Quant YQuant Yearly Outlook 2019early Outlook 2019content.icicidirect.com/mailimages/IDirect_DerivativesYearlyStrategy_2019.pdf · Time Frame MSCI EM Index NSE Midcap Index ea 25.7%

Any extended fall in Nifty in 2017 is likely to halt at 7400. Since 2009 all major panics are absorbed at Mean-2*Sigma level which is currently placed at 7400

Research Analysts :Amit Gupta [email protected] | Azeem Ahmad [email protected] | Raj Deepak Singh [email protected]

Nandish Patel [email protected] | Gaurav Shah [email protected]

Quant Yearly Outlook 2019Quant Yearly Outlook 2019

Rejuvenated FII flows to drive broader markets propelling Nifty to 12100

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Start Date End Date FII Flows

Indian

Rupee

Brent

Crude

Current A/c

deficit

Forex

reserves Import Cover IND-US Yield Diff

+ Real

Yield

Jul-11 Dec-11 Outflow a r a a a a r

Jun-13 Aug-13 Outflow a a r a a a a

Sep-13 Nov-14 Inflow a a a a a a a

Dec-14 Feb-16 Outflow a r r r r a r

Mar-16 Sep-16 Inflow a r a a r a a

Sep-16 Nov-16 Outflow a a a a r r a

Jan-17 Mar-17 Inflow a a r a r a a

Aug-17 Sep-17 Outflow a a a r a r a

Nov-17 Jan-18 Inflow a r r a a a a

Feb-18 Oct-18 Outflow a a a a a a a

Probability of variables impact on FII flows 1.0 0.6 0.6 0.8 0.6 0.8 0.8

Source: Bloomberg, ICICI Direct Research

December 13, 2018 ICICI Securities Ltd. | Retail Equity Research 2

.

Domestic, global variables suggest FIIs flows to resume in 2019…

• Stability of macro variables is the key for FIIs’ allocation in India out of its total EM allocation

• In the table above, major blocks of FIIs’ inflows and outflows are correlated with these variables. Key macro variables that

have a high impact on FII flows are currency, crude, current account deficit, forex reserves to import cover, India-US yield

differential and real yield. The strongest impact is seen from currency. Hence, a stable rupee is essential for FII flows

• Currently, improved macro variables suggest a conducive scenario for fresh inflows from FIIs and DIIs

FII flow depends on following variables that greatly explain their positive/negative stance

Note : Marked in maroon are FIIs outflow episodes, while marked in Blue are FIIs inflow episodes . Tick mark explains the higher impact caused by that

variable while a cross mark represents lower impact

Key Insights

Similar variable

impact was seen in

2013 and now in

2018 ahead of

general elections.

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Variable 1: Rupee to rise towards 67.0 levels in medium term



If rupee repeats its historic precedent, then appreciation till 67 can be seen from lows of 74.46

20

30

40

50

60

70

80

Feb-92

Feb-93

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Feb-10

Feb-11

Feb-12

Feb-13

Feb-14

Feb-15

Feb-16

Feb-17

Feb-18

US

$IN

R S

pot

Rupee appreciates by over

11% from its new lows prior

to the 1996 general elections



to the 2004 general elections



to 2009 general elections

Historic trend suggests

rupee could rise

towards 67-levels in

medium term post 2019

elections

FY

Election

year% Depreciation

1995-96 1996 8.6%

1998-99 1999 7.4%

2003-04 2004 -8.2%

2008-09 2009 26.5%

2013-14 2014 10.3%

Apr 01, 2018-till date 2019 9.8%

9.1%

9% average rupee depreciation seen before general elections

Depreciation before elections

Average depreciation of rupee

before general elections is over

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Variable 2: Crude likely to remain within 50-75. Large long liquidation of 50% likely to keep upsides limited


Since 2014, every time net long liquidation has exceeded 50% in crude, it has gone sideways

Brent range $50-65

(Duration: 8 months)

Brent range $45-55


Brent range $50-70


Expected Brent range

for 2019: $50-75

Incidences of crude witnessing more than 50% long closure


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Current domestic and EM macros in risk-on mode

