UBS_Equities-Global_Style_Guide_Momentum_and_Growth_top_in_2024_Winter-112566299_16页_4mb

Global Style Guide Summary

Core Content

This document provides an analysis of global equity market performance in December 2024 and the full year of 2024, focusing on style factors such as Growth, Momentum, Value, and Risk, as well as macroeconomic drivers and valuation levels. It also includes key definitions, analyst certifications, and disclaimers regarding the use of UBS Global Research.

Market Performance in December 2024

• Global Equities: Global equities fell by -1.9% in December but were up by 21.0% for the year.
• Sector Performance:
  • Top Performer: Consumer Discretionary.
  • Underperformers: Health Care, Materials, and Real Estate (which fell by -7.3%).
• Region Performance:
  • US: Fell by -2.6% in December but outperformed other regions with a 24.6% return for the year.
  • Europe: Lagged behind with a 7.8% return for the year and was roughly neutral in December.

Style Factor Performance

• Top Performing Styles:
  • Momentum and Growth were the top performers in December and for the full year.
  • Momentum Composite was up 3.6% in December.
  • Growth styles, particularly EPS Growth (12m trailing) and Fundamental Growth, had strong performance.
• Underperforming Styles:
  • Value and Low Risk underperformed in December and for the year.
  • Low Beta was the worst-performing style, with a -15.0% return for the year.
• Performance Metrics:
  • Excess Return, Volatility, Sharpe Ratio, and Maximum Drawdown are reported for each style factor.

Valuation Analysis

• Global Valuation: Global equities remain expensive, with the US and Australia significantly above their long-term averages.
• Real Estate: Despite its decline in December, Real Estate still looks expensive relative to long-term averages.
• Energy and Health Care: These sectors have become cheap, falling below their long-term average PE.
• Style Valuation:
  • Quality and Growth factors are the most expensive.
  • Low Beta and Composite Value are close to their long-term average PE.

Market Drivers and Correlations

• Macro Factors: The influence of macroeconomic factors on returns has decreased throughout the year but remained stable in December.
• Pairwise Correlation:
  • High pairwise correlations suggest that macro indicators are playing a significant role in stock returns.
  • Charts show the average pairwise correlation across different regions and markets.
• Cross-Sectional Volatility:
  • High volatility indicates a broad range of returns and potential for stock pickers to perform well.
  • Charts show cross-sectional volatility for different regions and markets.

Factor Descriptions

• Growth Factors:
  • EPS Growth (12m trailing): Measures the 12-month change in last reported EPS.
  • Fundamental Growth: Based on the UBS Quant Fundamental Growth Score.
• Momentum Factors:
  • Momentum Composite: Combines price and earnings momentum.
  • Price Momentum (12m): Measures 12-month local currency price return.
  • Revision to 12m fwd EPS FS (3m): Measures the 3-month change in next 12-month forecast EPS.
• Quality Factors:
  • Delta Quality: Based on the UBS Delta Quality score.
  • High Quality: Based on the UBS High Quality score.
• Risk Factors:
  • Low Price Beta (12m): Measures market beta over 12 months.
  • Low Volatility (12m): Measures price volatility over 12 months.
• Size Factor:
  • Float Adjusted Market Cap: Reflects benchmark index weight.
• Value Factors:
  • Book Value Yield (12m trailing): Last period reported book value scaled by price.
  • Composite Value (Sector Neutral): Based on the UBS Quant Composite Value score.
  • Dividend Yield FS (12m fwd): Next 12-month forecast DPS scaled by price.
  • Earnings Yield FS (12m fwd): Next 12-month forecast EPS scaled by price.
  • FCF Yield (12m trailing): Last reported FCF yield.

Analysts and Contact Information

• Analysts:
  • Paul Winter, Jaiwish Nolan, Cathy Fang, Will Stephens, Oliver Antrobus, Anita Mansbridge, Christine Vargas, Daniel Perry, Ariel Goyeneche
• Contact Details:
  • Paul Winter: paul-j.winter@ubs.com, +61-2-9324 2080
  • Jaiwish Nolan: jaiwish.nolan@ubs.com, +1-212-713 1489
  • Cathy Fang: cathy.fang@ubs.com, +86-21-3866 8891
  • Will Stephens: will.stephens@ubs.com, +852-3712 3892
  • Oliver Antrobus: oliver.antrabus@ubs.com, +61-3-9242 6467
  • Anita Mansbridge: anita.mansbridge@ubs.com, +852-2971 7302
  • Christine Vargas: christine.vargas@ubs.com, +44-20-7568 2409
  • Daniel Perry: daniel.perry@ubs.com, +44-20-79016263
  • Ariel Goyeneche: ariel.goyeneche@ubs.com, +49-69-1369 1275

Key Definitions

• Forecast Stock Return (FSR): Expected percentage price appreciation plus gross dividend yield over the next 12 months.
• Market Return Assumption (MRA): One-year local market interest rate plus 5% (a proxy for equity risk premium).
• Short-Term Rating: Reflects expected performance within three months.
• Under Review (UR): Indicates that the stock's price target and/or rating may change in the near term.

Analyst Certification

• Each analyst certifies that their views reflect personal opinions and were prepared independently.
• No analyst compensation is directly or indirectly related to the specific recommendations or views expressed.

Disclaimer

• The document is provided by UBS Securities Australia Ltd, an affiliate of UBS AG.
• UBS Global Research is based on proprietary quantitative models and is independent of fundamental equity research recommendations.
• The views are current as of the date of publication and may change without notice.
• The document is for educational purposes only and is not an advertisement or solicitation.
• It is not intended for distribution to or use by any person or entity in jurisdictions where it would be illegal.
• Recipients must not copy, revise, amend, or commercially exploit any UBS research without prior written consent.