Sector Trading
Transcrição
Sector Trading
Titre de la présentation BNPP Equity Derivatives Technical and trading aspects of STOXX sector trading Aurélien Cristini [email protected] Phone: + 33 1 55 77 69 29 June 4, 2009 Contents 1. Futures vs. Swaps 2. Agency vs. Risk 3. Trading Futures with BNP Paribas 4. Conclusion & Contacts 02 May 2009 2 1 – Futures vs. Swaps 02 May 2009 3 Futures vs. Swaps n n n Trading Sectors via Futures or Swaps ? Div Exposure Repo Financing Roll FUTURES Price Return Implied Implied Every Quarter at market level SWAPS Total Return Explicit Explicit Once a year Swaps are OTC products n Via a CFD agreement or OTC Equity Swap n Default maturity = 1 year Futures are listed n Can unwind position with another counterpart n Roll markets 2/3 week before quarterly expiry 02 May 2009 4 Futures vs. Swaps – BPSO <GO> 02 May 2009 5 2 – Agency vs. Risk 02 May 2009 6 Agency vs. Risk n “Agency” trading : quote requests on basis / BNP bears no exec risk n BNP Paribas program trading setup for baskets (VWAP, TWAP, % Volume, best effort, etc.) n Can guarantee Index close as cash reference Size Limit ? Agency Risk n No. (need to check Open Interest) Yes, depends on index and Time Min. # contracts Future Price Hours > 250 contracts Quoted basis + Cash executed level All trading session < 250 if price within order book B/A, > 250 contracts otherwise Future "all-in" price 9h30 - 17h00 except before Economic figures “Risk” trading : quote request in future level / BNP bears all exec risk 02 May 2009 7 Agency vs. Risk – BPSO3 <GO> 02 May 2009 8 3 – Trading Futures with BNP Paribas 02 May 2009 9 Trading Futures with BNP Paribas n Electronic order book only accounts for 45% of the total volume n BNP Paribas is the 1st market maker in the order book : n 80% of the time posting liquidity on the touch n 120M€ average daily volume n But 1st limits have small NNN (usually 800k€) n Eurex block trade size on Sector Futures is 250 (2.5M€ on average) n We can quote Agency / at Risk the 38 Sectorial Futures + 3 Sizes + Stoxx600 n We can also quote EFPs and Roll markets 02 May 2009 10 Trading Futures with BNP Paribas Electronic order book : Sectorial Futures Number of lots traded & market share 400,000 52% 54% 0.6 53% 350,000 0.5 46% 300,000 37% 250,000 Paribas 30% Trading Futures with BNP 28% 27% 25% 31% 200,000 33% 0.4 42% 33% 34% 0.3 20% 150,000 13% 100,000 10% 0.2 26% 14% 14% 12% 0.1 50,000 5% 0 Ja n- 07 Fe b0 M 7 ar -0 7 A pr -0 7 M ay -0 7 Ju n07 Ju l-0 7 A ug -0 Se 7 p07 O ct -0 7 N ov -0 D 7 ec -0 7 Ja n08 Fe b0 M 8 ar -0 8 A pr -0 8 M ay -0 8 Ju n08 Ju l-0 8 A ug -0 Se 8 p08 O ct -0 8 0 # lots traded Market share 02 May 2009 11 Trading Futures with BNP Paribas n Capacity to trade any Stoxx Sectorial Future SX3E DJES FD&BV SX3P DJS FD&BV SCXP DJSEEP SC SX4E DJES CHEM SX4P DJS CHEM MCXP DJSEEP MC SX6E DJES UTIL SX6P DJS UTIL LCXP DJSEEP LC SX7E DJES BANKS SX7P DJS BANKS SX8E DJES TECH SX8P DJS TECH SXXP DJ STOXX 600 SXAE DJES AUTO SXAP DJS AUTO SXDE DJES HEA CR SXDP DJS HEA CR SXEE DJES OIL&GAS SXEP DJS OIL&GAS SXFE DJES FI SV SXFP DJS FI SV SXIE DJES INSUR SXIP DJS INSUR SXKE DJES TELCOM SXKP DJS TELCOM SXME DJES MEDIA SXMP DJS MEDIA SXNE DJES IG&S SXNP DJS IG&S SXOE DJES CNS&MT SXOP DJS CNS&MT SXPE DJES BAS RS SXPP DJS BAS RS SXQE DJES PR&HO SXQP