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S&P GIVI® Japan and Major Single Factors Q1 2020

S&P GIVI®ジャパン及び主要な単一ファクター 2020年1-3月期のレビュー

U.S. Equities Market Attributes March 2020

U.S. Equities Market Attributes February 2020

U.S. Equities Market Attributes January 2020

S&P GIVI® Japan and Major Single Factors Q1 2020

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Tianyin Cheng

Senior Director, Strategy Indices

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Izzy Wang

Analyst, Strategy Indices

The S&P GIVI (Global Intrinsic Value Index) Japan outperformed its benchmark index, the S&P Japan BMI, by 40 bps in Q1 2020. Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark index by 13 bps per year, with a tracking error of 2.44%.

2020 has gotten off to a bad start.  The Japanese equity market, as measured by the S&P Japan BMI, declined by 17.96% in Q1 2020, which was the worst-performing quarter since the GFC.  Amid the concern over the global economy’s outlook when China placed itself on lockdown due to COVID-19 in January, the Japanese market saw a mild decline.  After oil prices crashed and the virus threw various countries into chaos in March, the worldwide economic slowdown became real, and Japan had to join the global fight against COVID-19.  On March 23, 2020, the S&P/JPX JGB VIX®, which measures the 30-day forward volatility of 10-year JGB futures and represents the macroeconomic stability of Japan, rose to an all-time high of 6.81 and closed at 4.77 for Q1.  Stressed investors were resorting to extreme behavior amid the uncertain economic outlook and pressure on market liquidity. 

In the COVID-19 crisis, sectors appeared to be the main driver of performance, with a large gap between winners and losers—the difference between the best- and worst-performing sectors was 24.74%.  On one hand, the sharp decline in consumption demand and shortage of supply heavily hit several cyclical sectors.  Energy was the worst performer under the pressure of low demand and the collapse of Saudi-Russia negotiations.  Real Estate was severely affected, especially in the hotels and malls segments.  On the other hand, traditional defensive sectors, such as Utilities and Consumer Staples, were the best performers.  Health Care outperformed, as demand for healthcare products surged this quarter and hopes were on biotech companies producing vaccines/testing tools.  Finally, the increase in social distancing boosted the use of internet-based products, which favored Communication Services. 

The outperformance of the S&P GIVI Japan was mainly due to the selection effect, especially in Information Technology and Communication Services.

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S&P GIVI®ジャパン及び主要な単一ファクター 2020年1-3月期のレビュー

S&P GIVIジャパンのパフォーマンス

S&P GIVI(グローバル・イントリンシック・バリュー指数)ジャパンはベンチマークであるS&P 日本総合指数を2020年1-3月期に0.40%アウトパフォームしました1 。S&P GIVI ジャパンは2012年3月に指数算出を開始して以降、ベンチマークを年率0.13%アウトパフォームしており、トラッキング・エラーは2.44%となっています。

2020年は低調なスタートとなりました。S&P 日本総合指数によると、日本の株式市場は2020年1-3月期に17.96%下落しました。これは、四半期としては2008年の世界金融危機以降で最も大幅な下落率となりました。中国は1月、新型コロナウイルス(COVID-19)の感染拡大に伴って都市封鎖(ロックダウン)に踏み切りました。世界経済の見通しをめぐる懸念が高まる中で、日本の株式市場は1月、軽度な下落に留まりました。しかし、3月には原油価格が急落し、新型コロナウイルスの感染拡大によって様々な国が混乱に陥りました。これを受け、世界経済の減速懸念が現実化したため、日本もウイルスの感染拡大阻止に向けて世界各国と協調する必要がありました。S&P/JPX 日本国債 VIX指数®は2020年3月23日、市場最高値の6.81まで上昇し、4.77で1-3月期の取引を終えました(この指数は、10年物日本国債先物の30日フォワード・ボラティリティを測定し、日本のマクロ経済の安定性を表します)。経済の先行き不透明感が強まり、市場の流動性が低下する中で、極端な投資行動が目立ちました。

