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馒头卡喉咙啦
2021-03-28

How long will the value style of US stocks last?

美股价值股与成长股长期相对收益的核心来源是盈利，而不是估值。与科网泡沫时期显著不同的是当前成长股相比价值股并不存在明显的估值泡沫（可能都贵）。短期来看，本轮价值风格已持续了6个月，可能处于风格优势期的

How long will the value style of US stocks last?

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han妈
·2021-03-29
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{"i18n":{"language":"en_US"},"data":{"magic":2,"id":352333124,"tweetId":"352333124","gmtCreate":1616891366268,"gmtModify":1704799733385,"author":{"id":3576125208282503,"idStr":"3576125208282503","authorId":3576125208282503,"authorIdStr":"3576125208282503","name":"馒头卡喉咙啦","avatar":"https://static.tigerbbs.com/e3661a8bd6543d698929e7f6942179db","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":4,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body><p>Hi</p></body></html>","htmlText":"<html><head></head><body><p>Hi</p></body></html>","text":"Hi","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"favoriteSize":0,"link":"https://ttm.financial/post/352333124","repostId":1192792909,"repostType":4,"repost":{"id":"1192792909","kind":"news","pubTimestamp":1617030576,"share":"https://ttm.financial/m/news/1192792909?lang=en_US&edition=fundamental","pubTime":"2021-03-29 23:09","market":"us","language":"zh","title":"How long will the value style of US stocks last?","url":"https://stock-news.laohu8.com/highlight/detail?id=1192792909","media":"雪涛宏观笔记","summary":"美股价值股与成长股长期相对收益的核心来源是盈利，而不是估值。与科网泡沫时期显著不同的是当前成长股相比价值股并不存在明显的估值泡沫（可能都贵）。短期来看，本轮价值风格已持续了6个月，可能处于风格优势期的","content":"<p>The core source of long-term relative returns between U.S. value stocks and growth stocks is earnings, not valuations. What is significantly different from the dot-com bubble period is that there is no obvious valuation bubble in current growth stocks compared with value stocks (they may all be expensive). In the short term, this round of value style has lasted for 6 months, and may be in the middle and late stages of the style advantage period (comparable to an average of 10 months). As a recovery trade, value stocks are still expected to outperform growth stocks in the next quarter, but it is recommended to lower expectations for absolute returns on value stocks. In the long run, it is still unknown whether the trend of value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the trend reversal of style.<b>Introduction:</b></p><p>In August last year, U.S. value stocks underperformed growth stocks for the first time, exceeding the level during the dot-com bubble. At that time, the market began to show the view of turning to cyclical value stocks. At the same time, the long-term US Treasury yields began to rebound sharply, driving the value/growth ratio to rebound from historical lows. Since February this year, the Nasdaq index, which represents the growth style, has seen a continuous pullback/retracement, and the Dow Jones index, which represents the value style, has repeatedly hit new highs. When the style switch has become a reality, the discussion on whether the value style of U.S. stocks has ushered in a long-term inflection point has intensified.</p><p><b>Is the style switching a long-term reversal or a short-term convergence, and how much room for deduction is there?</b>--Let's explore the answer to this question using the Russel 1000 Value and Growth Index as an example.</p><p><b>Core conclusions:</b></p><p><b>First, the core source of relative returns between value stocks and growth stocks is profit, not valuation! At present, there is no obvious valuation bubble in growth stocks compared to value stocks (they may be both expensive!), which is significantly different from the dot com bubble period.</b></p><p><b>Second, after 1981, the core of the decline in long-term bond interest rates was the phenomenon of low economic growth and low inflation caused by insufficient endogenous kinetic energy of economic growth. At present, the technical and institutional factors that lead to the insufficient endogenous kinetic energy of economic growth and the long-term deflation environment have not been improved.</b></p><p><b>Third, if the U.S. Treasury Bond market cannot form a long-term bear market, the discussion that value is better than growth style may be limited to short-term cycles. The peak and fall of nominal interest rate, real interest rate, CPI, and inflation expectations are roughly inflection point synchronization or leading indicators, and the inflection point of market style is also earlier than the relative profit inflection point.</b></p><p><b>Fourthly, from a short-term perspective, this round of value style has lasted for 6 months, and it is in the middle and late stage of the style advantage period (comparable to an average of 10 months), and the excess return has also completed more than half of the historical average. The phase of rapid rise in interest rates and inflation may end in May this year. Therefore, value stocks are still expected to outperform growth stocks in the coming quarter as a recovery trade, but it is recommended to lower expectations for the absolute returns of value stocks.</b></p><p><b>Fifth, once the U.S. government begins to turn left and reform the distribution system based on liberal capitalism since the Reagan administration, the conditions for long-term interest rates to turn upward may appear. The equalization of income distribution may reverse the long-term deflation caused by the widening gap between the rich and the poor in the past four decades, and promote the central trend of long-term interest rates to rise.</b></p><p><b>Sixth, it is still unknown whether the trend of long-term value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the possible trend reversal of style.</b></p><p><table><tbody><tr><td>Figure 1: 10-year Treasury Bond yield versus Russel 1000 Value and Style Index relative returns</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/600e3efd47bf1b5bf01a8081ca124909\" tg-width=\"910\" tg-height=\"594\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>1. What determines the relative returns of value/growth style?</b></p><p>The core view supporting the long-term reversal of style is the reversal of the downward trend of long-term U.S. bond yields. We analyze it from the perspective of the impact of long-term yield on earnings per share and valuation of value stocks and growth stocks.</p><p><b>(1) The direction of long-term U.S. bond yields and the difference between value growth EPS are in the same direction</b></p><p>Financial statement metrics related to operating leverage, such as turnover of assets, plant and equipment, and net debt, differ significantly for value and growth companies. In a broad reflationary environment, value companies with relatively high levels of fixed assets will have more pronounced improvements in turnover than growth companies. Value companies also have higher net debt levels than growth companies. In the case of reflation, compared with growth enterprises, the burden of repaying principal and interest of value enterprises will be relatively small. Therefore,<b>The downward trend in interest rates may imply a decline in the relative earnings of EPS of value companies.</b></p><p>Judging from the history of nearly 30 years,<b>The difference in EPS between value stocks and growth stocks is more consistent with short-cycle fluctuations in interest rates</b>。 