摩根士丹利--宏观策略-情绪指数以机器学习为动力-20191016-35页

FOUNDATION M Macro Meets Micro China Launching Our Global MNCs China Sentiment Index Powered by Machine Learning Morgan Stanley does and seeks to do business with companies covered in Morgan Stanley Research As a result investors should be aware that the firm may have a conflict of interest that could affect the objectivity of Morgan Stanley Research Investors should consider Morgan Stanley Research as only a single factor in making their investment decision For analyst certification and other important disclosures refer to the Disclosure Section located at the end of this report Analysts employed by non U S affiliates are not registered with FINRA may not be associated persons of the member and may not be subject to NASD NYSE restrictions on communications with a subject company public appearances and trading securities held by a research analyst account We launch a new machine enhanced Multinational Corporation MNC China Sentiment Index to replace the prior MNC index Our aim to provide forward looking views into China s business conditions 2Q results show further decline in sentiment and concerns over trade tension October 16 2019 09 00 PM GMT FOUNDATION M MORGAN STANLEY ASIA LIMITED Laura Wang Equity Strategist 852 2848 6853 Laura Wang Contributors MORGAN STANLEY ASIA LIMITED Fran Chen CFA Equity Strategist 852 2848 7135 Fran Chen MORGAN STANLEY ASIA LIMITED Jonathan F Garner Equity Strategist 852 2848 7288 Jonathan Garner MORGAN STANLEY ASIA LIMITED Yinan Zhang Ph D Quantitative Strategist 852 3963 3507 Yinan Zhang MORGAN STANLEY ASIA LIMITED Ronald Ho CFA Quantitative Strategist 852 2239 1726 Ronald Ho FOUNDATION M Macro Meets Micro China Launching Our Global MNCs China Sentiment Index Powered by Machine Learning We officially launch Morgan Stanley Global MNCs China Sentiment Index replacing the prior MNC China Conditions Index series The new metric powered by machine learning is aimed at gauging global MNCs forward looking views on China Compared to the prior manual transcript reading process our new process can analyze much larger raw data sets and scripts in an automated and therefore expedited fashion We digest the sentiment conveyed and synthesize it into a numerical score Back testing indicates that our Sentiment Index does a better job of explaining equity market momentum than macro data trends Key advantages over the prior series include 1 Much bigger sample size 60 more companies analyzed 2 More granular sentiment reading five category numeric scoring system vs binary system in the previous version 3 Real time and responsive the new process is automated and can be run multiple times or on an ad hoc basis Main findings based on 2Q2019 MNCs results 1 Outlook sentiment deteriorated further after a temporary pickup in 1Q it hit an 18 month low 2 Trade tension remains the biggest concern among MNCs they are consistently more upbeat about Chinese consump tion This confirms that sheer domestic market size is attracting and retaining MNCs 3 Consumer Staples showed the biggest improvement in senti ment while Energy Real Estate and IT showed the greatest declines consistent with the thematic findings 4 US MNCs still appear most positive in absolute terms despite consistent deterioration Japan has shown the biggest improvement in sentiment since 2019 started We thank Dr Yu Zhang and Yijun Dong from Morgan Stanley s Technology Data Science team for their work on designing and devel oping the research sentiment model Neither Yu Zhang nor Yijun Dong is a member of Morgan Stanley s Research department Exhibit 1 Morgan Stanley Global MNC China Sentiment Index vs prior Current Conditions and Outlook Indices 0 10 20 30 40 50 60 1Q182Q183Q184Q181Q192Q19 Prior Global MNC s China Current Conditions Index Prior Global MNCs China Outlook Index Global MNCs China Sentiment Index Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 2 MSCI China Price Index vs MNCs China Sentiment Index 25 27 29 31 33 35 37 39 41 60 65 70 75 80 85 90 95 100 105 Jan 18Apr 18Jul 18Oct 18Jan 19Apr 19Jul 19Oct 19Jan 20 MSCI China Price Index Global MNCs China Sentiment Index upon release date RHS 3Q preliminary real time reading Minor improvement in 3Q Source Refinitiv AlphaWise Morgan Stanley Research The Sentiment Index is plotted against the actual plausible release date which is around 4 6 weeks lag after each quarter end This is