欧元区展望：在经济停滞中寻找增长点-2012-11-29.ppt

,高盛国际,高盛国际,2012 年 11 月 29 日 欧元区展望在经济停滞中 寻找增长点 证券研究报告,观点概述 我们在 global strategy paper no. 4 the long good buy; the case for equities（2012 年 3 月 21 日发表）中表述的结构性观点对股市仍持积极看 法，相对其他资产类别尤其如此。在我们的核心假设中，我们预计折年长期 回报率为 7.6%，即便在更谨慎的盈利假设下，当前估值隐含的未来长期回报 率符合历史均值。,彼得欧品海默 +44(20)7552-5782 sharon bell, cfa +44(20)7552-1341 ,高盛国际 我们的经济学家预计到 2015 年，欧元区经济仍仅将小幅回升，并认为德国 和边缘国家间的分化表现似乎将继续。 gerald moser,在 2013 年，我们预计斯托克欧洲 600 指数到年底将达 310 点，隐含回报率 为 18%。我们对欧元斯托克 50 指数的预测为 3000 点。我们预计 2013 年斯 托克欧洲 600 指数盈利将增长 9%（剔除金融股为 7%）。 我们认为从结构上看，估值仍具吸引力，但短期内，我们预计股价将温和上 涨至合理水平。我们的核心预测表明，未来 12 个月估值倍数将扩张 5%。 我们的投资题材观点与 2012 年和 2011 年相比没有变化。我们认为投资者将 看重稀缺性，尤其是收入和增长的稀缺性。我们关注有能力提高派息的高收 益率企业、占据有利地位的全球性企业（相对仅开展国内业务的公司）以及 收入增长稳定的企业。我们建议买入以下两个新的投资组合：拥有国际业务 (gsstintl)及关注新兴市场消费者(gsstbrcc)的企业。 我们的股指和盈利预测 european indices forecasts,+44(20)7774-5725 高盛国际 christian mueller-glissmann, cfa +44(20)7774-1714 christian.mueller- 高盛国际 anders nielsen +44(20)7552-3000 matthieu walterspiler +44(20)7552-3403 高盛国际,price level 3 months 6 months 12 months,stoxx 600 280 290 310,ftse 100 5900 6100 6500,euro stoxx 50 2650 2800 3000,europe,europe ex financials,eps growth gs top-down consensus bottom-up,2013e 9% 10%,2014e 12% 11%,2013e 7% 7%,2014e 11% 11%,资料来源： 高盛全球经济、商品和策略预测 高盛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，或参阅 /research/hedge.html。 由非美国附属公司聘用的分析师不是美国 finra 的注册/合格研究分析师。 高盛集团,2,2012 年 11 月 29 日,欧洲,our views in brief our structural view outlined in global strategy paper no. 4 the long good buy; the case for equities (published march 21, 2012), remains positive on equities, particularly relative to other asset classes. the current high risk premium offers the opportunity to generate decent upside returns in equities over the next few years, particularly against bonds. on our central assumptions, despite the ongoing economic stagnation in europe, we would expect annual total real returns of 7.6% for the stoxx europe 600. even under a more conservative assumption of 2.3 % pa real profit growth almost half the long-run average, investors should achieve a c.6.2% real return per annum over the medium term, close to long run averages (see page 5). our economists forecast a moderate recovery in the global economy to 3.3% in 2013 from 3.0% this year. they expect stronger activity in asia and the us while the euro area continues to stagnate with growth of -0.2%. even by 2015 they expect only a modest pick-up in euro area activity with continued divergence between germany and the periphery (see page 5). for 2013, we forecast that the stoxx europe 600 will reach 310 by year end, implying a total return of 18%. for the eurostoxx 50, we forecast 3000 and 6500 for the ftse 100 (see page 5). we expect 9% profit growth in 2013 for the stoxx europe 600, driven by modest rises of 2.5% for sales and 30 bp for net income margins. this would be a reasonable rebound from our expectation of a decline in earnings of 5% this year and 2% in 2011. while this sounds ambitious given the poor prognosis for european activity, it is consistent with the recovery that we expect in the global economy. our model implies that each percentage point rise in sales-weighted gdp is worth around 8 percentage points of growth in earnings (see page 16). valuations remain structurally attractive in our view but, in the short term, we see modest upside to fair value. our central forecast implies 5% multiple expansion over the next 12 months, giving total returns (including dividends) of 18% for the sxxp, and 23% for the sx5e for 2013 (see page 4). our thematic views are unchanged. these are driven by a view that investors will reward scarcity, particularly in relation to income and growth. we continue to focus on dividend strategies and companies that have strong balance sheets, high cash flow cover, low financial leverage, and an ability to maintain or grow dividends (gssthidy) together with eurostoxx 2014 dividend futures. we also favour companies that can sustain premium growth (see page 23). our approach to growth is based on both geographic strategies and structural advantage. we prefer companies exposed to the faster growth markets rather than the moribund domestic markets. we introduce a new international basket (see appendix) and pitch this against domestic exposure (gsstintl/gsstdome). we also split our long-standing em exposure basket (gsstbric) in two: an industrial em basket (gsstbrci); and a consumer em basket (gsstbrcc). we recommend a long in the consumer version pitched against a short in the stoxx europe 600 (gsstbrcc/sxxp). along structural dimensions, we also focus on our stable growers basket (gsstgrth), which comprises companies within each sector that have a strong history of generating premium growth with low volatility of growth (see page 26). 