概要：
小盘股的结构性行情：在流动性的约束下，小盘股将会有结构性的机会。这是因为大盘股在2017年大幅上涨之后，它们的相对收益已经趋于极端。随着未来几个月通胀压力抬头，信贷增速放缓，债券收益率很可能在2018年一季度前仍难显著下行。相对于无风险的国债而言，大盘股虽盈利稳定，但估值却越来越高，并已开始失去明显的投资价值。从大盘股向小盘股轮动的过程将会是曲折的——直到这一趋势最终被大部分人认可为止。大盘股仍将有个别，而非系统性的机会。由于对增长和通胀反映的时滞，债券、股票和商品在2018年不同时段都各有“小熊”。
Structural opportunities in small caps: Given the liquidity constraints, structural opportunities in small caps will emerge. Large caps have run hard in 2017, and their relative outperformance is approaching extreme. As inflation pressure builds in the coming months and credit growth weakens, bonds will stay cheap till around 1Q2018. Large caps, with their steady bond-like earnings but increasingly expensive valuation, have started to lose its appeal, especially relative to bonds.
The rotation from large caps back to small caps will zigzag - before the trend becomes apparent for most. Some large caps will continue to perform, but the strength will unlikely to be ubiquitous. With the time lag in reflecting the changes in growth and inflation, bonds, stocks and commodities will each see “small bears” at various stages during 2018.
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2017年大盘股大幅跑赢了小盘股。我们在2017年里的一个重要的投资建议是买入大盘股，同时极力避免小盘股。我们当时的逻辑是，在经济扩张的中期到后期，大型股往往会跑赢。这是因为它们的盈利增长稳定，而其估值相对于小盘股当时更为合理。2017年里的情况也的确如此。以上游大型大宗商品生产商为主导，主板里大盘股盈利比中小创复苏得更快（图表三)。我们买大避小的推荐在2017年在中美和香港市场里都表现得淋漓尽致。而以大盘股为主的恒指和恒指国企指数是全球表现最好的主要股指之一。
Large has outperformed small in 2017. One of our key calls throughout 2017 has been buying large caps while avoiding smaller caps. Our logic is that during the mid- to late-stage economic expansion, large caps tend to outperform, as they have steady earnings growth and more reasonable valuation relative to small caps. Indeed, the earnings growth of large caps on the main board has recovered faster than that of small caps and the ChiNext, mostly driven by the strength in large upstream commodity producers (Exhibit 3).
This call has worked well in 2017, with large caps outperforming small caps in China, Hong Kong and in the US. And the HSI and HSCEI, dominated by large caps, are among the best-performing major stock indices globally.
图表三: 2017年主板大盘股盈利复苏快于中小创。但中小创的盈利增速仍比主板快。
Exhibit 3: Earnings recovery on the main board has been faster than that of small/mid caps and ChiNext. But the relative improvement has started to stall.
大盘股相对回报趋向极限。随着整个2017年全球范围内大盘股的相对强势不断地演绎，当下，大盘股的相对回报在中港两地已经达到极端，而在美国市场则迅速趋向极端。中国小盘股相对收益的压抑程度类似于2012年小盘股牛市开始的前夕（图表四）。
Large caps’ relative return is approaching extreme. As large has been beating small throughout 2017 globally, large caps’ relative strength is now stretched into extremes in China and Hong Kong, while rapidly approaching extreme in the US market. Small caps’ relative underperformance in China is similar to the level that initiated the bull market in small caps in 2012 (Exhibit 4).
图表四: 全球大盘股相对强势开始趋向极端，预示着资金应开始向小盘股轮动
Exhibit 4: Large caps’ relative outperformance reaching extreme globally; small caps set to bounce
与此同时，美国股票等权重广义市场指数创逾五十年新高。这一现象表明，小盘股开始有所表现（图表五）。但有些令人困惑的是，尽管近期美国经济形势强劲，这种广基的市场动能强势在经济周期扩张的后期阶段开始进一步显示出来。除了当前美国经济的强势之外，市场似乎对特朗普税改持非常乐观的态度。如果这种广基市场价格动能强势持续下去的话，大小盘将一起推动海外市场进一步升至新高。
Meanwhile, the index of an equal-weighted portfolio in the US is breaking into new highs for over five decades. Such a phenomenon suggests that smaller caps have started to perform (Exhibit 5). Together with the large caps, they are propelling the US indices to new highs.
While recent US economic releases have been strong, it is bewildering such broad-based market strength is emerging at a late stage of economic expansion. Besides the current strength in the US economy, the market appears to be very optimistic on Trump’s tax reform. If such price momentum persists, it will push markets even further to new highs.
图表五: 等权重广义市场指数突破50多年新高，显示小盘股开始强势。
Exhibit 5: Equal-weighted broad market index breaks new high, suggesting strengthening small caps