However, the high points of each cycle move down in turn, which is in line with the long-term downward direction of interest rates. Among them, the short-term monetary policy interest rate was consistent with the fluctuation law of profit margin before 2008, but gradually deviated after the financial crisis, reflecting that the monetary policy interest rate's response to the economic profit cycle slowed down. The long-term ten-year US Treasury yields deviated significantly from the earnings difference from 2003 to 2006. The EPS difference between value stocks and growth stocks hit a new high in 2007, but the ten-year US Treasury yields was lower than the previous cycle high.</p><p><b>At the heart of the divergence is also the mystery of Greenspan's long-term interest rate</b>, short-term interest rates rose, while long-term risk-free interest rates fell. Greenspan's explanations for this include:</p><p>1. The economic recovery of the United States and the deepening of globalization have led to the accumulation of increasingly large dollar surpluses among trading partners. On a global scale, the only place that has the ability to undertake this part of the foreign exchange reserves accumulated from the surplus is the US Treasury Bond market.</p><p>2. With the inevitable increase in the number of retirees (especially in developed countries), the insufficient funding of retirement plans has attracted increasing concern. Pension funds and insurance companies have to increase their share of long-term bonds in their investment portfolios.</p><p><table><tbody><tr><td>Figure 2: Before 2008, the monetary policy cycle was close to the trend of the difference between value and growth profit</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/61937bebe0692c423e53ccc1341518ff\" tg-width=\"568\" tg-height=\"296\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 3: The 10Y US Treasury yields is more consistent with the fluctuation of value growth profit difference</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/0213083f3bfc77aed3440308bd2fe7d3\" tg-width=\"824\" tg-height=\"431\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>(2) The decline in long-term yields will not make growth stocks more expensive than value stocks</b></p><p><b>There is a widespread view that the decline of risk-free interest rate will bring more valuation premium to growth stocks, but this perception is wrong!</b>Although from a short-cycle perspective, the fluctuation of Treasury Bond's yield is indeed ahead of the risk premium difference between value stocks and growth stocks, but from a long-term perspective, the risk premium of value stocks compared with growth stocks has not expanded due to the downward trend of risk-free interest rates.</p><p><table><tbody><tr><td>Figure 4: The difference between 10-year Treasury Bond interest rate and value and the risk premium of growth stocks</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/31507616ec0aec31a906ffcb6a74a3a9\" tg-width=\"478\" tg-height=\"297\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table>Thus, we conclude,<b>The core source of relative returns between value stocks and growth stocks is earnings, not valuation! At present, there is no obvious valuation bubble in growth stocks compared to value stocks (they may be both expensive!), which is significantly different from the dot com bubble period.</b></p><p>The decline in risk-free interest rates and the decline in style relative profitability (value stocks-growth stocks) both reflect changes in the industrial structure of the U.S. economy. The use of capital and technology reduces labor costs and improves corporate efficiency and profitability. Therefore, the weight of growth stocks represented by technology in the stock market does not match their contribution to the economy and employment (see Figure 6).<b>The key question of whether there will be a style reversal in the future is whether the U.S. industrial structure will change, leading to a continued upward trend in value stock earnings, inflation and interest rates.</b></p><p><table><tbody><tr><td>Figure 5: Except for the divergence of the Science and Technology Period (2000), the profit difference between value and growth dominates the relative returns of the value and growth index</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/b50730f74cd9d5269e52a4816dbcc27a\" tg-width=\"532\" tg-height=\"366\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 6: The weight of growth stocks represented by technology in the stock market does not match their contribution to the economy and employment</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/c8b2645041d5028dd3dc4a6684ec26ed\" tg-width=\"480\" tg-height=\"291\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: BEA, BLS, Standard & Poor's, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>2. If there is a tax increase (and a series of institutional reforms representing a left turn in American society), the 40-year downward trend in interest rates may end, and the style may reverse</b></p><p>Looking back at the history of interest rates after World War II, the factors that led to the 40-year decline in interest rates have not changed.<b>The trend of nominal interest rates depends mainly on real economic growth and inflation.</b>After World War II, the 10-year U.S. bond yield was highly consistent with the trend of U.S. GDP growth and core CPI, with the peak appearing in the 1970s.</p><p><table><tbody><tr><td>Figure 7: 10-year Treasury Bond yield and US real GDP growth and core CPI</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/51766a075b0ad18b0da629cc8019a2c4\" tg-width=\"475\" tg-height=\"326\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>The first phase of the rising interest rate cycle (1946-1970)</b>It is based on the real prosperity generated by the positive feedback between the supply side and the demand side. During World War II, the U.S. government promoted supply-side reform in response to the current situation, upgraded the supply level of U.S. manufacturing and supporting industries, accelerated the training of a large number of technical talents at the rate of wartime economy, and reproduced the barbaric advance of the late 19th century in the application of new technologies. Roosevelt's New Deal pushed the legislation of labor relations, narrowed the polarization between the rich and the poor, and allowed American workers to get the 8-hour working week and other benefits. However, the increase of relative labor costs, the education level of residents and the increase of female labor participation rate pushed labor productivity to a new height. On the demand side, the war has hit global industries hard, leaving everything in waste to be rebuilt, and the industrial base needs to be rebuilt urgently. At this stage, the economy is growing rapidly, inflation is low, the unemployment rate continues to decline, and the polarization between the rich and the poor is narrowing.<b>The rise in interest rates corresponds to the acceleration of real economic growth.</b></p><p><b>The second phase of rising interest rates (1970-1981)</b>Built on the supply shock brought about by the oil crisis. During the two oil crises, the price of crude oil rose from less than $3 per barrel in 1973 to $45 in 1980. The post-war economic recovery was highly dependent on the energy support provided by the petrochemical industry. The price of crude oil rose. After the Bretton Woods system collapsed, the depreciation of the US dollar brought imported inflation, and the yield of ten-year Treasury Bond rose to the highest level since the founding of the United States. At this stage, the economy is in frequent recession, the price level remains at a high level, the unemployment rate is rising,<b>The rise in interest rates mainly corresponds to the high inflation caused by the contraction of supply.