




免费预览已结束,剩余9页可下载查看
下载本文档
版权说明:本文档由用户提供并上传,收益归属内容提供方,若内容存在侵权,请进行举报或认领
文档简介
,235,215,195,150,130,110,2012 年 2 月 24 日 欧洲,策略焦点,证券研究报告,分析油价对股市的影响 最近几周大宗商品价格(特别是油价)上涨,但我们认为这对于股市的影响应比较有限。在周期当前阶 段,大宗商品价格和股价通常呈正相关性。虽然大宗商品消耗行业可能会受到不利影响,但对大宗商品生 产企业的积极影响应会弥补这一点。在本报告中,我们列出了通过股市来对冲油价上涨的三种途径:(1) 合 并我们的几个子行业股票组合;(2) 我们的能源价格敏感型股票组合(gsstengy);(3) 国家股指。 大宗商品价格上涨:是否会阻碍股市表现?,大宗商品价格和股价表现通常呈正相关性。我们认为,油价上涨可能会影响股市 中部分板块的表现,但整体市场应不受影响。虽然我们预计 2012 年企业利润率 将会下降,但认为这可能主要来源于经济增长走软。 对冲油价上涨的三种途径 我们列出了通过股市受益于或对冲油价上涨的三种途径:(1) 合并我们的几个子行 业股票组合;(2) 我们的能源价格敏感型股票组合(gsstengy);(3) 国家股指: 买入 obx 和 rdxusd,卖空 omx 和 dax 指数。 我们调整了 gsstengy 组合 由于预计油价上涨,我们自 2012 年 1 月 9 日开始推荐买入 gsstengy 组合。 虽然其表现落后于最近的油价上涨,但我们维持推荐,不过做出了一些调整:除 了分析师认为对油价敏感的股票之外,我们还纳入了回归分析显示对油价变动敏,sharon bell, cfa +44(20)7552-1341 高盛国际 gerald moser +44(20)7774-5725 高盛国际 matthieu walterspiler +44(20)7552-3403 高盛国际 彼得欧品海默 +44(20)7552-5782 高盛国际,感的那些股票。 gsstengy 组合(新成份股的回溯测试表现) new gsstengy rel. performance brent 1-mth forward (rhs) 175 155 135 115 95,90 70 50 30,christian mueller-glissmann, cfa +44(20)7774-1714 christian.mueller- 高盛国际 anders nielsen +44(20)7552-3000 高盛国际,2007,2008,2009,2010,2011,2012,资料来源:datastream、高盛全球经济、商品和策略研究 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,高盛全球经济、商品和策略研究,2,2012 年 2 月 24 日,欧洲,could rising commodities come back to bite? commodity prices are above the peaks of last year, and oil prices in particular because of both rising demand and concerns around iran have moved up sharply in recent weeks. indeed, the rise in oil prices has slightly outpaced the rise in equities year-to-date, despite the fall in the risk premium and the progress made on greece. our commodities team discussed the recent rise and the potential for further gains in commodity watch: from value to fundamentals (february 22, 2012). they have lowered their 12m return forecast given the recent sharp moves, but still expect 12% returns. in particular, they focus on the strong fundamental drivers for oil prices, arguing that: “although oil prices have recently broken out to the upside of a prior tight and stable range, we believe that upside price risks are rising as the market finds itself in the unprecedented situation in which opec spare capacity is at a trough just as a world economic recovery is gaining momentum.” exhibit 1: the moves in european equities are dwarfed by the rally in commodity prices in the last 2 years (s&p gsci commodity ) 180,170 160 150 140 130 120 110 100 90 80,brent oil eur s&p gsci commodity prices stoxx europe,jan-10,apr-10,jul-10,oct-10,jan-11,apr-11,jul-11,oct-11,jan-12,source: datastream. does this leave equities looking vulnerable given the additional costs and potential for margin pressure implied by higher commodity prices? we typically find that equities and commodities rise together, as borne out by recent performance. the rolling correlation between commodity prices and equities is shown in exhibit 2. the current correlation is +40%, based on the last six months of weekly returns, and is slightly on the higher side of average. there are times when the correlation turns negative, but these are generally later in the cycle, as in late 2007/early 2008, when we see equities responding to the slowdown in growth momentum but commodity prices are still rising as the level of demand relative to supply remains high. 