DJS PR&HO SXRE DJES RET SXRP DJS RET SXTE DJES TR&LS SXTP DJS TR&LS SX86E DJES REA ES SX86P DJS REA ES 02 May 2009 12 Titre de la présentation BNPP Equity Derivatives Strategy Sector Trading: New Trend or Natural Trade? Edmund Shing [email protected] Phone: + 33 1 40 14 11 43 June 4, 2009 Contents 1. How We Generate Ideas 2. Short-Term Trading vs. Long-Term Strategy 3. Short-Term Sector Trading 4. Example Strategy: Oil & Gas vs. Construction 5. Long-Term Sector Strategy: Key Themes 6. Our Favoured Long-Term Strategy 7. Conclusion 8. A1. BNPP Custom Indices: Another Option To Play Themes 9. A2. Sector/Cross-Asset Research: Our Product Range 02 May 2009 14 1 – How We Generate Ideas 02 May 2009 15 How EDS IS Differentiated: Leveraging Derivatives, Cross-Asset Expertise EQD Cross-Asset Expertise Volatility, Dividends, Convertibles (Key differentiating factor) Transversal Themes (Sector/Industry drivers) Credit, Commodities, FX EDS Sector Strategy (relative to market, pair trades) Technical Analysis (Timing) Macro-Economy Company Analysis Exane BNP-Paribas* * Exane BNP-Paribas is an independent research-driven entity in European cash equities: BNP-Paribas is a partner with Exane, with a 50% stake in Exane’s holding company 02 May 2009 16 2 – Short-Term Trading vs. Long-Term Strategy 02 May 2009 17 Short-Term Sector Trading vs. Long-Term Sector Strategy Short-Term Trading n Can be driven by crossasset factors like FX, Commodities, Seasonal factors; n Can be Event-Driven (Results, M&A); n Can focus on rebounds in forecast earnings momentum. Long-Term Strategy n More driven by longer-term macro trends in GDP growth, inflation; n Driven more by top-line growth, profit margin/ ROE trends; n Focus more on relative valuations; n More emphasis on total return, hence dividends; Technical factors: n Reversion to Mean plays; Technical factors: n Oscillators e.g. Bollinger Bands + RSI. n Long-term trend/ momentum plays. 02 May 2009 18 3 – Short-Term Sector Trading 02 May 2009 19 Short-Term Trading: FX FX: Autos, Industrials Correlated to EUR/USD 1.7 140 EUR/USD (lhs) Indust . Gds. / Market (rhs) A ut os / Market (rhs) 130 1.6 120 1.5 110 1.4 100 1.3 1.2 Jan 08 90 80 A pr 08 Jul 08 Oct 08 Jan 09 A pr 09 Source: BNP Paribas, Bloomberg 02 May 2009 20 Short-Term Trading: Commodities Basic Resources vs. CRB Raw Industrials index index 600 CRB Raw Industrials index (lhs) Basic Resources / Market (rhs) relative index 140 130 550 120 500 110 450 100 90 400 80 350 300 Jan 08 70 60 Apr 08 Jul 08 Oct 08 Jan 09 Apr 09 Source: BNP Paribas, Bloomberg 02 May 2009 21 Short-Term Trading: Event-Driven Events: 3GSM and Technology sector 115 Technology / Market 110 Outperformance preGSM conf. 105 100 GSM Barcelona conference 95 Nov Dec Jan Feb Mar Apr May Jun Source: BNP Paribas, Bloomberg 02 May 2009 22 Short-Term Trading: Reversion To Mean Oil & Gas/ Construction Ratio: Bollinger Bands + RSI 1.6 SXEP/ SXOP sector ratio 40wk moving average RSI difference (rhs) 80 1.5 1.4 60 1.3 1.2 40 1.1 1.0 20 0.9 0.8 0 0.7 0.6 0.5 Jan 08 -20 Apr 08 Jul 08 Oct 08 Jan 09 Apr 09 Source: BNP Paribas, Bloomberg 02 May 2009 23 4 – Our Favoured Short-Term Strategy 02 May 2009 24 Example Short-Term Strategy: Oil & Gas vs. Construction n EPS Momentum: EPS upgrades should follow from : 1. Higher crude oil price, 2. Higher R&M profits on better refining margins, Oil Price Not In Consensus EPS Yet EPS 60 55 3. Ongoing cost-cutting efforts at majors like BP. Brent crude oil, $/bbl (rhs) SXEP: 2009e consensus EPS SXEP: 2010e consensus EPS $/bbl 160 140 50 120 45 100 40 80 35 60 30 40 25 n Events to come: Onset of US driving season to drive seasonal gasoline demand. 