• Since the start of October 2018, as crude declined sharply, the key headwind for India in the form of higher current account

deficit and currency weakness has ebbed

• With 75% of MSCI EM basket negatively correlated with crude prices, the decline in crude prices has lifted “animal spirits”

for EM equities. Additionally, dovish Fed commentary on being closer to “neutral rate” has softened the year long rate

divergence problem that most EMs were facing. This has triggered risk-on sentiment across EMs

Trifecta of declining crude, recovering rupee and convergence in EMs are key catalysts for Indian market up move

Risk-on

Sentiment

Variable 1:

Recovery in

rupee

Variable 2:

Decline in

crude prices

Variable 3:

EM in

convergence

mode

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Variable 3: Flows likely to revert to EMs on stable currency outlook


Z-Score suggests convergence trend

has begun

S&P to MSCI EM price ratio chart: It is reverting down as indicated by Z-score

Lower ratio means outperformance would be seen in EMs vs. S&P


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Variable 3: Last four decades analysis of flows moving into EMs when convergence trend starts



Divergence EpisodeStart Date End Calendar

Episodes Date Date Days S&P 500 MSCI EM Divergence Convergance ( in Month) EM S&P 500

1982 8-Mar-82 13-Oct-82 219 28 -17 45 13 22 19

1987 19-Oct-87 5-Jan-88 78 15 -21 36 13 28 15

1994 22-Sep-94 8-Mar-95 167 5 -32 37 4 24 16

1994 13-Jul-95 16-Nov-95 126 6 -14 20 19 31 49

1997 7-Jul-97 12-Jan-98 189 3 -38 41 3 23 17

1998 8-Apr-98 6-Jul-98 89 5 -22 27 2 -29 -17

2000 7-Mar-00 1-Sep-00 178 12 -18 30 3 -20 -9

2013 9-Jan-13 24-Jun-13 166 8 -18 26 4 17 8

2013 15-Oct-13 11-Mar-14 147 10 -7 17 5 14 7

2014 25-Aug-14 26-Dec-14 123 5 -12 17 4 9 0

2018 1-Apr-18 2-Oct-18 184 9 -14 23 Current -6 -9

Returns (%) Rally post (%)

In trailing four decades divergence episodes between S&P and MSCI EM has been a common phenomenon

Divergence trade : When S&P gives higher

returns than EMs

As shown, already 184 days period of S&P

outperformance is over, which is near

average

Convergence trade : When EMs start

giving higher returns than S&P

Now flows may start building up higher in

EMs as seen historically when S&P

outperformance has faded out after

average of 180-200 days

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Key risk to flows mainly from global in 2019…

December 13, 2018 ICICI Securities Ltd. | Retail Equity Research 8Source: Bloomberg, ICICI Direct Research

Growing risks in US corporate bond

• US nonfinancial corporate debt is at its

all-time high and average credit ratings of

investment grade debt have fallen sharply

• Elevated leverage & risk of higher funding

costs point to debt servicing challenge

• Roughly US$ 2.4 trillion of the investment

grade (IG) has credit rating of BBB

(comprising nearly 50% of mkt cap of IG)

Continuous trade war may slow

GDP growth

• Trade war has been a major headwind

from the start of 2018. Trade tariff dispute

between US-China is at centre stage

• While there is softening of stance by 90

day extension for increasing tariff from

10% to 25% but major contentions in key

issues are unresolved

• If the trade war continues to simmer in

2019 then a global trade slowdown is

likely to feed into lower GDP growth

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India midcap index has high correlation with MSCI EM index


Time Frame MSCI EM Index NSE Midcap Index

3 Year 25.7% 28.5%

2 Year 16.3% 18.1%

1 Year -12.6% -13.2%

6 month -13.3% -13.0%

• India midcap index has high correlation with MSCI EM index. The

high correlation is visible with their returns from different time

periods

• Both indices have witnessed declines in excess of 25%. With the

expected recovery in Emerging markets, we expect Indian

midcaps to also start performing in 2019

Returns of EM and India Midcap index are highly correlated

India Midcap index

MSCI EM index

Normalised chart of MSCI EM, India Midcap index


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Dissection of FII flows into Indian markets : NSE 100 stocks performance vis-à-vis FII ownership



Biocon

HDFC Ltd

Ultratech Cem

Reliance

Axis Bank

Bajaj Auto

Wipro

TCS

Titan

COLPAL

Britannia

HDFC Bank

United Spirits

Tata Motors

Indusind Bank

UPL

CONCOR

Asian Paint

-0.50

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-0.20

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0.00

0.10

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-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

....…

.C

haneg

in FII O

wnership

.…

…..