高盛全球经济、商品和策略研究,3,2012 年 11 月 29 日 exhibit 1: summary of our views,european indices forecasts,欧洲,price level 3 months 6 months 12 months implied total return 3 months 6 months 12 months,stoxx 600 280 290 310 stoxx 600 4% 8% 18%,ftse 100 5900 6100 6500 ftse 100 3% 7% 16%,euro stoxx 50 2650 2800 3000 euro stoxx 50 6% 13% 23%,europe,europe ex financials,eps growth gs top-down consensus bottom-up,2013e 9% 10%,2014e 12% 11%,2013e 7% 7%,2014e 11% 11%,european thematic trade recommendations,long international exposure relative to euro area exposure long em consumer long stable growth long high dividend yield and growth,gsstintl vs. gsstdome gsstbrcc vs. sxxp gsstgrth vs. sxxp gssthidy vs. sxxp,strategy sector and subsector recommendations,overweight autos & parts (sxap) utilities (sx6p) insurance (sxip) media (sxmp) luxury goods (gssbluxg)* utilities - unregulated (gssbutur),neutral basic resources (sxpp) real estate (sx86p) technology (sx8p) indus. gds & svs (sxnp) healthcare (sxdp) personal & hh gds (sxqp),underweight chemicals (sx4p) retail (sxrp) travel & leisure (sxtp) telecoms (sxkp) oil & gas (sxep) tobacco (gssbtoba)*,construct. & mat. (sxop) financial services (sxfp) banks (sx7p) food & beverage (sx3p) * long / short trade usd,goldman sachs,12-mo,eps,price,price target,price return (%),total,growth (%),forward p/e (x),index,27-nov-12,3-mo,6-mo,12-mo,3-mo 6-mo 12-mo,return,2013e 2014e,current end 2013e,topix mxapj stoxx europe 600 s&p 500,782 447 273 1399,820 460 280 1450,900 480 290 1500,930 520 310 1575,5 3 3 4,15 7 6 7,19 16 14 13,25 19 27 15,20 13 9 7,11 14 12 6,13.7 11.7 11.1 12.7,14.4 11.8 11.6 13.8,note: topix eps growth based on fiscal, not calendar, years. we no longer recommend long gsstbric vs. short gsstdome. we also close our recommendation to be long gsstpexp vs. sxxp source: goldman sachs global ecs research 高盛全球经济、商品和策略研究,4,2012 年 11 月 29 日,欧洲,our views explained q: this year you argued that we are starting to see a structural improvement in returns in equities despite the ongoing unwinding of the macro imbalances. where do you stand on that now? a: we still believe that equities will achieve a much better return than government bonds in 2013 and for the next several years. our fixed-income strategists are bearish on bond markets generally, believing that risk premia are too low. the opposite is true for equities, particularly in europe. we believe that the macro and profit growth drivers do not need to be particularly strong from here for investors to get a reasonable return. if the equity market is adequately discounting future growth, we should expect to see a return in line with the cost of equity. despite the many political and economic headwinds, that has broadly been true this year with the stoxx europe 600 up 11%. we expect slightly higher returns for 2013 (excluding dividends) driven by profit growth. over time, we expect a gradual normalization of equity risk premia and bond yields which together imply reasonably high annualized real returns over the next several years. q: what about the macro backdrop? a: our views can be found in the global economics weekly published today by our economists, but the summary is one of improving growth momentum through the course of 2013, led by the us and asia. global growth is forecasted to rise to 3.3% from 3% this year. europe, however, we expect to remain firmly in stagnation at best through 2013, with little improvement into 2014. the divergence of european economic activity stronger germany and a weaker periphery is likely to continue, heightening the current political challenges, which we expect to remain formidable through 2013. our economists expect no quick fix. a comprehensive solution to the european sovereign crisis is unlikely within the forecast horizon, and so a familiar pattern of muddling through with intermittent political steps forward and back, is likely to be an ongoing feature of the domestic backdrop, albeit with a gradual building of the institutional architecture and support that should reduce tail risk. q: so what are your views for the market in 2013? a: our index target for the end of 2013 is 310 for the stoxx europe 600, 3000 for the eurostoxx 50, and 6500 for ftse. this implies yoy rises of 14%, 18% and 12% respectively. these returns assume modest multiple expansion as they are in line with our earnings forecasts (in contrast to 2012 when valuations have risen as a result of lower risk premia). since the p/e has already risen through 2012, we expect little expansion through 2013. 