Category: Ideas

报告期内基金投资策略和运作分析

2022年我国经济面临的下行压力比较大，两会政府工作报告提出了5.5%左右的经济增长目标，要实现这个目标需要通过新老基建持续发力，地产政策的逐步放松来实现。稳增长的方向在一季度比较好的受到市场的追捧，而“新半军”方向外部受到俄乌冲突导致的供应链干扰以及大宗商品上涨带来的通胀压力，内部受到国内不断散发的疫情管控导致的企业停产和物流中断的干扰。

进入二季度以来国内受到了来自上海、吉林等地城市爆发的疫情导致诸多行业尤其是汽车制造业受到停产停工的影响，以及消费场景的缺失。市场也经历了较大幅度的回撤。经历长达1~2个月的努力，国内疫情逐步得到控制，从4月中下旬逐步开启了复产复工和消费复苏的道路。新能源汽车、汽车零部件、光伏以及消费等行业也逐步走出了底部，迎来了一波较强的预期修复，不少品种不仅回到前期高点，甚至创了历史新高。

上半年基金的主要配置方向聚焦在“复产复工+消费复苏”。复产复工围绕新能源汽车、汽车整车和零部件、光伏以及大众消费，同样受益于疫情控制好转后的医疗服务（眼科、医美等）我们也进行了重点布局。同时本基金也配置了半导体和军工领域的一些阿尔法属性较强的次新股。在新能源的方向，我们在持续做各种持仓品种的优化，尽最大可能选择瑕疵和干扰最小的细分赛道以及个股。同时我们也引入了部分弹性更大的二三线品种的研究和布局，比如新能源汽车细分领域和汽车零部件领域的新进入者，这些品种原有主业存在比较扎实的安全边际，其新进入的领域则需要逐步验证和证实，一旦证实成功市值空间将会打开。此外，本基金一直在光伏领域进行了重点配置，其中包括我们认为供需格局比较好的高纯石英砂，行业增速最快的环节微逆等。新的技术路径我们认为未来topcon和hit应该会并存，短期看topcon已经在下游用户招标上开始放量，业绩今年已经开始落地。在医药领域本基金主要配置了HPV疫苗、中药、医美和医疗服务等。大众消费领域主要围绕白酒啤酒以及其他消费品做了布局。

从今年以来基金净值的波动看，一季度经历了比较大的回撤，这个是需要我进行再次反思的地方。个人的力量无法对抗市场短期的波动，我们始终在严格的审视自己的组合的架构以及所选择个股未来到底能不能走出来。但是同时我本人也需要进一步完善投资框架，尤其是把宏观波动融入到组合管理中来。

管理人对宏观经济、证券市场及行业走势的简要展望

展望下半年，我们认为再度爆发系统性风险的机会偏小，我们对经济复苏和复产复工的前景更加看好。三季度看汽车零部件较之二季度基本面环比向上的趋势比较确定，一方面来自产能利用率的大幅度提升，另一方面来自于大宗商品价格回落带来的中游制造业盈利能力的提升。另外光伏板我们持续看好，尤其是看好今年招标落地比较多的topcon技术路线，同时我们认为石英砂的供应在未来几年仍然是偏紧的格局，无论是国内的新进入者还是海外的扩产都有本身的局限性。不受技术路径干扰的储能逆变器环节、带材以及银浆等也都非常值得关注。此外消费复苏的前景值得期待，前期受到疫情散发干扰因素比较多，我们等待基本面改善的积极信号出现。最后是计算机板块目前资金处于非常低配的位置，我们看好数据安全领域即将跨越从0~1的过程，这是一个蓝海市场，暂时看不到天花板，容易诞生大市值公司，我们只需要付出一点耐心即可。同时我们等待相关招标启动后给半导体和计算机软硬件公司带来业绩边际改善的机会。

综上：本基金配置的方向始终围绕“医药+消费+科技”的配置思路，不断优化组合的品种，逐步增强组合持仓的阿尔法属性，通过长周期持有来对抗短期市场的波动。

Ref

http://www.hsfund.com/upload/20220831/20220831094947470.doc

The pandemic damaged the international trading business. Sri Lanka is for its Tea (Ceylon), which accounts for about 10% of its total export, and textile and fabric products’ exports account for more than 40% of its total export. Export takes also a huge amount of total national income, though net export keeps negative over years. The country is highly vulnerable to changes in international business and policies. The Pandemic resulted in unprecedented damages to the whole economy. A brief path is shown in the following.

1. Pandemic blocked Export. The conflict between Ukraine and Russia increased the commodity price, which was highly reliable for Sri Lanka. Therefore, export decreased by decreasing quantity and import increased by increasing price, so the gap enlarged.
2. A falling down in Net Export made GDP decrease and Foreign Exchange Reserve Decrease.
3. Travelling industry was also blocked. National income from travelling decreased from more than 4 billion dollar to about 0.5 billion dollar.
4. Without enough Foreign Exchange Reserves, the FX rate became uncontrollable. LKR kept decreasing, and the government could not do a lot, because there is no space to buying back LKR.

