J.P.摩根-新兴市场投资策略-新兴市场灯塔：面对新兴市场风格因素；新兴市场股票策略因素投资

GlobalMarketsStrategy

22June2022

EMLighthouse:FacetheEM

StyleFactors

EMEquityStrategyFactorInvesting

Inthisreport,weintroduceJ.P.MorganfactorscorestohelpinvestorsdeploystyleinvestingstrategiesandtradesinEmergingMarkets.TheoutputofthestockscreensarelistsofliquidandinvestablestocksinourEMcoverageuniverse,filteredusingJ.P.MorganfactorscoresdevelopedbyourQuantStrategyteamandviewsfromourbottom-upfundamentalanalysts.WealsoanalyzethehistoricalbehaviorofthefactorstoseetrendsinEMstyleportfolios.

StyleStrategy:BarbellofValueandGrowth.WepresentastocklistforaprimarypreferenceforValuealongwithaconsiderationforGrowthstocks(

Table2

).(1)Value(MajorExposure)–Wethinkitcancontinuetooutperform,untilweseethecurrenthighcommoditypricecyclecometoanend.ThekeyboostersforValueinto2H22wouldbelowerbroadUSDandlowerEMBIGspreads.(2)Growth(MinorExposure)–Webelievetherearegoodopportunitiesinthespace:stocksover-punishedandfundamentalsstronglyalignedwithlong-termgrowthopportunities.(3)LowVol(Funding)–Wepushbackonabase-caseassumptionthattheglobaleconomyisheadedforrecession,anoutcomethatisincreasinglybeingpricedinbymarkets.

Long/ShortStockLists.(1)EMFactors:Foreachstylefactorfamily,wepresentlongandshortstocklistsbasedonhighest/lowestEMQ-scorestohelpnavigateeachfactor(

Table4

-

Table13

).WeoverlayfundamentalviewsintoourscreeningusingJ.P.Morgananalystrecommendationsandupsidetopricetargets.(2)EMFactorsandOWCalls:Wescreenforstocksusinghighest/lowestQ-scoresinEMthatalignwithourmarketandsectorrecommendation:longlistsforOWBrazil,China,IndonesiaandSaudi/Energy,Financials,MaterialsandConsumerDiscretionaryandshortlistsforUWIndia,SouthAfrica,Malaysia,andPeru/UWConsumerStaples,Healthcare,andUtilities.

HistoricalPerformance:Momentum>Value>Growth>Quality>LowVol.WeanalyzethepostGFCperiodforEMfactorperformance:(1)Momentumhasthebestperformance(10.2%CAGR)witha79%frequencyofpositiveannualreturns;(2)Valueisthenextbestfactor(6.7%CAGR)witha71%frequencyofpositiveannualreturns;(3)LowVolistheworst-performingfactor(-0.5%CAGR).

SensitivityAnalysistoMacroVariables:BroadUSD,commoditiesprices,globalmanufacturingPMI,USTreasury10yrandEMBIGspread.WhenthemacrovariablesdriveEMequitieshigher:(1)ValueworksbestwithweakerUSDandlowerEMBIGspread;(2)MomentumworksbestwithweakerUSD;(3)LowVolworksbestwithhigherPMIs;and(4)GrowthandQualitydonotproducepositivereturnsinexcessof3percentagepoints.

ThisworkispartofalongtraditionofQuantitativeandDerivativeStrategyresearchofJ.P.Morgan,whichcanbefoundontheJ.P.MorganMarkets'GlobalMacroQDSpage.Fordetailedfactordefinitionsandanalysesacrossdifferentregions,pleaseseefrompage31onward.

EquityMacroResearchEmergingMarketEquityStrategyPedroMartinsJunior,CFAAC

(55-11)4950-4121

pedro.x.martins@

BloombergJPMAMARTINS<GO>

BancoJ.P.MorganS.A.