</b></p><p><b>After 1981, the core of the decline in long-term bond interest rates was the phenomenon of low economic growth and low inflation caused by insufficient endogenous kinetic energy of economic growth.</b></p><p>On the supply side, global innovation and economic progress since the 1970s have focused on a narrow field of human activities, which is more related to entertainment, communication, information collection and processing, and the improvement of this part of social well-being is not included in GDP. \"For other matters that human beings care about, including food, clothing, housing, transportation, health, working environment inside and outside the home, the progress rate has slowed down after 1970, both from a quantitative and qualitative point of view.\" (Robert Gordon, Up and Down of American Economic Growth)</p><p>On the demand side, the deterioration of the income distribution mechanism has led to long-term insufficient effective demand. The loosening of wage control policy in 1973 is an important reason for the intensification of the polarization between the rich and the poor since then. Population aging in western countries generally appeared in the early 1980. Combined with their high welfare system, both labor supply and savings declined, and capital investment was insufficient. In addition, in response to global competition, enterprises in developed countries have moved their industries to emerging markets to reduce costs, and residents' wage growth has stagnated.</p><p><b>At present, the above factors that lead to the lack of endogenous kinetic energy of economic growth have not been improved.</b>The aging population and the decline of fertility rate in developed countries are still intensifying; Global innovation mainly focuses on business models, and hardware investment has not yet formed a qualitative change to improve social production efficiency; Technological progress and globalization have improved efficiency, but they have damaged fairness. The government must make more efforts to pay attention to vulnerable groups.</p><p>Human society does not evolve linearly, but develops by leaps and bounds like a quantum leap. It has been at a slow and stable energy level for a long time. Suddenly, it encounters some major changes. The order, system and technology begin to undergo profound changes, and the process of history begins to accelerate until it enters the next new energy level of long-term slow and stable development. COVID-19 pandemic may be such a major change. When human beings encounter difficulties, cooperation and reform are more likely to appear and enter the above-mentioned leap-forward development.</p><p><b>After the COVID-19 pandemic, some factors that changed the lack of endogenous power of long-term economic growth began to loom.</b>The Democratic Party is willing to reform the wealth distribution system, including raising the income tax rate of the rich and large enterprises, raising the minimum wage, stimulating employment with traditional infrastructure, and increasing transfer payments to low-and middle-income people. However, the polarization of political views between the two parties and society in the United States makes this reform difficult (the Republican Party's opposition to raising the minimum wage to $15 per hour is a microcosm of political polarization). The bipartisan consensus may be on antitrust enforcement of large technology companies. Congress is considering forcing technology giants to separate their dominant online platforms from other business units. The Antitrust Subcommittee of the House Judiciary Committee led by Democrats is preparing to propose comprehensive reforms, which may encourage innovation in the long run (as IBM was spun off in 1970s), increase social labor productivity and improve wealth distribution mechanisms.</p><p><b>Once the U.S. government begins to turn left and reform the distribution system based on liberal capitalism since the Reagan administration, the conditions for long-term interest rates to turn upward may appear.</b>The equalization of income distribution may reverse the long-term deflation caused by the widening gap between the rich and the poor in the past four decades.<b>And promote the central trend of long-term interest rates to rebound.</b></p><p><b>In addition, there are also potential factors on the supply side that will drive the long-term recovery of interest rates.</b>Under the global trend of \"carbon neutrality\", the capital market is also driving the \"greening\" of the energy industry, which may lead to insufficient investment in traditional energy. For example, Shell, which has a more aggressive transformation, plans to achieve carbon neutrality goals by 2050. To this end, its capital expenditure ratio in the upstream sector has been reduced from about 35% to 25-30% after 2025, while the capital expenditure ratio of renewable energy has increased. Correspondingly, the IRR of new capital expenditure also treats the return rate of the upstream sector and renewable energy differently. The return rate of capital expenditure of the upstream sector must reach 20-25%, while the return rate of investment of renewable energy is only no less than 10%. Not only energy, but commodity prices have been sluggish in the past 10 years, raw material producers have cut capital expenditures to varying degrees, and COVID-19 pandemic has also accelerated the clearing of some production capacity.</p><p><b>3. If the trend reversal of interest rates is not considered, how long can this round of style switching of growth value last?</b></p><p><b>If the U.S. Treasury Bond market fails to form a long-term bear market, the discussion of value over growth style may be limited to short-term cycles.</b></p><p>We selected five indicators: inflation expectations, real interest rates, PMI, CPI, and year-on-year inventories to examine the macro state of value stocks outperforming growth stocks since 2000. 2000.7-2001.3 and 2008.6-2008.12 were both economic downturn stages. PMI, inventory year-on-year, and CPI all declined. Under the defensive strategy, value stocks gained excess returns. The remaining four stages are all economic recovery, and most of the economic indicators are in a state of recovery. Inflation expectations and CPI rebound fluctuate at high levels; Except for 2001.11-2002.7, the bottom of the real interest rate began to climb, and the PMI fluctuated upward; Except for 2012.5-2013.7, the inventory cycle is in the replenishment stage. Excluding this time (2020.9-2021.2) and the long-term bull period of value stocks (2003.12-2006.06), the average excess return of value stocks is 15.54%.<b>The average duration is 10 months</b>。 The most similar to this one is 2016.3-2016.12. This stage is the last round of small-cycle recovery period. The excess return of value stocks was 8.22%, which lasted for 10 months.</p><p><table><tbody><tr><td>Table 1: Previous periods of excess return of value stocks relative to growth stocks</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/c79f98fa6d41cc0bb8b40968953959c8\" tg-width=\"492\" tg-height=\"179\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 8: 1990-present inflation expectations (%), CPI year-on-year growth rate (%), inventory year-on-year growth rate (%)</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/9497187cf6a6026f1ba5e5df2d759692\" tg-width=\"494\" tg-height=\"345\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 9: Real interest rates and PMI 1990-present</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/b903d79a6e050f784a34a9525ddba907\" tg-width=\"485\" tg-height=\"315\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table>Judging from the previous four style reversals (that is, the RUSSEL 1000 value/growth index turned from downward to upward),<b>The peak and fall of nominal interest rate, real interest rate, CPI, and inflation expectations are roughly inflection point synchronization or leading indicators</b>。 