高盛全球经济、商品和策略研究,5,2012 年 11 月 29 日,exhibit 2: we expect limited multiple expansion in 2013e stoxx europe 600 p/e progression,欧洲,24 22 20 18 16 14,22.9x,13.2x,12 10 8 6,7.2x,11.1x 8.7x,11.6x,2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012e 2013e source: i/b/e/s, goldman sachs global ecs research estimates while we do expect the erp to fall, and the p/e to rise over time, we continue to see this as a slow process hampered by ongoing stagnation in the european economy, the unwinding of imbalances, and political uncertainty. however, the key point, in our view, is the low valuation base of the market. on our central assumptions, the market should achieve a total real return of around 7.6% per annum over the medium term, higher than the long-run average real return in the us over the past 140 years (of around 6.7% in real terms). it is this valuation support that has allowed the stoxx europe 600 to outperform bonds and achieve a return year-to-date of around 11% despite corporate profits falling around 5%. q: do you still think the market is cheap? a: in the second half of 2012 there was a reasonable shift downward in the erp in europe from a high of around 9% to our current estimate of 8%. for a long time, we have argued that the risk premium should be unusually high given the current poor macro fundamentals (indeed, our macro benchmarked erp the measure that estimates a fair value level for the erp based on several macro economic indicators suggests it should be around 7.3%). however, the additional required erp over and above this level reflects the systemic fears of a euro area break up and, in part, a structural decline in future growth. part of the assessment of the relative value of equities depends on the level of bond yields, of course. current government bond yields are exceptionally low however, and much lower than our models would suggest they should be given the weakness of the economy. using current bond yields and our macro-adjusted fair value erp implies 18% upside to current equity valuations. if we look at current equity valuations against our bond strategists estimates of fair value or cyclically-adjusted bond yield forecasts, the equity market is close to fair-value. that said, a rise in bond yields from such a low level is unlikely to be negative for equities initially if, as we expect, it is driven by a rise in long-term growth expectations. correlations between changes in bond yields and equity prices remain positive and high; a rise in yields is likely to be accompanied initially at least by more confidence and higher equity prices. while we believe valuation upside is likely to be limited in the short term, particularly if risk-free reference bond yields rise, we continue to see scope for further equity re-rating over a period of time if the market reverts to pricing a normalized outlook for profits at a normalized discount rate. 高盛全球经济、商品和策略研究,5,4,8.00,6,2012 年 11 月 29 日,欧洲 if this combination of factors were to occur, we estimate the valuation upside alone is around 28% on current earnings. in addition, if this normalization was to take place over a number of years, the earnings growth over this horizon would have to be added to the potential return. this is why we see a structural trend toward strong returns in europe over the next few years. exhibit 3: allowing for higher bond yields implies upside potential for equities upside to fair value on current earnings for bond yield and erp scenarios,erp,bond yield,stoxx 600,scenario cyclically adjusted* cyclically adjusted cyclically adjusted normalised,level (%) 7.3 7.3 7.3 3.5,scenario current* local bond yields* cyclically adjusted* normalised,level (%) 1.5 2.1 2.1 5.0,fair value 322 285 284 348,upside (%) 18 28,*we use our macro benchmarked erp as our measure of a cyclically adjusted erp *this is a weighted average of the uk 10 year gov. bond