亞太投資組合策略研究：發(fā)達(dá)市場政策為黯淡的亞洲經(jīng)濟(jì)基本面增添一抹亮色0919

1、chinafactor(t-stat) mxapjperiodreturn 鄧啟志 thailand 14 12 10 8 6 4 2 2012 年 9 月 19 日 亞太：季度展望 發(fā)達(dá)市場政策為黯淡的亞洲經(jīng) 濟(jì)基本面增添一抹亮色 證券研究報(bào)告 四季度發(fā)達(dá)市場政策和亞太市場基本面之間的互動(dòng)是主線 四季度亞洲股市的一大特點(diǎn)將是歐美積極的政策舉措和中國疲軟的增長基本面和 政策延誤之間的相互作用。最近股市受到政策面推動(dòng)上揚(yáng)，估值接近我們宏觀模 型中的水平，我們認(rèn)為股市進(jìn)一步顯著走高可能還有待于宏觀經(jīng)濟(jì)和盈利增長前 景的走強(qiáng)。歐美地區(qū)政策轉(zhuǎn)變的背景之下，我們認(rèn)為投資者可將北亞作為配置重 點(diǎn)、增加全球

2、周期性股的配置、同時(shí)關(guān)注一些對資產(chǎn)敏感的金融股。 慕天輝, cfa +852-2978-1328 高盛（亞洲）有限責(zé)任公司 劉勁津, cfa +852-2978-1224 高盛（亞洲）有限責(zé)任公司 回報(bào)溫和、道路迂回 我們預(yù)計(jì)四季度亞太股市將取得 3%的溫和回報(bào)。我們認(rèn)為最近的上揚(yáng)行情將繼 續(xù)，季度中期可能會出現(xiàn)回落，季度末仍將取得正回報(bào)。 caesar maasry +852-2978-7213 高盛（亞洲）有限責(zé)任公司 配置重心向北亞傾斜，增加周期性股票配置 我們將韓國上調(diào)至高配，并將臺灣上調(diào)至標(biāo)配以反映北亞增長前景的改善。我們 繼印尼股市表現(xiàn)落后之后將其上調(diào)至高配，并鑒于印度的政策面有利

3、而將其上調(diào) 為標(biāo)配。我們下調(diào)對澳大利亞的配置，因其國內(nèi)增長疲軟且匯率面臨下行風(fēng)險(xiǎn)。 從行業(yè)角度來看，我們建議高配科技、房地產(chǎn)和保險(xiǎn)板塊，低配化工和金屬板 塊。我們的具體操作建議更傾向于相對交易，例如買入全球周期性股/賣出防御性 股。 大部分亞太股市對中國的敏感性高于對歐美的敏感性；宏觀周期中的亞洲股市表 現(xiàn)與周期強(qiáng)度相關(guān) +852-2978-0722 高盛（亞洲）有限責(zé)任公司 sunil koul +852-2978-0924 高盛（亞洲）有限責(zé)任公司 歐陽漢 +65-6889-1199 china offshore hong kong china onshore indonesia high

4、er china factor 60% 40% 20% 0% deeper the contraction, weaker the returns r = 0.82 高盛（新加坡）私人公司 呂成, cfa +852-2978-6613 高盛（亞洲）有限責(zé)任公司 philippines singapore malaysia india taiwan korea australia -20% -40% stronger the expansion, stronger the returns ramasubramanian dharmaraj (212) 934-9678 高盛（印度）證券私人有限公

5、司 0 -60% -202 4 6 us factor (t-stat) 81012 -2-1 0 gli mom growth 12 資料來源：factset、msci、高盛全球經(jīng)濟(jì)、商品和策略研究預(yù)測 ketaki garg (212) 934-6319 高盛（印度）證券私人有限公司 高盛與其研究報(bào)告所分析的企業(yè)存在業(yè)務(wù)關(guān)系，并且繼續(xù)尋求發(fā)展這些關(guān)系。因此，投資者應(yīng)當(dāng)考慮到本公司可能存在可能影響本 報(bào)告客觀性的利益沖突，不應(yīng)視本報(bào)告為作出投資決策的唯一因素。 有關(guān)分析師的申明和其他重要信息，見信息披露附錄，或參閱 由非美國附屬公司聘用的分析師不是美國 finra 的注冊/合格研究分析師。