to ensure that our models have a meaningful sample size for analysis We launch a new machine enhanced Multinational Corporation MNC China Sentiment Index to replace the prior MNC index Our aim to provide forward looking views into China s business conditions 2Q results show further decline in sentiment and concerns over trade tension FOUNDATION M 4 Contents 5Four Key Takeaway Charts from MNCs China Sentiment Index 6Launching Machine Enhanced MNCs China Sentiment Index 10Global MNCs China Sentiment Index Deteriorated in 2Q19 after Temporary Pickup in 1Q 12Sector Breakdown Consumer Staples Showed the Biggest Improvement While Energy Real Estate and IT Showed the Greatest Decline 13Regional Breakdown US MNCs Ranked as the Most Positive with Deterioration Japan Showed the Biggest Improvement in Sentiment 14Themes Trade Tension Remains the Biggest Concern among MNCs They are relatively upbeat on Chinese Consumption 17US MNCs Outlook on China Deteriorated Notably in 2Q19 18European MNCs Outlook on China Stabilized with Divergent Sentiment Changes across Sectors 19Japanese MNCs The Only Market with Improving Sentiment toward China 20 EM APxJ ex China MNCs Outlook on China Deteriorated Notably in 2Q19 21Appendix Details of sample MNCs list by region 30 More on AlphaWise FOUNDATION M MORGAN STANLEY RESEARCH5 Exhibit 3 Morgan Stanley Global MNCs China Sentiment Index vs prior Current Conditions and Outlook Indices trajectory more overlapping with prior Outlook Index MNC sentiment dipped to the lowest level after a tempo rary pickup in 1Q2019 0 10 20 30 40 50 60 1Q182Q183Q184Q181Q192Q19 Prior Global MNC s China Current Conditions Index Prior Global MNCs China Outlook Index Global MNCs China Sentiment Index Source Refinitiv AlphaWise Morgan Stanley Research Four Key Takeaway Charts from MNCs China Sentiment Index Exhibit 4 MNC Sentiment Index by sector The majority of sectors showed deteri oration in sentiment Energy Real Estate and IT the biggest while Consumer Staples had the biggest improvement 5 10 15 20 25 30 35 40 45 Aggregate Energy Real Estate Materials IT Utilities Financials Commu Services Industrials Con Disc Health Care Con Staples 1Q192Q19 Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 5 Global Sentiment Score showed a broad based decline over the past six quarters across all themes trade tension remains the biggest con cern among MNCs while consumption consumer keep being cited as the most positive theme 39 24 43 50 35 15 21 43 30 14 13 38 27 11 14 28 30 13 11 35 27 10 12 32 AggregateTrade TariffMacro EconomyConsumer Consumption Global Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 6 Global MNCs China Sentiment Index by region US MNCs remain the most positive group but with the biggest decline over the past 18 months Japan showed a major pickup in sentiment since 2019 started 0 10 20 30 40 50 1Q182Q183Q184Q181Q192Q19 GlobalEM APxJUSEuropeJapan Source Refinitiv AlphaWise Morgan Stanley Research FOUNDATION M 6 Assessing global MNCs outlook on China employing Morgan Stanley s proprietary Power of Words capability We officially launch Morgan Stanley Global MNCs China Sentiment Index a robust machine driven smart indicator to gauge global MNCs forward looking views on China Equipped with Natural Language Processing and Convolutional Neural Network techniques Morgan Stanley quantitative researchers are able to navigate hundreds of corporate earnings scripts digest sentiment convey the message and synthesize into a numerical score This work is an effective extension of application of Morgan Stanley s Power of Words quantitative analysis which systematically extracts alpha from text of Morgan Stanley Research reports For a more detailed introduction to the approach please refer to Quantitative Equity Research The Power of Words An Additional Source of Alpha from Our Research 26 Jun 2019 For the latest application please refer to Quantitative Equity Research The Power of Words Going Global 14 Oct 2019 Why we analyze global MNCs commentary about China We con tinue to believe that this exercise will give us a holistic view of China s macro and market trends through the lens of multinational compa nies This analysis in our view deepens our work and understanding of China s economy markets and sectors We believe this gives a broader perspective on China than what local companies have to offer Overlaying six quarters of MNC Sentiment Index