…………Stock Price Performance……

Price performance

Price performancePrice performance

Price performance FII OwnershipFII Ownership

FII OwnershipFII Ownership

Size of bubble indicates Market cap

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Apollo Hospital

Exide Ind

SRF

Berger Paint

Federal Bank

Torrent Power

UBL

Torrent Pharma

TVS Motors

Voltas

Ramco Cement

Page Ind

IGL

Bata India

Divis Lab

M&M Finance

V Guard

-0.35

-0.25

-0.15

-0.05

0.05

0.15

0.25

-0.40

0.10

0.60

1.10

1.60

....…

.C

haneg

in FII O

wnership

.…

…..

…………Stock Price Performance……

NSE midcaps price performance vis-à-vis FII ownership



Price performance

Price performancePrice performance

Price performance FII OwnershipFII Ownership

FII OwnershipFII Ownership

Size of bubble indicates Market cap

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Nifty Outlook for 2019


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Nifty: Higher flows to eventually lead to cool off in volatility


Volatility spurts have faded out nearly 25% since 2016


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Upside of 20% seen in Nifty when volatility starts cooling off…Nifty target for 2019 near 12100


The Nifty has given average return of 20% from lows whenever volatility has come off from 25% or 35%

levels. From a duration perspective, when volatility cool-off is seen from 25%, the Nifty has given

returns in almost 200 days. Returns have been quick (average 150 days) when volatility has declined

from higher than 35%

Nifty recovery when IndiaVIX has topped

at 25%.

Nifty recovery when IndiaVIX has topped

at 35-40%

Date Nifty Lows Date Nifty Highs No of Days % Return

Oct-11 4720 Feb-12 5629 115 19.3%

Sep-13 5118 Jan-14 6358 122 24.2%

May-14 7563 Nov-14 9119 174 20.6%

Feb-16 7512 Sep-16 8968 210 19.4%

Nov-16 7916 Jul-17 9700 230 22.5%

Feb-18 9958 Aug-18 11760 206 18.1%

20.7%

From base case of 10000 12067.9

Nifty pullback when volatility has started declining


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Stock Weight (%) Current Prices Major Support Impact on Nifty (Points)

HDFC Bank Ltd. 10.5 2059 1900 88

Reliance Industries Ltd. 9.2 1097 980 110

Housing Development Finance Corporation 7.5 1905 1700 90

Infosys Ltd. 5.9 674 580 95

I T C Ltd. 5.7 274 240 80

Tata Consultancy Services Ltd. 4.9 2000 1700 86

Larsen & Toubro Ltd. 4.1 1361 1170 67

Kotak Mahindra Bank Ltd. 3.8 1218 1010 78

Hindustan Unilever Ltd. 2.9 1795 1580 39

Others (Rest of top 15 in Nifty) 15 160

Nifty 10550 894

Major Support level for Nifty 9656

Nifty value derived through its components: Worst case scenario placed near 9650


In case of extended sell-off, Nifty value derived after deducting 1 sigma level from its heavyweights


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Quant Picks for 2019

Quant Picks for 2019

Sectors Stocks Initiation Range Target Stoploss Time Frame

Consumer Discretionary Asian Paints 1290-1310 1635 1110 12 months

Banking Federal Bank 83-86 112 69.5 12 months

FMCG Nestle India 10550-10850 13550 9075 12 months

Cement Ultratech Cement 3820-3900 4850 3320 12 months

Consumer Discretionary United Spirits 605-625 775 520 12 months


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Quant Pick: Buy Asian Paints in the range of | 1290-1320; Target: | 1635; Stop loss: | 1110; Time Frame: 12 Months


Data Snapshot

Asian Paints has continuously found support near its

long term mean levels. Recently, after testing these

levels, the stock recovered on the back of a surge in

delivery. We believe that with lower crude prices and

expected higher FII flows, fresh upsides are likely to be

seen in the stock.

