利润周期剖析：股票与衍生品

1、PROFIT CYCLE ANATOMYEQUITY & DERIVATIVES12 June 2019Please refer to important information 12 June 2019Please refer to important information and HYPERLINK /docViewService/auth/getResearchMARSnapshotViewTradeIdeaIds?tokenString=TbX76gzH9UweRQJ4thMkr3vIX%2B62FFkR3ANLpwsCFgA5cXBs1WEx%2FTpp6TfvKEDOocJcJJ

2、mYq0DUXGvwaJwz5kJnK7Jd6GKJ%2FmER4dW%2F6LycIf9wfhGYePTujrCcy%2BF%2Fc8bQcakbW5LXxjxxkI5uUeWLMhW6W%2FYcHZqkG7xlbi9D83LfCZ05XXRKqMW4%2B1QLWAzrnFzdNPv2dWTsaG0%2Bia%2Bl1ZMvYi2grMfc%2FTY2SJghOWh25wRdSWlK3j2yKSoBWI2U%2Bk%2B2xJ7mA10mumo%3D MA HYPERLINK /docViewService/auth/getResearchMARSnapshotViewTradeIdea

3、Ids?tokenString=TbX76gzH9UweRQJ4thMkr3vIX%2B62FFkR3ANLpwsCFgA5cXBs1WEx%2FTpp6TfvKEDOocJcJJmYq0DUXGvwaJwz5kJnK7Jd6GKJ%2FmER4dW%2F6LycIf9wfhGYePTujrCcy%2BF%2Fc8bQcakbW5LXxjxxkI5uUeWLMhW6W%2FYcHZqkG7xlbi9D83LfCZ05XXRKqMW4%2B1QLWAzrnFzdNPv2dWTsaG0%2Bia%2Bl1ZMvYi2grMfc%2FTY2SJghOWh25wRdSWlK3j2yKSoBWI2U%2

4、Bk%2B2xJ7mA10mumo%3D R HYPERLINK /docViewService/auth/getResearchMARSnapshotViewTradeIdeaIds?tokenString=TbX76gzH9UweRQJ4thMkr3vIX%2B62FFkR3ANLpwsCFgA5cXBs1WEx%2FTpp6TfvKEDOocJcJJmYq0DUXGvwaJwz5kJnK7Jd6GKJ%2FmER4dW%2F6LycIf9wfhGYePTujrCcy%2BF%2Fc8bQcakbW5LXxjxxkI5uUeWLMhW6W%2FYcHZqkG7xlbi9D83LfCZ05X

5、XRKqMW4%2B1QLWAzrnFzdNPv2dWTsaG0%2Bia%2Bl1ZMvYi2grMfc%2FTY2SJghOWh25wRdSWlK3j2yKSoBWI2U%2Bk%2B2xJ7mA10mumo%3D disclosure HYPERLINK /docViewService/auth/getResearchMARSnapshotViewTradeIdeaIds?tokenString=TbX76gzH9UweRQJ4thMkr3vIX%2B62FFkR3ANLpwsCFgA5cXBs1WEx%2FTpp6TfvKEDOocJcJJmYq0DUXGvwaJwz5kJnK7Jd6

6、GKJ%2FmER4dW%2F6LycIf9wfhGYePTujrCcy%2BF%2Fc8bQcakbW5LXxjxxkI5uUeWLMhW6W%2FYcHZqkG7xlbi9D83LfCZ05XXRKqMW4%2B1QLWAzrnFzdNPv2dWTsaG0%2Bia%2Bl1ZMvYi2grMfc%2FTY2SJghOWh25wRdSWlK3j2yKSoBWI2U%2Bk%2B2xJ7mA10mumo%3D s at the end of this reportTABLE OF CONTENTSHEADINGExecutiveSummary3 HYPERLINK l _TOC_250010

7、 Corporate profitability peaks inlate-cyclephase4 HYPERLINK l _TOC_250009 European profitability has started topickup5 HYPERLINK l _TOC_250008 PPI and commodity prices helpEuropean profits6 HYPERLINK l _TOC_250007 Labour costs: Structural tailwind vs.cyclicalheadwind7 HYPERLINK l _TOC_250006 CAPEX i

8、s still the pick-upinsales8 HYPERLINK l _TOC_250005 Putting corporate productivity underthemicroscope9 HYPERLINK l _TOC_250004 The tailwind from ever-falling debtservicecosts10 HYPERLINK l _TOC_250003 Corporate income taxes: Global race tothebottom11 HYPERLINK l _TOC_250002 What do we find when wene

9、utraliseleverage?12 HYPERLINK l _TOC_250001 Favour the Quality FactorinEurope13 HYPERLINK l _TOC_250000 Long EU ROCEBasket14|DEEPDIVE12/06/20192Profit cycle anatomy: Executive summaryLate-cycle usually = high margins: At the late stage of this economic cycle, we would corporate profitability to be a