JainikMody,CFA

(4420)3493-0443

jainik.mody@

J.P.MorganSecuritiesplc

AninditaGandhi

(91-22)6157-3248

anindita.gandhi@

J.P.MorganIndiaPrivateLimited

MadhavMaheshwari

(91-22)6157-4136

madhav.maheshwari@

J.P.MorganIndiaPrivateLimited

GlobalQuantitativeStrategy

DubravkoLakos-Bujas

(1-212)622-3601

dubravko.lakos-bujas@J.P.MorganSecuritiesLLC

RobertSmith,PhD

(61-2)9003-8808

robert.z.smith@

J.P.MorganSecuritiesAustraliaLimited

EMAsiaEquityStrategy

WendyLiu

(852)2800-1087

wendy.m.liu@

J.P.MorganSecurities(AsiaPacific)Limited/J.P.MorganBroking(HongKong)Limited

CEEMEAEquityStrategy

DavidAserkoff,CFA

(44-20)7134-5887

david.aserkoff@

J.P.MorganSecuritiesplc

LatAmEquityStrategy

EmyShayoCherman

(55-11)4950-6684

emy.shayo@

BancoJ.P.MorganS.A.

Seepage36foranalystcertificationandimportantdisclosures,includingnon-USanalystdisclosures.

J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.

2

PedroMartinsJunior,CFA

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GlobalMarketsStrategy

22June2022

TableofContents

ExecutiveSummary 3

StyleStrategy:CoreViews 4

HistoricalPerformance:Momentum>Value>Growth>Quality>LowVol 6

SensitivityAnalysistoMacroVariables 7

Long/ShortStockListsforEMFactors 8

ValueFactor–LongandShortEMStocks 8

GrowthFactor–LongandShortEMStocks 10

MomentumFactor–LongandShortEMStocks 12

QualityFactor–LongandShortEMStocks 14

LowVolatilityFactor–LongandShortEMStocks 16

StockListsforEMEquityStrategyAssetAllocation 17

LongstocklistsinOWEMmarketsandsectors 17

ShortstocklistsinOWEMmarketsandsectors 21

SensitivityAnalysistoMacroVariables 23

BroadUSD 23

Commodities 24

US10yrTreasuryYield 25

GlobalManufacturingPMI 26

EMBIGSpreads 27

DifferentPerspective–PureEquityFactorExposure 28

Appendix1–FactorInvesting 29

Evolution,NotRevolution 29

CatalystI:ProliferationofQuantitativeMethods 30

CatalystII:TMTBubble,FinancialCrisis,QE/ZIRP 32

FactorUniverse:MSCIEMIndex 33

Appendix2–J.P.MorganFactorReports 34

Appendix3–FactorDefinitions 35

J.P.MorganEmergingMarketStrategyTeamandKey

Reports 41

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ExecutiveSummary

WeexplorefactorinvestinginEMandlookat5specificfactors:Value,Growth,Quality,MomentumandLowVol(

Table4

to

Table13

).Inouranalysis,weuseLong/ShortportfoliosbasedondecilesoftheMSCIEMuniverse.Portfoliosareequalweightedamongconstituentsandgivenequalcashnotional(USDCashNeutral)ateverymonthlyrebalance.ThetotalreturntimeseriessinceJanuary2009areevaluated.Wedonottakeintoaccountborrowingcostorslippageinefficiencies.Wealsoassumethefactorscoresareavailableonthe1stbusinessdayofthemonth.

Valuestrategiesaremeanreverting–stockswithmarketvaluebelowtheir

intrinsicworthareexpectedtoappreciate.

Growthprovidesexposuretocompaniesthatareexpectedtodeliverstrong

growthregardingsomeaspectssuchassales,earnings,dividends,cashflowandmargins.

Qualityfactorsare“safe”playersandoftentimestradeatstretchedvaluations.

Still,qualitystockshavesuperiorfundamentalsinadditiontoprovidingcountercyclical/defensiveexposurefromabusinesscycleperspective.

Momentuminvestingfollowstheoldadage,“Trendisyourfriend.”Factorsare

derivedfrompriceandearningstimeseriesbyidentifyingtrendsandpatternsasameanstochasethewinnerswithinthestockmarket.

LowVolfactoristheannualizedone-yearrealizedvolatility.Themethodologyusedtoarriveatourlong/shortbasketsforeachfactorisasbelow:

ThelonglistspresentOWstockswiththehighestQ-scoresineachstylecategory

withanaddedfilterforatleast10%upsidetotheirJPMtargetprice.

TheshortlistspresentUWstocksorNeutralstockswithlessthan10%upsideto

JPMtargetpricewiththeleastQ-scoresintherespectivestyle.

Forregionsthatscreenmorethantwentystocks,weselectthosewithhighest

styleEM-Qscore.

Welookforpositivepercentileranksabove80andweakpercentilerankings

below20.

Below,wepresentthecomponentsbeingusedandtheirdefinitions.

