中国a股策略2011年四季度a股公募基金趋势跟踪资金状况将逐步好转（摘要）2012课件

1.9 0.5 0.0 0.1 2012 年 2 月 3 日 中国 A 股策略 2011 年四季度 A 股公募基金趋势跟踪：资金状况将逐步好转 （摘要） 证券研究报告 基金行业资金状况在好转 2011 年四季度整体公募基金行业出现资金净流入 （2010 年一季度以来首次净流入，尽管市场表现疲 弱；大部分净流入来源于固定收益型和货币市场型基 金），股票仓位稳定。我们认为，由于中国政府已经 开始进行政策调整而且当前市场估值处于极低水平 （沪深 300 指数的 12 个月预期市盈率为 9.5 倍），资 金流动应会逐渐向更为有利的方向变动，这支撑了我 们对 A 股市场中期表现持积极看法。就短期而言，市 场可能继续反弹，随后将区间震荡。实体经济中的流 动性需要进一步改善，我们才会预期更好的市场表 现。 2011 年四季度基金板块仓位变动情况 对中小盘股的悲观看法有所缓解 2011 年四季度，金融股和消费品股受到青睐，而固定 资产投资相关板块被抛售。我们建议关注估值较低的 消费品板块和部分国内周期性板块，并继续建议从那 些受到热捧、估值较高的消费品股（食品饮料等）转 向估值较低、盈利具有一定可预见性（如汽车）的消 费品股。在过去几个月中小盘股迅速回调后，目前我 们对该类股票的悲观看法有所缓解，并建议对成长型 股票采用自下而上的选股方法。 2011 年四季度最受青睐的五只股票 2011 年四季度，在股票型基金的重仓股中，伊利股 份、南京银行、招商银行、华夏银行、中国人寿是持 王汉锋, Ph.D, CFA +86(10)6627-3318 北京高华证券有限责任公司 执业证书编号: S1420510120001 刘陈杰 +86(10)6627-3324 北京高华证券有限责任公司 执业证书编号: S1420511070002 金融、保险业 食品、饮料 房地产业 社会服务业 与上季度相比行业仓位变化 (%) 0.6 1.1 0.9 有基金数量的增幅最大的前 5 只股票，这与该期间金 融股和消费品股的领先表现一致。 电力、煤气及水的生产和供应业 医药、生物制品 信息技术业 传播与文化产业 农、林、牧、渔业 纺织、服装、皮毛 造纸、印刷 建筑业 交通运输、仓储业 其他制造业 木材、家具 电子 综合类 批发和零售贸易 石油、化学、塑胶、塑料 机械、设备、仪表 采掘业 金属、非金属 -2.1 -1.7 -0.4 -0.6 -0.6 -0.7 0.0 -0.1 -0.1 0.4 0.3 0.3 0.1 0.0 0.0 *全文翻译将随后提供 -2.5-2.0-1.5-1.0-0.50.00.51.01.52.02.5 资料来源：万得、高盛全球经济、商品和策略研究 北京高华证券有限责任公司及其关联机构与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客 观性的利益冲突，不应视本报告为作出投资决策的唯一因素。有关分析师的申明和其他重要信息，见信息披露附录，或请与您的投资代表联系。 北京高华证券有限责任公司投资研究 2 5 6 1) 2) 3) 2 2012 年 2 月 3 日中国 Table of contents Equity position of equity focused mutuals largely unchanged in 4Q2011 Sector allocation: equity funds reduced exposure to small-mid caps, favored consumers and financials Stock lists and the impact of mutual funds This is the A-share Mutual Fund Trend Monitor for 4Q2011. We launched the China A-share Mutual Fund Trend Monitor on June 16, 2011. It is published quarterly and attempts to follow the changes in Chinas domestic mutual funds, the most important institutional investors in the China A-share market based on their mandatory quarterly disclosures. A brief introduction to this product series can be found in the first issue of this product (China A-share Mutual Fund Trend Monitor: Lower equity position, net fund outflow, June 16, 2011). Gao Hua Securities also acknowledges the role of Helen Zhu, Timothy Moe, Christopher Eoyang and Ben Bei of Goldman Sachs in the preparation of this product Equity position of equity focused mutuals largely unchanged in 4Q2011 What happened? Net fund inflow despite market correction in 4Q, more fund inflow in fixed income funds. We saw a net purchase of 143.7bn fund units in total for all mutual funds in 4Q2011, or 6.5% of total fund units outstanding at 4Q2011, as a result of total new subscription of 606.8bn units and total redemption of 463.1bn units. Most of the net purchase was from money-market funds, which was of 148bn units. There was a net redemption of 9.2bn for the fixed income fund. For equity funds, there was a net purchase of 6.1 bn units, which was a first net purchase since 2Q2010 and suggests investor interests in risky assets is improving after the long and deep correction in the A- share market. (Exhibits 7, 8, and 9). We base our analysis on the fund unit data, as: 1) we do not have fund redemption (or subscriptions) data in value term; 2) we think the change in fund units is more a reflection of the underlying direction of fund flow than the changes in fund value, as fund value would change even when there is no new redemptions or subscriptions. The equity positions of equity focused funds were largely unchanged in 4Q2011. For actively managed equity-focused mutual funds (i.e., equity funds excluding indexed funds and ETFs), the equity position was almost unchanged in 4Q2011. The level decreased marginally from 79.6% by the end of 3Q2011 to 79.5% at end-4Q2011 (Exhibit 5). Since 2003 the equity position of the equity-focused mutual funds has ranged from 53.9% to 95.7%, with an average of 77.8%. As we mentioned in the last issue of the Mutual Fund Trend Monitor (November 4, 2011), equity focused mutual fund managers tend to shift the sector structure of their holdings to defend from further possible market downside rather than to further cut the overall equity position aggressively when the overall market valuation has declined to relatively low levels. Additionally they have also cut cash holdings (by 0.6ppt vs. in 3Q2011) to 10.4% but added to bond positions by 6.6%( +1.0ppt vs. in 3Q2011), as the domestic bond market rallied on abating inflation pressure in 4Q2012. Overall “bond+ cash” holdings accounted for 17% of the total position; the historical range of “bond+cash” holdings is 4.3% to 40.3% with an average of 20.1%. 