高盛全球经济、商品和策略研究,0.8,1,3,2012 年 2 月 24 日,exhibit 2: correlation of commodity prices & european equities is generally positive s&p gsci commodity index vs. stoxx europe (weekly changes, rolling 6m correl.) average 0.6 0.4 0.2 0 -0.2 -0.4 -0.6,欧洲,95,96,97,98,99,00,01,02,03,04,05,06,07,08,09,10,11,12,source: datastream, goldman sachs global ecs research. in addition, the proportion of commodity-related companies in the equity market has been rising in recent years. taking oil and basic resources only (and arguably there are more as some other sectors, such as chemicals, are commodity-related) the proportion of market cap that directly benefits as oil or metals prices rise is around 16%. that said, parts of the market are likely to be adversely affected. we would expect commodity- consuming sectors to perform relatively poorly as commodity prices rise. their margins could be squeezed and demand for their products is likely to fall as consumers experience weaker real income growth owing to commodity inflation. in exhibit 3, we show the sectors most highly positively correlated in terms of relative performance with commodities, and those most negatively correlated with moves in commodity prices, again on a relative basis. exhibit 3: sensitivity of sub-sector relative performance to changes in commodity prices most & least correlated sectors with comm. prices vs. cpi (1990, year on year change in rel price perf.),high positive correlation alternative energy equity investment ins electronic & electrical equip. mining leisure goods oil/eq svs/dst tech hardware & equip. financial services media industrial metals & mines,correl. 0.59 0.54 0.54 0.50 0.43 0.43 0.39 0.35 0.35 0.34,high negative correlation food & drug retailers general retailers food producers pharma & bio-tech electricity beverages gas/water/multi utility tobacco personal goods auto & parts,correl. -0.48 -0.46 -0.39 -0.38 -0.37 -0.30 -0.26 -0.26 -0.20 -0.18,source: datastream, goldman sachs global ecs research. 高盛全球经济、商品和策略研究,4,2012 年 2 月 24 日,欧洲 the results are largely intuitive; the sectors that benefit as commodity prices rise are either specifically commodity-related sectors, or are cyclicals that benefit from strong global growth (which tends to be the case when commodity prices are rising). the ones that are negatively correlated are predominately consumer cyclicals, which would typically suffer as margins are squeezed. the top five sectors on the left (the winners as commodity prices rise) are up 21% since commodities troughed on october 4, 2011, whereas the top five on the right (the relative losers) are up only 9%. the same table for oil price sensitivity is shown below and the results are similar the sectors negatively affected tend to be defensives and /or consumer-related. exhibit 4: sensitivity of sub-sector relative performance to changes in oil prices (brent) most & least correlated sectors with oil vs. cpi (1990, monthly change in rel price perf.),high positive correlation alternative energy electronic & electrical equip. equity investment ins mining tech hardware & equip. media leisure goods oil & gas producers industrial metals & mines general industrials,correl. 0.63 0.61 0.56 0.55 0.52 0.47 0.40 0.33 0.32 0.29,high negative correlation food producers electricity pharma & bio-tech general retailers food & drug retailers tobacco auto & parts beverages gas/water/multi utility h/hold gds & home construction,correl. -0.39 -0.38 -0.35 -0.33 -0.28 -0.26 -0.25 -0.24 -0.21 -0.18,source: datastream, goldman sachs global ecs research. margins: weak growth, high commodity costs but wages remain muted corporate profit margins are still relatively high although for the majority of sectors they are still below peak and investors worry that higher commodity costs will erode margins through this year. we believe this is a valid concern especially given that economic growth in europe is likely to be weak. but there are other offsetting factors. high unemployment in most of europe (germany being the notable exception) should keep downward pressure on wage growth. also we find that historically, provided global growth has been strong and it typically is as commodity prices rise the gains to revenues and the operating gearing of high global growth more than counterbalance the impact of higher commodity costs on margins. margins are sensitive to growth, commodity prices and wage costs. in exhibit 5 we show the correlation between each factor and operating profit margins. global growth and labour costs are the most highly correlated factors and these should both be supportive. 