But after 2008, value stocks can only eat the \"fish body\" of rising interest rates or inflation, that is, the early stage of rising interest rates or inflation from the bottom, but not the \"fish tail\" of the peak stage. This may be because the market believes that the duration of excess profits of value stocks is difficult to be as long as it was in 2003-2006.<b>The inflection point of market style is also earlier than the inflection point of relative profitability.</b></p><p>According to data from FactSet, profits in the industrial, materials and financial sectors are expected to increase by 89%, 40% and 23% year-on-year respectively in 2021, while profits in the technology sector will only increase by 18%, showing that the current value style is dominant.<b>This round of value style has lasted for 6 months, and may be in the middle and late stage of the style advantage period (comparable to an average of 10 months), and the excess return has also completed more than half of the historical average.</b></p><p>Looking at macro indicators,<b>CPI may fall after peaking in May, and inflation expectations are already at historical highs (99.5% percentile)</b>。 The lower-than-expected recovery of U.S. shale oil production capacity gives OPEC room to continue production cuts to maintain high oil prices. Oil prices may fluctuate violently at high levels in the first half of the year, but inflation expectations may fall with oil prices in the second half of the year. Judging from previous rounds of historical experience, inflation expectations are about half a year ahead of real interest rates. Therefore, after inflation expectations fall in the second half of the year, there is still room for real interest rates to rise. After stripping off the long-term trend, the current real interest rate (around-0.66%) is still at a historically low level (17.4% quantile). It is expected that the rebound high of real interest rates will be around 0.2%-0.3%, corresponding to the historical quantile of 70%-80%, which is approximately equal to the average level in 2019.</p><p><b>According to our judgment on inflation and real interest rates, the phase of rapid rise in interest rates and inflation may end in May this year. Therefore, the short-term style advantage of value stocks may still last for a quarter, and whether the trend can be reversed in the long term will be determined by a series of institutional reforms that reverse income distribution and the gap between the rich and the poor.</b></p><p>In terms of specific industries, commodity price increases, manufacturing replenishment and rising interest rates are driven by<b>Sectors such as finance, energy, industry and raw materials led the gains during the recovery period.</b>Healthcare, information technology, public utilities, and telecommunications services have no obvious inventory cycle, and the performance of core consumer goods is relatively stable and relatively less elastic. Non-core consumer goods are too affected by amazon.<b>At present, the gains of energy stocks have exceeded the historical average level, and the gains of financial stocks have been fully realized</b>。</p><p>In the short term, we think<b>Value stocks are still expected to outperform growth stocks in the coming quarter as a recovery trade, but it is recommended to lower expectations for absolute returns of value stocks; In the long run, it is still unknown whether the trend of value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the possible trend reversal of style.</b></p><p><table><tbody><tr><td>Table 2: Performance of various industries during the recovery phase</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/6228f37247756967ffbc3aa57083aa9d\" tg-width=\"460\" tg-height=\"249\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table></p>","source":"xthgbj","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>How long will the value style of US stocks last?</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\">\nHow long will the value style of US stocks last?\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">雪涛宏观笔记</strong><span class=\"h-time small\">2021-03-29 23:09</span>\n</p>\n</h4>\n</header>\n<article>\n<p>The core source of long-term relative returns between U.S. value stocks and growth stocks is earnings, not valuations. What is significantly different from the dot-com bubble period is that there is no obvious valuation bubble in current growth stocks compared with value stocks (they may all be expensive). In the short term, this round of value style has lasted for 6 months, and may be in the middle and late stages of the style advantage period (comparable to an average of 10 months). As a recovery trade, value stocks are still expected to outperform growth stocks in the next quarter, but it is recommended to lower expectations for absolute returns on value stocks. In the long run, it is still unknown whether the trend of value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the trend reversal of style.<b>Introduction:</b></p><p>In August last year, U.S. value stocks underperformed growth stocks for the first time, exceeding the level during the dot-com bubble. At that time, the market began to show the view of turning to cyclical value stocks. At the same time, the long-term US Treasury yields began to rebound sharply, driving the value/growth ratio to rebound from historical lows. Since February this year, the Nasdaq index, which represents the growth style, has seen a continuous pullback/retracement, and the Dow Jones index, which represents the value style, has repeatedly hit new highs. When the style switch has become a reality, the discussion on whether the value style of U.S. stocks has ushered in a long-term inflection point has intensified.</p><p><b>Is the style switching a long-term reversal or a short-term convergence, and how much room for deduction is there?</b>--Let's explore the answer to this question using the Russel 1000 Value and Growth Index as an example.</p><p><b>Core conclusions:</b></p><p><b>First, the core source of relative returns between value stocks and growth stocks is profit, not valuation! At present, there is no obvious valuation bubble in growth stocks compared to value stocks (they may be both expensive!), which is significantly different from the dot com bubble period.</b></p><p><b>Second, after 1981, the core of the decline in long-term bond interest rates was the phenomenon of low economic growth and low inflation caused by insufficient endogenous kinetic energy of economic growth. At present, the technical and institutional factors that lead to the insufficient endogenous kinetic energy of economic growth and the long-term deflation environment have not been improved.</b></p><p><b>Third, if the U.S. Treasury Bond market cannot form a long-term bear market, the discussion that value is better than growth style may be limited to short-term cycles. The peak and fall of nominal interest rate, real interest rate, CPI, and inflation expectations are roughly inflection point synchronization or leading indicators, and the inflection point of market style is also earlier than the relative profit inflection point.