巴黎银行-全球-股票策略-全球顶级投资股票篮子-20190718-35页_3mb

Summary of WEAVING OUR TOP GLOBAL THEMES INTO BASKETS

Core Content

This report outlines several thematic equity and derivative baskets developed by the Global Equity & Derivative Strategy team at BNP Paribas, focusing on specific economic and market conditions. The baskets are designed to capture investment opportunities based on macroeconomic cycles, corporate financial health, and sector-specific trends. They are intended for sophisticated investors and are available via OTC derivatives.

Key Themes and Baskets

US End of Cycle (BNPUEOCL / BNPUEOCS)

• Region: US
• Description: Long/short baskets of US stocks expected to outperform or underperform due to late cycle margin compression.
• Strategy Focus: Companies with pricing power and low labor costs are more likely to weather economic slowdowns. The long basket is overweight in Healthcare, Utilities, Tech, and Consumer Staples.
• Screening Criteria:
  • Long Basket: High net income/employee, low net debt/net income, high net profit margins, low correlation to HYG.
  • Short Basket: Low revenue/employee, high net debt/revenue, low net profit margins, high correlation to HYG.
• Performance (as of 19Q2):
  • BNPUEOCL: +2.8%
  • BNPUEOCS: +1.7%

US High Yield Credit ETF Replication (BNPUHYG)

• Region: US
• Description: A basket designed to replicate the performance of the HYG ETF.
• Strategy Focus: Tracks HYG with a daily return beta of 0.89 and a tracking error of 0.24%. The basket includes IEF (59%) and 42 SPX stocks with BBB ratings or lower and high 1y beta to HYG.
• Performance (as of 19Q2):
  • BNPPUHYG: +5.0%
  • HYG: +2.2%

US Sustainable Buyback Baskets (BNPUBBKL / BNPUBBKT / BNPUBBKS)

• Region: US
• Description: Long/short baskets based on the ability of companies to sustain buybacks.
• Strategy Focus: Companies with high buyback programs and low leverage (BNPUBBKT) are long, while those with high leverage and low buyback sustainability (BNPUBBKS) are short. The long basket is more Tech-oriented.
• Performance (as of 19Q2):
  • BNPUBBKL: +1.7%
  • BNPUBBKT: +18.0%
  • BNPUBBKS: +11.9%

EU Leveraged Buyout (BNPPLBO1)

• Region: Europe
• Description: A basket of companies with high potential for a buyout.
• Strategy Focus: Companies with low leverage (EV/EBITDA < 10x), stable cash flows, and high LBO returns. Excludes cyclical sectors.
• Performance (as of 2Q19):
  • BNPPLBO1: +2.0%
• Sector Breakdown:
  • Real Estate: 18%
  • Health Care: 24%
  • Consumer Staples: 10%
  • Technology: 14%

EU Late Cycle (BNPPELCL / BNPPELCS)

• Region: Europe
• Description: Baskets that are more defensive or cyclical in the late stage of the economic cycle.
• Strategy Focus: Long basket is overweight in defensive sectors like Real Estate and Health Care, while short basket is overweight in cyclical sectors like Industrials and Materials.
• Performance (as of 2Q19):
  • Late Cycle Long: +5.3%
  • Late Cycle Short: +7.2%
• Relative Performance: -1.8% (as of 2Q19)

EU High Profitability (BNPPEHR1)

• Region: Europe
• Description: A basket of high ROCE European companies.
• Strategy Focus: Companies with strong profitability and lower leverage. The basket is rebalanced annually.
• Performance (as of 2Q19):
  • BNPPEHR1: -1.1%
• ROCE Comparison:
  • 2018: 12.8% (Europe Non-Financials), 71.1% (Basket)

EU QARP (BNPBUY5)

• Region: Eurozone
• Description: A basket of cash-rich companies with strong shareholder returns.
• Strategy Focus: Companies with high free cash flow yield, low net debt-to-equity ratio, and strong dividend yields. The basket is designed to benefit from geopolitical risks and central bank easing.
• Performance (as of 2Q19):
  • BNPBUY5: +1.7%
• Key Metrics:
  • 79% of members increased dividend per share in the past 12 months.
  • Strong earnings momentum and outperformed all mono factors.

EU Small- and Mid-Cap (BNPPSMC3)

• Region: Eurozone
• Description: A basket of SMID-cap stocks with positive analyst sentiment.
• Strategy Focus: Companies with strong analyst ratings and market cap above EUR2bn. The basket is expected to outperform as growth stabilizes.
• Performance (as of 2Q19):
  • BNPPSMC3: +4.3%
• Sector Bias:
  • Industrials: 25%
  • Communication Services: 13%
  • Real Estate: 5%
  • Materials: 13%

Global Asset Managers (BNPPGAM1)

• Region: Global
• Description: A basket of asset management companies.
• Strategy Focus: These companies are highly correlated with the economic cycle and tend to underperform in late cycles due to fund outflows. The basket is currently at levels similar to those from August 2018 but with lower ROE and negative earnings momentum.

Main Points and Insights

• Economic Cycle Awareness: The report emphasizes the importance of understanding the economic cycle and how different sectors perform in late cycle environments.
• Thematic Investing: Each basket is constructed based on a specific theme or factor, such as buyback sustainability, profitability, and leverage.
• Performance Tracking: Performance data is provided for each basket, showing both absolute and relative returns against indices like SPX and SXXP.
• Sector and Country Exposure: Each basket has a unique sector and country allocation, reflecting the strategy's focus on specific investment opportunities.
• Liquidity and Risk Consideration: Liquidity thresholds and risk factors are considered in the screening process to ensure the baskets are suitable for sophisticated investors.

Key Information

• Performance Disclaimers: All performance data is historical and not indicative of future results. Baskets are for reference only.
• OTC Derivatives: These baskets can be accessed via OTC derivatives by appropriately sophisticated institutions.
• Rebalancing: Some baskets are rebalanced periodically (e.g., annually for the high ROCE basket) to maintain their thematic focus.
• Macro and Sector Analysis: The report provides detailed analysis of macroeconomic trends, sector performance, and valuation metrics to support the basket strategies.