In sum, the sources of national income is so simple that is easy to be affected by negative impulses.

In addition, changes in fiscal policy, tax cutting, in 2019 made the government unaffordable to government spending. The gov had to print money, which resulted in inflation and no real term increase. The fiscal policy negatively enhanced the difficulty of Sri Lanka.

What could individuals do in the recession.

Nothing!

The macroeconomy is significantly reflected by the Fed, the president of Fed, CB of each country, etc. The impacts on the economy are from two parts, one is the real policy implemented, the other is the sentiments (including the expectation of policy implementation.

In the most recently Jackson Hole ended two days ago, on Friday last week 26th Aug, Powell, who is the chair of Fed, showed his forceful attitude toward inflations. His speech disclosed that inflation is still in a high level, and not a place to stop or pause.

Personal Consumption Expenditure data is about 6.3%. Although PCE is less than in March, it’s still in a very high level.

The market reacted to the speech in Jackson Hole by a significant decrease, and also Bitcoin price, as a leading factor of market sentiment, dropped about 5% to less than 2k dollar. The market would definitely have reaction based on expectation. Personally, I am not optimistic toward the world Econ. Since the beginning of 2020, helicopter drops resulted in the unprecedented growth in the US market, the QT right now would force the market go back to the beginning adjusted with fundamental growth. Let’s see what would happen in the following months.

Powell insisted that the Fed will keep the 2% inflation target, coz high inflation rate would be harmful especially to the middle class and the poor. Therefore, he stated the Fed would keep QT and rise interest rate, and another 75 basis point increase in interest rate could possibly happens depending on the macro and statistical data.

My idea is coincidentally compatible with Powell’s. Although the market has foreseen the turning point of the inflation, the inflation rate is still in an extreme high level.

The market seemingly is pricing in the expectation that inflation would be about 4% by the end of this year. `Investing in Energy and Metal Commodity might still be a good choice.

China is facing a completely different problem. Low demands and high savings damage the economic growth, and the gov still choose to stimulate the Econ through the Real Estate, which is an ineffective way in my view. Chinese gov is lower the the long-term LPR, in order to rise mortgage loan and long-term investment loan, which could boost the econ growth in long term. However, the contradiction of monetary policy between US and CN is extracting the magnitude of our monetary policy. Starting to figure out a way to boost demand and keep developing high-barrier high tech industry seems a better path.

Price cycles are highly synchronized across commodities

Energy, Metal, are Previous Metals are generally more volatile to global macro factors, while Agricultures and fertilisers are relatively stable.

In a word, commodity prices are highly correlated.

The commodity prices of some highly volatile commodities such as energy, metal, and precious metals are more likely to move in a similar way. For example, the increase in the crude oil price pushed up other commodities’ prices (inflation, or price level, is going higher as well, because the crude oil affects a large range of industries).

Global macroeconomic shocks have become the main source of commodity price volatility

Since 1996, global demand shocks have accounted for 50% of the variance of global commodity price growth, while global supply shocks accounted for about 20%.

We note that there are no obvious huge supply shocks after 1996. The market experienced the dot com bubble, the 2008 financial crisis, and the Covid pandemic.

Data shows that between 1970 and 1996, supply shocks dominate. During that period, the global market was exposed to the Oil Crisis in the 1970s.

In the current world, we may consider the Ukrian Russia Crisis causes a supply shock of energy commodities. Also, the de-globalisation process, trade protectionism, and increasing focus of sovereigns on metal resources are decreasing the supply and harming global transactions of those commodities.

The macroeconomic condition affects the commodity price in a significant way.

Global recessions have been accompanied by demand weakness and supply disruptions

In the recession, with demand weakness and supply disruption, the impacts on commodities may offset each over, but undoubtedly there is a decrease in the quantity needed and supplied. In 2020, these were offset by supply pressures resulting from widespread supply chain disruptions (in early 2020). Decrease in demand and disruption in supply offset their effects on the commodity price.

However, the price could definitely be volatile, and the effects would largely depend on whether the demand shock or the supply shock dominate. During global recessions, demand pressures on commodity prices were compounded by supply pressures specific to commodity markets (1975, 1991, 2020 late)

The recovery of commodity prices after recessions has been driven by an unwinding of supply or commodity market shocks and, since early 2000, also by rebounds in demand. Consistent with this, the surge in commodity prices in 2020-21 can be explained by a strong resurgence of demand, combined with unusually widespread supply bottlenecks.

The Monetary Factors are also needed to be taken into consideration. With more liquidity in the market, money would be used to chase those goods that are less likely to lose their value.

In The Recently World

Months before, the Ukraine-Russia war causes sanctions on crude oil and natural gas export from Russia, blocking the supply of those commodities to the EU. However, Europe is recovering from the pandemic, and thus has rigid demand for them. In the meantime, Quantity Easing by the U.S. release extra money into the market and push up the commodity price even further. Commodity prices went up.