Table1:StyleDefinitionsforEmergingMarkets

Value

Growth

1YearForwardEarningsYield(25%)HistoricalBookValueYield(25%)

1YearFwdEarningsyieldrelativetosector(25%)HistoricalSalesYield(25%)

FY2SalesGrowth(25%)

3YearAverageHistoricalEPSGrowth(25%)

InverseofEPSstddev.(avgofFY1&FY2)(25%)

AverageFY1andFY2EPSGrowth(25%)

Momentum

Quality

6MPriceMomentum(25%)

12MPriceMomentum(25%)EarningsMomentum3months(50%)

ReturnonEquity(50%)

EarningsRisk(VariationinFY1&FY2EPSforecasts)

(50%)

LowVolFactor

Annualized1YearRealisedVolatility(100%)

Note:J.P.Morganreport"EquityRiskPremiaStrategies:RiskFactorApproachtoPortfolioManagement"byMarkoKolanovic.Source:J.P.MorganGlobalQuantitativeResearch.

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StyleStrategy:CoreViews

WeproposeabarbellapproachofValueandGrowthstockstoinvestorslookingtoaddtotheirmarketposition.Theconvergenceoftheseattributesacrosstraditionalfactorinvestingisrareandhasbeencurrentlymadepossiblebytheconfluenceofmacrofactorssuchasthecommoditysupercycle,divergentmonetarypolicy,andaverylargeselloffinhigh-betaandgrowthstocks.MarkoKolanovic,JPMChiefGlobalMarketsStrategist,seesstocksthatweretraditionallydeemedtobevalue(e.g.,metals,mining)havenowalsobecomegrowth.Thesestocksarestillseenasvalue(rankedcheaplybyvariouspriceandearningsmetricsacrosstheuniverse),butastheyaregrowingearnings,theyarealsogrowthstocks.

Value(MajorExposure).Valuehasbeenamongthebest-performingfactorsin

2021and2022YTD,andwethinkitcancontinuetooutperformgoingforward,untilweseethecurrenthighcommoditypricecyclecometoanend.ThekeyboostersforValueinto2H22wouldbelowerbroadUSDandlowerEMBIGspreads.Inourview,thecurrentpricingisconservativeandunderstatesthemacrofundamentaluplift–recessionrisksremainlow.Theglobaleconomycontinuestodisplayimpressiveresilience:USinflationisnotderailingconsumersanddevelopedmarketsdemandgainsarepromotingresiliencyacrossAsiainthefaceofasharpdownturninChina.InChina,theStateCouncilunveiled33newmeasurestostabilizetheeconomyincludingtaxrebates,higherSMElendingquotasandhousingsupport.COVIDcasescontinuetodecline,andBeijinghasannouncedarelaxationofmobilityrestrictionsinseveraldistricts.

Growth(MinorExposure).Growthhasbeenunderperformingin2021and2022

YTDlargelydrivenbytheharmfulcomboofhigherrates(Ke),lowergrowth(G)andregionalpolicyactivism.Growthstocksbecamecheapandarecurrentlyanopportunity.Webelievetherearegoodopportunitiesinthespace:stocksover-punishedandfundamentalsstronglyalignedwithlong-termgrowthopportunities.J.P.Morganyear-endforecastis3.2%fortheUS10-yearbond.Ourfixedincomestrategistsarguethe10yrhasalreadyovershotitsfairvalue.Thatwouldbehelpfulfortheoverallequitymarket,whereGrowthstylehadaverychallengingfewmonths.

LowVol(Funding).LowVol’sstrongperformancein2021and2022YTD

indicatesmountingrisks(Fed,highinflation,geopolitics,etc.).J.P.MorganbasecasecouldbecomeaheadwindforsustainedLowVoloutperformance.Wepushbackonabase-caseassumptionthattheglobaleconomyisheadedforrecession,anoutcomethatisincreasinglybeingpricedinbymarkets.Weseesupportsforourpro-riskstancefromCOVIDreopening,policyeasinginChina,stronglabormarkets,lightpositioning,distraughtinvestorsentiment,andhealthyconsumerandcorporatebalancesheets.

WepresentastocklistconsistentwiththeabovethemeforaprimarypreferenceforValuealongwithaconsiderationforGrowthstocksthatarecurrentlylookingattractive(

Table2

).WeshowOW-andNeutral-ratedstocksthatscreenfavorablyinValueaswellasGrowthQscoresineachEMregionandofferatleast10%upsidetotheirJPMtargetprices.Forregionsthatscreenmorethantwentystocks,wepresentthetop20rankedbytheaverageofthetwofactors.

