations have dragged down 8.6%, and earnings have contributed 1.0%. The Nasdaq valuation contraction is more pronounced, with valuations dragging down 12.4% of the 12% decline since the beginning of the year and earnings contributing 0.5%. The current dynamic valuation of the S&P 500 index in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is also the lowest since the outbreak of the epidemic</b>。 If calculated on a comparable basis, the current valuation is already lower than the valuation level before the outbreak of the epidemic in early 2020 based on profit expectations at that time (20.2 times vs. 21.2 times), and the current 10-year US Treasury yields and the level before the outbreak of the epidemic are also basically similar. Furthermore, if we look at the equity risk premium excluding the risk-free interest rate, the current equity risk premium (ERP) implied by the S&P 500 index has risen to 3.0%, which is already at the 64.1% quantile since 1990.</p><p><b>So is this valuation level reasonable?</b>？ Our model shows that it is basically reasonable. The current static P/E of the S&P 500 index (23 times) is slightly lower than the reasonable level (23.3 times) supported by growth conditions (December ISM manufacturing PMI 58.7) and liquidity (current 10-year US Treasury yields 1.76%).</p><p><img src=\"https://static.tigerbbs.com/8fb10dc2f5cde2d324a9c34b9782a974\" tg-width=\"932\" tg-height=\"339\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/de2367d6f77942fb10130def382336ab\" tg-width=\"946\" tg-height=\"697\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>From the technical perspective and other indicators</b>, 1) Recent fluctuations have caused the VIX index to rise significantly, and it has risen to the highest level since the end of November 2021 (the Omicron variant virus caused market turmoil); 2) The S&P 500 RSI index has entered a significantly oversold range, which is also the lowest since the first outbreak of the epidemic in 2020; 3) The S&P 500 index is near its 10-month moving average support level, while the Nasdaq is close to its 20-month moving average, and the next support level is around 13,300 points; 3) The credit spread rose slightly, but it was significantly lower than the level during the fluctuations in early 2018 and October, indicating that the financing conditions of enterprises are still relatively favorable; 4) The growth of long-term US Treasury yields has slowed down, and short positions have decreased significantly.</p><p><b>Therefore, on the whole, although the current valuation of U.S. stocks is not cheap, it is basically reasonable after the recent correction. Some technical indicators such as oversold are even extreme, but the more critical credit spread has not risen significantly, still significantly lower than the level at the end of 2018.</b></p><p><img src=\"https://static.tigerbbs.com/11ea793515f02755f87d5a99f32de18b\" tg-width=\"934\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/a671607e48d113aad7136dbc9aa2366f\" tg-width=\"931\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>Since this round of market volatility is due to tightening concerns, how much rate hike expectation is currently included in US stocks and other types of assets? At present, the probability of the Fed's rate hike in March this year implied by CME futures has risen from 54.1% at the end of 2021 to the current 97.1%, and the number of implied rate hike in March has risen to 1.0 in June and December respectively. to 2.4 times and 4.3 times. In addition, the latest consensus forecast of 74 major financial and academic institutions compiled by the WSJ in January is 2 times in rate hike before June 2022 and 3.7 times in rate hike before December.</p><p>Compared with the above expectations, according to the calculation of our model,<b>The U.S. stock market currently includes 3.3 rate hike expectations for the next year</b>(Backward deduction of implied expectations through equity risk premium model); The expectation included in the short-term Treasury Bond is 3.1 times (the implied rate hike expectation is observed through the approximate observation of interest rate expectation and term premium); The most expectations are included in the gold price, about 5.9 times (the implied expectations are backwards through the correlation between gold and real interest rates).</p><p><b>Therefore, it can be seen that although there are still some gaps compared with the expectations implied by interest rate futures (but this expected change is inherently drastically affected by trading factors), the rate hike expectations included in the U.S. stock market as a whole have been relatively sufficient</b>, unless it exceeds expectations again in the future.</p><p><img src=\"https://static.tigerbbs.com/0114c79e1b619345d802853dc2b7e8e4\" tg-width=\"934\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/89c40d4e219a4ae83feecd8f65d68664\" tg-width=\"932\" tg-height=\"376\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p>Typically, the risk-free rate in valuation pricing is more of a long-end Treasury Bond, such as a 10-year US Treasury yields. But if we wrote in \"How does monetary tightening affect interest rate trends?\" According to the analysis, the rate hike has a more direct impact on short-term interest rates. Because long-term interest rates are affected by various factors such as growth, inflation and trading, their response to changes in Federal Funds rate caused by rate hike is not linear, and sometimes it even peaks in stages after the policy is implemented.</p><p>But rate hike will still raise short-term financing costs. In order to measure the elasticity of rate hike's impact on valuation, we use the short-end Treasury Bond (2-year), which is more sensitive to Federal Funds rate, as a \"bridge\". From the historical experience, the 2-year Treasury Bond interest rate is directly and highly correlated with the trend of the effective interest rate of federal funds (R square reaches 93.7%), so it can have a good fitting effect, but sometimes there are cases of early reaction. On the other hand, the 2-year US Treasury yields has also had a relatively obvious negative correlation with the valuation of the US stock market since 2018 (the correlation coefficient reaches-89%).<b>Therefore, based on the above historical correlation, if we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is about 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance, and the valuation fell during this period. The range is 8%, which is basically consistent with the above calculation.</p><p>Looking ahead, unless the path of the rate hike exceeds expectations again, short-term interest rates have been responded in advance to a certain extent, which is consistent with our calculation conclusion above, then the same suppression on valuation may have been partially taken into account, which is what we often say,<b>The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully accounted for and the actual implementation stage.</b></p><p><img src=\"https://static.tigerbbs.com/6a5f080df35ed5ea8b5adb873590b99a\" tg-width=\"941\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>4. Future prospects of the market? January FOMC meeting is key verification; Looking at earnings outlook in the medium term</b></p><p>Based on the above analysis, we can see that,<b>No matter from various dimensions such as the magnitude of valuation correction, rate hike expectations included, or the degree of oversold, the market has already responded to tightening concerns to a certain extent. Statically, valuations are relatively reasonable. The 10-year U.S. bond surge and fall also illustrate this point</b>。