Value factor expected to return to mean value after NASDAQ whale

category:Finance
 Value factor expected to return to mean value after NASDAQ whale


As far as the Chinese market is concerned, the mean regression of value stocks is also feasible. In 2008, 2010, 2015 and 2018, a shares were in a bear market in these four years, some of which were caused by the economic cycle, some were caused by the international environment, but the value stocks all outperformed the market in the above years. However, after the huge market fluctuation in March this year, A-share value shares also lost the market.

Value factor expected to return to mean

Factor investment is a typical perspective or concept of asset allocation. At present, this investment model has been constantly reflected by ETF model. In terms of style factor, value, growth, scale, momentum, dividend and volatility are well known.

This year, growth stocks have become a favorite. Since March, U.S. growth stocks have been sold off sharply, but they have rebounded rapidly, overturning the rule that value stocks dominate in the bear market. A major factor is that with social distance, blockade and home office becoming the norm, society has no choice but to rely more on large technology companies. At the same time, the capital will continue to rise, the larger the market value of listed companies will also be conducive to joining the stock index. After repeated cycles, institutions will increase the ETF position after the stock price continues to rise.

However, as an active fund manager, in theory, he should deviate from the stock index to a certain extent, and the excess return comes from this deviation. However, from the perspective of risk control, it should not be too far away. Especially in the current extreme environment, the fund position is concentrated in growth stocks. Quince told reporters that at this time, value investment is actually a kind of contrarian investment. However, it takes a lot of courage to make a reverse investment decision once the market turns.

Even if there is still an epidemic, even if the counter attack of value stocks has not been successful for more than a decade, quince believes that this time is different, that is, as the economy recovers from the epidemic, the gap between value stocks and growth stocks may narrow. The difference between the two is at an all-time high. If value stocks are more profitable in the future, the spread will narrow. Historically, every time the spread reaches an extreme level, there will be a mean return. Quince also said that in the current background of high speculative noise and epidemic situation, of course, the value may lose, but some trends are unlikely to last forever.

For example, faang, namely Facebook, apple, Amazon, Netflix and Google, has calculated that if they continue to outperform in the next 10 years, if calculated by compound growth, the market value of faang will be larger than that of the rest of the US stock market. It is feasible in theory, but it is difficult to realize in the sense that it is difficult to achieve u3002u201d Said quince.

Financial reports released in the past week show that the profits of the five largest banks in the United States rebounded in the third quarter, mainly due to a sharp drop in provisions and a sharp increase in trading and investment banking business income. In fact, most of these companies are value stocks. All sectors are also observing. With the economic recovery and rising inflation, the value of banks may be further explored.

The fragility of technology stocks highlights

In the face of the challenges of technology stocks, the mean return of value stocks seems to be more and more logical.

For example, quince points out that the previous NASDAQ whale incident showed the fragility of the market and the amount of noise. Some people believe that the early option market has played a role in promoting the stock price of US stocks, especially the call option. Since retail investors may not buy high priced technology stocks such as Amazon and alphabet directly, there are signs that they benefit from the rise of US technology stocks by buying call options, which is a lower cost way, rather than buying these stocks directly. When the number of call options is increasing, brokers and market makers will be forced to buy a large number of underlying stocks.

Then, this phenomenon leads to a self fulfilling cycle in which traders buy call options, market makers buy underlying stocks, repeat, and eventually push up stock prices. This strategy is not only favored by retail traders, but also by large funds such as sun Zhengyis Softbank group. However, once the market trend reverses, the extent of the stock prices decline is also magnified. In early September, as a result, the NASDAQ index retreated by more than 10%.

In the near future, Nasdaq may encounter a speed bump. In a report released last week by the Democratic House antitrust sub committee, Amazon, Facebook, Google and apple have all imposed monopolies and called for the spin off of technology giants. Morgan Stanley recently mentioned that the technology industry is a procyclical industry. During the current economic recession, its performance is different from that in the past (not falling but rising). It is expected that the sales in the third quarter will increase by 1.3%, which is an abnormal phenomenon under the economic blockade caused by the epidemic. However, this may lead to the decline of the relative growth rate of many technology companies in the next four quarters. However, quince also said that there is a problem that people from all walks of life tend to use PB to measure value. But now there are many companies that create value for shareholders, which are not reflected in the balance sheet, such as R & D and intangible assets. This is true for many technology companies. Therefore, there are still heated discussions on the real value of growth stocks and value stocks.. Source of this article: Guo Chenqi, editor in charge of first finance and Economics_ NBJ9931

In the near future, Nasdaq may encounter a speed bump. In a report released last week by the Democratic House antitrust sub committee, Amazon, Facebook, Google and apple have all imposed monopolies and called for the spin off of technology giants. Morgan Stanley recently mentioned that the technology industry is a procyclical industry. During the current economic recession, its performance is different from that in the past (not falling but rising). It is expected that the sales in the third quarter will increase by 1.3%, which is an abnormal phenomenon under the economic blockade caused by the epidemic. However, this may lead to the decline of the relative growth rate of many technology companies in the next four quarters.

However, quince also said that there is a problem that people from all walks of life tend to use PB to measure value. But now there are many companies that create value for shareholders, which are not reflected in the balance sheet, such as R & D and intangible assets. This is true for many technology companies. Therefore, there are still heated discussions on the real value of growth stocks and value stocks..