新型コロナウイルスの感染が拡大する中で、セクターの選択がパフォーマンスの主な要因となったように思われました。勝者と敗者のパフォーマンス格差が拡大し、パフォーマンスが最高のセクターと最低のセクターの格差は24.74%に上りました。一方、消費需要が大幅に減少し、供給不足が生じたため、いくつかの景気循環セクターは大きな打撃を受けました。原油需要の減少やサウジアラビアとロシアの交渉決裂を背景に、エネルギー・セクターが最低のパフォーマンスとなりました。不動産セクターも深刻な影響を受け、特にホテルやモール・セグメントが大幅に下落しました。一方、伝統的なディフェンシブ・セクター(公益事業や生活必需品など)が最高のパフォーマンスとなりました。ヘルスケア・セクターもアウトパフォームしました。当四半期にはヘルスケア商品に対する需要が急増し、ワクチン/検査ツールを製造しているバイオテクノロジー企業に対する期待が高まりました。最後に、社会距離拡大戦略が実施される中で、インターネット関連商品の需要が増加したため、コミュニケーション・サービス・セクターも堅調なパフォーマンスとなりました。

S&P GIVIジャパンはアウトパフォームし、特に情報技術セクター及びコミュニケーション・サービス・セクターの銘柄選択がパフォーマンスに貢献しました。

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U.S. Equities Market Attributes March 2020

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Howard Silverblatt

Senior Index Analyst, Product Management

KEY HIGHLIGHTS

MARKET SNAPSHOT

There’s nothing new I can add; be safe and use common sense about going out.  If there is something you can do for others, without putting yourself (or your family) at risk, do it.  From an investment side, know what you can know—your portfolio, your liquidity and access, your current and expected needs, and your tolerance level for losses.

The only real March issue was COVID-19; the specifics were how long it would last and how deep would it go.  The immediate impact was seen in the closing of much of the global economy.  After a three-day rally, the Dow Jones Industrial Average posted over a 20% gain, which was classified as a bull run in a bear market.  To be out of the bear market, the index needs to close above its previous high.  Both the one- and three-month U.S. Treasury rates went negative for a short period of time, an event that last occurred in 2015.  The bar talk is gone, since the bars are closed, but the web chatter is only God knows what to do now.  And the market surely was not God, because it did not know, with the telling tale being volatility; the average intraday high/low S&P 500 price rate for 2019 was 0.85%, as 2020 was 2.57% YTD (2008 was 2.81%), with March at 5.34% (October 2008 was 6.92%).


U.S. Equities Market Attributes February 2020

KEY HIGHLIGHTS

MARKET SNAPSHOT

As February came to a close, many felt like the sky fell and the world was coming to an end.  The last week of the month brought back-to-back 3% declines and a 4% decline, hitting those investors and traders who had only known an 11-year bull market, who complained that no one had told them that this could happen—yet, there was no panic on the Street.  Trading (while one-sided) was managed, and since no one uses phones anymore there were no margin calls and no reason for anyone to overreact.  For us old guys, it was déjà vu (and a chance to retell our war stories at the bar), as the Street’s initial knee-jerk reaction (which many say was late in coming) changed to accepting a direct impact on the U.S. from the coronavirus, a greater economic impact from supplies, and more damage from the potential impact on consumer spending—which has supported sales—as corporate expenditures have disappointed (and, at this point, appear to have the greatest potential for negative short-term economic impact).