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22June2022

Table2:TopOW-andNeutral-ratedstockswithhighestValueandGrowthQ-scores

Ticker

Name

Market

Sector

Price

(LC)

Value

Q-Score

Growth

Q-Score

NorthAsia

2603TT

1171HK

1728HK

390HK

1919HKDQUS

883HK

857HK

001450KS

601186CH

998HK

1088HK

601800CH

200625CH

3988HK

2328HK

005830KS

3328HK

3311HK

6670TT

EvergreenMarine

YankuangEnrgy

ChinaZhengtong

ChinaRailway

CoscoShipping

DaqoNewEnergy

CNOOC

Petrochina

HyundaiMarine

CRConstruction

CiticBank

ChinaShenhuaChinaCommConstChongqingChanBankOfChinaPiccP&C

DBInsurance

Bankcomm

ChinaStateCons

Fusheng

TW

IND

119.5

99%

98%

CH

ENE

25.4

96%

99%

CH

CDS

0.6

99%

92%

CH

IND

5.0

99%

91%

CH

IND

12.6

99%

90%

CH

INF

54.0

97%

92%

CH

ENE

10.6

90%

98%

CH

ENE

4.1

91%

96%

KR

FIN

31450.0

86%

96%

CH

IND

7.9

99%

81%

CH

FIN

3.8

97%

83%

CH

ENE

25.3

81%

98%

CH

IND

9.1

95%

83%

CH

CDS

4.9

85%

92%

CH

FIN

3.0

89%

87%

CH

FIN

8.3

89%

86%

KR

FIN

62100.0

83%

92%

CH

FIN

5.2

90%

84%

CH

IND

8.2

88%

85%

TW

CDS

200.0

84%

89%

SouthAsia

ITMGIJ

IndoTambangraya

ID

ENE

32600.0

97%

99%

ONGCIN

ONGC

IN

ENE

143.6

99%

96%

BANPUTB

Banpu

TH

ENE

12.9

97%

98%

VEDLIN

PTBAIJ

TOPTB

KLKMK

ADROIJ

VedantaLtd

BukitAsam

ThaiOil

KualaLumpurKep

AdaroEnergy

IN

ID

TH

MY

ID

MAT

ENE

ENE

CST

ENE

267.5

3820.0

53.3

24.0

3060.0

98%

92%

91%

91%

85%

92%

97%

96%

95%

99%

IVLTB

KTBTB

COALIN

GAILIN

UNTRIJ

IndoramaVenture

KrungThaiBank

CoalIndia

GailIndia

UnitedTractors

TH

MAT

50.3

87%

94%

TH

FIN

15.5

80%

95%

IN

ENE

179.9

81%

93%

IN

UTI

140.5

89%

85%

ID

ENE

30000.0

86%

88%

LatAm

PETR3BZJBSS3BZBBAS3BZBEEF3BZVALE3BZGPRKUSMYPK3BZGENTERA*MMELET3BZGGBR4BZ

Petrobras

JBS

BancoDoBrasil

Minerva

Vale

Geopark

Iochp-Maxion

Genterab

Eletrobras

Gerdau

BR

BR

ENE

CST

32.3

33.2

94%

92%

92%

91%

BR

FIN

34.1

96%

87%

BR

CST

13.0

83%

99%

BR

MAT

81.7

88%

93%

CO

ENE

14.7

92%

88%

BR

IND

16.0

96%

84%

MX

FIN

14.9

82%

91%

BR

UTI

42.6

85%

85%

BR

MAT

25.4

84%

81%

CEEMEA

SOLSJ

AGLSJ

SAFCOAB

KCHOLTI

YKBNKTI

NEDSJ

Sasol

AngloAmerican

SabicAgri

KocHolding

YapiKredi

Nedbank

ZA

ZA

SA

TR

TR

ZA

MAT

MAT

MAT

IND

FIN

FIN

40799.0

69487.0

142.8

38.5

4.7

21740.0

85%

88%

94%

93%

87%

85%

98%

94%

87%

83%

88%

82%

Source:J.P.MorganQDSteamandBloombergFinanceL.P.Pricesandestimatesasof16June2022.