</p><p>However, the short-term performance of the market is more dominated by sentiment, so it is more important for recent sentiment and market performance to stabilize first, otherwise the decline itself will trigger greater volatility and contagion risks. At present, the S&P 500 is basically at a key support level, while the next key support level for the Nasdaq is around 13,300 points.<b>Therefore, the upcoming January FOMC meeting is a key verification point (January 27). Whether it implies that the March rate hike and how to convey the future tightening path will become the basis for the market to revise the current expectations</b>。 If expectations are fulfilled, we expect that there may still be periodic disturbances, but as long as it does not exceed expectations, it may basically be a process of fulfilling expectations. On the contrary, if there is no hint of rate hike, it will be an obvious dovish signal for the market, but considering the current situation, this possibility is relatively small.</p><p><img src=\"https://static.tigerbbs.com/ff77348e7cac54161a66c21c742c56db\" tg-width=\"962\" tg-height=\"488\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/b8f03bb7aa68e02a6180aee15dd33896\" tg-width=\"995\" tg-height=\"673\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The recent market volatility is easily reminiscent of the global turmoil triggered in early 2016 after the first rate hike at the end of 2015, the volatility in February 2018 due to rising interest rates, and even the sharp drop in October 2018. By simply comparing these three experiences, it is not difficult to see that the initial inducing factors are all related to tightening expectations and rising interest rates, which have indeed caused obvious pullback/retracement. The maximum pullback/retracement in these three rounds are 10.5%, 10.2% and 19.6% respectively (S&P 500).<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market, although the rate hike shrinking balance sheet continued to advance during this period. In February 2018, under the profit growth driven by tax reform, the market also repaired again and reached a new high. It was not until the end of 2018 that the profit completely peaked that it faced greater pressure.</p><p><b>The current environment is more inflationary constraints than in early 2016, so a situation similar to the one-year delay of rate hike in early 2016 may be difficult to occur under normal circumstances, but the current fundamental profitability situation is not as pessimistic as it was in late 2018</b>。 The market's expectation for U.S. GDP growth this year is 3.9%, and the profit of the U.S. stock S&P 500 index is 8 ~ 10%. The fourth quarter 2021 performance period of U.S. stocks kicked off last week. Although the performance of bank stocks represented by JPMorgan Chase and Citigroup exceeded expectations again, the guidance deviated, putting pressure on stock prices. Netflix, the leader in Internet technology, exceeded expectations by 66.3% in the fourth quarter, but its stock price fell by more than 20% due to lower-than-expected user growth. Although only 13% of the companies in the current S&P 500 Index disclose their performance, the number of companies exceeding expectations accounts for 74%. The consensus expectation is that the EPS of the S&P 500 index in the fourth quarter of 2021 will be 23.6% year-on-year, which is not bad, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and the supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immunity base</b>。 If the epidemic can be quickly repaired and the supply of some commodities and even employment is eased, it will at least help alleviate the tight pressure of the market to a certain extent, and the revision of the subsequent policy path will not be ruled out (which has also appeared many times in history).</p><p></body></html></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/Bl-gsa1NBP_eAufv2WYuGQ\">Kevin策略研究</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/48c7db6be3da0e0bb16b650e2806461f","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s/Bl-gsa1NBP_eAufv2WYuGQ","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1119939636","content_text":"作者：中金刘刚、李赫民等2022年美股市场可谓开局不利，短短三周标普500下跌7.7%，纳斯达克更是大跌12%，在所有主要指数中垫底。美股的快速下跌引发广泛关注，考虑到1月27日FOMC会议临近而加息预期“步步紧逼”（当前3月加息预期已升至1次），市场普遍关心以下几个问题，美股是否还有进一步下跌风险？估值调到哪了？计入了多少加息预期？后续加息后对估值影响弹性有多大？一、美股跌到什么位置了？估值调到哪了？情绪和技术指标处于什么位置？年初以来美股回调都是估值收缩所致，而估值回落又受利率抬升和风险溢价收缩影响，盈利仍在上修。当前标普500 12月动态估值回落至19.6倍，接近长期历史均值上方一倍标准差（19.4倍），是疫情以来最低值，可比口径下比疫情前更低。那么这一估值水平是否合理呢？我们的模型显示基本合理，当前标普500静态P/E（23倍）已略低于增长条件和流动性能够支撑的合理水平（23.3倍）。此外，一些技术指标如超卖已经较极端，指数处于关键支撑位，较为关键的信用利差并未大幅抬升，长端国债空头大幅减少。二、当前美股和其他资产计入了多少加息预期？目前看，CME期货隐含3月加息次数为1次，6月和12月分别为2.4次和4.3次。WSJ汇总74家金融和学术机构1月最新预期为2022年6月加息2次、12月前加息3.7次。根据我们模型测算，美股市场当前计入的未来一年加息预期为3.3次，基本充分；短端国债计入的预期为3.1次；黄金价格中计入的预期最多，约为5.9次。三、加息对估值影响的敏感性测算？如果假设全年加息4次，即利率抬升100bp，那么对应估值收缩的空间为10%。不过需要注意的是，由于利率的“超前反应”，2年期国债去年底以来已经上行超过100bp至1.2%高位，等于提前反映了未来加息的预期，而在此期间估值的回落幅度为8%，与上面的测算基本一致。这也是我们常说的，货币政策在预期特别是“恐慌”阶段影响最为明显，但预期充分计入和实际执行阶段，其影响会逐步让位于基本面。四、市场前景？1月FOMC是关键验证；中期看盈利前景即将举行的1月FOMC会议便是一个关键验证点，是否暗示3月加息以及如何传递未来的紧缩路径将成为市场修正当前计入预期依据。近期市场波动很容易让人联想起2015年底首次加息后的全球动荡、2018年2月因利率抬升的波动、甚至2018年10月的大跌，这三轮的最大回撤幅度分别为10.5%，10.2%和20%。但是市场在波动之后的中期走势却与所处的宏观环境和基本面有关，例如2016年初动荡后市场再度进入长达2年的牛市， 2018年2月在税改推动的盈利增长下市场也再度修复并创新高，直到2018年底盈利彻底见顶后才面临更大压力。当前的环境比起2016年初通胀约束更大，因此类似于2016年初延后加息一年的情形在正常情况下可能难以出现，但是目前的基本面盈利状况也不似2018年末那么悲观，市场对美股标普500指数盈利为8~10%，且盈利预期仍在上修。短期症结依然在于通胀约束，而背后又与疫情演变和疫情导致的供应链问题有关（如渠道运输、以及请病假人数激增），目前美国疫情已经出现见顶迹象，我们基于免疫基数测算拐点将至。正文：2022年美股市场可谓开局不利，短短三周之内标普500指数已下跌7.7%，纳斯达克更是大跌12%，在所有主要指数中垫底。美联储纪要中意外透露对缩表的讨论引发市场对过快紧缩的担忧、以及由此引发的美债特别是实际利率快速上行是本轮波动的主要导火索。但实际上，在利率上行最快的前两周，市场的跌幅并不显著，直到上周下跌明显加速，周中10年美债利率一度冲击1.9%的疫情以来新高使得我们的波动指标时隔一年后再度发出信号。尽管后几天美债利率从高位回落，但市场跌势未能止住，部分公司盈利不及预期以及参议院委员通过相关反垄断法案都可能对市场波动起到了推波助澜的作用。美股市场的快速下跌引发市场广泛关注，考虑到1月27日FOMC会议临近而加息预期“步步紧逼”（当前利率期货隐含3月加息的预期已经升至1.0次），市场普遍关心以下几个问题，美股是否还有进一步下跌风险？估值已经调到哪了？计入了多少加息预期？以及后续加息后对估值的可能影响弹性有多大？我们在本文中一一分析解答。一、美股跌到什么位置了？估值调到哪了？情绪和技术指标处于什么位置？年初以来美股市场的回调全部都是估值收缩所致，而估值的回落又受利率抬升和风险溢价收缩，相反企业盈利预期仍在上修。以标普500指数为例，年初以来7.7%的跌幅中，估值拖累8.6%，盈利贡献1.0%。纳斯达克估值收缩更为明显，年初以来12%的跌幅中，估值拖累12.4%，盈利贡献0.5%。当前标普500指数12月动态估值回落至19.6倍，接近长期历史均值上方一倍标准差（19.4倍），也是疫情爆发以来的最低值。如果以可比口径来计算，当前的估值已经低于站在2020年初疫情爆发前基于当时盈利预期的估值水平（20.2倍 vs. 21.2倍），当前10年美债利率与疫情爆发前的水平也基本相近。进一步的，如果从剔除掉无风险利率的股权风险溢价来看，当前标普500指数隐含的股权风险溢价（ERP）升至3.0%，也已经处于1990年以来64.1%分位数。那么这一估值水平是否合理呢？我们的模型显示基本合理，当前标普500指数静态P/E（23倍）已经略低于增长条件（12月ISM制造业PMI 58.7）和流动性（当前10年期美债利率 1.76%）能够支撑的合理水平（23.3倍）。从技术面和其他指标看，1）近期的波动使得VIX指数明显走高，已经升至2021年11月末（Omicron变种病毒引发市场动荡）以来最高水平；2）标普500指数RSI指数进入明显超卖区间，也为2020年疫情首次爆发以来最低；3）标普500指数处于其10个月均线支撑位附近，而纳斯达克已经接近20个月均线，下一个支撑位在13300点左右；3）信用利差小幅抬升，但明显低于2018年初和10月波动时的水平，表明企业的融资条件依然相对有利；4）长端美债利率涨幅趋缓，空头仓位大幅减少。因此综合来看，当前美股估值虽然算不上便宜，但经过了近期的回调后也已经基本合理，一些技术指标如超卖情况甚至已经比较极端，但较为关键的信用利差并未大幅抬升，依然明显低于2018年末水平。二、当前美股和其他资产计入了多少加息预期？既然本轮市场波动是因紧缩担忧而起，那么当前美股和其他各类资产计入了多少加息预期呢？目前看，CME期货隐含的美联储今年3月的加息概率已从2021年末的54.1%抬升至当前的97.1%，隐含的3月加息次数升至1.0次，6月和12月分别升至2.4次和4.3次。此外，华尔街日报汇总的74家主要金融和学术机构1月份最新的一致预期为2022年6月前加息2次、12月前加息3.7次。相比上述预期，根据我们模型的测算，美股市场当前计入的未来一年加息预期为3.3次（通过股权风险溢价模型倒推隐含预期）；短端国债计入的预期为3.1次（通过利率预期和期限溢价近似观察隐含加息预期）；黄金价格中计入的预期最多，约为5.9次（通过黄金和实际利率相关性倒推隐含预期）。因此可以看出，虽然相比利率期货隐含的预期还有一些差距（但这一预期变化受交易因素影响本来就较为剧烈），美股市场整体计入的加息预期也已经相对充分，除非后续再度超出预期。三、加息对估值影响的敏感性测算？通常情况下，估值定价中的无风险利率更多是长端国债，例如10年美债利率。但如我们在《货币紧缩如何影响利率走势？》中分析，加息影响更为直接的是短端利率，长端利率由于受到增长、通胀和交易等各方面的因素影响，其对加息所导致的联邦基金利率变化反应并非线性关系，甚至有些时候反而是政策落地后阶段性筑顶。但加息依然会抬升短端融资成本。为了测算加息对估值的影响弹性，我们使用对联邦基金利率更加敏感的短端国债（2年期）作为“桥梁”。从历史经验来看，2年期国债利率与联邦基金有效利率走势直接高度相关（R平方达93.7%），因此可以起到很好的拟合效果，但有些时候存在提前反应的情况。