文档介绍：19 August 2020
Global Macro Strategy
Global
Keith Parker Strategist +1-212-713 3296
Navin Jacob Analyst +1-212-7 less is priced at an industry levelWe estimate vaccine sensitivities using avg returns on major news days (>) for all aspects of the equity market, highlighted below. YTD returns for S&P 500 industries have been -63% correlated to respective vaccine sensitivities. The beta coefficient in that relationship points to 14 big vaccine news days needed for industries to get back to pre-COVID levels, vs 4 big days since May. That implies a 22%+ probability a vaccine is priced (4 divided by 4+14). Additionally, the rolling beta of YTD returns to respective vaccine sensitivities troughed in early May, jumped in the first wave of vaccine news, but the beta is just off the lows. Both suggest a vaccine is not really priced for industries and point to greater relative upside for vaccine sensitive stocks in a good outcome.
-Styles. Small caps outperformed large caps by 〜2Pp on major vaccine news days, implying a 〜13pp+ potential outperformance of small vs large on a vaccine using the 33-40% probability above. Value vs Growth indices were much less sensitive.
-Sectors/industries. Airlines, Hotels/Leisure, Autos&Comp, Energy, HH Durables, Apparel, Industrials (most segments), Banks and Cons Finance are most positively geared to a vaccine while Staples, Pharma/Biotech and Telecom are the least sensitive. Tech and Comm Svcs avg returns were only slightly below the market on vaccine days.
-Regions. Europe has been more sensitive to vaccine news than Japan, EM and Asia.
-Macro. The rise in rates across the curve (1-3bp) has been small on positive vaccine news days, while FX, gold and other commodity moves have been even more muted.
-Stocks. We provide estimated stock sensitivities to vaccine news in an excel file (link).
UBS analysts* views on the paths forward for a vaccineUBS Pharma/Biotech analysts lay out the state of most leading vaccines, the path