</b></p><p><b>Fourthly, from a short-term perspective, this round of value style has lasted for 6 months, and it is in the middle and late stage of the style advantage period (comparable to an average of 10 months), and the excess return has also completed more than half of the historical average. The phase of rapid rise in interest rates and inflation may end in May this year. Therefore, value stocks are still expected to outperform growth stocks in the coming quarter as a recovery trade, but it is recommended to lower expectations for the absolute returns of value stocks.</b></p><p><b>Fifth, once the U.S. government begins to turn left and reform the distribution system based on liberal capitalism since the Reagan administration, the conditions for long-term interest rates to turn upward may appear. The equalization of income distribution may reverse the long-term deflation caused by the widening gap between the rich and the poor in the past four decades, and promote the central trend of long-term interest rates to rise.</b></p><p><b>Sixth, it is still unknown whether the trend of long-term value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the possible trend reversal of style.</b></p><p><table><tbody><tr><td>Figure 1: 10-year Treasury Bond yield versus Russel 1000 Value and Style Index relative returns</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/600e3efd47bf1b5bf01a8081ca124909\" tg-width=\"910\" tg-height=\"594\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>1. What determines the relative returns of value/growth style?</b></p><p>The core view supporting the long-term reversal of style is the reversal of the downward trend of long-term U.S. bond yields. We analyze it from the perspective of the impact of long-term yield on earnings per share and valuation of value stocks and growth stocks.</p><p><b>(1) The direction of long-term U.S. bond yields and the difference between value growth EPS are in the same direction</b></p><p>Financial statement metrics related to operating leverage, such as turnover of assets, plant and equipment, and net debt, differ significantly for value and growth companies. In a broad reflationary environment, value companies with relatively high levels of fixed assets will have more pronounced improvements in turnover than growth companies. Value companies also have higher net debt levels than growth companies. In the case of reflation, compared with growth enterprises, the burden of repaying principal and interest of value enterprises will be relatively small. Therefore,<b>The downward trend in interest rates may imply a decline in the relative earnings of EPS of value companies.</b></p><p>Judging from the history of nearly 30 years,<b>The difference in EPS between value stocks and growth stocks is more consistent with short-cycle fluctuations in interest rates</b>。 However, the high points of each cycle move down in turn, which is in line with the long-term downward direction of interest rates. Among them, the short-term monetary policy interest rate was consistent with the fluctuation law of profit margin before 2008, but gradually deviated after the financial crisis, reflecting that the monetary policy interest rate's response to the economic profit cycle slowed down. The long-term ten-year US Treasury yields deviated significantly from the earnings difference from 2003 to 2006. The EPS difference between value stocks and growth stocks hit a new high in 2007, but the ten-year US Treasury yields was lower than the previous cycle high.</p><p><b>At the heart of the divergence is also the mystery of Greenspan's long-term interest rate</b>, short-term interest rates rose, while long-term risk-free interest rates fell. Greenspan's explanations for this include:</p><p>1. The economic recovery of the United States and the deepening of globalization have led to the accumulation of increasingly large dollar surpluses among trading partners. On a global scale, the only place that has the ability to undertake this part of the foreign exchange reserves accumulated from the surplus is the US Treasury Bond market.</p><p>2. With the inevitable increase in the number of retirees (especially in developed countries), the insufficient funding of retirement plans has attracted increasing concern. Pension funds and insurance companies have to increase their share of long-term bonds in their investment portfolios.</p><p><table><tbody><tr><td>Figure 2: Before 2008, the monetary policy cycle was close to the trend of the difference between value and growth profit</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/61937bebe0692c423e53ccc1341518ff\" tg-width=\"568\" tg-height=\"296\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 3: The 10Y US Treasury yields is more consistent with the fluctuation of value growth profit difference</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/0213083f3bfc77aed3440308bd2fe7d3\" tg-width=\"824\" tg-height=\"431\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>(2) The decline in long-term yields will not make growth stocks more expensive than value stocks</b></p><p><b>There is a widespread view that the decline of risk-free interest rate will bring more valuation premium to growth stocks, but this perception is wrong!</b>Although from a short-cycle perspective, the fluctuation of Treasury Bond's yield is indeed ahead of the risk premium difference between value stocks and growth stocks, but from a long-term perspective, the risk premium of value stocks compared with growth stocks has not expanded due to the downward trend of risk-free interest rates.</p><p><table><tbody><tr><td>Figure 4: The difference between 10-year Treasury Bond interest rate and value and the risk premium of growth stocks</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/31507616ec0aec31a906ffcb6a74a3a9\" tg-width=\"478\" tg-height=\"297\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table>Thus, we conclude,<b>The core source of relative returns between value stocks and growth stocks is earnings, not valuation! At present, there is no obvious valuation bubble in growth stocks compared to value stocks (they may be both expensive!), which is significantly different from the dot com bubble period.</b></p><p>The decline in risk-free interest rates and the decline in style relative profitability (value stocks-growth stocks) both reflect changes in the industrial structure of the U.S. economy. The use of capital and technology reduces labor costs and improves corporate efficiency and profitability. Therefore, the weight of growth stocks represented by technology in the stock market does not match their contribution to the economy and employment (see Figure 6).<b>The key question of whether there will be a style reversal in the future is whether the U.S. industrial structure will change, leading to a continued upward trend in value stock earnings, inflation and interest rates.</b></p><p><table><tbody><tr><td>Figure 5: Except for the divergence of the Science and Technology Period (2000), the profit difference between value and growth dominates the relative returns of the value and growth index</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/b50730f74cd9d5269e52a4816dbcc27a\" tg-width=\"532\" tg-height=\"366\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 6: The weight of growth stocks represented by technology in the stock market does not match their contribution to the economy and employment</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/c8b2645041d5028dd3dc4a6684ec26ed\" tg-width=\"480\" tg-height=\"291\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: BEA, BLS, Standard & Poor's, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>2. If there is a tax increase (and a series of institutional reforms representing a left turn in American society), the 40-year downward trend in interest rates may end, and the style may reverse</b></p><p>Looking back at the history of interest rates after World War II, the factors that led to the 40-year decline in interest rates have not changed.