量化分析：放缓将至？

17 April 2025 The world has paused and so has our regime indicatorAfter a rip-roaring start to 2025, risk assets were roiled by worse than expectedUS Equity & Quant StrategyUnited States tariffs (note), then lifted by astay of execution (note), leaving the S&P 500 in a 5100 to5500 trading range since then. Our US Regime Indicator flipped from an Upturn to thefirst month of a Downturn. Is this a wobble or a phase-shift? The indicator has been flip-flopping between these phases since February 2022 amid volatile macro signals as wellas inventory and demand whipsaws–first from COVID, now from front-running tariffs.The two indicator inputs that improved in April (inflation and capacity utilization) may beattributable to hoarding/ demand pull-forwards ahead of tariffs. The remaining six (EPSrevisions, GDP revisions, Treasury yields, ISM Manufacturing, Leading EconomicIndicators and Credit) weakened. Savita SubramanianEquity & Quant StrategistBofAS+1 646 855 3878savita.subramanian@bofa.com Alex MakedonEquity & Quant StrategistBofASalex.makedon@bofa.com Tyson Dennis-SharmaEquity & Quant StrategistBofAS+1 646 855 5717tyson.dennis-sharma@bofa.com Different credit cycle: sovereign risk supersedes corp.riskCredit spreads widened ~200bp peak to trough this year, the biggest move since 2020. Unlike 2020, default risk and credit demand remained stable. Our credit strategistshighlight a new theme:credit risk stemming from underlying 10y Tsy volatility. A foreignbuyers strike in T-Bonds, higher uncertainty in US policy and high government debt arecontributors. Meanwhile, fundamental dividend safety, a measure of corporate health, issuperior to prior downturns, and is better in the Value index than Growth (Exhibit 11). Exhibit1: Top/Bottom 5 screens(unconstrained) in1Q25As of3/31/2025 In a downturn, focus on sales over EPS, needs over wants We like inexpensive stocks with positive growth, but find that sales-based valuation andrevision metrics have tended to outperform earnings measures during prior Downturns(Exhibit 7). Why? Demand for discretionary goods tends to drop, unit volume sales declineand top line growth can grow scarce. Margins can be more easily maintained by costcutting, but pricing power is required for sales growth during a Downturn–and pricingpower is more evident in non-discretionary categories. The Russell 1000 Value index hasa higher proportion of earnings contributed from non-discretionary goods and serviceslike utilities, telecom, insurance, drugs, rent, etc. than the Russell 1000 Growth index(Exhibit 10). But not all value is good value: select higher multiple media and retail(Magnificent 7 members) may be better protected by scale, content, switching costs, etc. Remember highquality dividend yield?With increasing policy uncertainty, volatility is likely to remain elevated. And tariffs pose inflation risks. High quality is the best hedge against volatilityin our view (Exhibit 23),and inflation-protected income will likely drive alpha. A traditional high quality dividendyield approach may be prudent. We screen for high quality stocks with above-marketdividend yields in the S&P 500 ex-Financials (Exhibit 26) and separately within Financials(Exhibit 27), a sector where we maintain an overweight. Disclaimer: The valuations and screens containedherein are useful in assessing comparative valuationsand comparative earnings prospects and are notintended to recommend transactions relating to anyspecific security. These indicators shouldbe used ininvestment decisions only with other factors includingfinancial risk, investment risk, management strategiesand operating and financial outlooks. Downloadunconstrained factorsconstituents/historical returnsandsector-neutral constituentsin Research Library Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors.Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.BofA Securities does and seeks to do business with issuers covered in its researchreports. As a result,investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 38 to 40. Contents The world has paused, and so has our Regime Indicator3In a downturn, focus on sales over EPS, needs over wants5Value > Growth6Remember high quality dividend yield?9Factor valuation and positioning12Top decile/quintile factor performance13Bottom decile/quintile factor performance14Advances and Declines15Sector-neutral factor framework17Price/Sales21Price Return–3-Month Performance21Price Return - 12-Month & 1-Month Reversal22Price Return–12-Month and 1-Month Performance22Price Return–11-Month Performance23Projected Five-Year EPS Growth23Beta24One-Year Return