10、t or close to cycle highs. While this is largely true in the and Japan, Europe has struggled bycomparison.Caution reigns in Europe: To some European corporates have remained cautious, preferring balance solidity to the approach levering up balance sheets to improve return onequity.European profitabi

11、lity linked to commodities: European aggregate profitability also held back by a combination of a high weighting to Oil & Gas Basic Materials sectors and subdued commodity prices since2011.High utilisation = for higher margins: Very high eurozone capacity utilisation rates (82.8% suggest potential f

12、or European operating margins to rise further on the back temporary pricing power, particularly in manufacturingsectors.Little sign of wage pressure on profits: Typically, at the late stage an economic cycle, accelerating wage growth starts to pressure on profits. far, however, this remains little i

13、n evidence even in the US, where unit labour costs areflat.The eurozone can still benefit from lower unit labour costs on the back of improving labour market flexibility. High usage of temporary contracts and high perceived precarity seem to be keeping wage growth in check.Capital productivity poor:

14、 The DuPont methodology for examining different elements overall profitability suggests that, while income margins are at close to cycle across the board, capital productivity in the asset turnover declining structurally in the US, Europe and Japan over the financial crisis and the subsequentrecover

15、y.US companies addicted to cheap debt? corporate leverage has risen 1.4x in 2010 to 1.7x today, reflecting the American debt for equity swap (buybacks funded by issuance of cheap credit), benefiting from the 250bp drop in average credit yields from pre-crisis to post-crisis. In contrast, neither Jap

16、anese corporates have taken advantage, with aggregate leverage falling post-crisis in eachcase.European corporates could improve ROE by reducing interest cover: If European corporates were to increase debt by one-third, this would still only bring interest down to the average of 4.8x from a historic

17、 high of 6.4x as at end- 2018. But using this debt funding to buy back shares as in the US could drive up ROEsubstantially.The one-off reduction in corporate tax rates looks to be over: Following the end-2017 US tax programme, and given the rise in populism and G20 ministers reaction to the extremel

18、y high profitability of US tech giants, we this boon to corporate profitability towane.Ex leverage and tax effects, profitability impressive: If we neutralise for the benefits of lower debt costs and falling tax rates, pre-tax pre-interest returns on capital for US and non-financial companies are ac

19、tually closer to the trough than the peak ofcycle.This suggests companies may have over-relied on these two beneficial trends, but retain the ability to improve operational efficiency and boost profitability going forwards.Outlook for earnings growth is modest: We view that the outlook for improveme

20、nt in US profitability could be more difficult, given the fading in benefits to earnings growth from lower and lower debt costs, while wage growth threatens to pressure on industries with high labour costs as a percentage of profits. In Europe while profitability has more opportunity to improve leve

21、ls, then this would only be consistent with mid- to high- single digit earnings growth, given the outlook for sales growth, wethink.Quality factor a long-term In the quality smart beta factor has posted impressive absolute and risk-adjusted returns versus the benchmark STOXX with lower drawdowns in

22、bear markets and times to recovery. Consider replacing benchmark European equity index exposure with the BNP Europe Quality factor index (or trading relative value by going long this Quality factor index relative to a short on a STOXX Europe TRS or Euro STOXX 50future.Long high RoCE basket: An alter

23、native way to isolate the profitability factor in Europe is via investment in a custom 30 high ROCE European companies. Backtests suggest that since 2009, such a strategy rebalanced annually could have handsomely outperformed only the benchmark,but alsoQualityfactorindices. HYPERLINK / Edmund Shing,

24、 PhD, Head of Equity & Derivative Strategy | Bened Cross-asset strategist, BNP Paribas London Branch HYPERLINK / icte Lowe HYPERLINK / Edmund Shing, PhD, Head of Equity & Derivative Strategy | Bened Cross-asset strategist, BNP Paribas London BranchCorporate profitability peaks in late-cycle phaseWhe

25、re is corporate profitability in relation to the US and European business cycles? Should it be higher?While profit margins are at an all-time high in the US, Europe presents a different profitability picture. Close to 10 years after the financial crisis, European aggregate profit margins returns equ

26、ity remain a long way below their historichighs.What is the reason for the divergence in profitability trends between the two regions, and what does it mean for the future of corporate profitability in each market?To this, we first to define profitability. For instance in the while profit margins ar

27、e an all-time highs, this is true in the case of return onequity.Hence, we opted to use the DuPont decomposition of profitability in order to look at the various facets of corporate profitability across regions.Following winds: Post-tax profitability in the US has, of late, boosted by Trumps end-201