yield (25%) and the german 10 yr. gov. bond yield (75%) *this is an average of local european gov. bond yields weighted by the country weight in the european equity market *this uses fair value estimates of uk and german 10 year gov. bond yields from our sudoku fair value model source: goldman sachs global ecs research estimates. q: you mention your use of gilts and bunds as the risk-free rate. why use these? surely the use of average bond yields across europe would give a different conclusion? a: we use the gilt and bund yields because we consider these to be the best proxy for the risk- free rate a rate against which equities should be compared. that said, even if we use an average of sovereign bond yields across europe (weighted by the country weights in the stoxx europe 600), the conclusion is much the same equities are cheap relative to bonds (exhibit 4). exhibit 4: the impact on the erp from including peripheral bond yields is small,10.00,market implied erp,market implied erp (adjusting for local bond yields) 6.00 4.00 2.00 0.00 -2.00,1989,1991,1993,1995,1997,1999,2001,2003,2005,2007,2009,2011,source: datastream, goldman sachs global ecs research. q: is a comparison with bonds the right way to think about valuation? 高盛全球经济、商品和策略研究,-40%,7,2012 年 11 月 29 日,欧洲 of course, there are many approaches that we take to valuation. comparing equities with bonds is one. but there are other simple approaches, such as p/e, which also support the long-term argument for equities in europe. currently, we estimate that the 12-month forward p/e for the stoxx europe 600 is 11.1x and for the eurostoxx 50 is 10.2x. it is often argued that an absolute forward multiple is unreliable given that it may be distorted by the cycle in earnings. however, adjusting for the 10-year average of real earnings (a so called cyclically-adjusted multiple), we find that european equities are even more undervalued, at a 33% discount to the long-run average. given that earnings have tended to trend upward over time (largely as a result of margins), we also like to look at the trend-adjusted p/e (comparing current prices with the 40-year historical trend in earnings) which point to a similar level of undervaluation. in both cases, this is very different to the case for us equities where the current shiller p/e is in-line with the historical average. exhibit 5: shiller p/e and p/e on trend earnings point to the same valuation signal 120% 100% 80% 60% 40% 20% 0% -20% europe shiller pe premium / discount vs. average,-60% -80%,trend pe premium / discount vs. average us shiller pe premium / discount vs. average,1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 source: datastream, goldman sachs global ecs research. q: well this may be so, but doesnt it merely tell you that investors expect the trend rate of growth to fall and net income margins to come down over time. that wouldnt be so unlikely given the poor economic fundamentals in europe? a: it certainly appears that the market is pricing this assumption. as shown in exhibit 6, if earnings were to continue to grow from here at their historical average growth rate of 3.9% over the next 40 years, the market would be 40% undervalued (assuming a long-run average cost of equity of 6.2%). an assumption of constant margins with sales growing in line with our gdp forecasts implies the market is 11% undervalued. exhibit 6: constant margins with sales growing in line with our gdp forecasts implies the market is 11% undervalued. fair-value p/e under different earnings growth scenarios assuming a 6.2% real cost of equity,growth scenario,sales growth margins level in (%) 40 years (%),earnings growth (%),fairvalue pe multiple *,current 12month discount / premium of the forward pe current multiple (%),earnings grow in line with their historical rate constant margins with sales growth in line with our long term projection of gdp margins decline to their peak in 2000 and sales growth in line with our long term projection of gdp margins decline to their average since 1981 and sales growth in line with our long term projection of gdp, 2.8 2.8 2.8, 7.5 5.5 3.5,3.9 2.8 2.0 0.9,18.7 12.4 10.4 8.2,11.1 11.1 11.1 11.1,40 11 7 36,* fairvalue pe is derived from a onestage ddm. fairvalue pe = payout ratio / (cost of equity growth) source: goldman sachs global ecs research. 高盛全球经济、商品和策略研究,8,2012 年 11 月 29 日,欧洲 of course, it is possible that