6、本報(bào)告僅供分發(fā) 給高盛機(jī)構(gòu)客戶。 高盛集團(tuán) 3 5 6 24 36 2 2012 年 9 月 19 日 table of contents executive summary allocation views 4q investment perspective markets sectors: global over commodity; split on defensives indonesia vs. malaysia themes: global cyclicals vs. defensives sectors: telecoms vs. consumer staples; energy

7、 vs. metals earnings and price stability thematic; india policy beneficiaries derivatives: sell dec-12 93% puts on ewy to buy dec-12 103% calls on kospi 200; zero cost 高盛全球經(jīng)濟(jì)、商品和策略研究 mar-11mar-12mar-13sep-10sep-11sep-12sep-13 overweight underweight neutral 1. 2. 3. 5 2012 年 9 月 19 日 allocation views

8、 market returns and allocation our market allocations take a more north asia tilt 亞太 3-month12-monthmxapj level marketallocationallocationtargetreturns 550 korea indonesia overweight overweight marketweight marketweight 2,300 4,900 15% 15% 500 470 (+6%) china hong kong india marketweight marketweigh

9、t marketweight overweight marketweight marketweight 11,400 13,000 6,300 16% 12% 13% 450 400 455 (+3%) 500 (+13%) taiwanmarketweightmarketweight8,1005% malaysia philippines singapore thailand australia marketweight marketweight marketweight marketweight underweight marketweight marketweight marketwei

10、ght marketweight underweight 1,800 5,800 3,200 1,460 4,700 10% 9% 4% 14% 7% 350 300 source: factset, msci, goldman sachs global ecs research. more global cyclical and asset-sensitive exposure, balanced exposure to defensives, domestic demand sector allocation size of sectorsales growthearningsvaluat

11、ion # of% ofgrowthgrowth1-mop/ep/bdiv sectorcosmxapj2012e 2013e2012e 2013echgntmz-scoreltmz-scoreyield tech hardware india policy beneficiaries sell 93% puts on ewy to buy 103% calls on kospi200 source: goldman sachs global ecs research. 高盛全球經(jīng)濟(jì)、商品和策略研究 6 2012 年 9 月 19 日亞太 4q investment perspective w

12、eaving an investment tapestry below, we weave macro, earnings, valuation and investor positioning threads together to form our expectations for market performance in q4. our macro analysis centers on two sets of tools developed by our global markets team - a three-pillar approach to global risks and

13、 global macro cycle analysis - and applies them in a more granular way to asian regional markets. our earnings work focuses on how companies are faring against the regional backdrop, and our valuation analysis centers on how markets have priced recent policy announcements. we complement this with an

14、 assessment of investor positioning. tempered optimism this work leads us to be more optimistic about markets, but in a tempered manner. first, the policy changes by the fomc and the ecb are important and must be respected, but chinas growth and policy outlook remain muted, at least in the near term

15、. our factor analysis shows that large parts of the region are more sensitive to china than to the us and euro area, so a measured outlook for china has regional ramifications that buffer positive g2 policy developments. second, closer examination of the performance of regional equities during vario

16、us phases of the global cycle shows a link between the strength of the expansion phase and the magnitude of returns. so while we are optimistic that the green shoots of the recent cyclical rotation from contraction into recovery will turn into an expansion phase sometime in the next few months, we a

17、re mindful that our current forecasts suggest the expansion will be mild as opposed to vigorous. third, asian earnings are undershooting the macro backdrop. growth is softer than historical relationships would suggest, so the core fundamental driver for equity markets is in a lower gear than one wou

18、ld like. fourth, the sharp rally that equity markets have enjoyed in response to ecb and fed announcements has closed much of the valuation gap between markets and our macro models. unless the growth outlook improves, we do not see a lot more valuation recovery in the near term. lastly, investor hav

