【出版时间及名称】：2009年12月美国证券市场投资策略报告
        【作者】：摩根斯坦利
        【文件格式】：PDF
        【页数】：74
        【目录或简介】：
Looking Back & Forward
S&P Breaks 1100 intra-month but ends at Mid-October Levels : The S&P 500 ended up 5.7% in November. At its peak, it was up 7.2% before partially erasing
these gains after Dubai World’s request for a 6-month debt standstill spooked markets and led to a reasonably sharp bout of profit taking across most risk assets. We
do not think Dubai World’s debt problems have lasting implications for other markets, and at this stage we see it as an idiosyncratic rather than systemic issue for
asset markets (one which forces renewed differentiation across “good” and “bad” assets and where investors are reminded of the risks facing heavily indebted
nations). Our FX strategist Sophia Drossos notes that USD performance since Dubai World’s announcement has been mixed (stronger against some higher-yielding
currencies like AUD and NZD but weaker against JPY and EUR), indicating that while investors may have scaled back some risk, there is not yet a strong global
safe-haven demand for US Treasuries.
Market internals continue to show a change in leadership is underway. Quality is beginning to perform despite a rising market, with IT and Financials beginning to
lose the directional lead on the overall market (the BKX and SOX are both back at mid-year levels). We continue to think that this is consistent with the rally
broadening out and entering its final stages.
The crude oil price remained flat in November, up only 0.4%, while natural gas fell 3.9%. Large caps outperformed small caps, value slightly outperformed growth,
and emerging markets held onto early month gains outperforming developed markets. A spike towards month end saw the VIX up to 24.5 from 20.5 before the Dubai
announcement. The MS Global Risk Demand Index ended up 3.9% over the month, in line with other broad risk indicators.
Equity valuations remain neutral but close to their long-term average (pg 55). The Graham-Dodd P/E is at 17.1x (vs LT average of 17.7x) and our COV model implies
that 14.4% of value is being driven by future earnings. Market sentiment indicators are sending no clear signal – either buy or sell, with Consensus Inc.’s weekly %
bullish stocks in bearish territory, the CBOE Put/Call ratio and Nasdaq Net Speculative Positions close to bearish, and AAII Bullish-Bearish in neutral territory. Our
MS Capitulation Indicator reached 1.99 this month, the second highest in history. In May 1995 it reached 2.16, and the market rose 13% in the following 6 months.
We expect performance to be increasingly driven by stock and sector specific growth and earnings characteristics, and less by the macro recovery story as we move
into 2010. We do not believe that the start of rate tightening will cause a serious correction in equities (pg 18). However, the big one-way bet on cyclical over noncyclicals
is almost over, and recent sector performance is pointing towards a significant change in market internals, with IT and Financials beginning to lose
leadership. Additionally, we continue to believe that the low valuation dispersion between high and low quality stocks means the best value is found in the former.
Our call to be overweight Large Cap Quality is playing out despite the market continuing to creep higher. We expect the return spread between cyclical and noncyclical
stocks to contract, similar to 1H04, over the next few quarters.
3Q09 Earnings Season – Another Quarter of Margin Surprise: The earnings season is largely complete, with 99% of total S&P 500 market cap having reported
3Q09 earnings (pg 13). In aggregate, earnings have beaten expectations by 8.4% ex-Financials, with all sectors reporting an aggregate beat except for Financials,
which reported 20% below expectations. 53% of companies beat expectations by more than 5%, and 74% of companies have reported at-or-above expectations.
The index is now pacing $15.46 in 3Q EPS compared to $14.57 at the start of the earnings season – this is likely to put FY09 earnings in the $56-57 range. However,
we see nothing in 3Q that really differentiates it from 2Q. Ex-Financials, reported revenues are 0.5% below expected (pg 14), versus 0.2% below expectations in 2Q,
indicating that the cost-out theme continues to be the primary driver of better than expected earnings. However, the market has made little differentiation between
stocks that have beaten earnings estimates via higher revenues and those that have beat via lower costs (-0.40% vs. -0.37% median performance respectively over
next three days, pg 12).