另一方面，2年期美债利率自2018年以来与美股市场估值也存在较为明显的负相关性（相关性系数达-89%）。因此，基于上述历史相关性，如果假设全年加息4次，即利率抬升100bp，那么对应估值收缩的空间为10%左右。不过需要注意的是，由于利率的“超前反应”，2年期国债去年底以来已经上行超过100bp至1.2%的高位，等于提前反映了未来加息的预期，而在此期间估值的回落幅度为8%，与上面的测算基本一致。往前看，除非加息路径再度超预期，短端利率一定程度上也已经提前得到了反应，这与我们在上文中的测算结论一致，那么同样对估值的打压可能也已经得到了部分计入，这也是我们常说的，货币政策在预期特别是“恐慌”阶段影响最为明显，但预期充分计入和实际执行阶段，其影响会逐步让位于基本面。四、市场未来前景？1月FOMC会议是关键验证；中期看盈利前景基于上文中的分析，我们可以看出，不论是从估值回调幅度、计入的加息预期、还是超卖程度等各个维度来看，市场对于紧缩的担忧已经有了一定反应，静态看估值相对合理水平，10年美债冲高回落也说明了这一点。不过，市场在短期的表现更多受情绪主导，因此近期情绪和市场表现首先企稳更为重要，否则会因为下跌本身触发更大的波动和传染风险。目前来看，标普500指数基本处于一个关键支撑位，而纳指的下一个关键支撑位在13300点附近。因此，即将举行的1月FOMC会议便是一个关键验证点（1月27日），是否暗示3月加息以及如何传递未来的紧缩路径将成为市场修正当前计入预期依据。如果预期兑现，我们预计可能仍会有阶段性扰动，但只要不超预期可能也就基本是预期兑现的过程。反之，如果没有暗示加息，那么对市场而言将是一个明显鸽派的信号，不过结合目前情况来看，这一可能性相对较小。近期市场的波动很容易让人联想起2015年底首次加息后在2016年初引发的全球动荡、2018年2月因利率抬升的波动、甚至2018年10月的大跌。简单对比这三段经验不难看出，初始诱发因素都与紧缩预期及利率抬升等有关，也的确造成了明显回撤，这三轮的最大回撤幅度分别为10.5%，10.2%和19.6%左右（标普500）。但是市场在波动之后的中期走势却与所处的宏观环境和基本面有关，例如2016年初动荡后，市场再度进入长达2年的牛市，尽管期间加息缩表持续推进。2018年2月在税改推动的盈利增长下市场也再度修复并创新高，直到2018年底盈利彻底见顶后才面临更大压力。当前的环境比起2016年初通胀约束更大，因此类似于2016年初延后加息一年的情形在正常情况下可能难以出现，但是目前的基本面盈利状况也不似2018年末那么悲观。市场对于美国GDP今年增长的预期为3.9%，美股标普500指数盈利为8~10%。美股2021年四季度业绩期已于上周拉开序幕，以摩根大通和花旗为代表的银行股虽然业绩再超预期但指引偏差，导致股价承压。互联网科技龙头Netflix四季度业绩超预期幅度达66.3%，但由于用户增长不及预期，股价跌超20%。当前标普500指数虽然仅有13%公司披露业绩，但超预期公司数量占比却达74%。一致预期预计标普500指数2021年四季度EPS同比23.6%，并不算差，且盈利预期仍在上修。短期的症结依然在于通胀约束，而背后又与疫情演变和疫情导致的供应链问题有关（如渠道运输、以及请病假人数激增），目前美国疫情已经出现见顶迹象，我们基于免疫基数测算拐点将至。如果疫情能够快速修复导致部分商品甚至就业供应缓解，至少一定程度上有助于缓解市场紧绷的压力，也不排除后续政策路径的修正（历史上也多次出现过）。","news_type":1,"symbols_score_info":{".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":2599,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"hots":[{"id":9007522589,"gmtCreate":1642961743708,"gmtModify":1676533759832,"author":{"id":"3574227626572042","authorId":"3574227626572042","name":"Nickheng","avatar":"https://static.tigerbbs.com/44352936c4268e0426cd997d752432c1","crmLevel":12,"crmLevelSwitch":1,"followedFlag":false,"authorIdStr":"3574227626572042","idStr":"3574227626572042"},"themes":[],"htmlText":"👍","listText":"👍","text":"👍","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":7,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9007522589","repostId":"1119939636","repostType":4,"repost":{"id":"1119939636","kind":"news","pubTimestamp":1642939625,"share":"https://ttm.financial/m/news/1119939636?lang=en_US&edition=fundamental","pubTime":"2022-01-23 20:07","market":"us","language":"zh","title":"CICC: Have U.S. stocks fallen in place? How much expectation is factored in?","url":"https://stock-news.laohu8.com/highlight/detail?id=1119939636","media":"Kevin策略研究","summary":"当前美股估值虽然算不上便宜，但经过了近期的回调后也已经基本合理。","content":"<p><html><head></head><body>Authors: CICC Liu Gang, Li Hemin, et al</p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 fell 7.7%, and the Nasdaq fell 12%, ranking at the bottom of all major indexes. The rapid decline of U.S. stocks has aroused widespread concern. Considering that the FOMC meeting on January 27 is approaching and rate hike is expected to be \"pressing step by step\" (the current rate hike expectation in March has risen to one time),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? How flexible is the impact on valuation after the subsequent rate hike?</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p>Since the beginning of the year, the correction of U.S. stocks has been caused by the contraction of valuations, and the decline in valuations has been affected by rising interest rates and the contraction of risk premiums, and earnings are still being revised upwards. The current dynamic valuation of the S&P 500 in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is the lowest value since the epidemic, and the comparable caliber is lower than before the epidemic</b>。<b>So is this valuation level reasonable? Our model shows basically reasonable,</b>The current S&P 500 static P/E (23 times) is slightly lower than the reasonable level (23.3 times) that growth conditions and liquidity can support. In addition, some technical indicators such as oversold have become extreme, the index is at a key support level, the more critical credit spread has not risen significantly, and the short position of long-term Treasury Bond has decreased significantly.</p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>At present, CME futures imply 1 rate hike in March, 2.4 and 4.3 in June and December respectively. WSJ summarized 74 financial and academic institutions. The latest expectations in January are 2 times in rate hike in June 2022 and 3.7 times in rate hike before December. According to our model calculations,<b>The rate hike currently included in the U.S. stock market is expected to be 3.3 times in the next year, which is basically sufficient</b>； Short-end Treasury Bond is expected to be included 3.1 times; The most expectations were included in the gold price, about 5.9 times.</p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p><b>If we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance.<b>During this period, the valuation dropped by 8%, which is basically consistent with the above calculation.</b>This is what we often say. The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully included and the actual implementation stage is actually implemented.</p><p><b>4. Market prospects? January FOMC is key verification; Looking at earnings outlook in the medium term</b></p><p><b>The upcoming January FOMC meeting is a key verification point</b>, whether it implies that the rate hike in March and how to convey the future tightening path will become the basis for market corrections to be currently included in expectations.</p><p>The recent market volatility is easily reminiscent of the global turmoil after the first rate hike at the end of 2015, the fluctuation due to rising interest rates in February 2018, and even the sharp drop in October 2018. The largest pullback/retracement in these three rounds were 10.5%, 10.2% and 20% respectively.<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market. In February 2018, under the profit growth driven by tax reform, the market also repaired again and hit a new high. It was not until the profit completely peaked at the end of 2018 that it faced greater pressure.<b>The current environment is more inflationary constraints than it was in early 2016</b>Therefore, a situation similar to the one-year delay in rate hike in early 2016 may be difficult to occur under normal circumstances.<b>But the current fundamental profitability situation is not as pessimistic as it was at the end of 2018</b>, the market's profit for the US stock S&P 500 index is 8 ~ 10%, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immune base.</b></p><p><b>Body:</b></p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 index has fallen by 7.7%, and the Nasdaq has fallen by 12%, ranking bottom among all major indexes. The minutes of the Federal Reserve unexpectedly revealed that the discussion of shrinking balance sheet triggered market concerns about excessive tightening, and the resulting rapid rise in U.S. debt, especially real interest rates, was the main trigger for this round of fluctuations.<b>But in fact, in the first two weeks when interest rates rose fastest, the market's decline was not significant until last week's decline accelerated significantly</b>In the middle of the week, the 10-year US Treasury yields once hit a new high of 1.9% since the epidemic, making our volatility indicator send a signal again after a year. Although US Treasury yields fell from its high level in the next few days, the market decline failed to stop. The profits of some companies fell short of expectations and the passage of relevant antitrust bills by Senate members may have contributed to the market volatility.