高盛全球经济、商品和策略研究,5,2012 年 2 月 24 日,exhibit 5: correlation between changes in operating profit margins and various factors annual data to 1989 60%,欧洲,40%,47%,44%,20%,17%,15%,3% 0%,-20% -40% -60%,-8%,-52%,world gdp inds. metals,comm,energy,ppi vs. cpi,agri.,labour costs,source: datastream, haver, goldman sachs global ecs research. indeed margins usually rise as commodity prices rise; this might seem counterintuitive, but it is because rising commodity prices are normally associated with reasonable economic growth. exhibit 6 shows the years in which commodity prices have risen sharply, the growth environment at the time and the change in companies operating margins versus the previous year. exhibit 6: commodity prices, gdp growth and margins years when commodity prices rose sharply (on average vs. the previous year), all figures percentage other than change in margins,year 1989 1996 2000 2004 2005 2006 2008 2010 2011 2012,commodity prices 20.4 16.7 61.4 14.7 29.1 18.6 22.6 34.0 21.5 c.15-20,world gdp growth 3.8 3.7 4.7 4.6 4.4 5.0 2.5 5.1 3.8 3.4,euro area gdp growth 4.1 1.5 3.9 2.0 1.8 3.4 0.3 1.8 1.6 -0.4,europe: change in ebit margin (bp) 99 156 3 192 181 57 -506 248 -3 ?,labour cost growth - 1.5 1.2 0.9 1.1 0.6 3.8 -0.7 0.8 ?,source: datastream, haver, goldman sachs global ecs research. 2008 was an especially poor year for margins; global growth was weak, commodity prices were high and unit labour costs grew by almost 4%. it was a “perfect storm” for margins and they fell by 500 bp. contrast this with 2010 when, again, commodity prices rose sharply but this time global and european growth were strong and labour costs were falling, margins rose by 250 bp. 2011 probably provides the best template for what might happen this year, and it is neither very good nor very bad for margins. labour costs are unlikely to rise much outside 高盛全球经济、商品和策略研究,6,2012 年 2 月 24 日,欧洲 germany given the high rates of unemployment but euro area growth is likely to be weaker than 2011 on our forecasts. exhibit 7 shows unit labour costs and the flattening out in the last few years as the peripheral economies in europe start to regain competitiveness globally. largely as a result of the weaker euro area growth that we forecast, we expect margins to fall modestly in 2012 from 7.6% net income margin to 7.1% for the market ex-financials. exhibit 7: wage growth is likely to remain muted 1991 = 100 155,145 135 125 115 105 95,unit labour costs,q1 1991,q1 1993,q1 1995,q1 1997,q1 1999,q1 2001,q1 2003,q1 2005,q1 2007,q1 2009,q1 2011,source: haver. three ways to gain exposure or hedge high oil prices there are several ways to gain exposure to or hedge rising oil prices via a basket of energy- related stocks, sub-sector baskets or country indices. we describe these alternatives below. in particular, we recommend our sub-sector basket pairs (which have tracked oil prices well) and our energy exposure basket (gsstengy). we find the country approach works less well and involves a number of non-oil-related risks, which are difficult to factor out. 1. sub-sector baskets our sub-sector baskets offer a way to hedge rising oil prices. on an equally weighted basis, a long in oil services (gssboils), oil e&p (gssboile), oil integrated (gssboili) and renewables (gssbrnew) against a short in general retail (gssbgere), food retail (gssbfore), transportation airlines (gssbtraa), building materials (gssbbuil) and transportation road & rail (gssbtrar) trade closely with the oil price. using the sub-sector reduces the idiosyncratic risk as all our sub-sector baskets are equally weighted. there is a liquidity constraint with the renewable and the oil e&p sub-sector baskets. in exhibit 8, we show the performance of our sub-sector baskets combination both with and without e&p and renewables. 