data with stock market performance MSCI China and quarterly GDP releases indi cates that our Sentiment Index does a better job of explaining equity market momentum than the macro data For example the 2Q senti ment decline implies a much milder market reaction than suggested by the QoQ slowdown in GDP growth Exhibit 7 Exhibit 8 In addi tion to that our preliminary readings of 3Q MNCs results transcripts Launching Machine Enhanced MNCs China Sentiment Index gives us a sentiment score of 29 slightly higher than 2Q s 27 Note we only have 11 data points which is not significant enough to draw meaningful conclusions at this point However because we can run the analysis in real time as more data points come in we can gauge the likely market path depending on whether this early suggestion of minor pickup is sustained For more details of the 3Q preliminary reading please see the section Preliminary analysis of MNCs out look after 3Q results minor improvement on the way Exhibit 7 MSCI China Price Index vs Global MNCs China Sentiment Index 25 27 29 31 33 35 37 39 41 60 65 70 75 80 85 90 95 100 105 Jan 18Apr 18Jul 18Oct 18Jan 19Apr 19Jul 19Oct 19Jan 20 MSCI China Price Index Global MNCs China Sentiment Index upon release date RHS 3Q preliminary real time reading Minor improvement in 3Q Source Refinitiv AlphaWise Morgan Stanley Research The Sentiment Index is plotted against the actual plausible release date which is a lag of around 4 6 weeks after each quarter ends This is to ensure that our models have a meaningful sample size for analysis Exhibit 8 China s quarterly GDP growth vs Global MNCs China Sentiment Index 15 20 25 30 35 40 45 5 8 6 0 6 2 6 4 6 6 6 8 7 0 Apr 18Jul 18Oct 18Jan 19Apr 19Jul 19Oct 19 China s quarterly GDP growth Global MNCs China Sentiment Index upon release date RHS Source Refinitiv AlphaWise Morgan Stanley Research The publication of Global MNCs China Sentiment Index comes with a lag of around 4 6 weeks after each quarter ends This is to ensure that our models have a meaningful sample size for analysis The release of China s quarterly GDP growth comes around 2 3 weeks after each quarter ends Both the Sentiment Indicator and the GDP numbers are plotted against their respective release dates FOUNDATION M MORGAN STANLEY RESEARCH7 Methodology overview The key focus period of this report is 2Q 2019 for which period we used our proprietary sentiment models to analyze corporate earn ings scripts for 453 global multinational companies spanning all major markets and sectors The model generates a single score on a scale from 100 to 100 based on machines interpretation of one or multiple data points for each of the companies in the sample The final sentiment index reading for 2Q 2019 is a simple average of 453 individual company scores The sample size was 60 larger than the universe we used for the prior Global MNCs China Current Conditions and Outlook Indices Sentiment scores are derived from 1 461 data points i e total number of times that China was men tioned in the scripts Geographical representation Geographically our models encom passed 453 global MNCs included in the S Japan Showed the Biggest Improvement in Sentiment 2Q2019 showed decreases in sentiment score on the order of 9 for US and 5 for EM APxJ On the contrary Japanese MNCs became much constructive on their outlook for China as reflected in the 75 increase in score European MNCs have maintained a sentiment score around 27 28 for the past four quarters Exhibit 19 Global MNCs China Sentiment Index by region 0 10 20 30 40 50 1Q182Q183Q184Q181Q192Q19 GlobalEM APxJUSEuropeJapan Source Refinitiv AlphaWise Morgan Stanley Research FOUNDATION M 14 Themes Trade Tension Remains the Biggest Concern among MNCs They Are Relatively Upbeat on Chinese Consumption Trade tensions continue to cloud the outlook on China We ran machine enhanced theme identification through MNCs transcripts against three groups of key themes Trade Tariffs Macro Economy and Consumer Consumption The themes have been chosen based on feedback from investors as well as stock ana lysts regarding the key investor concerns For purposes of compar ison we performed retrospective analysis all the way through 1Q 2018 Our key findings 1 Trade Tariffs remains the biggest concern among global MNCs The sentiment score on this topic has continued to deteriorate since 1Q 2018 This is consistent with the series of escalatory events