Delivery Z-Score

Lower volatility with closeness to one-

year price suggests eventual

accumulation

Spot Price 1325.00

Beta 0.90

12M Avg Price (|) 1243

12M Avg Volume (Shares) 1030404

3M Avg Roll (%) 77.55%

HV 60 Day (% Annualised) 31.73

Eight-year high delivery volume was

seen when stock tumbled to multi-month

low of | 1120 in October 2018.


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Quant Pick: Buy Federal Bank in the range of | 83-86; Target: | 112; Stop loss: | 69.50; Time Frame: 12 Months


Data Snapshot

Federal Bank has shown a tendency of finding a

significant directional move after spending some time

near its mean-1*sigma levels. We expect the stock to

exhibit a fresh upward bias.

Delivery Z-Score

After 45% correction from highs, the

stock has seen price resilience after last

quarterly results with encouraging

rollovers

Spot Price 86.50

Beta 0.83



3M Avg Roll (%) 86.20%


Delivery volume Z-score has

moved to 1 indicating higher

buying at lower levels


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Quant Pick: Buy Nestlé India in the range of | 10550-10850; Target: | 13550; Stop loss: | 9075; Time Frame: 12 Months


Data Snapshot

After a long consolidation since 2015, Nestlé India

surpassed its mean+2*sigma in 2017. Since then, all

major declines were limited towards these levels. We

expect the positive bias to remain intact in the stock

above these levels.

Delivery Z-Score

Lower volatility as indicated by 60

day historical volatility and higher

rollovers are suggestive of good price

action

Spot Price 10850.00

Beta 0.86



3M Avg Roll (%) 87.03%


A constant pick-up in delivery volume was

seen in the run up to state elections, in

addition to increased buying post results


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Quant Pick: Buy UltraTech Cement in the range of | 3820-3900; Target: | 4850; Stop loss: | 3320; Time Frame: 12 months


Data Snapshot

UltraTech Cement has found support near its long term

mean-1*sigma levels since 2009. Recently, after testing

these levels, the stock recovered sharply. We believe

that with incremental FII flows, fresh upsides are likely

to be seen in the stock

Delivery Z-Score

Still trading below one-year average

price but average rollovers have

remained strong

Spot Price 3900.00

Beta 1.13



3M Avg Roll (%) 86.27%


Staggered delivery based buying emerging

in the stock recently


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Quant Pick: Buy United Spirits in the range of | 605-625; Target: | 775; Stop loss: | 520; Time Frame: 12 Months


Data Snapshot

United Spirits tends to find directional move once it

surpasses its long term mean in either direction.

Currently, long term mean for the stock is near | 520

above which the stock remains a buying opportunity

Delivery Z-ScoreHas consolidated in last five years

and is still trading near the average

price with rollovers picking up

Spot Price 625.00

Beta 1.52



3M Avg Roll (%) 87.47%


Constant pick-up in delivery volume

was seen in the run up to state

elections. Follow up buying is again

remerging


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Pankaj Pandey Head – Research [email protected]

ICICI Direct Research Desk,

ICICI Securities Limited,

1st

Floor, Akruti Trade Centre,

Road no.7, MIDC

Andheri (East)

Mumbai – 400 093

[email protected]

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Disclaimer


ANALYST CERTIFICATION

We /I, Amit Gupta B.E, MBA (Finance), Azeem Ahmad MBA (Fin), CS, Raj Deepak Singh BE, MBA (Finance), Nandish Patel, Gaurav Shah MMS (Finance) Research Analysts, authors and

the names subscribed to this report, hereby certify that all of the views expressed in this research report accurately reflect our views about the subject issuer(s) or securities. We also certify

that no part of our compensation was, is, or will be directly or indirectly related to the specific recommendation(s) or view(s) in this report.

Terms & conditions and other disclosures:

ICICI Securities Limited (ICICI Securities) is a full-service, integrated investment banking and is, inter alia, engaged in the business of stock brokering and distribution of financial products.

ICICI Securities Limited is a SEBI registered Research Analyst with SEBI Registration Number – INH000000990. ICICI Securities Limited Sebi Registration is INZ000183631 for stock broker.

ICICI Securities is a wholly-owned subsidiary of ICICI Bank which is India’s largest private sector bank and has its various subsidiaries engaged in businesses of housing finance, asset

management, life insurance, general insurance, venture capital fund management, etc. (“associates”), the details in respect of which are available on www.icicibank.com.