20 Jan 20 Apr Jul Oct Jan Apr Oil & Gas Relative Performance n n FX: Weaker US Dollar helping commodity prices, indirectly helping Oil & Gas. Dividends: A heavy dividend payer, with dividends not at risk if crude prices > $40/bbl. index relative to STOXX 140 Oil & Gas Brent crude oil, $/barrel (rhs) $/bbl 160 140 130 120 120 100 110 80 60 100 40 90 20 Jul Oct Jan Apr Jul Oct Jan Apr Source: BNP Paribas Bloomberg, JCF Factset 02 May 2009 25 Example Short-Term Strategy: Oil & Gas vs. Construction (2) n EPS Momentum: EPS downgrades continue on poor recent results from heavyweight Bouygues, with extra pressure on Construction margins to come. Net Debt Levels Still Very High 5 140 Const ruction: Net Debt/ EBITDA (lhs) 130 Const ruction: Gearing %(rhs) 120 4 110 100 90 3 n Debt refinancing: recent capital raising may not be sufficient to tackle debt refinancing required. 80 70 2 60 50 1 n Event – Rising Energy prices: equals rising costs for Construction companies, particularly for cement makers. 40 1999 Valuations: Relatively expensive vs. cycle averages on both EV/EBITDA and EV/EBIT. 2003 2005 2007 2009e Construction Valuations Not Cheap 15 14 13 n 2001 Construct ion: EV/ EBITDA Construct ion: EV/ EBIT 12 11 10 9 8 7 6 5 1999 2001 2003 2005 2007 2009e Source: BNP Paribas, Exane BNP Paribas 02 May 2009 26 5 – Long-Term Sector Strategy: Key Themes 02 May 2009 27 Macro Theme: Deflation or Reflation? Euro Zone Debt Deflation Under Way Inflation Coming Back? % 4 % 4 3 3 % 18 16 2 2 1 1 0 0 -1 US 5-year breakeven inflation % UK 5-year breakeven inflation % French 5-year breakeven inflation % -2 Jan 06 Jul 06 Jan 07 Jul 07 Jan 08 Jul 08 Jan 09 Jul 09 Source: BNP Paribas, Bloomberg -1 -2 % 18 Euro zone loans to households y/y ECB M1 y/y Euro zone loans to non-f inancial corporates y/y 16 14 14 12 12 10 10 8 8 6 6 4 4 2 2 0 0 -2 2003 -2 2004 2005 2006 2007 2008 2009 Source: BNP Paribas, Bloomberg 02 May 2009 28 Macro Theme: Deflation or Reflation? (2) Nominal Bond Yields Falling 11 30-yr avg. US fixed mortgage rate % US 10-year bond yield % 10 But Real Rates At Multi-Decade High! 11 9 8 8 7 7 6 6 5 5 3 Downtrend in nominal yields 2 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 Source: BNP Paribas, Bloomberg 8 10 9 4 8 4 3 2 But real rates at 20yr peak! 6 6 4 4 2 2 0 0 Real 30y fixed mortgage rate % Real 10y Bond Yield % -2 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 -2 Source: BNP Paribas, Bloomberg 02 May 2009 29 Cross-Asset Theme: Dislocation Corrected, Now What? Corporate Spread, Volatility Back to Q3 2008 % 2.5 iTraxx Europe 5Y CDS (lhs) % 90 VIX volatility index (rhs) 80 2.0 70 Are Leading Indicators Running Out of Steam? 70 70 60 60 50 50 60 1.5 50 40 1.0 30 20 0.5 40 10 0.0 2006 0 2007 Source: BNP Paribas, Bloomberg 2008 2009 40 US ISM Non-Manufacturing survey US ISM Manufacturing survey (rhs) Chicago PMI survey 30 2005 30 2006 2007 2008 2009 Source: BNP Paribas, Bloomberg 02 May 2009 30 Commodities Theme: Oil, Metals, Grains Reviving Despite Growth Slump CRB Commodities Index Cross 200-day MAV: Back To Bull Trend? 