28、7 tax reform bill. As a result, the S&P 500s average effective tax rate declined from 27.9% in Q1 2016 to a low 13.2% in Q4 2018 (source: S&P Dow Indices). Meanwhile, US operating profit margins (ie, pre- tax), while relatively high for 2018, is lower than the 13.2% level achieved in 2006(pre-crisis

29、).In the operating profit margins have also recovered from the 6.7% nadir touched in 2009 and 2012, to 10.2% in Q1 2019, are still shy the 11.8% at end-2007.Despite the long economic cycle, pre-tax profit margins have scaled heights in country, Japan where the absolute operating margins are still so

30、me way lower than those in Europe or theUS.Profitability peaks late-cycle: In general, we have seen the aggregate ROE peak at the end of each economic cycle for the US, Europe and Japan in 2007, 2000 and 1989.Fig. 1: US operating profit margins close to peak14121086199019952000200520102015US operati

31、ng margin %Sources: Datastream, BNP ParibasFig. 3: Japanese operating profit margins at peak8642199019952000200520102015Japan operating profit margin %Sources: Datastream, BNP ParibasFig. 2: Euro operating profit margins still below 2007141210864Fig. 4: US ROE gap has widened over Euro, Japan2015105

32、0-52002 2004 2006 2008 2010 2012 2014 2016 2018199019952000200520102015 S&P 500: ROEEuro STOXXROEEurope ex UK operating profit margin % TOPIXROESources: Datastream, BNP Paribas HYPERLINK / Edmund Shing, PhD, Head of Equity & Derivative Strategy | Bened Cross-asset strategist, BNP Paribas London Bran

33、ch HYPERLINK / icte HYPERLINK / Edmund Shing, PhD, Head of Equity & Derivative Strategy | Bened Cross-asset strategist, BNP Paribas London BranchSources: Datastream, BNP ParibasEuropean profitability has started to pick upOur Economic Cycle Analysis published in our latest Global Outlook shows that

34、the US and Europe have entered the late stage of the cycle.Late cycle stages tend to be accompanied a slowdown in corporate profitability. In a late cycle, high margins tend to come under pressure from a pick in labourcost.Where does European corporate profitabilitystand with regard to past late cyc

35、le stages?The return on equity for European corporates lagged its previous late cycle stage levels. there does not to be a clear trend on a longer horizon, with ROE flat since the mid- 1980s. the rebound in ROE encouraging with ROE trending upward since 2016 and with the rebound in all sectors (Fig.

36、 5).The ROE in most sectors has been moving in synch since the 1980s with Personal Products having outperformed over the period. The Utilities and Oil & Gas sectors have been the main underperformers since 2014 as oil sold off massively in late 2014.Fig. 5: European corporates ROE is lagging its pre

37、vious end of cycle levelsSources: Datastream, BNP ParibasFig. 6: Margins have been trending upward since the 1980s but have not recovered to their 2007 levelsThough margins have not yet recovered to their pre- financial crisis levels (Fig. 6), the general trend has been for higher margins since the

38、1980s with the Healthcare and Personal Products sectors being the two best performers. Financials margins have had an impressive recovery (multiply by 3) since 2012 as European banks reduced their balance sheets and rationalised their activities in an environment of increased financial regulation an

39、d heightened competition.Similar to ROE, return on asset (ROA) for European corporates has been trending up over the past 40 years (see Fig. 7). The recovery since 2016 stems mainly from the pickup in the Oil & Gas sector and, to a lesser extent, the Personal Products sector.Conclusion: European cor

40、porate profitability has shown some signs of improvement over the past few years, especially since 2016, as the economy has been recovering.Excluding the few pre-financial crisis years when the valuation looked inflated, European corporate ROE is still below its previous end of cycle levels, while m

41、argins are higher and ROA is at the end of cycle level. (Check)On examining the other components ROE (other than margin), leverage appears to be on the decline. The more conservative use of leverage by European companies at a time their US counterparts have taken the opportunity low rates to increas

42、e leverage partly explains the difference in profitability the two regions.Also, European and US companies have seen a synchronised decrease in asset turnover for more than30 years, which weighed on profitability as companies have for a long time focused primarily on margins. The stabilisation turno

43、ver since 2016 suggests that companies have become more selective in theirinvestments.Fig. 7: Return on assets are trending up HYPERLINK / Edmund Shing, PhD HYPERLINK / Edmund Shing, PhD, Head of Equity & Derivative Strategy | Bened Cross-asset strategist, BNP Paribas London BranchSources: Datastrea

44、m, BNP Paribas HYPERLINK / icte LoweSources: Datastream, BNP Paribas HYPERLINK / icte Lowe,PPI and commodity prices help European profitsLets start with the typical late-cycle narrative: the late stage the business cycle, the economic expansion is mature and the output has disappeared, inflation pre