高华证券投资研究 4) 5) 1) a) b) c) 2) 3 2012 年 2 月 3 日中国 AUM increased for the first time since 4Q2010 but returns remained sluggish. Thanks to the decent net purchases of fund units in 4Q2011, total AUM of all the mutual funds increased by Rmb14.5 bn to Rmb2.17 tn (an increase of 0.7%).This is the first rise in AUM in four quarters. The value of the equity holdings decreased by Rmb117bn, while cash and bond holdings increased more than Rmb120bn (Exhibit 4). There are 863 mutual funds, with average AUM of Rmb2.0 bn; around 80% of mutual funds have assets below Rmb3 bn (Exhibit 10). Returns for all equity-focused mutual funds in 4Q2011 ranged from -22.0% to 0.77%, with an average of -7.43% and standard deviation of 3.72%. More than half of the mutual funds outperformed the CSI300 index (-9.1% return) in 4Q2011 due to their relatively low equity positions and defensive sector allocations. In Exhibit 2, we illustrate how the medians of the returns for all equity-focused mutual funds compare with the CSI300 index on a quarterly basis. For most quarters, more than half equity-focused mutual funds outperformed the CSI300 index. Our views: Medium-term funds flow should gradually turn more favorable than in the past several quarters. (1) Two main reasons as below, among other minor ones, were driving the continuous net fund outflow from the equity fund in the past several quarters, (a) weakening economic fundamentals since 3Q2010 amid persistent monetary and property tightening has led to relatively low appetite for risk taking (for example, Chinas GDP growth has been declining steadily since then), and the sluggish performance of equity market since then has re-enforced the relatively low risk appetite for investment in equity funds; (b) liquidity has been tight due to monetary tightening, and the proliferation of the bank wealth management products during the period also diverted fund flow. (2) The possibility of continuous significant net fund outflow for mutual funds is less likely, as we believe the net fund inflow in 4Q2011 should mark a stabilization or possibly even a gradual inflow going forward due to: Chinas government is now gradually changing its policy stance from tightening to neutral, and further loosening is also possible if economic fundamentals weaken further, which should help to stabilize growth outlook and provide some support for equity performance; Market liquidity should also have room to improve, with the fine-tuning in tightening policy already seen, although we do not expect a substantial and imminent improvement at the moment as our economists expect policy changes to be gradual and measured; Market valuation has declined to extremely low level (current CSI300 12-m forward PE 9.5x vs. its historical valuation range 10x-35x), and the risk/reward of equity looks appealing in the med-long run, in our view. Equity position should continue to increase moderately in the near term. The equity position of equity-focused mutual funds should have turned higher since mid January 2012, in our view, after the long and deep market correction, supported by the higher-than- expected bank loan data for December 2011 and the favorable comments made by Premier Wen on boosting investor confidence at the start of the year. The daily estimates by WIND indicate that the equity position had declined to a recent low of 74.2% on January 16, 2012 and increased swiftly afterwards to 76.5% by January 20 (Exhibit 1). The WIND estimates were based on a slightly different fund universe, so the number was not directly comparable to our estimates above, but the trend should be similar. 高华证券投资研究 3) 4) 4 2012 年 2 月 3 日中国 We expect the equity position to continue to increase moderately in the near term, as: 1) news flows from the global market have been favorable during the Chinese New Year holiday period; 2) A-share market sentiment improved apparently just before the holiday vs. several weeks ago, and near-term news flow remain favorable; 3) market interventions such as share purchasing by the major SOEs parent companies should stay active if the market declines further. But we dont think a further substantial increase is likely before end-1Q2012. The equity position level estimated by WIND indicates that it has climbed back to the middle of its historical range (76.4% vs. the historical range of 63.7% to 