Investment Barometer November 2012 VTB Capital Investment Management Research Department

Transcription

1 Investment Barometer November 212 VTB Capital Investment Management Research Department

2 Contents Investment Outlook Market at a glance Methodology Contacts 2

3 Investment Outlook In our opinion, conditions for positive equity returns should prevail over bearish sentiment over the following 12 months. Source: VTB Capital Investment Management estimates Investment Barometer readings improved due to investment opportunities becoming more attractive and equity volatility subsiding. The opportunities indicator reached the highest level following quantitative easing efforts lead by the G3 Central banks (FED, ECB, BOJ), European Stability Mechanism endorsement and the wrap up of the US presidential elections. Russian equity volatility remains below the normalized level. We estimate that Russian equity market upside over the following 12 months exceeds 5%. The key threats remain to be posed by uncertainty over the looming US fiscal cliff and poor seasonality of Russian equities in November. The fiscal cliff implies fiscal tightening in the USA beginning in 213, which could push the US economy into a recession. Investment Barometer Rainy Stormy Mild Sunny Barometer legend: Stormy - The market is under serious stress, Rainy - The market is under pressure, Mild - Positive factors prevail, but they are overshadowed by a number of risks Sunny Conditions for equity investments are most favorable For more details see the methodology section below. 3

4 Market at a glance (1) YTD RTS Performance RTS Sesonality, Monthly data (1 good, bad) oct nov dec 8 jan feb mar apr Score RTS vs Fair value sep aug jul jun may RTS Market prices RTS Fair value (based on DCF model) Annualized Volatility (3 days), RTS Index Annualized Volatility (3 days) Normalized Volatility P/E 12m FWD Premium (+) / Discount (-) : MSCI Russia vs MSCI EM, 1,%,% -1,% -2,% -3,% -4,% -5,% -6,% -7,% Premium (+) / Discount (-) MSCI Russia vs MSCI EM Average Discount (25 11) 1,,8,6,4,2 Risk Aversian on the Financial Markets, (1 Bad, Good) Bad for equity Good for equity, Sources: Bloomberg, RTSI, MSCI, VTB Capital Investment Management 4

5 Market at a glance (2) Index EPS Performance (USD) - Russia vs EM MSCI Russia EPS, forward 12 months MSCI EM EPS, 12 month forward RTS Performance Investment Style Performance ( =1) MSCI Russia, Growth stocks MSCI Russia, Value stocks Index EPS Performance (USD) - EM vs DM MSCI DM EPS, 12 month forward MSCI EM EPS, 12 month forward MSCI Russia P/E, 12 m FWD Sector Performance ( =1) RTS Consumer RTS Machinery RTS Metals & Mining RTS Energy RTS Utilities RTS Index RTS Financials Sources: Bloomberg, RTSI, MSCI, VTB Capital Investment Management estimates 5

6 Methodology The Investment Barometer evaluates the state of the Russian stock market by assessing a combination of factors: opportunities, threats, potential market upside/downside and risks. Each factor receives a score within the range of -1. The final barometer reading is defined as the harmonic mean of these factors. The final numeric score is then converted into a qualitative assessment of current investment opportunities: (1) Stormy (value between -25 points) - the market is under serious stress and the risks outweigh the opportunities; (2) Rainy (value between 26-5 points) - The stock market is under pressure, which can develop into a storm or a calm state; (3) Mild (value between points) - The market outlook is moderate to neutral, a balance of opportunities and threats remains; (4) Sunny (score 76-1 points) - Conditions for equity investments are most favorable, opportunities prevail over threats. The assessment of opportunities and threats is based on the following factors: (1) Russian stock market premium / discount to emerging markets according to 12month forward P / E ratios for respective MSCI indices; (2) Monthly RTS Index seasonality; (3) Risk aversion in global financial markets as measured by Citi Macro Risk index; (4) Assessment of key positive and negative domestic and / or external factors that could impact the Russian equity market. Estimates of equity upside/downside are based on bottom-up analysis (DCF models) of RTS index constituents for a 12 month horizon. We use VTBC IM estimates for the base scenario. Optimistic and pessimistic scenarios are derived from the most optimistic and pessimistic Bloomberg consensus estimates. The risk assessment is driven by realized 3-day volatility (standard deviation) of the RTS index returns. 6

7 Contacts VTB Capital Investment Management 1 Presnenskaya emb., block C Moscow, Russia Tel: +7(495) Fax: +7(495) Research Team Head of Research Ivan Ilushin, CFA Ivan.Ilushin@vtbcapital.com Deputy Head of Research Alexey Vorobiev, PhD Alexey.Vorobiev@vtbcapital.com Senior Analyst Lyudmila Drobina Lyudmila.Drobina@vtbcapital.com Senior Analyst Andrey Rusetskiy Andrey.Rusetskiy@vtbcapital.com Senior Analyst Evgeniy Grigoriev Evgeniy.Grigoriev@vtbcapital.com 7