Perspectives Portfolio & Quantitative Strategy IMAGE

Transcription

1 Perspectives 2016 Portfolio & Quantitative Strategy Vincent Delisle, CFA Managing Director, Investment Strategist (Scotia Capital Inc. Canada) (514) IMAGE Hugo Ste-Marie, MSc, CFA Small Cap Strategist (Scotia Capital Inc. Canada) (514) Jean-Michel Gauthier, MMF Research Associate (Scotia Capital Inc. Canada) (514) January 2016 Update For Reg AC Certification and important disclosures see Appendix A of this report. Analysts employed by non-u.s. affiliates are not registered/qualified as research analysts with FINRA in the U.S.

2 Dec-94 Dec-96 Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16 Jan-80 Jan-85 Jan-90 Jan-95 Jan-00 Jan-05 Jan-10 Jan-15 La Chute du pétrole bouscule les scénarios TSX 12M Trailing EPS & WTI US Corporate Spread vs. WTI Prices 1, 1,000 TSX Trailing EPS - LHS WTI Oil Price - RHS BBB Corp Spread* (bp) - LHS WTI Crude Oil YoY (inverted) - RHS % % Source: Scotiabank GBM Portfolio Strategy, Thomson Financial, Bloomberg. *Moody's BBB Yield less US 10Yr Yield Source: Scotiabank GBM Portfolio Strategy, Bloomberg. 1

3 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 La liquidité se reserre, on est encore loin des extrêmes de 2008/2011 TED Spreads* Smoothed (in bp) US Europe *Libor/Euribor 3M less US/Germany 3M Treasury Yield Source: Scotiabank GBM Portfolio Strategy, Bloomberg. 2

4 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 S&P/TSX Un vrai marché baissier TSX down -22% from September 2014 peak; TSX equal weight -36% from peak. TSX Equal Weight vs. S&P 500 Equal Weight - Normalized Normalized at on June 24, S&P 500 Equal Weight TSX Equal Weight Source: Scotiabank GBM Portfolio Strategy, Bloomberg. 3

5 31-Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun-16 Radar Technique S&P/TSX: A Much Less Inspiring Technical Picture S&P 500: 1900 is the Area to Watch Level 50-d MA 200-d MA Level 50-d MA 200-d MA A break > 2+ opens the door to 2340 Resistance Primary support area < Primary support area at 1860 A break < 1860 opens the door to Source: Scotiabank GBM Portfolio Strategy, Bloomberg Source: Scotiabank GBM Portfolio Strategy, Bloomberg 4

6 Jan-48 Jan-52 Jan-56 Jan-60 Jan-64 Jan-68 Jan-72 Jan-76 Jan-80 Jan-84 Jan-88 Jan-92 Jan-96 Jan-00 Jan-04 Jan-08 Jan-12 Jan-16 Jan-20 S&P 500 & ISM S&P 500 vs. ISM Manufacturing headfake: S&P 500 in a bear market in 1966, ISM briefly falls below 50 in early 1967, both rebound quickly Chinese Manufacturing competition heats up, Iraq w ar, oil breaches US$30/bbl, tail end of Tech bubble S&P 500 down YoY, ISM below 50, and not in a recession NBER Recessions 35 S&P 500 YoY (smoothed) - LHS ISM Manufacturing (smoothed) - RHS 30 Source: Scotiabank GBM Portfolio Strategy, Bloomberg. 5

7 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Changement de ton de la Fed? DXY could track Fed Funds expectations lower. DXY and Fed Funds Expectations ( ) DXY - LHS 12M FF Futures YTM - RHS Source: Scotiabank GBM Portfolio Strategy, Bloomberg 6

8 31-Dec Jun Dec Jun Dec Jun Dec Jun Dec Jun Dec-15 Dollar US et prix de l or U.S. Dollar Index Faces Strong Resistance at the Level Level 50-d MA 200-d MA Resistance Support area Source: Scotiabank GBM Portfolio Strategy, Bloomberg 7

9 Dec-70 Dec-74 Dec-78 Dec-82 Dec-86 Dec-90 Dec-94 Dec-98 Dec-02 Dec-06 Dec-10 Dec-14 Dec-18 Commodités: des niveaux de crise Five-year commodity returns at low end of historical range. Commodity Prices are Discounting Lots of Bad News Oil Copper Gold % % 5 5 -% Spot Prices vs. 5Yr Rolling Average -% Source: Scotiabank GBM Portfolio Strategy, Bloomberg, World Bank. 8

10 Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Actions versus Obligations: Positionnement Tactique Short-term tactical outlook increasingly favouring Equities. Scotiabank GBM Strategy U.S. Risk-On/Risk-Off Indicator* Scotiabank GBM Strategy Canada Risk-On/Risk-Off Indicator* Risk-On Trade Extended S&P 500 "relative" Overbought Risk-On Trade Extended TSX "relative" Overbought Risk-Off Trade Extended Bonds "relative" Overbought Risk-Off Trade Extended Bonds "relative" Overbought *S&P 500 less long-term government bonds (TLT) 3M rolling relative return Source: Scotiabank GBM Portfolio Strategy, Bloomberg *TSX less long-term government bonds 3M rolling relative return Source: Scotiabank GBM Portfolio Strategy, Bloomberg 9

