UBS Equities-Global Strategy _Early warning signal incrementally more pos...-106435481
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ab
Global Strategy
Early warning signal incrementally more positive
We reintroduce our Directional Risk Signal to gauge the probability for near term
directional risk (volatility) and low return environments. Our model is currently signaling
high probability (91%) of a low return environment supportive of our expectations for
near term dispersion in earnings season (link). Directionally our model has begun to
skew positive.
!"" ! VIX is currently
reducing the probability of a large directional move in the model, a transition from
what we had seen through COVID when the probability of low returns was often
times lower than "normal". From 2017 through 2020 low return probability was >
80% 65% of days while 1mo returns >+/-5% occurred only 12% of the time.
During COVID this changed significantly and from 2020-2023 low return
probability was >80% only 28% of the time, and 1mo returns >+/-5% occurred
36% of the time. Since June of 2023 we seem to be moving closer to the pre-
COVID magnitude of monthly returns with model expectations of low return
probability >80% 61% of the time and monthly returns >+/-5% occurring 21%.
# ! Rapid negative
shifts in Fed policy expectations often lead large drawdowns, 3mo change in the
2yr forward fed rate expectations fell to levels in January last reached in Feb-March
2020 and prior to that, 2008-09. The improvement in 3mo change offered a
reprieve and has offset the large negative drag on our model. A similar
phenomenon occurred in Jan 2023 leading to a volatile signal to start the year.
$%&'()#*+,!HY Spreads are
currently around the low to mid range of UBS Credit Strategy expectations for the
next few months. We find the current low levels supportive of equity performance
over the next one month and within the range of expectations HY spreads' impact
on our model's probabilities would remain skewed to the upside.
') -
Our US composite beta positioning measure is around 1.3 standard deviations below
average, falling 1 stddev over the past month as balanced funds have reduced exposure
this year and sit handily below average. Macro/CTA HFs and L/S equity HFs have
increased exposure but remain below neutral. Market neutral hedge funds remain the
most overweight amongst the investor types that we track. Growth MFs are slightly
above neutral while Value MFs have fallen significantly underweight over the past
month, Growth and Value MFs were in line 4 weeks ago. Large cap MFs have moved to
~2 stddev underweight while small caps have improved slightly to ~1 stddev below
average.
This report has been prepared by UBS Securities LLC. ./.&)0 $011$.012/ ./3 4'13 31)$2)') 56789:56;
56<=>?@A5=6=6ABC49@6A5A@A5DCCEC@>7BCD5CFG9H85EBC:HI'()HC;56=6G@;CJK UBS does and seeks to do
business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of
interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision.
L)
Americas
))
Strategist
sean.simonds@ubs.com
+1-212-713 2851
Strategist
gerry.fowler@ubs.com
+44-20-7567 5490
M#--$.
Strategist
maxwell.grinacoff@ubs.com
+1-212-713 3892
) 9 February 2024 ab 2
Global Strategy UBS Research
N$
JO)PQR
2000
2500
3000
3500
4000
4500
5000
5500
-60%
-40%
-20%
0%
20%
40%
60%
80%
100%
18 19 20 21 22 23 24
S&P 500 early warning signal: Difference in model expected
probability for +5% rally vs -5% fall
S&P 500 (RHS)
+/- 1 Stdev
Upside risk to
equities
Downside risk to
equities
The early warning signal
moved OW equities in late
2018...
... and caught the sell-off
and recovery around
COVID-19
Source: Bloomberg, Factset, UBS
O M - *J -
ST!RU,
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
17 18 19 20 21 22 23 24
Model exp probability of returns between +/-5% next 1mo (low vol
regime)
Source: Bloomberg, Factset, UBS
VO') *W!,
1600
2000
2400
2800
3200
3600
4000
4400
4800
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
14 15 16 17 18 19 20 21 22 23 24
US composite beta (z-score, lhs) S&P 500 (rhs)
Source: Bloomberg, UBS
X
!
L+-
! K
$OKJK
2 Y
-
*-)PQR
# ST!RU,
+!
$213 YVK
Z[U
+#-
RUO
J\!O]RU-JUJ
ZST!RU
!VO[UV]U
Q^VO]JUJU
2')
JKV
-
-J&03
-+K
) 9 February 2024 ab 3
)3
O(+--+
-0.9%
4.3%
7%
5%
5%
4%
3%
2%
2%
6%
-2%
-3%
-4%
-7%
-11%
-20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35%
Base value
Futures Net Long
Balanced funds Positioning
US corp HY spread
Futures Net Long: 3mchg
US corp HY spread: 3mchg
ISM Mfg New Orders: 3mchg
US 10y real yield: 3mchg
S&P 500 3m momo
Put/Call ratio
SKEW index: 3mchg
US 2y Fed Policy exp: 3mchg
VIX
Other
Net probability
Machine learning model - net probability of 5% rally vs decline
Rising likelihood of market decline Rising likelihood of market rally
-1Stdev +1Stdev
Source: Bloomberg, Factset, UBS
RO$-+*J+,
2.9%
4.3%
3%
1%
1%
0%
0%
0%
1%
0%
0%
-1%
-1%
-1%
-2%
0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%
Start
Balanced funds Positioning
US 2y Fed Policy exp: 3mchg
Economic Uncertainty
US MFs Positioning
Margin revisions: 3m % chg
US corp HY spread
Yield Curve: 10-2y
Implied recession proba: 3m chg
Futures Net Long: 1mchg
SKEW index: 3mchg
VIX
Put/Call ratio
Other
Net probability
Machine learning model - 1w change in net probability of 5% rally vs decline
Rising likelihood of market decline Rising likelihood of market rally
Source: Bloomberg, Factset, UBS
]O ' O - ZSRU _!RU
#
0%
10%
20%
30%
40%
50%
60%
70%
80%
17 18 19 20 21 22 23 24
Model exp. probability of <-5% fall next 1mo
Model exp. probability of >+5% rise next 1mo
Source: Bloomberg, Factset, UBS
0
-
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#-
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+
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Y
#+
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2
O-
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RU#J K
摘要：
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作者：梧桐
分类：外资研报
价格：免费
属性：15 页
大小：1.17MB
格式：PDF
时间：2024-03-02