19、e re-risked to a moderate degree. there is certainly the potential for more money flow into asian equities, but our risk appetite indicators are at more elevated levels than they were at midyear. taken together, these observations drive our return expectations, allocation changes, and implementation

20、 recommendations. overall, we expect moderately positive gains in 4q, we shift towards a more pro-cyclical and north-asian stance, and emphasize intra- regional relative trades rather than simple, pro-beta ones. emphatic policy action the defining events of the past quarter are the policy actions ta

21、ken by the ecb and the federal reserve (see exhibit 4). the warm-up was the decision at the late-june eu summit to allow european rescue funds to inject money directly into troubled banks. more importantly, ecb president mario draghi signaled in late july irreversible commitment to the euro and the

22、willingness to do whatever it takes to preserve the euro as a stable currency. lastly, after chairman bernanke noted grave concern over the labor market in his jackson hole speech, the fomc delivered further substantial monetary easing through additional asset purchases ($40bn of agency mortgage-bac

23、ked securities per month on an open-ended basis) and an extension of its exceptionally low rate guidance through at least mid-2015. 高盛全球經(jīng)濟(jì)、商品和策略研究 7 2012 年 9 月 19 日亞太 assessing us, euro area and china risks in light of these decisive policy announcements in the us and europe, as well as our reduced

24、expectations regarding chinas growth and policy prospects, we apply our global markets teams three-risk framework to asia in a more granular manner. (see global economics weekly: assets in a three-risk world, apr 18 and china- slower recovery expected, sep 6, 2012.) in brief, our global colleagues h

25、ave constructed market-based proxies to measure risk from the euro area sovereign/financial crisis, us growth and china growth. this involves taking the first principal component from assets that are associated with these factors, such as sovereign credit default swaps in the case of the euro area.

26、we have regressed these risk measures on 11 asian regional equity markets, our six macro thematic slices, and 16 sectors to assess their empirical sensitivity to these risks. we show the results in exhibits 5-8. the key takeaways are: markets are generally more sensitive to china. a simple compariso

27、n of t-statistics shows that most asian regional equity markets are more sensitive to china than the us risk factor. not surprisingly, offshore china and hong kong are the most sensitive to china, but the asean markets and india show a greater affinity to china as well. in contrast, the north asian

28、markets of korea and taiwan show greater tilts towards the us, as does australia (somewhat surprisingly, given its commodity exposure). commodities are most sensitive to china, global cyclicals least. at the thematic macro slice level, we find commodity cyclicals and financials to be more china-sens

29、itive, while defensives, domestic cyclicals and global cyclicals are less sensitive to the china risk factor. wide range of sector sensitivities to china. at the sector level, metals, energy, real estate and insurance are the most connected to china risk, while autos, information technology and heal

30、thcare are the least. aggregate three-risk r-squares vary widely: commodities/financials highest, asean lowest. lastly, we rank the markets, slices and sectors by the r-squares of the three-risk factor regressions. commodities and financials have r-squares in the 70-80% range, showing that they trad

31、e global risks quite closely. in contrast, the asean markets have r-squares in the 20-30% range, which indicates that they trade other - most likely domestic - factors to a greater extent. these findings influence our market and allocation views. since we are less optimistic about chinas growth outl

32、ook (we recently lowered our gdp growth forecasts 30-50bp to 7.6% and 8.0% for 2012/13) and think the imminent leadership transition may restrain near-term policy action, the evidence of generally high china risk sensitivity points to a less robust asian market response to us and euro policy accommo

33、dation. it also suggests tilting towards the more g2-sensitive parts of asia, e.g. korea, and continuing to favor asean as long as the dynamics in that sub-region are positive. 高盛全球經(jīng)濟(jì)、商品和策略研究 chinafactor(tstat) jan-12 feb-12 may-12aug-12sep-12 jun-12 dec-11 nov-11mar-12sep-11oct-11aug-11 apr-12 jul-