高盛全球经济、商品和策略研究,7,2012 年 2 月 24 日,exhibit 8: our sub-sector baskets can be used to hedge oil prices moves the sub-sector baskets are equally-weighted,欧洲,200 180 160,sub-sector strategy subsector strategy without e&p and renewables brent nearby future (rhs),160 140 120,100 140 80,120 100 80,60 40 20,jan-07,jan-08,jan-09,jan-10,jan-11,jan-12,source: bloomberg, datastream, goldman sachs global ecs research. in the table below, we summarize our sub-sector mix to gain exposure to the oil price. exhibit 9: sub-sector strategy composition (bloomberg tickers in brackets) composition of our hedging sub-sector strategy,long oil services (gssboils) intergrated oil & gas (gssboili) oil exploration & production (gssboile) renewables (gssbrnew),short general retail (gssbgere) food retail (gssbfore) transportation airlines (gssbtraa) transportation road & rail (gssbtrar),building materials (gssbbuil) source: goldman sachs global ecs research. 2. our energy sensitive basket (bloomberg ticker: gsstengy) we have been recommending a long in our energy basket (gsstengy) since the beginning of the year. the basket was relatively narrow in terms of the number of companies; hence, we are rebalancing and expanding the basket. we combine the input from our analysts on companies that benefit the most from rising oil prices with a regression analysis to identify which companies are the more impacted by oil prices moves. more precisely, we run a regression on weekly returns in each stock in the stoxx 600 against weekly returns in oil prices, metal prices and market return. we then select companies that are the most sensitive to oil. as a result, we expand the basket from 21 constituents to 42. the basket remains skewed towards the oil & gas sector, as one would expect, but we also find other sectors such as utilities, industrial goods & services or basic resources. this basket tracks well the move in oil prices as can be seen from exhibit 10. 高盛全球经济、商品和策略研究,150,8,2012 年 2 月 24 日,exhibit 10: performance of the new gsstengy backtested performance with current constituents new gsstengy rel. performance,欧洲,235,brent 1-mth forward (rhs),130 215,195 175 155 135 115 95,110 90 70 50 30,2007,2008,2009,2010,2011,2012,source: datastream, goldman sachs global ecs research. although oil & gas makes up almost 50% of the basket, the oil & gas companies included in gsstengy represent only 30% of the oil & gas sector. the basket follows more closely the oil price than a straight long position in sxep. in exhibit 12, we show the weekly rolling correlation between the one-month forward brent and both sxep and our new gsstengy. the backtested performance of our revamped gsstengy basket has consistently exhibited a higher correlation with the oil price than the oil & gas sector has. the constituents and valuations are shown in exhibit 13. we recommend this basket as a long versus the market given our view that over the medium term oil prices will continue to rise. alternatively this basket can be used to hedge oil exposure.,exhibit 11: new gsstengy sector weights,exhibit 12: gsstengy is a better proxy for oil price than sxep 6-month weekly rolling correlation,construction,100%,correlation between sxep rel. perf and 1-mth fwd brent,chemical, 5%,2%,80%,correlation between gsstengy rel. perf. and 1-mth fwd brent,utilities, 12% 60%,basic resources,oil & gas, 48%,40%,14% 20%,industrials,0%,19% -20%,2007,2008,2009,2010,2011,source: goldman sachs global ecs research. 