The damage, however, was real (for old and young), as the S&P 500 declined 11.49% for the week, off 12.76% from its Feb. 19, 2020, closing high, down 8.41% for the month and down 8.56% YTD, to enter an official correction point (in the same month in which it posted six new closing highs), dropping USD

3.58 trillion from the highs (as global markets lost USD 6.99 trillion) and ending the month down USD 2.24 trillion (with the global market down USD 4.87 trillion for the month).  Interest rates dropped as a flight to safety saw 10-year and 30-year U.S. Treasury Bonds trade at all-time lows (closing at 1.15% and 1.68%, respectively), with the Street pricing in interest rate cuts from the U.S. Federal Reserve for March and April (with some talk of a 0.50% cut in April).  Oil broke under USD 45 (closing at USD 45.26), after being over USD 63 in January of this year.  Companies started to warn on Q1 2020 (Q1 estimates have declined 5.0%, and more declines are expected, as approximately 100 companies have warned), as the first case of a non-travel related instance of the coronavirus was reported in California.  The U.S. expanded its response; Trump put Vice President Pence in charge.  Another bar discussion remained as to whether the coronavirus was the event or an event.  How much of the market reaction was due to the virus event, or was the market looking for a reason to take profits, after setting new highs without any major pullback (the S&P 500 posted a new closing high on Feb. 19, 2020).  The current answer appeared to remain (as it was for last month’s pullback) that it was time for a pullback, given “we” were all looking for one, with the new take (now by almost all that were talking) that the virus posed the greatest danger to profits and markets—right here in the U.S.A.  And since the spread and impact are not under the control of the Street, the only thing investors could do is prepare and react.  The bottom line for now is that the Street has accepted the coming impact on stocks and adjusted its pricing, with the key question being what will actually happen, as the market reacts to perception first, and facts second.


U.S. Equities Market Attributes January 2020

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Howard Silverblatt

Senior Index Analyst, Product Management

KEY HIGHLIGHTS

  • The S&P 500® was down 0.16% in January, bringing its one-year return to 19.28%.
  • The Dow Jones Industrial Average® lost 0.99% for the month and was up 13.03% for the one-year period.
  • The S&P MidCap 400® decreased 2.70% for the month and returned 9.36% over the one-year period.
  • The S&P SmallCap 600® returned -4.05% in January and 4.89% for the one-year period.

MARKET SNAPSHOT

The Wall Street adage “as January goes, so goes the year,” which has proven to be correct 71.4% of the time, ended with the S&P 500 posting a 0.16% decline for January.  The index still posted six new closing highs throughout the month (five for the Dow), as the Street still looks “to find a reason to believe,” one more time.  For January, you get to pick the fall guy, as the index return ex-Apple would have been worse, down 0.43%.

The month, which brought gains and new highs (the index was up 3.06% for the month on Jan. 17, 2020), saw positive earnings and the signing of the phase one U.S.-China trade agreement.  The month opened with worries of World War 3 and closed with the rise and fall of tensions with Iran.  Oil crossed above USD 64, but fell to close the month at USD 51, as the market was able to trade through the issues, while maintaining optimism and gains—that is, until the coronavirus took over as the top concern, dominating the end of the month.  The debate on the Street was how much of the market reaction was due to the virus event, or if it was the market looking for a reason to take profits, after setting new highs without any major pullback (at that point, not even one day had posted a 1% decline since October 2019).  The answer may be that it was time for a pull back, given “we” were all looking for one.  However, the reality is that China took enormous steps and implemented a lockdown that affected 56 million people, vastly shifting resources and spending, and the effect of those actions—in and of themselves—will have a global impact (no man is an island).  Regardless of the reason January brought the first trading day to decline at least 1% since Oct. 8, 2019 (-1.57%), which appeared more as a controlled sell-off than a free-fall; or the next day’s rebound (1.01%, helped by buying and bargain hunters), which was the first 1% gain since Oct. 11, 2019 (1.09%); or the last trading day’s 1.77% decline, when buyers appeared to keep their hands in their pocket (away from the button, and hopefully waiting for better prices), the virus event remains a major global issue.  Any prolonged Chinese impact was seen as affecting global supply chains (and costs), which could easily make it a major U.S. market issue and appears to justify why it is now at the top of the list of market concerns (above trade, politics, and interest rates).


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