ICICI Securities is one of the leading merchant bankers/ underwriters of securities and participate in virtually all securities trading markets in India. We and our associates might have

investment banking and other business relationship with a significant percentage of companies covered by our Investment Research Department. ICICI Securities generally prohibits its

analysts, persons reporting to analysts and their relatives from maintaining a financial interest in the securities or derivatives of any companies that the analysts cover.

The information and opinions in this section have been prepared by ICICI Securities and are subject to change without any notice. The report and information contained herein is strictly

confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or distributed, in part or in whole, to any other person or to the media or

reproduced in any form, without prior written consent of ICICI Securities. While we would endeavour to update the information herein on reasonable basis, ICICI Securities is under no obligation

to update or keep the information current. Also, there may be regulatory, compliance or other reasons that may prevent ICICI Securities from doing so. Non-rated securities indicate that rating

on a particular security has been suspended temporarily and such suspension is in compliance with applicable regulations and/or ICICI Securities policies, in circumstances where ICICI

Securities might be acting in an advisory capacity to this company, or in certain other circumstances.

The research recommendations are based on information obtained from public sources and sources believed to be reliable, but no independent verification has been made nor is its

accuracy or completeness guaranteed. These research recommendations and information herein is solely for informational purpose and shall not be used or considered as an offer document or

solicitation of offer to buy or sell or subscribe for securities or other financial instruments. ICICI Securities will not treat recipients as customers by virtue of their receiving these

recommendations. Nothing in this section constitutes investment, legal, accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific

circumstances. The securities discussed and opinions expressed herein may not be suitable for all investors, who must make their own investment decisions, based on their own investment

objectives, financial positions and needs of specific recipient. This may not be taken in substitution for the exercise of independent judgment by any recipient. The recipient should

independently evaluate the investment risks. The value and return on investment may vary because of changes in interest rates, foreign exchange rates or any other reason. ICICI Securities

accepts no liabilities whatsoever for any loss or damage of any kind arising out of the use of these recommendations. Past performance is not necessarily a guide to future performance.

Investors are advised to see Risk Disclosure Document to understand the risks associated before investing in the securities markets. Actual results may differ materially from those set forth in

projections. Forward-looking statements are not predictions and may be subject to change without notice.

ICICI Securities or its associates might have managed or co-managed public offering of securities for the subject company or might have been mandated by the subject company for any

other assignment in the past twelve months.

ICICI Securities or its associates might have received any compensation from the companies mentioned herein during the period preceding twelve months from the date of these

recommendations for services in respect of managing or co-managing public offerings, corporate finance, investment banking or merchant banking, brokerage services or other advisory service

in a merger or specific transaction.


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Disclaimer


ICICI Securities or its associates might have received any compensation for products or services other than investment banking or merchant banking or brokerage services from the

companies mentioned herein in the past twelve months.

ICICI Securities encourages independence in research report preparation and strives to minimize conflict in preparation of research report. ICICI Securities or its associates or its Analysts

did not receive any compensation or other benefits from the companies mentioned in the report or third party in connection with preparation of the research report. Accordingly, neither

ICICI Securities nor Research Analysts and their relatives have any material conflict of interest at the time of publication of this report.

It is confirmed that Amit Gupta B.E, MBA (Finance), Azeem Ahmad MBA (Fin), CS, Raj Deepak Singh BE, MBA (Finance), Nandish Patel, Research Analysts giving these

recommendations have not received any compensation from the companies mentioned herein in the preceding twelve months

Compensation of our Research Analysts is not based on any specific merchant banking, investment banking or brokerage service transactions.

ICICI Securities or its subsidiaries collectively or Research Analysts or their relatives do not own 1% or more of the equity securities of the company/companies mentioned herein as of

the last day of the month preceding the publication of these research recommendations.

Since Associates (ICICI group companies) of ICICI Securities are engaged in various financial service businesses, they might have financial interests or beneficial ownership in various

companies including the subject company/companies mentioned herein.

It is confirmed that Research Analysts do not serve as an officer, director or employee or advisory board member of the companies mentioned herein.

ICICI Securities may have issued other reports that are inconsistent with and reach different conclusion from the information presented herein.

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We submit that no material disciplinary action has been taken on ICICI Securities by any Regulatory Authority impacting Equity Research Analysis activities.

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Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.


Documents

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