</p><p><img src=\"https://static.tigerbbs.com/37d0756a985a3ee33da49ad7b1c3d560\" tg-width=\"934\" tg-height=\"695\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The rapid decline of the U.S. stock market has aroused widespread concern in the market. Considering that the FOMC meeting on January 27 is approaching and rate hike expectations are \"pressing step by step\" (the current interest rate futures imply that expectations for March rate hike have risen to 1.0 times),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? And how elastic is the possible impact on valuation after subsequent rate hike? We analyze and answer them one by one in this article.</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p><b>The corrections in the U.S. stock market since the beginning of the year have all been caused by the contraction of valuations, and the decline in valuations has been caused by rising interest rates and the contraction of risk premiums. On the contrary, corporate profit expectations are still being revised upwards</b>。 Taking the S&P 500 index as an example, of the 7.7% decline since the beginning of the year, valuations have dragged down 8.6%, and earnings have contributed 1.0%. The Nasdaq valuation contraction is more pronounced, with valuations dragging down 12.4% of the 12% decline since the beginning of the year and earnings contributing 0.5%. The current dynamic valuation of the S&P 500 index in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is also the lowest since the outbreak of the epidemic</b>。 If calculated on a comparable basis, the current valuation is already lower than the valuation level before the outbreak of the epidemic in early 2020 based on profit expectations at that time (20.2 times vs. 21.2 times), and the current 10-year US Treasury yields and the level before the outbreak of the epidemic are also basically similar. Furthermore, if we look at the equity risk premium excluding the risk-free interest rate, the current equity risk premium (ERP) implied by the S&P 500 index has risen to 3.0%, which is already at the 64.1% quantile since 1990.</p><p><b>So is this valuation level reasonable?</b>？ Our model shows that it is basically reasonable. The current static P/E of the S&P 500 index (23 times) is slightly lower than the reasonable level (23.3 times) supported by growth conditions (December ISM manufacturing PMI 58.7) and liquidity (current 10-year US Treasury yields 1.76%).</p><p><img src=\"https://static.tigerbbs.com/8fb10dc2f5cde2d324a9c34b9782a974\" tg-width=\"932\" tg-height=\"339\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/de2367d6f77942fb10130def382336ab\" tg-width=\"946\" tg-height=\"697\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>From the technical perspective and other indicators</b>, 1) Recent fluctuations have caused the VIX index to rise significantly, and it has risen to the highest level since the end of November 2021 (the Omicron variant virus caused market turmoil); 2) The S&P 500 RSI index has entered a significantly oversold range, which is also the lowest since the first outbreak of the epidemic in 2020; 3) The S&P 500 index is near its 10-month moving average support level, while the Nasdaq is close to its 20-month moving average, and the next support level is around 13,300 points; 3) The credit spread rose slightly, but it was significantly lower than the level during the fluctuations in early 2018 and October, indicating that the financing conditions of enterprises are still relatively favorable; 4) The growth of long-term US Treasury yields has slowed down, and short positions have decreased significantly.</p><p><b>Therefore, on the whole, although the current valuation of U.S. stocks is not cheap, it is basically reasonable after the recent correction. Some technical indicators such as oversold are even extreme, but the more critical credit spread has not risen significantly, still significantly lower than the level at the end of 2018.</b></p><p><img src=\"https://static.tigerbbs.com/11ea793515f02755f87d5a99f32de18b\" tg-width=\"934\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/a671607e48d113aad7136dbc9aa2366f\" tg-width=\"931\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>Since this round of market volatility is due to tightening concerns, how much rate hike expectation is currently included in US stocks and other types of assets? At present, the probability of the Fed's rate hike in March this year implied by CME futures has risen from 54.1% at the end of 2021 to the current 97.1%, and the number of implied rate hike in March has risen to 1.0 in June and December respectively. to 2.4 times and 4.3 times. In addition, the latest consensus forecast of 74 major financial and academic institutions compiled by the WSJ in January is 2 times in rate hike before June 2022 and 3.7 times in rate hike before December.</p><p>Compared with the above expectations, according to the calculation of our model,<b>The U.S. stock market currently includes 3.3 rate hike expectations for the next year</b>(Backward deduction of implied expectations through equity risk premium model); The expectation included in the short-term Treasury Bond is 3.1 times (the implied rate hike expectation is observed through the approximate observation of interest rate expectation and term premium); The most expectations are included in the gold price, about 5.9 times (the implied expectations are backwards through the correlation between gold and real interest rates).</p><p><b>Therefore, it can be seen that although there are still some gaps compared with the expectations implied by interest rate futures (but this expected change is inherently drastically affected by trading factors), the rate hike expectations included in the U.S. stock market as a whole have been relatively sufficient</b>, unless it exceeds expectations again in the future.</p><p><img src=\"https://static.tigerbbs.com/0114c79e1b619345d802853dc2b7e8e4\" tg-width=\"934\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/89c40d4e219a4ae83feecd8f65d68664\" tg-width=\"932\" tg-height=\"376\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p>Typically, the risk-free rate in valuation pricing is more of a long-end Treasury Bond, such as a 10-year US Treasury yields. But if we wrote in \"How does monetary tightening affect interest rate trends?\" According to the analysis, the rate hike has a more direct impact on short-term interest rates. Because long-term interest rates are affected by various factors such as growth, inflation and trading, their response to changes in Federal Funds rate caused by rate hike is not linear, and sometimes it even peaks in stages after the policy is implemented.</p><p>But rate hike will still raise short-term financing costs. In order to measure the elasticity of rate hike's impact on valuation, we use the short-end Treasury Bond (2-year), which is more sensitive to Federal Funds rate, as a \"bridge\". From the historical experience, the 2-year Treasury Bond interest rate is directly and highly correlated with the trend of the effective interest rate of federal funds (R square reaches 93.7%), so it can have a good fitting effect, but sometimes there are cases of early reaction. On the other hand, the 2-year US Treasury yields has also had a relatively obvious negative correlation with the valuation of the US stock market since 2018 (the correlation coefficient reaches-89%).