87.2% since 2007, and an average of 76.7%). We do not think market sentiment could improve sufficiently to boost the equity position level to a level significantly higher than this, as: 1) the liquidity in the real economy has been tight. The latest data point available suggests the yield on commercial discount bills was still around 7%, which is very restrictive economic growth wise; 2) Chinas economic fundamentals have been weak. PMI data suggests underlying economic fundamental should have improved slightly in recent months vs. in early 4Q2012, but the PMI has remained around 50, suggesting underlying growth is still very weak; 3) the EU debt crisis remains a risk. Market views and factors we need to watch for: we believe the market may continue to rebound in the near term, digesting the favorable overseas news flow during the Chinese New Year holiday, but we do not expect significant near-term upside from the current index level given the reasons we listed above. The market may enter a period of being range-bound after the rebound and we expect limited further upside without improvement in liquidity in the real economy, which we think might occur possibly in late 1Q/early 2Q 2012 (as discussed in our note of January 3, 2012; Liquidity should be loosened further). Factors we will closely watch for in the coming months: (1) Liquidity indicators such as incremental loans in January/February: we would turn slightly more positive in the short run if incremental loan data indicates a real loosening . The reverse-repo the PBoC conducted before Chinese CNY should expire in coming weeks, and we will watch for how this affects inter-bank liquidity and the liquidity in the real economy. We believe a RRR cut is possible to offset the tightening effect on inter-bank liquidity from the reverse-repo. (2) Economic fundamental indicators, such as PMI, inflation numbers and export growth, etc: investors are looking for signs whether growth is likely to be more resilient than expected or not. We will also monitor whether the seasonal price increase from the CNY effect fades after the holiday season. (3) Earnings: with earnings season kicking off, we expect a single-digit growth (around 7%) for CSI300 earnings in 4Q2011. For the full-year 2011, we are still expecting 17% growth for the CSI300 index. Anything better than that should be favorable to the market, but a significant miss would be negative; (4) The development in the EU debt crisis and the US. The market should watch whether the Greek PSI negotiation runs smoothly in the near term and whether the favorable macro momentum in 4Q2012 in US is sustained. 高华证券投资研究 1) 2) （1） （2） （3） 5 2012 年 2 月 3 日中国 Sector allocation: equity funds reduced exposure to small-mid caps, favored consumers and financials What happened? Large caps were favored vs. small-mid caps by equity focused mutual funds in 4Q2011. Our estimates suggest equity focused mutual funds aggregate exposure to small/mid caps (stocks with total market capitalization greater than Rmb80 bn are defined as large caps; stocks with a total market cap less than Rmb20 bn are defined as small caps; and stocks with a market cap in between are defined as mid caps) decreased to 67.6% in 4Q2011 from 69.9% 3Q2011. Small-mid caps (SME composite was down 13.4% in 4Q2011 after falling 12.8% in 3Q2011) underperformed large caps in 3Q2011 (CSI300 down by 9.1% in 4Q2011) by 4.3ppt, as large cap sectors, such as financials/oil energy, had been resilient amid the market downturn in 4Q2011. Ytd 2012 small-mid caps have underperformed large caps by around 10ppt. Consumers and financials were favored, while FAI-related sectors (materials, machinery, etc) were disfavored. Remained defensive. Given the tough market environment in 4Q2011, A-share fund managers have further shifted their sector holdings towards defensive sectors. Added exposure to consumers and financials. In 4Q2011 consumer stocks continued to be favored by local fund managers. As a result, mutual funds weighting in some consumer related sectors, such as food 2) the insurance sector was favored as the sector benefited from the bond market rally in 4Q2011; 3) property sectors weighting was also increased as the sector was one of the most under-owned, and many local investors expect a fine-turning in property tightening policy may come. Lower positions in FAI-related sectors (materials and machinery, etc). The sharp slowdown in property sales in 4Q2011 led to increased worries over