6

Value

Growth

Quality

Momentum

LowVol

2009

56%

-14%

-15%

-31%

-40%

2010

16%

-4%

9%

4%

7%

2011

-9%

7%

44%

29%

36%

2012

21%

10%

15%

3%

4%

2013

2%

24%

11%

33%

18%

2014

3%

14%

13%

23%

19%

2015

-13%

23%

10%

23%

11%

2016

28%

-21%

-20%

-13%

-10%

2017

5%

9%

-3%

24%

-15%

2018

5%

-8%

-5%

-11%

24%

2019

-14%

16%

1%

6%

-18%

2020

-27%

27%

-9%

30%

-32%

2021

18%

-3%

7%

33%

6%

2022YTD

25%

-2%

7%

10%

17%

Total

141%

85%

64%

272%

-7%

CAGR

6.7%

4.7%

3.7%

10.2%

-0.5%

%PosYrs.

71%

57%

64%

79%

64%

Note:Ourcalculationsinthisreport,andinourregularfactortracking,arebasedonrelativelong/shortperformanceoftopvsbottomcountry-normalizedfactordecilesinEM.Source:BloombergFinanceL.P.,J.P.MorganQuantitativeDerivativesStrategy

PedroMartinsJunior,CFA

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HistoricalPerformance:Momentum>Value>Growth>

Quality>LowVol

Table3:EMFactors–Performance(YoY)

Weanalyzethepost-GFCperiodforEMfactorsperformance,asfactorinvestingpresenteditselfasanalternativetoinvestmentdiversification–lesscorrelationbetweenassetsandincreasingreturnsforthesamerisklevel.

Momentumhasthebestperformancefrom2009onwards,gaining272%

overall(10.2%CAGR)witha79%frequencyofpositiveannualreturns.TheoutperformanceoftheMomentumfactorhaswidenedevenfurtherinboth2020and2021,followinguncertaintiescreatedbyCOVID.

Valueisthenextbestfactorintermsofoverall,gaining141%overall(6.7%

CAGR)witha71%frequencyofpositiveannualreturns.Valueunderwentadownturnin2019and2020butregainedpositiveperformancein2021amidexpectationsofmoresteadyrecoveryfromthepandemic.

Growthgained85%overall(4.7%CAGR)witha57%frequencyofpositive

annualreturns.Qualitygained64%overall(3.7%CAGR)witha64%frequencyofpositiveannualreturns.QualityandGrowthfactorsareusuallydefensivestrategiesthatarehighlycorrelatedalthoughadivergenceseemstohaveemergedsinceearly2020

(Figure1

).Growthfactorperformance,however,stoodoutin2020amidpandemicinducedlowratesenvironment.

LowVolistheworst-performingfactorinEMwith-7%cumulativedecline

since2009(-0.5%CAGR).However,yeartodate,itisoneofthebest-performingfactors(+17%),nextonlytoValue(+25%).

Figure1:FactorCumulativePerformanceIndex,Long-Short(12/31/2008=100)

400

350

300

250

200

150

100

50

ValueGrowthQualityMomentumLowVol

0809101112131415161718192021

Note:Ourcalculationsinthisreport,andinourregularfactortracking,arebasedonrelativelong/shortperformanceoftopvsbottomcountry-normalizedfactordecilesinEM.Source:BloombergFinanceL.P.,J.P.MorganQuantitativeDerivativesStrategy.

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SensitivityAnalysistoMacroVariables

Weidentifiedperiodsofrally/sell-offforselectedmacrovariablesandstudiedhowEMfactors(long/short),MSCIEMandsectorsperformedduringthesespecificperiods.Forthesectorreturns,weareusingexcessofmarketreturnsversustheMSCIEM.Welookintothefollowingvariables:BroadUSD,commoditiesprices,globalmanufacturingPMI,USTreasury10yrandEMBIGspread.

WhenthemacrovariablesdriveEMequitieshigher:

Long/ShortFactorStrategies:(1)ValueworkedbestwithweakerUSDand

lowerEMBIGspread;(2)MomentumworkedbestwithweakerUSD;(3)LowVolworkedbestwithhigherPMIs;and(4)GrowthandQualitydonotproducepositivereturnsinexcessof3percent.

Inabsoluteterms,MSCIEMhasapositivereturnduringperiodsof

weakeningbroadUSD,risingcommodityprices,risingmanufacturingPMI,rising10yearUStreasuryyields,andfallingEMBIGspreads.

RelativetoEM,highestmediansectorreturnsareobservedforEnergy,

Materials(consistently)andInformationTechnology(selectively).