Currently, the Fed announces that it will fight the inflation rate back to the 2% target, and thus increases the federal reserve rate with a schedule. Fed causes the panic of getting into recession. With that pessimism expectation, demand is expected to fall and commodity prices would fall.

Reference

https://blogs.worldbank.org/developmenttalk/commodity-price-cycles-causes-and-consequences

游原材料涨价是供给决定，下游是由需求决定。

• Smiling Curve，附加值越大（可替代性越弱）则market power越大，定价能力越大 ==> 利润越大。于是Smiling Curve形成。

1. 上游勘探开采，类似VC，高风险，高开采勘探难度 <=> 高收益。
2. 中游可替代性弱，利润低。
3. 下游，用中间产品生产产成品，大量技术科技附件，专利成本累计等带来相对高不可替代性 ==> 高利润 （取决于产品是否有不可替代性）。

• 上游

1. 供应链角度：此前疫情原因矿山停产（or if 上游价低导致上游停产后造成的供不应求endogenous原因）导致上游产能受exogenous factor影响而降低，供给减少。上游原材料价格上升。P.S. 双碳导致国内矿山开采减少，大多向海外开新矿产资源，成本风险高（部分压缩上游利润，部分把价格高传导至中游下游）
2. 国际经济情况同时对上游有直接影响。如：放水or高不确定性orCompetitive Goods(crude oil) price上升等因素带来的commodity price提升会传导至上游有色金属原材料价格 through e.g. imports。因为中国对大多有色金属矿为净进口e.g. lithium
3. 还需考虑国际进出口限制，关税，国别风险等
4. 附加值角度见上：游勘探开采，类似VC，高风险，高开采勘探难度 <=> 高收益。
5. P.S. Why上游高收益。前期勘探等成本虽大，但是勘探后项目落成后，勘探的成本会归于Fixed Assets or COGS中。矿山开采时，成本仅为员工费&设备使用等，也就意味着开采时成本较低且较固定（COGS+D&A为固定成本，人员燃料等为可变成本占比较小），此时早期勘探的成本会分摊or摊销到COGS+exp中。进入开采阶段时，如果Price提升，那么Gross Profit大，因为rev大，cogs（开采成本小）。Gross Profit – Dep&Amot （包含勘探成本）得到的金额相对调回。但是实际上，Dep&Amot支出并非当期cash outflow，所以当矿山进入开采阶段后，gross profit会显著增大。

• 中游

1. 冶炼or加工，产品附加值小。中游难以拥有议价能力，上游价格提升会使中游利润进一步压缩。
2. 中游议价能力低导致受上游挤压，同时受下游挤压。
3. 较上游，矿山勘探等周期30-36months，而中游建厂到生产仅需要10-12months。这导致了1.上下来供应链错配，导致了有色行业的周期性。2. 中游可替代性低，entrants in, and imcumbants earn less=>利润低。

• 下游

1. 下游企业受制于市场，price rigidity导致价格弹性相对小，因为下游终端消费者价格敏感。导致企业不敢随意加价。
2. 同时下游存在直接与消费者的供需关系，考虑industrial organisation，考虑消费意愿下降（中国存款结构，历史文化原因）。
3. 品牌、服务、技术带来的不可替代性带来溢价。

P.S. Industrial Organisation all the way

• Trafigura模式。交易商

$$ROE=\frac{NI}{Equity}=\frac{NI}{Revenue}\times\frac{Rev}{Asset}\times\frac{Assets}{Equity}$$

$$ROE=Profit Rate \times Assets Turnovers \times Leverage$$

1. 因为模式为trading，所以难以避免高成本高收入仅赚流转费用，=> Profit Rate低。
2. 但是Assets Turnover大，因为交易量大
3. Leverage大，

==>1虽小，但是2&3大，使得整体ROE大。

2大的基础在于规模大，3大的基础在于与银行保持好的关系 && 有足够的流动资产来帮助企业提高评级获得银行带来的更多流动资金需求。

近期美国Biden政府比表示正在研究是否取消部分对中国出口商品加征的关税（自Trump政府遗留，交运设备占大多）。Biden及Fed表示强烈的态度去控制通胀，取消关税可能是去降低通胀的方式之一。

关税对汇率的影响路径

• Way 1: Through Price

Domestric country Foreign country两国。F对D为净进口，降低关税意味着进口商品价格降低，=> CPI降低 （通胀降低）。其中进口商品价格下降会带动：1. 最终消费品价格下降，2. 中间品价格下降，3. Competitive Goods价格下降（此部分的影响占大多）。

同时根据Law of One Price,

$$ForeignCurrency = Domestic Currency \times Exchange Rate$$

因CPI of F降低，LHS降低，而Domestic Currency不变，导致Exchange Rate降低，降低比例与Foreign Currency降低比率相同。

• Way 2: Through Quantity

F买D价格降低，对D进口需求增加，无论支付Foreign Currency还是Domestic Currency都会带来Foreign Currency供给增加or Domestic Currency需求增加，==> Foreign Currency Depreciates & Domestic Currency Appreciates