<b>Therefore, based on the above historical correlation, if we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is about 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance, and the valuation fell during this period. The range is 8%, which is basically consistent with the above calculation.</p><p>Looking ahead, unless the path of the rate hike exceeds expectations again, short-term interest rates have been responded in advance to a certain extent, which is consistent with our calculation conclusion above, then the same suppression on valuation may have been partially taken into account, which is what we often say,<b>The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully accounted for and the actual implementation stage.</b></p><p><img src=\"https://static.tigerbbs.com/6a5f080df35ed5ea8b5adb873590b99a\" tg-width=\"941\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>4. Future prospects of the market? January FOMC meeting is key verification; Looking at earnings outlook in the medium term</b></p><p>Based on the above analysis, we can see that,<b>No matter from various dimensions such as the magnitude of valuation correction, rate hike expectations included, or the degree of oversold, the market has already responded to tightening concerns to a certain extent. Statically, valuations are relatively reasonable. The 10-year U.S. bond surge and fall also illustrate this point</b>。</p><p>However, the short-term performance of the market is more dominated by sentiment, so it is more important for recent sentiment and market performance to stabilize first, otherwise the decline itself will trigger greater volatility and contagion risks. At present, the S&P 500 is basically at a key support level, while the next key support level for the Nasdaq is around 13,300 points.<b>Therefore, the upcoming January FOMC meeting is a key verification point (January 27). Whether it implies that the March rate hike and how to convey the future tightening path will become the basis for the market to revise the current expectations</b>。 If expectations are fulfilled, we expect that there may still be periodic disturbances, but as long as it does not exceed expectations, it may basically be a process of fulfilling expectations. On the contrary, if there is no hint of rate hike, it will be an obvious dovish signal for the market, but considering the current situation, this possibility is relatively small.</p><p><img src=\"https://static.tigerbbs.com/ff77348e7cac54161a66c21c742c56db\" tg-width=\"962\" tg-height=\"488\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/b8f03bb7aa68e02a6180aee15dd33896\" tg-width=\"995\" tg-height=\"673\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The recent market volatility is easily reminiscent of the global turmoil triggered in early 2016 after the first rate hike at the end of 2015, the volatility in February 2018 due to rising interest rates, and even the sharp drop in October 2018. By simply comparing these three experiences, it is not difficult to see that the initial inducing factors are all related to tightening expectations and rising interest rates, which have indeed caused obvious pullback/retracement. The maximum pullback/retracement in these three rounds are 10.5%, 10.2% and 19.6% respectively (S&P 500).<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market, although the rate hike shrinking balance sheet continued to advance during this period. In February 2018, under the profit growth driven by tax reform, the market also repaired again and reached a new high. It was not until the end of 2018 that the profit completely peaked that it faced greater pressure.</p><p><b>The current environment is more inflationary constraints than in early 2016, so a situation similar to the one-year delay of rate hike in early 2016 may be difficult to occur under normal circumstances, but the current fundamental profitability situation is not as pessimistic as it was in late 2018</b>。 The market's expectation for U.S. GDP growth this year is 3.9%, and the profit of the U.S. stock S&P 500 index is 8 ~ 10%. The fourth quarter 2021 performance period of U.S. stocks kicked off last week. Although the performance of bank stocks represented by JPMorgan Chase and Citigroup exceeded expectations again, the guidance deviated, putting pressure on stock prices. Netflix, the leader in Internet technology, exceeded expectations by 66.3% in the fourth quarter, but its stock price fell by more than 20% due to lower-than-expected user growth. Although only 13% of the companies in the current S&P 500 Index disclose their performance, the number of companies exceeding expectations accounts for 74%. The consensus expectation is that the EPS of the S&P 500 index in the fourth quarter of 2021 will be 23.6% year-on-year, which is not bad, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and the supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immunity base</b>。 If the epidemic can be quickly repaired and the supply of some commodities and even employment is eased, it will at least help alleviate the tight pressure of the market to a certain extent, and the revision of the subsequent policy path will not be ruled out (which has also appeared many times in history).</p><p></body></html></p>","source":"kevinclyj","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>CICC: Have U.S. stocks fallen in place? How much expectation is factored in?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nCICC: Have U.S. stocks fallen in place? How much expectation is factored in?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">Kevin策略研究</strong><span class=\"h-time small\">2022-01-23 20:07</span>\n</p>\n</h4>\n</header>\n<article>\n<p><html><head></head><body>Authors: CICC Liu Gang, Li Hemin, et al</p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 fell 7.7%, and the Nasdaq fell 12%, ranking at the bottom of all major indexes. The rapid decline of U.S. stocks has aroused widespread concern. Considering that the FOMC meeting on January 27 is approaching and rate hike is expected to be \"pressing step by step\" (the current rate hike expectation in March has risen to one time),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? How flexible is the impact on valuation after the subsequent rate hike?</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p>Since the beginning of the year, the correction of U.S. stocks has been caused by the contraction of valuations, and the decline in valuations has been affected by rising interest rates and the contraction of risk premiums, and earnings are still being revised upwards. The current dynamic valuation of the S&P 500 in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is the lowest value since the epidemic, and the comparable caliber is lower than before the epidemic</b>。<b>So is this valuation level reasonable? Our model shows basically reasonable,</b>The current S&P 500 static P/E (23 times) is slightly lower than the reasonable level (23.3 times) that growth conditions and liquidity can support. In addition, some technical indicators such as oversold have become extreme, the index is at a key support level, the more critical credit spread has not risen significantly, and the short position of long-term Treasury Bond has decreased significantly.</p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>At present, CME futures imply 1 rate hike in March, 2.4 and 4.3 in June and December respectively. WSJ summarized 74 financial and academic institutions. The latest expectations in January are 2 times in rate hike in June 2022 and 3.7 times in rate hike before December. According to our model calculations,<b>The rate hike currently included in the U.S. stock market is expected to be 3.3 times in the next year, which is basically sufficient</b>； Short-end Treasury Bond is expected to be included 3.1 times; The most expectations were included in the gold price, about 5.9 times.