Figure2:FactorsandsectorsmediumperformanceduringperiodswhenmacrovariablesdriveEMequitiesHIGHER

Value

Quality

Momentum

Growth

LowVol

EM

ENE

MAT

IND

INF

RES

FIN

CDS

CST

HCA

UTE

TEL

个Commodities

-3.9%

1.9%

-5.5%

0.8%

2.7%

5.8%

5.5%

4.8%

0.3%

-0.6%

-5.2%

-0.5%

-2.3%

0.1%

-5.9%

-2.7%

-3.1%

小BroadUSD

4.9%

-4.4%

4.9%

-0.2%

-12.0%

19.3%

3.3%

4.8%

-0.5%

-4.4%

-0.2%

0.2%

3.2%

-3.9%

-9.1%

-5.6%

-4.7%

个PMI

-7.2%

2.6%

-4.8%

-1.8%

12.3%

12.4%

0.0%

3.8%

-3.0%

11.7%

-5.1%

0.1%

-0.9%

-5.9%

1.8%

-7.3%

-6.1%

个10YRTreasury

-6.0%

1.9%

-1.2%

2.1%

0.0%

3.8%

3.7%

4.7%

-0.3%

2.4%

-0.8%

-0.8%

-0.9%

-2.5%

-5.4%

-2.9%

-2.6%

小EMBIG

8.8%

-6.8%

-8.7%

-2.9%

-11.8%

19.0%

5.2%

4.8%

-1.3%

-0.4%

-2.2%

1.4%

0.7%

-2.4%

-5.5%

-1.3%

-6.3%

Source:BloombergFinanceL.P.,J.P.MorganQuantitativeDerivativesStrategy.StylesareLong-Short.SectorreturnsarerelativetoMSCIEM.

WhenthemacrovariablesdriveEMequitieslower:

Long/ShortFactorStrategies:(1)ValueworksbestwithstrongerUSDand

higherEMBIGspread;(2)GrowthworksbestwithlowerPMIs;(3)Momentum,QualityandLowVolworkbestwithlowercommodityprices,lowerPMIsandlowerUS10-yearTreasuryyields.

Inabsoluteterms,MSCIEMhasanegativereturnduringperiodsof

strongerbroadUSD,decliningcommodityprices,lowermanufacturingPMI,lowerUS10-yeartreasuryyieldsandrisingEMBIGspreads.

RelativetoEM,highestmediansectorreturnsareobservedforHealthcare

(impressiveconsistency),ConsumerStaples,CommunicationServicesandInformationTechnology.

Figure3:FactorsandsectorsmediumperformanceduringperiodswhenmacrovariablesdriveEMequitiesLOWER

Value

Quality

Momentum

Growth

LowVol

EM

ENE

MAT

IND

INF

RES

FIN

CDS

CST

HCA

UTE

TEL

小Commodities

-2.7%

7.6%

5.6%

2.8%

10.9%

-11.7%

-2.8%

-4.9%

-0.9%

6.1%

2.8%

-0.9%

2.7%

2.6%

8.0%

2.1%

3.2%

个BroadUSD

5.4%

-3.9%

-3.5%

2.3%

-8.2%

-16.1%

-2.8%

-4.1%

-2.3%

6.4%

-4.0%

-3.4%

1.0%

0.7%

8.0%

-0.6%

0.2%

小PMI

-0.3%

7.9%

12.5%

5.3%

10.7%

-10.5%

-0.9%

-3.5%

0.2%

0.2%

-2.2%

2.0%

0.4%

2.4%

6.6%

1.5%

0.4%

小10YRTreasury

-1.2%

5.9%

5.9%

1.5%

4.1%

-6.3%

-0.5%

-2.5%

-1.0%

0.4%

-2.1%

-1.2%

0.3%

3.5%

6.4%

1.5%

1.5%

个EMBIG

3.6%

-6.6%

-6.4%

0.9%

-11.2%

-13.5%

-6.1%

-3.9%

-1.0%

1.8%

0.9%

1.1%

2.1%

4.4%

8.4%

0.9%

4.6%

Source:BloombergFinanceL.P.,J.P.MorganQuantitativeDerivativesStrategy.StylesareLong-Short.SectorreturnsarerelativetoMSCIEM.