45、ssures manifest themselves in the accelerating wage growth, which then leaks into overallCPI.At this point, central banks are pushed to raise interest rates sufficiently to cool growth and inflation pressures, but usually tighten monetary policy to the point where a contraction in growth, ie, recess

46、ion ensues.A rising inflation rate has historically meant different things (another word) for profitability in the US and Europe.In rising inflation (particularly Price Inflation) typically given more cyclically-biased European companies a form of temporary pricing power, where they can ride off hig

47、her inflation rates to raisepricesandthusimproveprofitmargins.The relationship EBITDA profit margins in the Euro STOXX index and the price component of the Eurozone Composite close historically (Fig. 8), latterly pointing to a rebound in profit margins as commodity (in euros) have rebounded from 201

48、3onwards.Fig. 8: Euro STOXX profit margins follow PPIGiven the heavy weightings of the European stock markets in basic materials sectors such as Oil & Gas, Mining, Construction Materials and Chemicals, this is somewhat unsurprising. The STOXX Europe index currently has a 15.1% weighting in the combi

49、nation of Basic Materials (Chemicals, Mining and Construction Materials) and Oil & Gas sectors nearly double that of the S&P 500 and more than double that of the Nikkei 225 (Fig. 9).If anything, the trend in eurozone producer prices, with yearly varying 2% and y/y since 2017 to potential upside for

50、Euro STOXX profit margins in the near term, given the very high rates of capacity utilisation evident across the eurozone (82.8% as Q2 2019, above the 1992-2018 Fig. 10). In turn, this suggests the potential for higher European operating margins (Fig. 11), given their historic laggedrelationship.Con

51、clusion: European producer price inflation of 2.9% y/y (as of April 2019) suggests support for European profit margins this year, reflective of lack of spare capacity following several years of capital discipline in heavy extractive and chemical industries following the commodity price bust post-201

52、1.Fig. 10: EZ capacity utilisation rate is close to cycle highs205654185284501648 46801444784212407669.3low2003 2005 2007 2009 2011 2013 2015 2017 2019STOXXEurope(exfinancials)EBITDAmargin%(lhs)Eurozonecomp.PMIoutputprices(advanced1Q,rhs)Sources: Bloomberg, BNP ParibasFig. 9: Europe a heavy Oil & Ba

53、sic sector weighting2000 2002 2004 2006 2008 2010 2012 2014 2016 2018Eurozone capacity utilisation % Avg.1992-2018Sources: Bloomberg, BNP ParibasFig. 11: High capacity utilisation suggests higherEuropean profit margins15.1%8684 82807876 7472707.7%6.8%1990199520002005201020157.7%6.8%16%14%12%10%8%6%4

54、%STOXXEuropeS&P500Nikkei225 Europe capacity utlisation % (lhs) WeightinginBasicMaterials+Oil&Gassectors Europe non-financial EBIT margin %(rhs) HYPERLINK / Edmund Shing, PhD HYPERLINK / Edmund Shing, PhD, Head of Equity & Derivative Strategy |Benedi Cross-asset strategist, BNP Paribas LondonBranchSo

55、urces: Datastream, BNP ParibasLabour costs: Structural tailwind vs. cyclical headwindIn contrast in the US, rising wage pressures point to a rising labour share of national income at the expense of the corporate share of national income. rising unit labour costs have traditionally led to a contracti

56、on inprofitmarginsandreturnsonequity.In lower wage growth volatility historically been observed to the thanks in large part to the role centrally-negotiated wage increases, lower headline inflation as are more “sticky“ and loathe to change jobs for a slightly higher salary.How does this post-financi

57、al crisis economic cycle compare? The most important difference thus far seems to be the absence of transmission from wage growth to overall CPI, as illustrated in the US by the widening gulf average weekly wage growth and core (Fig. We can see the same widening gulf in Germany, which also a tight l

58、abour market today (record low unemployment rate of4.9%).This traditional late-cycle relationship nominal wage growth and core CPI does to be working as in previous cycles. This is the reason for the long debates about the vaunted Phillips curve relationship has broken ornot.Real unit labour costs h

59、ave declined steadily: In real terms, unit labour costs have declined steadily both in Europe and in the US since 2000 (Fig. 13), by 1.3% per year on average in the US from 2000 to 2018, and by a more impressive 2.2% and 2.4% in France and Germany, respectively over the same period. The more recent

60、trends are also informative: while the US has seen flat real unit labour costs since 2012, Europeanunit labour costs have continued to fall steadily, benefitting European corporate profits in recent years.Certainly, the Hartz IV labour market reforms initiated by Chancellor Gerhard in 2005 have libe