FAI growth, and resulted in a sell-off in the FAI related sectors, such as steel & non-ferrous metals, building materials, coal, chemical, machinery. (Exhibit 16). And we note that the weightings for smelting & processing was close to the low end of historical range. Not surprisingly sectors that saw added exposure declined less than those which saw exposure being cut (Exhibit 18). Compared with standard index sector weightings (CSI300 index, Exhibit 17), equity-focused mutual funds underweighted financials, oil/coal, and materials the most, and overweighted food & beverage, pharmaceutical and IT the most in 4Q2011. In Exhibits 44-46, we tabulate the five most popular stocks among equity-focused mutual funds within each sector. As we have mentioned in a previous issues of the Mutual Fund Trend Monitor ( Lower equity position, net fund outflow, June 16, 2011) it is difficult for mutual funds to overweight financials in practice due to the dominant weighting of financials in the CSI300 index (more than 30%). Therefore, in effect the financial sector has been substantially underweighted by mutual funds at the aggregate level, and other relatively small cap sectors like consumers, healthcare, and IT services & software have been overweighted vs. the CSI300 index by mutual funds. That said, we can see that equity focused funds weighting towards financials increased to 12.1% in 4Q2011, the highest level since 2Q2010, which suggests local fund managers were adding position to financials in the past quarter. 高华证券投资研究 1) 2) 6 2012 年 2 月 3 日中国 Our views: We are less bearish towards small-mid caps after the correction in small-mid caps over the past several months , and we believe overall valuations have become much less demanding. That said, we are still not turning positive given that: (1) Liquidity in the real economy should still be relatively tight, which is not favorable to small-mid caps, (2) Earnings risk for small-mid caps are still substantial, and the earnings season may be a real challenge for some of the small-mid caps. However, we believe corrections in small-mid caps should provide good long-term opportunity to gain exposures to good quality growth stocks in the A-share market. We belive bottom-up stock selection is key to investing in A-share small-mid caps and we favor consumer related small-mid caps (healthcare, food & beverage, IT, etc) for the medium-long term. Our current sector preferences are a combination of low valuation consumer stocks and domestic cyclicals. (a) We downgraded some crowded and relatively high valuation consumer sectors such as food & beverage, and suggested switching to consumer stocks with relatively low valuation and some earnings visibility (such as auto sector) (see Liquidity should be loosened further, January 3, 2011). In Exhibit 19, we illustrate the current sector weighting vs. the historical range for each sector. Currently the weightings for energy (including oil and coal), financials, and transportation are at or near the low end of their historical range, while weightings for consumer sectors (like food & beverage, textile, media), health care, IT & electronic components etc, are at or near the high end. (b) Property FAI-related sectors such as building materials/machinery are now inexpensive in our view and under-owned. For example the mutual funds weighting for the smelting and process sector is close to the low end of its historical range. But we do not see any near-term trigger as the property sales remains sluggish. We suggest continue to wait for an entry point at this juncture. (c) Overall we prefer some relativley lowly valued consumer sectors (among all the consumer sectors: Auto, healthcare, retailing, etc) and low-valuation cyclicals (coal, securities). We do not favor utility, telecom, shipping, and IT & electronic components, due to unfavorable valuation or weakening sector fundamentals. Please note that the sector classifications we have used here and in Exhibits 15, 16 and 17 are the sector classifications required by CSRC for the regular disclosures of domestic mutual funds. Therefore, we use this classification in some parts of our analysis. It does not coincide exactly with the GICS or WIND sector classifications we usually use for A-share analysis, but we can roughly map these classifications with each other. Stock lists and the impact of mutual funds We have compiled two tables of stocks based on the changes in the positions of equity-focused mutua