高盛全球经济、商品和策略研究,source: datastream, goldman sachs global ecs research.,9,2012 年 2 月 24 日 exhibit 13: gsstengy constituents,欧洲,company name,basket weight,market capitalization (eur bn),p/e 2012e,eps growth 2012e,basic resources,14.3%,eramet randgold resources rio tinto vedanta resources kazakhmys tenaris,2.4% 2.4% 2.4% 2.4% 2.4% 2.4%,3.2 7.9 61.5 4.8 7.2 18.5,14.4 17.3 7.3 8.0 6.1 14.5,13.1 60.4 2.2 46.7 1.9 26.5,chemicals,2.4%,yara international,2.4%,10.5,9.0,13.7,construction & materials,4.8%,tecnicas reunidas acciona,2.4% 2.4%,1.7 3.9,12.2 19.5,4.5 26.8,industrial goods & services,19.0%,hexagon b weir group imi cookson group schneider electric alfa laval atlas copco a abb r,2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4%,5.2 5.4 3.7 2.1 27.8 6.4 16.3 36.2,15.4 13.8 11.6 9.2 13.3 15.5 15.7 13.6,16.5 20.5 5.5 1.5 1.0 7.1 2.6 0.0,oil & gas,47.6%,wood group (john) afren statoil lundin petroleum cairn energy seadrill petroleum geo services subsea 7 hunting tullow oil technip premier oil petrofac saipem bg group cie.gl.de gphyq.vert. omv galp energia sgps amec fugro,2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4% 2.4%,3.2 1.8 66.1 5.5 2.3 14.1 2.5 6.2 1.4 16.4 8.9 2.8 6.5 16.7 60.6 3.5 9.4 9.9 4.4 4.4,13.6 0.0 8.9 38.7 nm 13.2 20.9 17.7 15.3 33.1 17.1 10.9 13.7 16.0 16.0 19.6 7.3 25.7 14.3 13.4,48.9 nm 9.0 15.7 nm 8.6 nm 9.5 48.5 0.6 6.9 73.1 19.0 13.1 13.8 nm 16.5 67.3 10.4 20.5,utilities,11.9%,fortum drax group international power centrica edf median,2.4% 2.4% 2.4% 2.4% 2.4%,16.4 2.2 20.4 18.0 34.8 6.4,12.0 9.9 13.1 10.6 9.2 13.6,16.3 7.1 13.4 8.6 7.6 10.0,source: goldman sachs global ecs research. 3. country indices country indices are another way to hedge that we have considered before; however, they have not worked well recently and we would not actively recommend this as a strategy. investors can use a long in obx vs. a short in omx to reflect oil prices moves using european equity indices. going long russia (rdxusd) against a short in german equities (dax) is another option. both long/short positions can be combined to offer a hedge against rising oil prices (see exhibit 16). 高盛全球经济、商品和策略研究,10,2012 年 2 月 24 日,the oil & gas sector makes up c.50% of the obx and c.60% of the rdxusd. conversely, the dax and the omx do not have any exposure to the oil sector and are concentrated on oil- consumer sectors such as industrials. one of our global market teams top trades for this year has a similar flavour but uses indices outside europe. they recomme
温馨提示
- 1. 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。图纸软件为CAD,CAXA,PROE,UG,SolidWorks等.压缩文件请下载最新的WinRAR软件解压。
- 2. 本站的文档不包含任何第三方提供的附件图纸等,如果需要附件,请联系上传者。文件的所有权益归上传用户所有。
- 3. 本站RAR压缩包中若带图纸,网页内容里面会有图纸预览,若没有图纸预览就没有图纸。
- 4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
- 5. 人人文库网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对用户上传分享的文档内容本身不做任何修改或编辑,并不能对任何下载内容负责。
- 6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
- 7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。
最新文档
- 小学生守法主题课件
- 幼儿园老师工作方案有感
- 小学生学中医课件
- 小学生地球课件
- 城市发展资金管理办法
- 大连交割仓库管理办法
- 地摊管理办法申请流程
- 大连地铁招聘管理办法
- 大唐集团班组管理办法
- 知识产权参股合作转让合同
- 租地合同书样本电子版
- GB/T 7247.2-2024激光产品的安全第2部分:光纤通信系统(OFCS)的安全
- 数独题目高级50题(后附答案)
- 渤海大学学生管理详细规定
- GB/T 44099-2024学生基本运动能力测评规范
- 流媒体服务的兴起与电影产业的转型
- TD/T 1058-2020 第三次全国国土调查县级数据库建设技术规范(正式版)
- 幼儿园美术案例分析与措施
- 高斯小学奥数二年级(上)第05讲 图形规律进阶
- MOOC 化工过程与控制仿真实习-北京化工大学 中国大学慕课答案
- 《保温保冷技术》
评论
0/150
提交评论