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19 Oct 2018

Why value could be verging on a rebound

Growth, as our Q4 outlook and those of other managers suggest, remains firmly in favour but are the benefits of value being undervalued? In the first of his new series on the “Different paths” investors can take, Chan Samadder argues that now could be a good time to think about an allocation.

Having long been in the doldrums, value has enjoyed a sharp upturn in its fortunes in recent weeks. Were this rally to continue there could be some major implications, with many investors in danger of missing out given they are still significantly underweight the style at present.

Value stocks are going cheap

Value stocks have suffered more than usual during this cycle. The chart below shows how value stocks are trading at highly stressed levels relative to quality, even with some economic indicators near historical highs. At times like these, value should be doing much better.

Global quality vs. value valuation spread vs. US ISM Index

(based on 12m fwd earnings yield)

Chart 1

Source: SG Cross Asset Research/ Equity Quant 

So why is value going so cheap? The US yield curve has flattened, implying there’s a risk of recession. Meanwhile, rising rates are pressurising corporate balance sheets, and the firms with the worst balance sheets tend to be in the value universe.  Trade tensions, and the way the very low interest rate environment in Europe and Japan has eroded Financials’ (the key value play) margins, are also headwinds. End result? Global value stocks are trading at recession-like levels despite overall equity markets performing well. Value investors seem to have capitulated – and that might just be the opportunity you need to invest.

Ultimately, the value factor is like a compressed spring. The more you pile on the problems, the worse it performs and the cheaper it becomes. But in doing so, the greater the potential for it to spring back if any of the problems are resolved, or just become less acute.

Decomosition of value returns 

(global, long-short, 1990-2016, %)

Chart 2

Source: SG Cross Asset Research/ Equity Quant  

And that’s how it looks today. Equity valuations may be stretched in developed equity markets, but the value factor has only ever been as cheap as it is today at times of crisis. Valuation is the key driver of the style’s returns so the catalyst is clear. Of course, the risk of allocating to it now is that economic conditions worsen.  But the macroeconomic backdrop is more likely to improve in our view, so there could be a short, sharp value rally in the space of a few months.

A good equity hedge against rising bond yields

Value investing makes sense from the tactical, short-term perspective but it also makes sense more strategically. The low bond yields of recent years have driven equity markets higher and have led them to become dominated by high-quality, “bond-proxy” stocks. If bond yields were to rise sharply, the equity-bond correlation could flip from negative to positive meaning the diversification benefits of investing in the two asset classes disappear. Value stocks could come into their own in such conditions.

While the correlation between equity and bond returns is volatile, the correlation between bonds and value stocks has historically been limited, particularly during periods when bonds are selling off - and, when it’s not been limited, it’s been negative. Allocating to value stocks is therefore a better way of diversifying bond risk, and reducing bond drawdowns, than trying to do so via the broader equity markets. But why is that?

The perfect counterbalance

Put simply, however well built and thought out a collection of value stocks is, it’s essentially a portfolio of problems. So if you’re investing in the value factor, you’re typically exposed to corporate distress and macroeconomic risks.

As value factors have high exposure to macroeconomic issues and the economic cycle, that makes them a particularly good counterbalance to bonds: bonds perform well when the economy is faltering and value stocks are suffering, but when the economy is doing well, value stocks generally rise and bonds underperform.

As the correlation between value and bond prices tends to be limited even during a crisis, we think any investor who’s concerned about bond risk in their multi-asset portfolios should seriously consider a strategic allocation to value.

Why choose Lyxor for your value factor exposure?

Our SG Value Beta ETF holds around 200 value stocks and comes with the purest exposure to the global value factor we believe you can buy on the European ETF market. Its unconstrained nature allows for regional biases towards Japan and parts of Europe, like the UK, where value companies look particularly attractive. The proof? The extent to which it’s outperformed its peers, the MSCI World Index and, perhaps more significantly, the MSCI World Enhanced Value Index over the last decade. 

Discover the SG Global Value Beta ETF

Source: All views & opinion Lyxor Equity Strategy team, as at 9 October 2018 unless otherwise stated. Past performance is no guide to future returns.

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Lyxor International Asset Management (“LIAM”) or its employees may have or maintain business relationships with companies covered in its research reports. As a result, investors should be aware that LIAM and its employees 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. Please see appendix at the end of this report for the analyst(s) certification(s), important disclosures and disclaimers. Alternatively, visit our global research disclosure website

Conflicts of interest 

This research contains the views, opinions and recommendations of Lyxor International Asset Management (“LIAM”) Cross Asset and ETF research analysts and/or strategists. To the extent that this research contains trade ideas based on macro views of economic market conditions or relative value, it may differ from the fundamental Cross Asset and ETF Research opinions and recommendations contained in Cross Asset and ETF Research sector or company research reports and from the views and opinions of other departments of LIAM and its affiliates. Lyxor Cross Asset and ETF research analysts and/or strategists routinely consult with LIAM sales and portfolio management personnel regarding market information including, but not limited to, pricing, spread levels and trading activity of ETFs tracking equity, fixed income and commodity indices. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and reports. Lyxor has mandatory research policies and procedures that are reasonably designed to (i) ensure that purported facts in research reports are based on reliable information and (ii) to prevent improper selective or tiered dissemination of research reports. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, competitive factors and LIAM’s total revenues including revenues from management fees and investment advisory fees and distribution fees.

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