between the US and China in both tariff and non tariff forms 2 Consumption Consumer remains where MNCs feel the most positive in China s overall business environment This confirms that sheer domestic market size is attracting and retaining MNCs to a greater degree 3 Macro Economy is the only category that showed some marginal improvement vs 1Q 2019 That said the largely stabilized sentiment level since 3Q2018 followed the sharpest decline between 1Q and 2Q 2018 likely the most bearish period for MNCs Thematic outlook breakdown by region Europe the most concerned about macro conditions in China Our sentiment models also enabled us to calculate scores at the geo graphical level under these three themes Given that US MNCs account for 43 of our sample universe of 453 companies the trends at the aggregate level Exhibit 20 are largely consistent with what we observe to have happened with the US MNCs Exhibit 20 Global Sentiment Score has shown broad based decline over the past six quarters across all themes 39 24 43 50 35 15 21 43 30 14 13 38 27 11 14 28 30 13 11 35 27 10 12 32 AggregateTrade TariffMacro EconomyConsumer Consumption Global Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research European MNCs have become much more worried about China s growth environment than MNCs from any other region as reflected by the near zero sentiment score in 1Q and 2Q 2019 This is consistent with our marketing feedback through different regions European investors have come across as hoping for more broad based easing from Chinese policymakers given their direct economic ties in related industries such as Auto and Industrials So far our observation is that the Chinese government has refrained from broad based easing par ticularly on the credit growth side Given the closer economic interlinkages among Emerging Markets countries MNCs in EM showed a consistent level of deep concern over China s macro slowdown as reflected in the consistently low levels of sentiment scores over the past four quarters Japan s data show the biggest volatility among the four regions We believe the limited sample size is a key reason for this Exhibit 24 Nine and 14 companies were included in 1Q and 2Q 2019 analysis respectively compared to 100 companies for the other three regions respectively FOUNDATION M MORGAN STANLEY RESEARCH15 Exhibit 21 US MNCs sentiment scores by themes 46 26 47 54 41 17 29 49 35 18 18 43 34 19 23 38 34 15 19 36 31 14 23 29 AggregateTrade TariffMacro EconomyConsumer Consumption US Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 23 EM APxJ MNCs sentiment scores by themes 27 22 33 35 23 12 10 14 24 9 6 37 19 3 1 18 21 10 3 34 20 3 4 40 AggregateTrade TariffMacro EconomyConsumer Consumption EM APxJ Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 22 European MNCs sentiment scores by themes 33 23 45 37 36 21 37 14 27 11 15 30 28 10 18 7 28 6 2 38 27 10 0 31 AggregateTrade TariffMacro EconomyConsumer Consumption Europe Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research Exhibit 24 Japanese MNCs sentiment scores by themes 39 0 0 0 27 8 3 16 24 9 6 2 7 7 6 1 13 7 7 0 23 4 29 41 AggregateTrade TariffMacro EconomyConsumer Consumption Japan Sentiment Score by Themes Q1 2018Q2 2018Q3 2018Q4 2018Q1 2019Q2 2019 Source Refinitiv AlphaWise Morgan Stanley Research Thematic outlook breakdown by sector Consumer ranked as the most positive theme across sectors For the top six sectors ex Financials by sample size Industrials Materials Consumer Staples Consumer Discretionary IT and Healthcare our sentiment models also calculated scores at the sector level under these three themes Industrials Sentiment scores for Trade Tariffs and Macro Economy stabilized at low levels in the first half of 2019 This is consistent with the Chinese government s focus on lifting infrastructure demand since the beginning of 2019 which helped alleviate concerns and improve sentiment Consumer Discretionary The sector has shown a low but stabilized sentiment level on Trade Tariffs since 2Q 2018 However its con cerns over China s macro conditions and consumer demand were exacerbated in 2Q 2019 which is aligned with the overall lackluster retail sales growth in 2Q 2019 Healthcare This is the only sector which showed sentiment score for all themes improving in 2Q19 At the aggregate level for Healthcare the sector has shown minimal change in sentiment levels for the past five quarte