500 140 OECD Total leading indicator (rhs) CRB Commodities index CRB 200-day moving avg. 400 130 300 120 200 110 100 100 0 1975 90 1980 1985 1990 1995 2000 2005 Source: BNP Paribas, Bloomberg 02 May 2009 31 Dividend Theme: Dividends To Fuel Total Return In Future Big Upside: 2010 Implied Dividend vs. BNPP 140 Dividends Back In Vogue Recently 130% 123 120 2010 107 2011 2012 120% 100 110% 79 73 80 100% 60 40 Bear Source: BNP Paribas, Bloomberg Base Bloomberg Implied 90% Feb-09 Mar-09 Apr-09 Source: BNP Paribas, Bloomberg 02 May 2009 32 6 – Our Favoured Long-Term Strategy 02 May 2009 33 Example Long-Term Strategy: Retail vs. Personal Gds. n Retail Momentum: Despite the clear trading-down trend in consumer spending, Food retailers have won both on own-brand margins and non-food market share gains, plus strong overseas growth. Retail vs. P&H Goods: Long-Term Trend Breakout relative index 100 Retail/P&H Goods 90 80 70 n Personal Goods: Contrary to conventional wisdom, this sector is more exposed to consumer tradingdown, wealth destruction than European Retail. 60 50 40 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Retail at Valuation Discount To Personal Goods n Valuation: Despite better EPS momentum, Retail remains at a P/E discount, div. yield premium to Personal Goods. 30 PE premium: SXRP/SXQP (%, rhs) SXQP: P & H. Gds. P/E +12m (lhs) SXRP: Retail P/E +12m (lhs) 25 20 40 20 10 10 Break from LT Downtrend: after 8 years of relative underperformance, Retail has now broken out to the upside. 50 30 15 n 60 0 5 0 1999 -10 -20 2001 2003 2005 2007 2009 Source: BNP Paribas Bloomberg, JCF Factset 02 May 2009 34 Example Long-Term Strategy: Retail vs. Personal Gds. (2) Food Retail Like-for-Like Sales Growth Resilient n Top-Line Growth: More resilient in Food Retailers (2/3rds of SXRP weighting) than in Luxury Goods (1/4 of SXQP weighting). Luxury Goods, LFL sales y/y % 15 Food Retail, LFL sales y/y % 10 5 0 n Personal Goods More Economically-sensitive: Luxury Goods, Home Electricals, Personal Care products all more vulnerable to a weak global consumer. -5 -10 1999 2001 2003 2005 2007 2009e Luxury Goods Profit Margins Suffer More n Profit Margins: Holding up well at food retailers (own-brand products carry higher margins), while suffering at Luxury Goods, Home Electricals on 2009e sales declines. 5.0 25 4.5 20 4.0 15 3.5 Food Retail, EBIT mgn % (lhs) Luxury Goods, EBIT mgn % (rhs) 3.0 10 1999 2001 2003 2005 2007 2009e Source: BNP Paribas, Exane BNP Paribas 02 May 2009 35 7 – Conclusion 02 May 2009 36 Sectors: Short-Term Trading, Long-Term Strategy Both Valid Approaches Short-Term Trading: Long-Term Strategy: Oil & Gas vs. Construction Retail vs. Personal Goods n Oil & Gas helped by seasonal factor (US driving season); n Valuation discount (P/E, DY) of Retail to Personal Goods; n Oil & Gas EPS momentum to turn more favourable on oil price rebound, higher refining margins; n While Retail has better, less volatile top-line growth, profit margin trends n n Dividend yields, security favour Oil & Gas (total return); More macro sensitivity to consumer wealth effect in Personal Goods than Retail; n Sector Ratio Rebounding off technical lows on Bollinger Bands, RSI. n Breakout to upside from longterm downtrend in Retail/Personal Goods ratio. 