34、12jul-11 chinafactor(tstat) chinafactor(tstat) ratesensitives defensives domesticcyc assetsensitives commodcyc asiaexjapan globalcyc energy transtelcoautos capgoods banks s/w healthcare insurance chemsmetals retailstaples realestate utilities h/w adjustedrsquare korea aus china sing defensives chems

35、staplesmetals retail india energy autos telco healthcare ratesensitives capgoods insurance domesticcyc globalcyc assetsensitives commodcyc realestate thailand taiwan malaybanksindon trans h/wutils s/w phil hk 4.5. 8 6 4 6.7. 1414 8. 90% 8 2012 年 9 月 19 日 forceful policy moves markets 亞太 most regiona

36、l markets are more sensitive to china than the g2; north asia has greater affinity to us 500 mxapj 14 higher 480 ltro 2 jackson hole, omt and qe3 12 chinaoffshore china factor 460 in place hongkong 440 ltro announced ot 10 420 400 380 360 ot ltro 1 extension eu summit draghi reiterates ecb commitmen

37、t 2 thailand philippines malaysia indonesia chinaonshore singapore india taiwan korea australia 340 in place 320 2 0 024681012 usfactor(tstat) 12 10 8 6 4 2 commodity cyclicals are most sensitive to china; global cyclicals least sensitivity to china growth risk factor macroslices 12 10 8 6 4 2 0 the

38、re is a wide span of sensitivities to china among the regional sectors sensitivity to china growth risk factor asiapacificregionalsectors commodities and financials have the closest links to the three risk factors; asean markets have weaker ties model r-squares for various asian slices to three risk

39、 factors 80% 70% marketssectormacroslices 60% 50% 40% 30% 20% 10% 0% source: factset, msci, goldman sachs global ecs research estimates. 高盛全球經(jīng)濟(jì)、商品和策略研究 9. 9 2012 年 9 月 19 日 亞太 global cycle analysis: size matters in recent months, our global and asian research has emphasized the importance of the glo

40、bal cycle to asset performance. to refresh memories, we have used our global leading indicator (gli) to define the ebbs and flows of the business cycle: the expansion phase is when monthly gli changes are positive and accelerating, the slowdown phase is when growth is positive but decelerating, the

41、contraction phase is when growth is negative and getting worse, and the recovery phase is when growth is negative but improving. in previous analyses, we have shown that asia trades the global cycle: returns have been best in the expansion phase, worst in the contraction phase, and tepid in both the

42、 slowdown and recovery phases. (see exhibit 9.) asian equity returns correlate well with the magnitude of the cycle the august reading showed that the gli has inched into the recovery phase from the contraction phase, where it spent the previous four months. since the global cycle has always moved i

43、nto expansion once it is in recovery, this raises hopes for equity performance, given the consistent and strong positive returns that asian equities have posted during expansion phases over the past 25 years. with this in mind, we have examined the links between the strength of the cycle and the mag

44、nitude of equity returns. key finding: strong links between the magnitude of the cycle and equity returns. we find an 82% r-squared when we compare asian equity returns with the magnitude of gli growth during expansion and contraction phases. to us, this makes intuitive sense: markets trade the glob

45、al environment and the strength of the cycle should have a meaningful influence on how markets perform. the implications of this simple analysis are noteworthy. our economic forecasts point to a pick-up in global growth next year, but to the mid-to-high 3% range as opposed to high 4%-to-low 5% level

46、s that the global economy posted during the mid-2000s and early in 2010 as it rebounded from the depths of the global financial crisis. a modest expansion would suggest modest returns. asian markets tend to fare much better during global expansion phases 1985 - now # of obsavg duration (in months) m

47、edian maxminavg mxapj performance median maxmin expansion slowdown contraction recovery 18 19 12 9 6.9 7.1 3.4 3.2 6 6 3 3 17 15 7 8 2 2 1 2 22% -1% -12% 0% 18% 2% -7% 2% 47% 21% 9% 10% -2% -36% -54% -15% 2000 - now # of obsavg duration (in months) median maxminavg mxapj performance median maxmin ex