11 Dec-51 Dec-56 Dec-61 Dec-66 Dec-71 Dec-76 Dec-81 Dec-86 Dec-91 Dec-96 Dec-01 Dec-06 Dec-11 Dec-16 Dec-21 Jan-78 Jan-80 Jan-82 Jan-84 Jan-86 Jan-88 Jan-90 Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 TSX versus S&P 500 Canada underperforming the United States since 2011; YOY lag is at an extreme level. TSX vs. S&P Relative Performance in US$ TSX vs. S&P 500-3M Relative Performance in US$ Year Rolling CAGR - RHS TSX less S&P 500 Rel. Perf. YOY - LHS 25% 2 3 TSX Outperforming 3 3 TSX Outperforming 15% % 1 +1 St. Dev % St. Dev S&P 500 Outperforming -15% S&P 500 Outperforming on a Monthly Basis, Weekly Basis Thereafter Source: Scotiabank GBM Portfolio Strategy, Bloomberg. Source: Scotiabank GBM Portfolio Strategy, Bloomberg. 10

12 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Jan-17 Jan-19 Évaluations: S&P 500 versus TSX TSX/S&P Relative P/E Ratio vs CAD CAD-USD - LHS TSX/S&P 500 Relative P/E - RHS Source: Scotiabank GBM Portfolio Strategy, Bloomberg, Thomson Financial. 11

13 General Disclosures This report has been prepared by analysts who are employed by the Research Department of Scotiabank, Global Banking and Markets. Scotiabank, together with Global Banking and Markets, is a marketing name for the global corporate and investment banking and capital markets businesses of The Bank of Nova Scotia and certain of its affiliates in the countries where they operate, including Scotia Capital Inc. All other trademarks are acknowledged as belonging to their respective owners and the display of such trademarks is for informational use only. Scotiabank, Global Banking and Markets Research produces research reports under a single marketing identity referred to as Globally-branded research under U.S. rules. This research is produced on a single global research platform with one set of rules which meet the most stringent standards set by regulators in the various jurisdictions in which the research reports are produced. 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14 Definition of Scotiabank, Global Banking and Markets Equity Research Ratings We have a four-tiered rating system, with ratings of Focus Stock, Sector Outperform, Sector Perform, and Sector Underperform. Each analyst assigns a rating that is relative to his or her coverage universe or an index identified by the analyst that includes, but is not limited to, stocks covered by the analyst. The rating assigned to each security covered in this report is based on the Scotiabank, Global Banking and Markets research analyst s 12-month view on the security. Analysts may sometimes express to traders, salespeople and certain clients their shorter-term views on these securities that differ from their 12-month view due to several factors, including but not limited to the inherent volatility of the marketplace. Ratings Focus Stock (FS) The stock represents an analyst s best idea(s); stocks in this category are expected to significantly outperform the average 12-month total return of the analyst s coverage universe or an index identified by the analyst that includes, but is not limited to, stocks covered by the analyst. Sector Outperform (SO) The stock is expected to outperform the average 12-month total return of the analyst s coverage universe or an index identified by the analyst that includes, but is not limited to, stocks covered by the analyst. Sector Perform (SP) The stock is expected to perform approximately in line with the average 12-month total return of the analyst s coverage universe or an index identified by the analyst that includes, but is not limited to, stocks covered by the analyst. Sector Underperform (SU) The stock is expected to underperform the average 12-month total return of the analyst s coverage universe or an index identified by the analyst that includes, but is not limited to, stocks covered by the analyst. Other Ratings Tender Investors are guided to tender to the terms of the takeover offer. Under Review The rating has been temporarily placed under review, until sufficient information has been received and assessed by the analyst. Risk Ranking As of June 22, 2015, Scotiabank, Global Banking and Markets discontinued its Low, Medium, and High risk rankings. The Speculative risk ranking reflects exceptionally high financial and/or operational risk, exceptionally low predictability of financial results, and exceptionally high stock volatility. The Director of Research and the Supervisory Analyst jointly make the final determination of the Speculative risk ranking. Scotiabank, Global Banking and Markets Equity Research Ratings Distribution* Distribution by Ratings and Equity and Equity-Related Financings* Percentage of companies covered by Scotiabank, Global Banking and Markets Equity Research within each rating category. Percentage of companies within each rating category for which Scotiabank, Global Banking and Markets has undertaken an underwriting liability or has provided advice for a fee within the last 12 months. Source: Scotiabank GBM. For the purposes of the ratings distribution disclosure FINRA requires members who use a ratings system with terms different than buy, hold/neutral and sell, to equate their own ratings into these categories. Our Focus Stock, Sector Outperform, Sector Perform, and Sector Underperform ratings are based on the criteria above, but for this purpose could be equated to strong buy, buy, neutral and sell ratings, respectively.

15 TM Trademark of The Bank of Nova Scotia. Used under license, where applicable. Scotiabank, together with Global Banking and Markets, is a marketing name for the global corporate and investment banking and capital markets businesses of The Bank of Nova Scotia and certain of its affiliates in the countries where they operate, including Scotia Capital Inc. Scotia Capital Inc. is a Member of the Canadian Investor Protection Fund.