</p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p><b>If we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance.<b>During this period, the valuation dropped by 8%, which is basically consistent with the above calculation.</b>This is what we often say. The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully included and the actual implementation stage is actually implemented.</p><p><b>4. Market prospects? January FOMC is key verification; Looking at earnings outlook in the medium term</b></p><p><b>The upcoming January FOMC meeting is a key verification point</b>, whether it implies that the rate hike in March and how to convey the future tightening path will become the basis for market corrections to be currently included in expectations.</p><p>The recent market volatility is easily reminiscent of the global turmoil after the first rate hike at the end of 2015, the fluctuation due to rising interest rates in February 2018, and even the sharp drop in October 2018. The largest pullback/retracement in these three rounds were 10.5%, 10.2% and 20% respectively.<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market. In February 2018, under the profit growth driven by tax reform, the market also repaired again and hit a new high. It was not until the profit completely peaked at the end of 2018 that it faced greater pressure.<b>The current environment is more inflationary constraints than it was in early 2016</b>Therefore, a situation similar to the one-year delay in rate hike in early 2016 may be difficult to occur under normal circumstances.<b>But the current fundamental profitability situation is not as pessimistic as it was at the end of 2018</b>, the market's profit for the US stock S&P 500 index is 8 ~ 10%, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immune base.</b></p><p><b>Body:</b></p><p>The U.S. stock market has had a bad start in 2022. In just three weeks, the S&P 500 index has fallen by 7.7%, and the Nasdaq has fallen by 12%, ranking bottom among all major indexes. The minutes of the Federal Reserve unexpectedly revealed that the discussion of shrinking balance sheet triggered market concerns about excessive tightening, and the resulting rapid rise in U.S. debt, especially real interest rates, was the main trigger for this round of fluctuations.<b>But in fact, in the first two weeks when interest rates rose fastest, the market's decline was not significant until last week's decline accelerated significantly</b>In the middle of the week, the 10-year US Treasury yields once hit a new high of 1.9% since the epidemic, making our volatility indicator send a signal again after a year. Although US Treasury yields fell from its high level in the next few days, the market decline failed to stop. The profits of some companies fell short of expectations and the passage of relevant antitrust bills by Senate members may have contributed to the market volatility.</p><p><img src=\"https://static.tigerbbs.com/37d0756a985a3ee33da49ad7b1c3d560\" tg-width=\"934\" tg-height=\"695\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The rapid decline of the U.S. stock market has aroused widespread concern in the market. Considering that the FOMC meeting on January 27 is approaching and rate hike expectations are \"pressing step by step\" (the current interest rate futures imply that expectations for March rate hike have risen to 1.0 times),<b>The market is generally concerned about the following questions. Is there any risk of further decline in U.S. stocks? Where has the valuation been adjusted? How many rate hike expectations are factored in? And how elastic is the possible impact on valuation after subsequent rate hike? We analyze and answer them one by one in this article.</b></p><p><b>1. Where did the U.S. stock market fall? Where has the valuation been adjusted? Where Are Sentiment and Technical Indicators in?</b></p><p><b>The corrections in the U.S. stock market since the beginning of the year have all been caused by the contraction of valuations, and the decline in valuations has been caused by rising interest rates and the contraction of risk premiums. On the contrary, corporate profit expectations are still being revised upwards</b>。 Taking the S&P 500 index as an example, of the 7.7% decline since the beginning of the year, valuations have dragged down 8.6%, and earnings have contributed 1.0%. The Nasdaq valuation contraction is more pronounced, with valuations dragging down 12.4% of the 12% decline since the beginning of the year and earnings contributing 0.5%. The current dynamic valuation of the S&P 500 index in December has fallen back to 19.6 times, which is close to one standard deviation (19.4 times) above the long-term historical mean.<b>It is also the lowest since the outbreak of the epidemic</b>。 If calculated on a comparable basis, the current valuation is already lower than the valuation level before the outbreak of the epidemic in early 2020 based on profit expectations at that time (20.2 times vs. 21.2 times), and the current 10-year US Treasury yields and the level before the outbreak of the epidemic are also basically similar. Furthermore, if we look at the equity risk premium excluding the risk-free interest rate, the current equity risk premium (ERP) implied by the S&P 500 index has risen to 3.0%, which is already at the 64.1% quantile since 1990.</p><p><b>So is this valuation level reasonable?</b>？ Our model shows that it is basically reasonable. The current static P/E of the S&P 500 index (23 times) is slightly lower than the reasonable level (23.3 times) supported by growth conditions (December ISM manufacturing PMI 58.7) and liquidity (current 10-year US Treasury yields 1.76%).</p><p><img src=\"https://static.tigerbbs.com/8fb10dc2f5cde2d324a9c34b9782a974\" tg-width=\"932\" tg-height=\"339\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/de2367d6f77942fb10130def382336ab\" tg-width=\"946\" tg-height=\"697\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>From the technical perspective and other indicators</b>, 1) Recent fluctuations have caused the VIX index to rise significantly, and it has risen to the highest level since the end of November 2021 (the Omicron variant virus caused market turmoil); 2) The S&P 500 RSI index has entered a significantly oversold range, which is also the lowest since the first outbreak of the epidemic in 2020; 3) The S&P 500 index is near its 10-month moving average support level, while the Nasdaq is close to its 20-month moving average, and the next support level is around 13,300 points; 3) The credit spread rose slightly, but it was significantly lower than the level during the fluctuations in early 2018 and October, indicating that the financing conditions of enterprises are still relatively favorable; 4) The growth of long-term US Treasury yields has slowed down, and short positions have decreased significantly.</p><p><b>Therefore, on the whole, although the current valuation of U.S. stocks is not cheap, it is basically reasonable after the recent correction. Some technical indicators such as oversold are even extreme, but the more critical credit spread has not risen significantly, still significantly lower than the level at the end of 2018.