8

PedroMartinsJunior,CFA

(55-11)4950-4121

pedro.x.martins@

GlobalMarketsStrategy

22June2022

Long/ShortStockListsforEMFactors

ValueFactor–LongandShortEMStocks

Valuestrategiesselectstocksbycomparingtheirmarketvaluewiththeirfundamentalintrinsicworth.

Valuestrategiesaremeanreverting–stockswithmarketvaluebelowtheir

intrinsicworthareexpectedtoappreciate,whilethosewithmarketvaluehigherthanintrinsicworthareexpectedtolosevalue.Sinceintrinsicvalueofafirmisnotdirectlyobservable,proxiessuchasbookvalue,netincomeorearnings,freecashflow,salesanddividendsareusedassubstituteseventhoughinvestorsareobviouslyawarethatanyoneoftheseproxiesinitselfisanimperfectmeasureoftheintrinsicworthofafirm.

Valueoutperformanceisbasedonmispricingduetoinvestors’behavioral

biases(overreaction,herding)orliquidityeffects(temporarymarketimpact,longtermsupply/demandfriction).Valuestrategiescapitalizeonthemean-reversionofpricestotheir‘fairvalue’.Thepremiseisthatpricesareonlytemporarilydrivenawayfrom‘fairvalue’.

TheriskpremiaofValuestocksisattributabletotheirpay-offbeingmoreriskythantheaveragestock.Theefficacyofanyvaluestrategyduringaperioddependsonthephaseofthecycleandpresenceofcatalyststhattriggerinvestorbuyingofbargainstocks.

ReturnsofValuestocksaremorepositivelycorrelatedwithbusinesscycle

thantheaveragestock.Valuefactorscanbevulnerabletomarketcycles–e.g.aclassicepisodeofValuefailurewasduringtheTechbubble.Theyunderperformthemarketin“badtimes,”preciselywheninvestorsneedhigherreturnstosmooththeirconsumptionspending.

InvestorsrequireapremiumtoholdValuestocksinequilibrium,i.e.higher

averageexcessreturnsoverthefullcycle.Inamarketdowncycle(e.g.2008-09globalfinancialcrisis),investorspayhighermultiplesforstockstheyperceiveasrelatively“safe”,i.e.stocksthatcanmaintainorgrowearnings.Inthatenvironment,ValueunderperformsQualityandGrowth.ThehistoricalperformanceofValuecomponentsvariesbyregion.

ThecyclicalaspectofvalueinvestingrelatestoperiodswhenValuecomesin

andoutoffavor,drivenbytheprevailingmarketrisksentiment.Whilethiscyclicalitycanaffecttheperformanceofallvaluationfactors,itcanhavegreaterinfluenceontheperformanceofcertainfactorswithinthevaluationfamily(i.e.Price/Book,Price/Earnings,Price/Sales,Price/CashFlow,etc.).Forexample,investorstendtofavorbookvaluewhentheyloseconfidenceinearnings.Asaresult,P/BtendstoactmoreasacrisismetricandisfavoredoverP/Ewhenearningsareverylowornegative,especiallyinthefirstfewmonthsofamarketrecovery.Price/Bookwilloftenfalterafterithashaditsrun,atwhichpointPrice/Earningsfactorsbeginoutperforming.ThiscanbeseenasatemporarydeclineincorrelationbetweenthetwoValuefactors.PerformanceofValuefactorscanalsovaryduetoregion-specificandstructuralreasonsrelatingtosectors(e.g.EnergyP/Bhasbeendepressedforyears),orbroaderinvestorperceptions.

“Valuetraps”–companieswhosevaluationsarecheapduetorapidly

deterioratingfundamentals.Tomitigatetheserisks,investorscancombinevaluefactorswithriskfactorssuchasGrowthandQuality.Examplesoftheseincludegrowth-at-reasonable-price(GARP)andquality-at-reasonable-price(QARP)factors.

GlobalMarketsStrategy

22June2022

PedroMartinsJunior,CFA

(55-11)4950-4121

pedro.x.martins@

Table5:ShortEMValue–TopJPMUW/NratedstockswithlowestValuefactor

Table4:LongEMValue–TopJPMOWratedstockswithbestValue

factorscore

9

NorthAsia

1919HK

390HK

1800HK

1186HK

3323HK

1966HK

2603TT

CoscoShippingChinaRailwayChinaCommConst

CRConstructionChinaNatlBdgChinaSceGroupEvergreenMarine

CH

IND

12.6

99%

CH

IND

5.0

99%

CH

IND