<b>The trend of nominal interest rates depends mainly on real economic growth and inflation.</b>After World War II, the 10-year U.S. bond yield was highly consistent with the trend of U.S. GDP growth and core CPI, with the peak appearing in the 1970s.</p><p><table><tbody><tr><td>Figure 7: 10-year Treasury Bond yield and US real GDP growth and core CPI</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/51766a075b0ad18b0da629cc8019a2c4\" tg-width=\"475\" tg-height=\"326\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><b>The first phase of the rising interest rate cycle (1946-1970)</b>It is based on the real prosperity generated by the positive feedback between the supply side and the demand side. During World War II, the U.S. government promoted supply-side reform in response to the current situation, upgraded the supply level of U.S. manufacturing and supporting industries, accelerated the training of a large number of technical talents at the rate of wartime economy, and reproduced the barbaric advance of the late 19th century in the application of new technologies. Roosevelt's New Deal pushed the legislation of labor relations, narrowed the polarization between the rich and the poor, and allowed American workers to get the 8-hour working week and other benefits. However, the increase of relative labor costs, the education level of residents and the increase of female labor participation rate pushed labor productivity to a new height. On the demand side, the war has hit global industries hard, leaving everything in waste to be rebuilt, and the industrial base needs to be rebuilt urgently. At this stage, the economy is growing rapidly, inflation is low, the unemployment rate continues to decline, and the polarization between the rich and the poor is narrowing.<b>The rise in interest rates corresponds to the acceleration of real economic growth.</b></p><p><b>The second phase of rising interest rates (1970-1981)</b>Built on the supply shock brought about by the oil crisis. During the two oil crises, the price of crude oil rose from less than $3 per barrel in 1973 to $45 in 1980. The post-war economic recovery was highly dependent on the energy support provided by the petrochemical industry. The price of crude oil rose. After the Bretton Woods system collapsed, the depreciation of the US dollar brought imported inflation, and the yield of ten-year Treasury Bond rose to the highest level since the founding of the United States. At this stage, the economy is in frequent recession, the price level remains at a high level, the unemployment rate is rising,<b>The rise in interest rates mainly corresponds to the high inflation caused by the contraction of supply.</b></p><p><b>After 1981, the core of the decline in long-term bond interest rates was the phenomenon of low economic growth and low inflation caused by insufficient endogenous kinetic energy of economic growth.</b></p><p>On the supply side, global innovation and economic progress since the 1970s have focused on a narrow field of human activities, which is more related to entertainment, communication, information collection and processing, and the improvement of this part of social well-being is not included in GDP. \"For other matters that human beings care about, including food, clothing, housing, transportation, health, working environment inside and outside the home, the progress rate has slowed down after 1970, both from a quantitative and qualitative point of view.\" (Robert Gordon, Up and Down of American Economic Growth)</p><p>On the demand side, the deterioration of the income distribution mechanism has led to long-term insufficient effective demand. The loosening of wage control policy in 1973 is an important reason for the intensification of the polarization between the rich and the poor since then. Population aging in western countries generally appeared in the early 1980. Combined with their high welfare system, both labor supply and savings declined, and capital investment was insufficient. In addition, in response to global competition, enterprises in developed countries have moved their industries to emerging markets to reduce costs, and residents' wage growth has stagnated.</p><p><b>At present, the above factors that lead to the lack of endogenous kinetic energy of economic growth have not been improved.</b>The aging population and the decline of fertility rate in developed countries are still intensifying; Global innovation mainly focuses on business models, and hardware investment has not yet formed a qualitative change to improve social production efficiency; Technological progress and globalization have improved efficiency, but they have damaged fairness. The government must make more efforts to pay attention to vulnerable groups.</p><p>Human society does not evolve linearly, but develops by leaps and bounds like a quantum leap. It has been at a slow and stable energy level for a long time. Suddenly, it encounters some major changes. The order, system and technology begin to undergo profound changes, and the process of history begins to accelerate until it enters the next new energy level of long-term slow and stable development. COVID-19 pandemic may be such a major change. When human beings encounter difficulties, cooperation and reform are more likely to appear and enter the above-mentioned leap-forward development.</p><p><b>After the COVID-19 pandemic, some factors that changed the lack of endogenous power of long-term economic growth began to loom.</b>The Democratic Party is willing to reform the wealth distribution system, including raising the income tax rate of the rich and large enterprises, raising the minimum wage, stimulating employment with traditional infrastructure, and increasing transfer payments to low-and middle-income people. However, the polarization of political views between the two parties and society in the United States makes this reform difficult (the Republican Party's opposition to raising the minimum wage to $15 per hour is a microcosm of political polarization). The bipartisan consensus may be on antitrust enforcement of large technology companies. Congress is considering forcing technology giants to separate their dominant online platforms from other business units. The Antitrust Subcommittee of the House Judiciary Committee led by Democrats is preparing to propose comprehensive reforms, which may encourage innovation in the long run (as IBM was spun off in 1970s), increase social labor productivity and improve wealth distribution mechanisms.</p><p><b>Once the U.S. government begins to turn left and reform the distribution system based on liberal capitalism since the Reagan administration, the conditions for long-term interest rates to turn upward may appear.</b>The equalization of income distribution may reverse the long-term deflation caused by the widening gap between the rich and the poor in the past four decades.<b>And promote the central trend of long-term interest rates to rebound.</b></p><p><b>In addition, there are also potential factors on the supply side that will drive the long-term recovery of interest rates.