</b></p><p><img src=\"https://static.tigerbbs.com/11ea793515f02755f87d5a99f32de18b\" tg-width=\"934\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/a671607e48d113aad7136dbc9aa2366f\" tg-width=\"931\" tg-height=\"344\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>2. How much rate hike expectation is currently included in U.S. stocks and other assets?</b></p><p>Since this round of market volatility is due to tightening concerns, how much rate hike expectation is currently included in US stocks and other types of assets? At present, the probability of the Fed's rate hike in March this year implied by CME futures has risen from 54.1% at the end of 2021 to the current 97.1%, and the number of implied rate hike in March has risen to 1.0 in June and December respectively. to 2.4 times and 4.3 times. In addition, the latest consensus forecast of 74 major financial and academic institutions compiled by the WSJ in January is 2 times in rate hike before June 2022 and 3.7 times in rate hike before December.</p><p>Compared with the above expectations, according to the calculation of our model,<b>The U.S. stock market currently includes 3.3 rate hike expectations for the next year</b>(Backward deduction of implied expectations through equity risk premium model); The expectation included in the short-term Treasury Bond is 3.1 times (the implied rate hike expectation is observed through the approximate observation of interest rate expectation and term premium); The most expectations are included in the gold price, about 5.9 times (the implied expectations are backwards through the correlation between gold and real interest rates).</p><p><b>Therefore, it can be seen that although there are still some gaps compared with the expectations implied by interest rate futures (but this expected change is inherently drastically affected by trading factors), the rate hike expectations included in the U.S. stock market as a whole have been relatively sufficient</b>, unless it exceeds expectations again in the future.</p><p><img src=\"https://static.tigerbbs.com/0114c79e1b619345d802853dc2b7e8e4\" tg-width=\"934\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/89c40d4e219a4ae83feecd8f65d68664\" tg-width=\"932\" tg-height=\"376\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>3. Sensitivity measurement of the impact of rate hike on valuation?</b></p><p>Typically, the risk-free rate in valuation pricing is more of a long-end Treasury Bond, such as a 10-year US Treasury yields. But if we wrote in \"How does monetary tightening affect interest rate trends?\" According to the analysis, the rate hike has a more direct impact on short-term interest rates. Because long-term interest rates are affected by various factors such as growth, inflation and trading, their response to changes in Federal Funds rate caused by rate hike is not linear, and sometimes it even peaks in stages after the policy is implemented.</p><p>But rate hike will still raise short-term financing costs. In order to measure the elasticity of rate hike's impact on valuation, we use the short-end Treasury Bond (2-year), which is more sensitive to Federal Funds rate, as a \"bridge\". From the historical experience, the 2-year Treasury Bond interest rate is directly and highly correlated with the trend of the effective interest rate of federal funds (R square reaches 93.7%), so it can have a good fitting effect, but sometimes there are cases of early reaction. On the other hand, the 2-year US Treasury yields has also had a relatively obvious negative correlation with the valuation of the US stock market since 2018 (the correlation coefficient reaches-89%).<b>Therefore, based on the above historical correlation, if we assume that there are 4 rate hike throughout the year, that is, the interest rate rises by 100bp, then the corresponding room for valuation contraction is about 10%</b>。 However, it should be noted that due to the \"advanced reaction\" of interest rates, the 2-year Treasury Bond has risen by more than 100bp to a high of 1.2% since the end of last year, which is equivalent to reflecting the expectation of future rate hike in advance, and the valuation fell during this period. The range is 8%, which is basically consistent with the above calculation.</p><p>Looking ahead, unless the path of the rate hike exceeds expectations again, short-term interest rates have been responded in advance to a certain extent, which is consistent with our calculation conclusion above, then the same suppression on valuation may have been partially taken into account, which is what we often say,<b>The impact of monetary policy is most obvious in the expected stage, especially in the \"panic\" stage, but its impact will gradually give way to fundamentals when the expectation is fully accounted for and the actual implementation stage.</b></p><p><img src=\"https://static.tigerbbs.com/6a5f080df35ed5ea8b5adb873590b99a\" tg-width=\"941\" tg-height=\"701\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><b>4. Future prospects of the market? January FOMC meeting is key verification; Looking at earnings outlook in the medium term</b></p><p>Based on the above analysis, we can see that,<b>No matter from various dimensions such as the magnitude of valuation correction, rate hike expectations included, or the degree of oversold, the market has already responded to tightening concerns to a certain extent. Statically, valuations are relatively reasonable. The 10-year U.S. bond surge and fall also illustrate this point</b>。</p><p>However, the short-term performance of the market is more dominated by sentiment, so it is more important for recent sentiment and market performance to stabilize first, otherwise the decline itself will trigger greater volatility and contagion risks. At present, the S&P 500 is basically at a key support level, while the next key support level for the Nasdaq is around 13,300 points.<b>Therefore, the upcoming January FOMC meeting is a key verification point (January 27). Whether it implies that the March rate hike and how to convey the future tightening path will become the basis for the market to revise the current expectations</b>。 If expectations are fulfilled, we expect that there may still be periodic disturbances, but as long as it does not exceed expectations, it may basically be a process of fulfilling expectations. On the contrary, if there is no hint of rate hike, it will be an obvious dovish signal for the market, but considering the current situation, this possibility is relatively small.</p><p><img src=\"https://static.tigerbbs.com/ff77348e7cac54161a66c21c742c56db\" tg-width=\"962\" tg-height=\"488\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p><img src=\"https://static.tigerbbs.com/b8f03bb7aa68e02a6180aee15dd33896\" tg-width=\"995\" tg-height=\"673\" referrerpolicy=\"no-referrer\" width=\"100%\" height=\"auto\"/></p><p>The recent market volatility is easily reminiscent of the global turmoil triggered in early 2016 after the first rate hike at the end of 2015, the volatility in February 2018 due to rising interest rates, and even the sharp drop in October 2018. By simply comparing these three experiences, it is not difficult to see that the initial inducing factors are all related to tightening expectations and rising interest rates, which have indeed caused obvious pullback/retracement. The maximum pullback/retracement in these three rounds are 10.5%, 10.2% and 19.6% respectively (S&P 500).