02 May 2009 37 A1 – Sector, Cross-Asset Research: Our Product Range 02 May 2009 38 EDS Sector, Cross-Asset Research Cross-Asset Monthly (12 pgs) Sector Strategy: Trade Ideas (3-4 pgs) 02 May 2009 39 A2 – Playing Themes via BNPP Custom Indices 02 May 2009 40 Playing Themes via BNP Paribas Custom Indices Thematic Indices Return YTD and Since March 09 n BNP Paribas custom indices have outperformed “traditional” sectors YTD (with the exception of Basic Materials) n Thematic indices include companies which tackle tomorrow’s economic issues and challenges: 1. Alternative energy sources (ex: Renewable Energy, Nuclear); 2. Increase agricultural production capacity (Agribusiness); 3. Impact of economic recovery plans (Infrastructure). Ticke r BNPIGAPR Index BNPIEIPR Index BNPIGNPR Index BNPIEEPR Index BNPIREPR Index BNPIGIPR Index Nam e BNP Global Agribusiness BNP Emerging Infrastructure BNP Global Nuclear BNP Global Energy Eff iciency BNP Global Renew able Energy BNP Global Inf rastructure YTD 41.0% 30.8% 18.8% 18.6% 17.3% 17.0% From 01Mar-09 31.9% 38.1% 25.7% 31.2% 36.7% 22.9% MXWO Index MXEF Index SPX Index SX5E Index MSCI World MSCI Emerging Markets S&P 500 DJ EuroStoxx 50 4.4% 30.7% 1.1% 1.0% 16.0% 34.6% 12.6% 25.1% MSCI Sectors Return YTD and Since March 09 Tick e r MXWO0MT Equity MXWO0IT Equity MXWO0CD Equity MXWO0EN Equity MXWO0FN Equity MXWO0IN Equity MXWO0CS Equity MXWO0HC Equity MXWO0TC Equity MXWO0UT Equity Nam e Materials Inf ormation Technology Consumer Discretionary Energy Financials Industrial Consumer Staples Healthcare Telecom Utilities Sectors Average YTD 22.3% 16.0% 11.3% 8.0% 5.9% 2.1% -0.7% -4.9% -7.6% -8.9% 4.3% Fr om 01M ar -09 29.6% 16.1% 18.9% 12.2% 41.1% 21.4% 5.1% 2.3% -1.4% 0.1% 14.5% Source: Bloomberg. Returns are calculated on a price return basis, in Euros, as of May 27, 2009 02 May 2009 41 “New” Sectors: BNP-Paribas’ Range of Thematic Indices n Global Infrastructure Indices n Paribas Global Renewable Energies Indices n Global Nuclear Indices n Global Water Indices n Global Waste Management Indices n Global Agribusiness Indices n Emerging Infrastructure Indices n Global Energy Efficiency Indices n Global Grey Gold Indices n Asian Plantation Indices n Asia Consumer Demand Indices n Next 11 Core 8 Indices n Ethibel Titan 15 Index For more information, please contact your BNPP Flow Sales contact or send us an email at: [email protected] These indices are available either in ETF or ETN formats More information available on our web site : www.bnpparibasindex.com 02 May 2009 42 Conclusion & Contacts 5 – Conclusion & Contacts n Paris Flow Sales § Aymeric Aubry +33.1.57.43.86.05 n London Flow Sales § Uriel Kutnowski +44.207.595.8733 n Paris Sectors Trading (IDB) § Aurélien Cristini +33.1.55.77.69.29 Questions ? 02 May 2009 43 Disclaimer Financial transactions involve risks of variation in interest rates, exchange rates, securities, commodities or indices. 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This document is prepared for professional investors and is not intended for Private Customers and should not be passed on to any such persons. © BNP Paribas (2008). All rights reserved 02 May 2009 44