</b>Under the global trend of \"carbon neutrality\", the capital market is also driving the \"greening\" of the energy industry, which may lead to insufficient investment in traditional energy. For example, Shell, which has a more aggressive transformation, plans to achieve carbon neutrality goals by 2050. To this end, its capital expenditure ratio in the upstream sector has been reduced from about 35% to 25-30% after 2025, while the capital expenditure ratio of renewable energy has increased. Correspondingly, the IRR of new capital expenditure also treats the return rate of the upstream sector and renewable energy differently. The return rate of capital expenditure of the upstream sector must reach 20-25%, while the return rate of investment of renewable energy is only no less than 10%. Not only energy, but commodity prices have been sluggish in the past 10 years, raw material producers have cut capital expenditures to varying degrees, and COVID-19 pandemic has also accelerated the clearing of some production capacity.</p><p><b>3. If the trend reversal of interest rates is not considered, how long can this round of style switching of growth value last?</b></p><p><b>If the U.S. Treasury Bond market fails to form a long-term bear market, the discussion of value over growth style may be limited to short-term cycles.</b></p><p>We selected five indicators: inflation expectations, real interest rates, PMI, CPI, and year-on-year inventories to examine the macro state of value stocks outperforming growth stocks since 2000. 2000.7-2001.3 and 2008.6-2008.12 were both economic downturn stages. PMI, inventory year-on-year, and CPI all declined. Under the defensive strategy, value stocks gained excess returns. The remaining four stages are all economic recovery, and most of the economic indicators are in a state of recovery. Inflation expectations and CPI rebound fluctuate at high levels; Except for 2001.11-2002.7, the bottom of the real interest rate began to climb, and the PMI fluctuated upward; Except for 2012.5-2013.7, the inventory cycle is in the replenishment stage. Excluding this time (2020.9-2021.2) and the long-term bull period of value stocks (2003.12-2006.06), the average excess return of value stocks is 15.54%.<b>The average duration is 10 months</b>。 The most similar to this one is 2016.3-2016.12. This stage is the last round of small-cycle recovery period. The excess return of value stocks was 8.22%, which lasted for 10 months.</p><p><table><tbody><tr><td>Table 1: Previous periods of excess return of value stocks relative to growth stocks</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/c79f98fa6d41cc0bb8b40968953959c8\" tg-width=\"492\" tg-height=\"179\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 8: 1990-present inflation expectations (%), CPI year-on-year growth rate (%), inventory year-on-year growth rate (%)</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/9497187cf6a6026f1ba5e5df2d759692\" tg-width=\"494\" tg-height=\"345\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table><table><tbody><tr><td>Figure 9: Real interest rates and PMI 1990-present</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/b903d79a6e050f784a34a9525ddba907\" tg-width=\"485\" tg-height=\"315\" referrerpolicy=\"no-referrer\"></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table>Judging from the previous four style reversals (that is, the RUSSEL 1000 value/growth index turned from downward to upward),<b>The peak and fall of nominal interest rate, real interest rate, CPI, and inflation expectations are roughly inflection point synchronization or leading indicators</b>。 But after 2008, value stocks can only eat the \"fish body\" of rising interest rates or inflation, that is, the early stage of rising interest rates or inflation from the bottom, but not the \"fish tail\" of the peak stage. This may be because the market believes that the duration of excess profits of value stocks is difficult to be as long as it was in 2003-2006.<b>The inflection point of market style is also earlier than the inflection point of relative profitability.</b></p><p>According to data from FactSet, profits in the industrial, materials and financial sectors are expected to increase by 89%, 40% and 23% year-on-year respectively in 2021, while profits in the technology sector will only increase by 18%, showing that the current value style is dominant.<b>This round of value style has lasted for 6 months, and may be in the middle and late stage of the style advantage period (comparable to an average of 10 months), and the excess return has also completed more than half of the historical average.</b></p><p>Looking at macro indicators,<b>CPI may fall after peaking in May, and inflation expectations are already at historical highs (99.5% percentile)</b>。 The lower-than-expected recovery of U.S. shale oil production capacity gives OPEC room to continue production cuts to maintain high oil prices. Oil prices may fluctuate violently at high levels in the first half of the year, but inflation expectations may fall with oil prices in the second half of the year. Judging from previous rounds of historical experience, inflation expectations are about half a year ahead of real interest rates. Therefore, after inflation expectations fall in the second half of the year, there is still room for real interest rates to rise. After stripping off the long-term trend, the current real interest rate (around-0.66%) is still at a historically low level (17.4% quantile). It is expected that the rebound high of real interest rates will be around 0.2%-0.3%, corresponding to the historical quantile of 70%-80%, which is approximately equal to the average level in 2019.</p><p><b>According to our judgment on inflation and real interest rates, the phase of rapid rise in interest rates and inflation may end in May this year. Therefore, the short-term style advantage of value stocks may still last for a quarter, and whether the trend can be reversed in the long term will be determined by a series of institutional reforms that reverse income distribution and the gap between the rich and the poor.</b></p><p>In terms of specific industries, commodity price increases, manufacturing replenishment and rising interest rates are driven by<b>Sectors such as finance, energy, industry and raw materials led the gains during the recovery period.</b>Healthcare, information technology, public utilities, and telecommunications services have no obvious inventory cycle, and the performance of core consumer goods is relatively stable and relatively less elastic. Non-core consumer goods are too affected by amazon.<b>At present, the gains of energy stocks have exceeded the historical average level, and the gains of financial stocks have been fully realized</b>。</p><p>In the short term, we think<b>Value stocks are still expected to outperform growth stocks in the coming quarter as a recovery trade, but it is recommended to lower expectations for absolute returns of value stocks; In the long run, it is still unknown whether the trend of value/growth style differentiation can be reversed. If the U.S. government promotes a series of institutional reforms to narrow the gap between the rich and the poor through tax increases, it must be psychologically prepared for the possible trend reversal of style.</b></p><p><table><tbody><tr><td>Table 2: Performance of various industries during the recovery phase</p><p></td></tr><tr><td><img src=\"https://static.tigerbbs.com/6228f37247756967ffbc3aa57083aa9d\" tg-width=\"460\" tg-height=\"249\" referrerpolicy=\"no-referrer\"></p><p></td></tr><tr><td>Source: Bloomberg, Tianfeng Securities Research Institute</p><p></td></tr></tbody></table></p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"https://mp.weixin.qq.com/s?