<b>However, the medium-term trend of the market after fluctuations is related to the macro environment and fundamentals</b>For example, after the turmoil in early 2016, the market once again entered a two-year bull market, although the rate hike shrinking balance sheet continued to advance during this period. In February 2018, under the profit growth driven by tax reform, the market also repaired again and reached a new high. It was not until the end of 2018 that the profit completely peaked that it faced greater pressure.</p><p><b>The current environment is more inflationary constraints than in early 2016, so a situation similar to the one-year delay of rate hike in early 2016 may be difficult to occur under normal circumstances, but the current fundamental profitability situation is not as pessimistic as it was in late 2018</b>。 The market's expectation for U.S. GDP growth this year is 3.9%, and the profit of the U.S. stock S&P 500 index is 8 ~ 10%. The fourth quarter 2021 performance period of U.S. stocks kicked off last week. Although the performance of bank stocks represented by JPMorgan Chase and Citigroup exceeded expectations again, the guidance deviated, putting pressure on stock prices. Netflix, the leader in Internet technology, exceeded expectations by 66.3% in the fourth quarter, but its stock price fell by more than 20% due to lower-than-expected user growth. Although only 13% of the companies in the current S&P 500 Index disclose their performance, the number of companies exceeding expectations accounts for 74%. The consensus expectation is that the EPS of the S&P 500 index in the fourth quarter of 2021 will be 23.6% year-on-year, which is not bad, and the profit expectation is still being revised upward.</p><p>The short-term crux still lies in inflation constraints, which are related to the evolution of the epidemic and the supply chain problems caused by the epidemic (such as channel transportation and the surge in the number of people calling for sick leave).<b>At present, the epidemic situation in the United States has shown signs of peaking, and we estimate that the inflection point is approaching based on the immunity base</b>。 If the epidemic can be quickly repaired and the supply of some commodities and even employment is eased, it will at least help alleviate the tight pressure of the market to a certain extent, and the revision of the subsequent policy path will not be ruled out (which has also appeared many times in history).</p><p></body></html></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s/Bl-gsa1NBP_eAufv2WYuGQ\">Kevin策略研究</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/48c7db6be3da0e0bb16b650e2806461f","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://mp.weixin.qq.com/s/Bl-gsa1NBP_eAufv2WYuGQ","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1119939636","content_text":"作者：中金刘刚、李赫民等2022年美股市场可谓开局不利，短短三周标普500下跌7.7%，纳斯达克更是大跌12%，在所有主要指数中垫底。美股的快速下跌引发广泛关注，考虑到1月27日FOMC会议临近而加息预期“步步紧逼”（当前3月加息预期已升至1次），市场普遍关心以下几个问题，美股是否还有进一步下跌风险？估值调到哪了？计入了多少加息预期？后续加息后对估值影响弹性有多大？一、美股跌到什么位置了？估值调到哪了？情绪和技术指标处于什么位置？年初以来美股回调都是估值收缩所致，而估值回落又受利率抬升和风险溢价收缩影响，盈利仍在上修。当前标普500 12月动态估值回落至19.6倍，接近长期历史均值上方一倍标准差（19.4倍），是疫情以来最低值，可比口径下比疫情前更低。那么这一估值水平是否合理呢？我们的模型显示基本合理，当前标普500静态P/E（23倍）已略低于增长条件和流动性能够支撑的合理水平（23.3倍）。此外，一些技术指标如超卖已经较极端，指数处于关键支撑位，较为关键的信用利差并未大幅抬升，长端国债空头大幅减少。二、当前美股和其他资产计入了多少加息预期？目前看，CME期货隐含3月加息次数为1次，6月和12月分别为2.4次和4.3次。WSJ汇总74家金融和学术机构1月最新预期为2022年6月加息2次、12月前加息3.7次。根据我们模型测算，美股市场当前计入的未来一年加息预期为3.3次，基本充分；短端国债计入的预期为3.1次；黄金价格中计入的预期最多，约为5.9次。三、加息对估值影响的敏感性测算？如果假设全年加息4次，即利率抬升100bp，那么对应估值收缩的空间为10%。不过需要注意的是，由于利率的“超前反应”，2年期国债去年底以来已经上行超过100bp至1.2%高位，等于提前反映了未来加息的预期，而在此期间估值的回落幅度为8%，与上面的测算基本一致。这也是我们常说的，货币政策在预期特别是“恐慌”阶段影响最为明显，但预期充分计入和实际执行阶段，其影响会逐步让位于基本面。四、市场前景？1月FOMC是关键验证；中期看盈利前景即将举行的1月FOMC会议便是一个关键验证点，是否暗示3月加息以及如何传递未来的紧缩路径将成为市场修正当前计入预期依据。近期市场波动很容易让人联想起2015年底首次加息后的全球动荡、2018年2月因利率抬升的波动、甚至2018年10月的大跌，这三轮的最大回撤幅度分别为10.5%，10.2%和20%。但是市场在波动之后的中期走势却与所处的宏观环境和基本面有关，例如2016年初动荡后市场再度进入长达2年的牛市， 2018年2月在税改推动的盈利增长下市场也再度修复并创新高，直到2018年底盈利彻底见顶后才面临更大压力。当前的环境比起2016年初通胀约束更大，因此类似于2016年初延后加息一年的情形在正常情况下可能难以出现，但是目前的基本面盈利状况也不似2018年末那么悲观，市场对美股标普500指数盈利为8~10%，且盈利预期仍在上修。短期症结依然在于通胀约束，而背后又与疫情演变和疫情导致的供应链问题有关（如渠道运输、以及请病假人数激增），目前美国疫情已经出现见顶迹象，我们基于免疫基数测算拐点将至。正文：2022年美股市场可谓开局不利，短短三周之内标普500指数已下跌7.7%，纳斯达克更是大跌12%，在所有主要指数中垫底。美联储纪要中意外透露对缩表的讨论引发市场对过快紧缩的担忧、以及由此引发的美债特别是实际利率快速上行是本轮波动的主要导火索。但实际上，在利率上行最快的前两周，市场的跌幅并不显著，直到上周下跌明显加速，周中10年美债利率一度冲击1.9%的疫情以来新高使得我们的波动指标时隔一年后再度发出信号。尽管后几天美债利率从高位回落，但市场跌势未能止住，部分公司盈利不及预期以及参议院委员通过相关反垄断法案都可能对市场波动起到了推波助澜的作用。美股市场的快速下跌引发市场广泛关注，考虑到1月27日FOMC会议临近而加息预期“步步紧逼”（当前利率期货隐含3月加息的预期已经升至1.0次），市场普遍关心以下几个问题，美股是否还有进一步下跌风险？估值已经调到哪了？计入了多少加息预期？以及后续加息后对估值的可能影响弹性有多大？我们在本文中一一分析解答。一、美股跌到什么位置了？估值调到哪了？情绪和技术指标处于什么位置？年初以来美股市场的回调全部都是估值收缩所致，而估值的回落又受利率抬升和风险溢价收缩，相反企业盈利预期仍在上修。以标普500指数为例，年初以来7.7%的跌幅中，估值拖累8.6%，盈利贡献1.0%。纳斯达克估值收缩更为明显，年初以来12%的跌幅中，估值拖累12.4%，盈利贡献0.5%。当前标普500指数12月动态估值回落至19.6倍，接近长期历史均值上方一倍标准差（19.4倍），也是疫情爆发以来的最低值。如果以可比口径来计算，当前的估值已经低于站在2020年初疫情爆发前基于当时盈利预期的估值水平（20.2倍 vs. 21.2倍），当前10年美债利率与疫情爆发前的水平也基本相近。进一步的，如果从剔除掉无风险利率的股权风险溢价来看，当前标普500指数隐含的股权风险溢价（ERP）升至3.0%，也已经处于1990年以来64.1%分位数。那么这一估值水平是否合理呢？我们的模型显示基本合理，当前标普500指数静态P/E（23倍）已经略低于增长条件（12月ISM制造业PMI 58.7）和流动性（当前10年期美债利率 1.76%）能够支撑的合理水平（23.3倍）。从技术面和其他指标看，1）近期的波动使得VIX指数明显走高，已经升至2021年11月末（Omicron变种病毒引发市场动荡）以来最高水平；2）标普500指数RSI指数进入明显超卖区间，也为2020年疫情首次爆发以来最低；3）标普500指数处于其10个月均线支撑位附近，而纳斯达克已经接近20个月均线，下一个支撑位在13300点左右；3）信用利差小幅抬升，但明显低于2018年初和10月波动时的水平，表明企业的融资条件依然相对有利；4）长端美债利率涨幅趋缓，空头仓位大幅减少。因此综合来看，当前美股估值虽然算不上便宜，但经过了近期的回调后也已经基本合理，一些技术指标如超卖情况甚至已经比较极端，但较为关键的信用利差并未大幅抬升，依然明显低于2018年末水平。二、当前美股和其他资产计入了多少加息预期？既然本轮市场波动是因紧缩担忧而起，那么当前美股和其他各类资产计入了多少加息预期呢？目前看，CME期货隐含的美联储今年3月的加息概率已从2021年末的54.1%抬升至当前的97.1%，隐含的3月加息次数升至1.0次，6月和12月分别升至2.4次和4.3次。此外，华尔街日报汇总的74家主要金融和学术机构1月份最新的一致预期为2022年6月前加息2次、12月前加息3.7次。相比上述预期，根据我们模型的测算，美股市场当前计入的未来一年加息预期为3.3次（通过股权风险溢价模型倒推隐含预期）；短端国债计入的预期为3.1次（通过利率预期和期限溢价近似观察隐含加息预期）；黄金价格中计入的预期最多，约为5.9次（通过黄金和实际利率相关性倒推隐含预期）。因此可以看出，虽然相比利率期货隐含的预期还有一些差距（但这一预期变化受交易因素影响本来就较为剧烈），美股市场整体计入的加息预期也已经相对充分，除非后续再度超出预期。三、加息对估值影响的敏感性测算？通常情况下，估值定价中的无风险利率更多是长端国债，例如10年美债利率。但如我们在《货币紧缩如何影响利率走势？》中分析，加息影响更为直接的是短端利率，长端利率由于受到增长、通胀和交易等各方面的因素影响，其对加息所导致的联邦基金利率变化反应并非线性关系，甚至有些时候反而是政策落地后阶段性筑顶。但加息依然会抬升短端融资成本。为了测算加息对估值的影响弹性，我们使用对联邦基金利率更加敏感的短端国债（2年期）作为“桥梁”。从历史经验来看，2年期国债利率与联邦基金有效利率走势直接高度相关（R平方达93.7%），因此可以起到很好的拟合效果，但有些时候存在提前反应的情况。另一方面，2年期美债利率自2018年以来与美股市场估值也存在较为明显的负相关性（相关性系数达-89%）。因此，基于上述历史相关性，如果假设全年加息4次，即利率抬升100bp，那么对应估值收缩的空间为10%左右。不过需要注意的是，由于利率的“超前反应”，2年期国债去年底以来已经上行超过100bp至1.2%的高位，等于提前反映了未来加息的预期，而在此期间估值的回落幅度为8%，与上面的测算基本一致。往前看，除非加息路径再度超预期，短端利率一定程度上也已经提前得到了反应，这与我们在上文中的测算结论一致，那么同样对估值的打压可能也已经得到了部分计入，这也是我们常说的，货币政策在预期特别是“恐慌”阶段影响最为明显，但预期充分计入和实际执行阶段，其影响会逐步让位于基本面。四、市场未来前景？1月FOMC会议是关键验证；中期看盈利前景基于上文中的分析，我们可以看出，不论是从估值回调幅度、计入的加息预期、还是超卖程度等各个维度来看，市场对于紧缩的担忧已经有了一定反应，静态看估值相对合理水平，10年美债冲高回落也说明了这一点。不过，市场在短期的表现更多受情绪主导，因此近期情绪和市场表现首先企稳更为重要，否则会因为下跌本身触发更大的波动和传染风险。目前来看，标普500指数基本处于一个关键支撑位，而纳指的下一个关键支撑位在13300点附近。因此，即将举行的1月FOMC会议便是一个关键验证点（1月27日），是否暗示3月加息以及如何传递未来的紧缩路径将成为市场修正当前计入预期依据。如果预期兑现，我们预计可能仍会有阶段性扰动，但只要不超预期可能也就基本是预期兑现的过程。反之，如果没有暗示加息，那么对市场而言将是一个明显鸽派的信号，不过结合目前情况来看，这一可能性相对较小。近期市场的波动很容易让人联想起2015年底首次加息后在2016年初引发的全球动荡、2018年2月因利率抬升的波动、甚至2018年10月的大跌。简单对比这三段经验不难看出，初始诱发因素都与紧缩预期及利率抬升等有关，也的确造成了明显回撤，这三轮的最大回撤幅度分别为10.5%，10.2%和19.6%左右（标普500）。但是市场在波动之后的中期走势却与所处的宏观环境和基本面有关，例如2016年初动荡后，市场再度进入长达2年的牛市，尽管期间加息缩表持续推进。2018年2月在税改推动的盈利增长下市场也再度修复并创新高，直到2018年底盈利彻底见顶后才面临更大压力。当前的环境比起2016年初通胀约束更大，因此类似于2016年初延后加息一年的情形在正常情况下可能难以出现，但是目前的基本面盈利状况也不似2018年末那么悲观。市场对于美国GDP今年增长的预期为3.9%，美股标普500指数盈利为8~10%。美股2021年四季度业绩期已于上周拉开序幕，以摩根大通和花旗为代表的银行股虽然业绩再超预期但指引偏差，导致股价承压。互联网科技龙头Netflix四季度业绩超预期幅度达66.3%，但由于用户增长不及预期，股价跌超20%。当前标普500指数虽然仅有13%公司披露业绩，但超预期公司数量占比却达74%。一致预期预计标普500指数2021年四季度EPS同比23.6%，并不算差，且盈利预期仍在上修。短期的症结依然在于通胀约束，而背后又与疫情演变和疫情导致的供应链问题有关（如渠道运输、以及请病假人数激增），目前美国疫情已经出现见顶迹象，我们基于免疫基数测算拐点将至。如果疫情能够快速修复导致部分商品甚至就业供应缓解，至少一定程度上有助于缓解市场紧绷的压力，也不排除后续政策路径的修正（历史上也多次出现过）。","news_type":1,"symbols_score_info":{".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":2599,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"lives":[]}