48、pansion slowdown contraction recovery 8 9 4 3 5.9 8.4 5.3 5.0 5 8 6 4 11 15 7 8 3 3 3 3 23% 2% -20% -3% 18% 4% -11% -4% 47% 21% -4% 10% 4% -18% -54% -15% source: goldman sachs global ecs research. 高盛全球經(jīng)濟(jì)、商品和策略研究 mxapjperiodreturn oct-10oct-02 oct-03 oct-04 oct-05 oct-06 oct-07 oct-08 oct-09oct-11 10

49、.11. 10 2012 年 9 月 19 日 asian market performance during macro cycles correlates with the strength of the cycle 亞太 our global growth forecasts suggest a moderate expansion cycle: if true, this implies moderate equity returns as well 60% 40% deeper the contraction, r = 0.82 global leading indicator -

50、momentum 2.0 1.5 1.0 20% weaker the returns 0.5 0.0 ? 0% stronger the expansion, -0.5 -1.0 -20% -40% -60% stronger the returns -1.5 -2.0 -2.5 -3.0 -2-1012 gli mom growth source: goldman sachs global ecs research. 高盛全球經(jīng)濟(jì)、商品和策略研究 11 2012 年 9 月 19 日亞太 asian earnings are undershooting the macro backdrop

51、 asian earnings are growing more slowly than historical relationships would suggest, which means the core fundamental driver for equity markets is in a lower gear than one would like. we have examined the regional profit picture in detail in two recent reports and summarize the points and exhibits b

52、elow. (see near-term earnings risks warrant a tactically cautious stance, sep 3; and benchmarking earnings season, sep 4, 2012) weak 2q/1h reporting season. the 1h12 reporting season was soft, both in absolute terms and relative to history. although earnings forecasts have already been revised down,

53、 actual results still came in below i/b/e/s consensus expectations, with 1h12 actual results tracking 45% of full-year estimates versus the 49-50% historical run rate. on a year-on-year basis, profits declined 16% from the same period last year. sentiment and revisions are negative. both the breadth

54、 and magnitude of consensus earnings, revisions remain negative. given past linkages between the momentum of earnings sentiment and equity market inflection points, earnings revisions will need to stabilize to support further market gains. lower growth forecasts. taking the reporting season into con

55、sideration as well as shifts in our forward macro expectations, we have reduced our regional eps growth forecasts to +3% and +11% for 2012 and 2013. consensus forecasts have also come down, but stand at +6% and 10% for 2012/13, so we still expect further moderate cuts. our regional eps integer is ro

56、ughly $35 and $39. both revenues and margins are the reason. we expect 10% and 9% revenue growth this year and next, but this is well below the heady 15% range that regional corporates enjoyed in the mid-2000s. margin pressure is an added earnings drag: we expect non- financial net margins to be 6.6

57、% this year and 7.0% next, which is more than 25% below peak 9-10% levels in the md-2000s. benchmarking earnings vs. economic growth. over the longer run, earnings growth approximates nominal gdp growth. however, in the shorter term, operating and financial leverage can mean earnings over- or unders

58、hoot the economic backdrop (see growth markets strategy: from gdp growth to equity market returns, nov 30, 2011; and why chinas corporate profit growth deviates from nominal gdp growth, sep 3, 2012). in this year as well as the past two years, asian earnings have fallen short of what would be expect

59、ed given the macro environment. as we have noted, this is best explained by margin compression, which in turn reflects both cost and pricing pressure. although a more detailed examination is beyond the scope of this analysis, issues such as excess capacity, intellectual property creation and changing global competitive dynamics are posing challenges for a number of industries. 高盛全球經(jīng)濟(jì)、商品和策略研究 oct-11 may-12jun-12 jul-12 asia-pacex-japan hongkongphilippines singapore indonesia australiamalaysia thailand taiwan koreachina india jul-00jul-96jul-98jul-02jul-04jul-06jul-08jul-10jul-12 dec-07