__biz=MzI0MzMzNzczNQ==&mid=2247495039&idx=1&sn=c64cff2fab379436f872324dadae5a4b&chksm=e96c3217de1bbb01c4cdf1ef8dcdeda0fd65adfedf8aff752e2d35d9bb926099814cf31cf9bb&mpshare=1&scene=23&srcid=03271858VKgyWAwMRniMvBl0&sharer_sharetime=1616837119379&sharer_shareid=fbf3e6a28882bb91c07a361d6d431142#rd\">雪涛宏观笔记</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/1fc1f5e2fa377c378fa230c10e0849a2","relate_stocks":{".DJI":"道琼斯",".SPX":"S&P 500 Index",".IXIC":"NASDAQ Composite"},"source_url":"https://mp.weixin.qq.com/s?__biz=MzI0MzMzNzczNQ==&mid=2247495039&idx=1&sn=c64cff2fab379436f872324dadae5a4b&chksm=e96c3217de1bbb01c4cdf1ef8dcdeda0fd65adfedf8aff752e2d35d9bb926099814cf31cf9bb&mpshare=1&scene=23&srcid=03271858VKgyWAwMRniMvBl0&sharer_sharetime=1616837119379&sharer_shareid=fbf3e6a28882bb91c07a361d6d431142#rd","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1192792909","content_text":"美股价值股与成长股长期相对收益的核心来源是盈利，而不是估值。与科网泡沫时期显著不同的是当前成长股相比价值股并不存在明显的估值泡沫（可能都贵）。短期来看，本轮价值风格已持续了6个月，可能处于风格优势期的中后期（可比平均10个月），价值股作为复苏交易在未来一个季度仍有望跑赢成长股，但建议放低对价值股绝对收益的预期。长期来看，价值/成长的风格分化能否趋势性逆转仍然未知，如果美国政府通过加税推动一系列缩小贫富差距的制度改革，要做好风格趋势性逆转的心理准备。引言：去年8月，美股价值股跑输成长股的幅度首次超过科网泡沫时期水平，当时市场开始出现转向周期价值股的观点，同一时间长端美债利率开始剧烈反弹，带动价值/成长比值从历史低位回升。今年2月以来，代表成长风格的纳斯达克指数连续回撤，代表价值风格的道琼斯指数屡创新高。当风格切换已成为事实后，关于美股价值风格是否迎来长期拐点的讨论愈演愈烈。风格切换是长期反转还是短期收敛，还有多少演绎空间？——我们以Russel 1000的价值和成长指数为例，探讨该问题的答案。核心结论：第一、价值股与成长股相对收益的核心来源是盈利，而不是估值！当前成长股相比价值股并不存在明显的估值泡沫（可能都贵！），这与科网泡沫时期是显著不同的。第二、1981年后，长期债券利率下行的内核是经济增长内生动能不足带来的低经济增速、低通胀现象。目前来看，导致经济增长内生动能不足、长期通缩环境的技术因素和制度因素仍未得到改善。第三、如果美国国债市场无法形成长期熊市，价值优于成长风格的讨论可能仅仅局限于短周期。名义利率、实际利率、CPI、通胀预期触顶回落大致是拐点同步或领先指标，市场的风格拐点也早于相对盈利拐点。第四、短周期看，本轮价值风格已持续了6个月，处于风格优势期的中后期（可比平均10个月），超额收益也完成了历史均值的一大半。利率和通胀快速上行的阶段可能在今年5月结束。因此价值股作为复苏交易在未来一个季度仍有望跑赢成长股，但建议放低对价值股绝对收益的预期。第五、一旦美国政府开始左转，改革里根政府以来以自由资本主义为基础的分配制度，长期利率转为趋势上行的条件可能出现。收入分配的均衡化可能扭转过去四十年贫富差距拉大带来的长期通缩局面，并推动长期利率中枢趋势性回升。第六、长期价值/成长的风格分化能否趋势性逆转仍然未知，如果美国政府通过加税推动一系列缩小贫富差距的制度改革，要做好可能发生风格趋势性逆转的心理准备。图1：10年期国债收益率与Russel 1000 价值与风格指数相对收益资料来源：Bloomberg，天风证券研究所一、价值/成长风格的相对收益由什么决定？支持风格长期反转的核心观点是美债长端收益率下行趋势的扭转。我们从长端收益率对价值股和成长股每股盈利和估值影响的角度予以分析。（1）长端美债收益率方向与价值成长EPS之差同向对于价值型公司和成长型公司来说，与经营杠杆相关的财务报表指标，如资产、工厂和设备的周转率和净债务，有显著的不同。在一个广泛的通货再膨胀环境中，拥有相对较高固定资产水平的价值型公司将比成长型公司在周转率方面有更明显的改善。价值型公司的净债务水平也高于成长型公司。在通货再膨胀的情况下，相对成长型企业，价值型企业还本付息的负担会相对较小。因此，利率的下行可能暗示了价值型公司EPS相对收益的下滑。从近30年的历史来看，价值股与成长股EPS之差与利率短周期波动较为吻合。但每轮周期的高点依次下移，符合利率长期下行的方向。其中短端货币政策利率在2008年前与盈利差波动规律一致，但在金融危机后逐渐背离，反映货币政策利率对经济盈利周期响应变慢。长端十年期美债利率与盈利差在2003-2006年有显著背离，价值股与成长股EPS之差在07年创下新高，但十年期美债利率却比上一轮周期高点更低。背离的核心也是格林斯潘长期利率之谜，短期利率上升，长期无风险利率却下降。格林斯潘对此的解释包括：1. 美国经济复苏叠加全球化程度加深，导致贸易伙伴累积了越来越庞大的美元顺差。而在全球范围内，唯一有能力承接这部分由顺差累积而来的外汇储备的地方，就是美国国债市场。2. 随着退休人口不可避免的增加（尤其是在发达国家），退休计划的资金供给不足日益引起关注。养老基金和保险公司都不得不在自己的投资组合中加大对长期债券的份额。图2：2008年之前，货币政策周期与价值与成长盈利差走势接近资料来源：Bloomberg，天风证券研究所图3：10Y美债利率与价值成长盈利差的波动较为吻合资料来源：Bloomberg，天风证券研究所（2）长端收益率下行并不会导致成长股比价值股更贵一种广泛的观点认为无风险利率的下行会给成长股带来更多的估值溢价，但这个认知是错误的！尽管从短周期的角度看国债收益率的波动的确领先价值股与成长股的风险溢价差，但拉长周期看，价值股相比成长股的风险溢价并没有因为无风险利率的下行而扩大。图4：10年期国债利率与价值同成长股风险溢价差资料来源：Bloomberg，天风证券研究所因此，我们总结，价值股与成长股相对收益的核心来源是盈利，而不是估值！当前成长股相比价值股并不存在明显的估值泡沫（可能都贵！），这与科网泡沫时期是显著不同的。无风险利率下行与风格相对盈利（价值股-成长股）的下行均反映了美国经济产业结构的变化。资本和技术的运用减少了人力成本，提高了企业效率和盈利，因此以科技为代表的成长股在股市中的权重与对经济和就业的贡献并不匹配（见图6）。未来是否出现风格逆转的关键问题是美国产业结构是否会发生变化，导致价值股盈利、通胀和利率持续上行。图5：除了科网时期（2000）的背离，价值与成长的盈利差主导了价值与成长指数的相对收益资料来源：Bloomberg，天风证券研究所图6：以科技为代表的成长股在股市中的权重与对经济和就业的贡献并不匹配资料来源：BEA, BLS, Standard & Poor's，天风证券研究所二、如果出现加税（以及一系列代表美国社会左转的制度改革），四十年利率下行的趋势可能终结，风格有趋势性逆转的可能回顾二战后的利率史，导致利率长达40年下行的因素并未改变。名义利率的走势主要取决于实际经济增长和通胀。二战后，10年期美债收益率与美国GDP增速和核心CPI的走势有较高的一致性，峰值出现在1970年代。图7：10年期国债收益率与美国实际GDP增速与核心CPI资料来源：Bloomberg，天风证券研究所利率上升周期的第一阶段（1946年-1970年）建立在供给侧与需求侧正反馈产生的真实繁荣基础上。二战期间，美国政府顺应时势推动了供给侧改革，升级了美国制造业及配套产业的供给水平，以战时经济的速率加速培养了大批量的技术人才，在新技术的应用方面再现了19世纪后期的野蛮式突进。罗斯福新政力推劳资关系立法，贫富分化收窄，让美国工人获得了8小时工作制及其他福利，但相对劳动成本的提升，居民受教育程度、女性劳动参与率的提高将劳动生产率推升至新的高度。需求端，战争重创全球产业，百废待兴，工业基础亟待重建。本阶段经济高速增长，通胀较低，失业率持续下降，贫富分化收窄。利率上升对应的是实际经济增长的加速。利率上升的第二阶段（1970年-1981年）建立在石油危机带来的供给冲击上。两次石油危机期间，原油价格从1973年的每桶不到3美元涨到了1980年的45美元，战后经济复苏高度依赖石油化工产业提供的能源支持，原油价格上涨，布雷顿森林体系破裂后美元贬值，带来输入性通胀，十年期国债收益率升至美国建国以来的最高水平。本阶段，经济频繁衰退，物价水平持续位于高位，失业率上升，利率上升主要对应的是供给收缩带来的高通货膨胀。1981年后，长期债券利率下行的内核是经济增长内生动能不足带来的低经济增速、低通胀现象。供给端，70年代以来的全球创新和经济进步聚焦在人类活动的一个狭窄领域，更多是同娱乐、通信、信息收集和处理有关，而这部分social well-being的提高并没有计入GDP，“对于人类所关心的其他事务，包括食品、服装、住房、交通、健康、家庭内外的工作环境等，无论是从定量还是定性的角度看，在1970年之后进步速度都已经放缓。”（《美国经济增长的起落》罗伯特戈登）需求端，收入分配机制恶化导致了长期的有效需求不足。1973年松绑的工资控制政策是此后贫富分化加剧的一个重要原因。西方国家人口老龄化普遍出现在1980年初期，结合其高福利制度，劳动力供给和储蓄双双下降，资本投资不足；此外，为应对全球竞争发达国家企业将产业迁往新兴市场以降低成本，居民工资增长停滞。目前来看，以上导致经济增长内生动能不足的因素仍未得到改善。发达国家人口老龄化、生育率下降仍在加剧；全球创新主要聚焦于商业模式，硬件投入尚未形成提高社会生产效率的质变；技术进步和全球化提高了效率，但有损公平，政府必须要付出更多努力关注弱势群体。人类社会并不是线性演进的，而是像量子跃迁一样跳跃式发展，长期处在一个缓慢稳定发展的能级，突然遇到一些重大变化，秩序、制度、技术开始发生深刻变化，历史的进程开始加速，直到进入下一个长期缓慢稳定发展的新能级。新冠疫情可能就是这样一个重大变化，当人类遇到困境时，合作和改革才更有可能出现，进入到上面所说的跃迁式发展。新冠疫情之后，一些改变长期经济增长内生动力不足的因素开始若隐若现。民主党有意愿改革财富分配制度，包括提高富人和大企业的所得税率，提高最低工资，传统基建拉动就业，增加对中低收入者的转移支付等。但美国两党、社会的政治观点极化让这项改革变得困难重重（共和党反对将最低工资提升至每小时15美元，即是政治极化的一个缩影）。两党的共识可能是对大型科技企业的反垄断执法，国会考虑迫使科技巨头将它们占据主导地位的在线平台与其他业务部门分开，由民主党人领导的众议院司法委员会反垄断小组委员会准备提出全面改革，这可能在长期会鼓励创新（如同1970年代IBM被分拆），提高社会劳动生产率，改善财富分配机制。一旦美国政府开始左转，改革里根政府以来以自由资本主义为基础的分配制度，长期利率转为趋势上行的条件可能出现。收入分配的均衡化可能扭转过去四十年贫富差距拉大带来的长期通缩局面，并推动长期利率中枢趋势性回升。除此之外，供给侧也存在推动利率长期回升的潜在因素。全球“碳中和”趋势下，资本市场亦在驱动能源行业“绿色化”，这可能导致传统能源投资不足。例如转型比较激进的壳牌公司（Shell）计划到2050年达到碳中和目标。为此，其在上游板块的资本开支比例从35％左右缩减到2025年之后25-30％，而可再生能源资本开支比例提升。相应的，新增资本开支的IRR对上游板块和可再生能源的回报率要求也差别对待，上游板块的资本开支回报率要达到20-25％，而对可再生能源投资回报率要求仅不低于10％。不仅是能源，过去10年大宗商品价格低迷，原材料生产商不同程度地削减了资本开支，新冠疫情也加速了部分产能出清。三、如果不考虑利率的趋势性逆转，这一轮成长价值的风格切换能持续多久？如果美国国债市场无法形成长期熊市，价值优于成长风格的讨论可能仅仅局限于短周期。我们选取了通胀预期、实际利率、PMI、CPI、库存同比5个指标考察2000年以来价值股跑赢成长股的宏观状态。2000.7-2001.3和2008.6-2008.12均是经济下行阶段，PMI、库存同比、CPI均下行，防御策略下价值股收获超额收益。剩余4个阶段均表现为经济复苏，各项经济指标大多处于回升状态。通胀预期和CPI回升在高位震荡；除2001.11-2002.7外，实际利率底部开始攀升，PMI震荡上行；除2012.5-2013.7外，库存周期处于补库阶段。除去本次（2020.9-2021.2）和价值股长牛期（2003.12-2006.06），价值股的超额收益平均为15.54%，平均持续时长为10个月。与本次最为类似的是2016.3-2016.12，此阶段为上一轮小周期复苏期，价值股的超额收益为8.22%，持续了10个月。表1：历次价值股相对成长股超额收益时期资料来源：Bloomberg，天风证券研究所图8：1990-至今通胀预期(%)、CPI同比增速(%)、库存同比增速(%)资料来源：Bloomberg，天风证券研究所图9：1990-至今实际利率和PMI资料来源：Bloomberg，天风证券研究所从之前四次风格反转（即RUSSEL 1000 value/growth指数由下行转为上行）时点来看，名义利率、实际利率、CPI、通胀预期触顶回落大致是拐点同步或领先指标。但08年后，价值股只能吃到利率或通胀上行的“鱼身”，也即利率或通胀从底部上行的早期阶段，吃不到冲顶阶段的“鱼尾”，这可能是因为市场认为价值股超额盈利持续时间难以像2003-2006年那么长，市场的风格拐点也早于相对盈利拐点。FactSet的数据显示，预计2021年工业、材料和金融行业的利润将分别同比增长89％、40％和23％，而科技行业的利润仅增长18％，显示当前价值风格占优。本轮价值风格已持续了6个月，可能处于风格优势期的中后期（可比平均10个月），超额收益也完成了历史均值的一大半。宏观指标来看，CPI可能在5月冲顶后回落，通胀预期也已经处在历史高位（99.5%分位）。美国页岩油产能恢复不及预期给了OPEC继续减产维持高油价的空间，上半年油价可能在高位剧烈震荡，但下半年通胀预期可能随油价回落。从之前几轮历史经验来看，通胀预期领先实际利率半年左右，因此下半年通胀预期回落后，实际利率仍有上行空间。剥离长期趋势后，当前实际利率（-0.66%左右）仍然处在历史较低水平（17.4%分位）。预计实际利率的反弹高点大约在0.2%-0.3%左右，对应70%-80%历史分位，约等于2019年的平均水平。根据我们对通胀和实际利率的判断，利率和通胀快速上行的阶段可能在今年5月结束。因此，价值股的短期风格优势可能仍能持续一个季度，长期是否能趋势性逆转将由一系列逆转收入分配和贫富差距的制度改革所决定。具体行业来看，大宗商品涨价、制造业补库和利率上行推动金融、能源、工业和原材料等行业在复苏期涨幅领先。医疗保健，信息技术、公共事业、电信服务没有明显的库存周期，核心消费品业绩较为稳定，相对弹性较小。非核心消费品受amazon影响过大。目前能源股涨幅已超过历史均值水平，金融股的涨幅也已充分兑现。短期来看，我们认为价值股作为复苏交易在未来一个季度仍有望跑赢成长股，但建议放低对价值股绝对收益的预期；长期来看，价值/成长的风格分化能否趋势性逆转仍然未知，如果美国政府通过加税推动一系列缩小贫富差距的制度改革，要做好可能发生风格趋势性逆转的心理准备。表2：各行业在复苏阶段表现资料来源：Bloomberg，天风证券研究所","news_type":1,"symbols_score_info":{".DJI":0.9,".IXIC":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":3250,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":2,"xxTargetLangEnum":"ORIG"},"commentList":[{"id":3914371,"commentId":"3914371","gmtCreate":1617031256646,"gmtModify":1680782193091,"authorId":3575347610709013,"author":{"id":3575347610709013,"idStr":"3575347610709013","authorId":3575347610709013,"name":"han妈","avatar":"https://static.tigerbbs.com/cc130c80435a1df7ae157dd6764e34e0","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":352333124,"objectIdStr":"352333124","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"hi","text":"hi","html":"hi","likeSize":0,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"invalid","coins":0,"score":0,"disclaimerType":0}],"hasMoreComment":true,"orderType":2}