GOAL：最新资产配置建议

1、GOAL：最新资产配置建议2014年7月26日 GOAL: 最新资产配置建议 证券研究报告布局收益率上升：下调股票和债券的配置建议 宏观前景：增长持续、债券收益率上升Anders Nielsen +44(20)7552-3000 anders.e.nielsengs4 目前全球经济增长已大幅改善。虽然我们此前预计的增速中的一大部分已经实高盛国际 现，但我们仍认为总体经济将以当前或者略高的水平继续增长，其中2017年底彼得欧品海默 前美国经济增速将保持在3%左右。我们认为政府债券收益率上升的可能性已经+44(20)7552-5782 peter.oppenheimergs 增加，并认为这是短期宏

2、观前景的一个关键因素。 高盛国际 杰夫可瑞 我们的配置建议和投资主题 (212) 357-6801 jeffrey.curriegs 高盛集团 股票：我们将3个月配置建议下调为标配，因为债券超卖可能带动短期内股票被 抛售。虽然我们仍确信未来12个月股票是布局最佳的资产因此仍然维持高配，但Francesco Garzarelli 其短期风险回报吸引力下降。 +44(20)7774-5078 francesco.garzarelligs 高盛国际 大宗商品：我们预计供应差异导致的大宗商品分化以及现货升水将成为回报的推Charles P. Himmelberg 动力，并认为镍、锌钯、铝存在投资机会。

3、但我们对整体大宗商品的回报预测较(917) 343-3218 charles.himmelberggs 低，并维持对该资产类别的标配。高盛集团 高思庭 企业债券：我们将3个月和12个月配置建议下调为低配。我们认为息差将微幅收(212) 902-6781 david.kostings 窄，但鉴于目前息差已经较窄，政府债券收益率的上升可能会成为回报的主导因高盛集团 素，尤其是目前息差最低的美国投资级债券。 Fiona Lake +852-2978-6088 fiona.lakegs 政府债券：我们维持低配。我们预计美国经济持续增长、通胀加速、对欧洲通缩高盛（亚洲）有限责任公司 担忧的缓解以及日本通

4、胀前景的改善将推动收益率上升。投资主题：可受益于经Kathy Matsui 济维持较高增长以及股东现金回报的资产类别。详见第四页。 +81(3)6437-9950 kathy.matsuigs 高盛证券株式会社 预期回报和资产配置建议 慕天辉, CFA +852-2978-1328 timothy.moegs New?Recommendation高盛（亚洲）有限责任公司 3Month?Horizon12Month?HorizonAsset?ClassReturn*WeightAsset?ClassReturn*WeightAleksandar Timcenko (212) 357-7628 a

5、leksandar.timcenkogs Cash0.1%OWEquities10.5%OW高盛集团 Equities1.8NCash0.5N Commodities0.5N5?yr.?Corporate?Bonds0.6N多米尼克威尔逊 5?yr.?Corporate?Bonds0.3UWCommodities0.1N(212) 902-5924 dominic.wilsongs 10?yr.?Gov.?Bonds1.6UW10?yr.?Gov.?Bonds4.7UW高盛集团 *?Return?forecasts?assume?full?currency?hedging 资料来源：高盛全球投

6、资研究 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.gs/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 全球投资研究2014年7月26日 全球 Whats new? In summary Since our last GOAL report the likelihood of a rise in bond yields with k

7、nock-on implications for other assets has increased. To prepare, we downgrade corporate credit to underweight over both 3 and 12 months and downgrade equities to neutral over 3 months. For a 12-month horizon and beyond we still see the best strategy as being overweight equities and underweight gover

8、nment bonds to capture the equity risk premium which remains very high. On growth The biggest news on growth since our last GOAL report has been the continued improvements in China with support from easy policy on both the fiscal, monetary and administrative side. We now expect to see some moderatio

9、ns in policy support, but the overall stance is likely to remain loose. We expect qoq growth to accelerate further in 3Q14 to 8.4% reflecting the strong momentum coming into the quarter before falling back a bit in 4Q14 to 8.0%. In Europe on the other hand our current activity indicator (CAI) has we

10、akened marginally in June to 1.2%. German and French data have disappointed while we have revised our forecasts for Spain higher. Our annual growth forecast for the Euro area is unchanged and we expect growth of 1.6%-1.7% in the second half in line with the level of our CAI in April. The 1.2pt impro

11、vement in the July Euro area flash PMI is encouraging in this respect. An earlier hike In the US, growth has been steady over the last month as we expected, with the most interesting data point being the continued decline in unemployment. Given the improved labor market, upside surprises to inflatio

12、n and very easy financial conditions our US economists have shifted their forecast for the first rate hike to 3Q15 instead of 1Q16. This forecast of near-zero rates for another year reflects that broader measures of the labor market remains weaker than unemployment alone would suggest, our expectati

13、on of a slow normalization of inflation as wage growth remains low and the risk/reward favoring policy makers erring on the side of being a bit late rather than a bit early. Yields to rise At the same time 10-year yields have declined further and are now around their lowest levels post the sell-off

14、over the summer last year (Exhibit 1). In the case of Germany we have even surpassed the lows from before the sell-off. We expect bond yields to be pushed higher by sustained high US growth and accelerating inflation, a decline of deflationary concerns in Europe and an improving inflation outlook in

15、 Japan. The conclusion of Fed bond purchases in October could also be a catalyst for a reassessment of the speed and size of the hiking cycle as well as the neutral rate. As time has passed while yields have stayed low, the time window over which we would expect this sell-off in bonds has shortened

16、from one side. At the same time, the data has shortened it from the other by moving forward our expectation for the first rate hike. We now see the likelihood of a sell-off in bonds as large enough that we adjust our allocation to both equities and credit as a preparation for a rise in yields. We ba

17、lance these changes with an upgrade of cash to overweight over 3 months. Downgrading credit We downgrade corporate credit to underweight over both 3 and 12 months. We continue to have a benign outlook for spreads and expect a slight further tightening over the coming year as monetary policy remains

18、very accommodative and inflation and macro risks remain relatively low leading to a strong search for yield. However, spreads are now so tight that carry and further spread compression offer a relatively low offset against the rise we expect in the underlying government bond yield, especially for US

19、 investment grade credits. This tension between total return and spread return expectations have existed for a while, but the latest developments have shifted the balance between these two forces far enough for us to prefer a credit underweight, given that our credit portfolio puts 60% weight on US

20、investment grade. 全球投资研究 2 2014年7月26日 全球 Exhibit 1: Government Bond yields back at very low Exhibit 2: US data surprises close to high 3-month linearly weighted data surprises vs. consensuleves for the ls US and Euro area, as measured by our MAP indexes 3.52 %Tapertantrum sell-off 3.012.52.001.7view

21、 across the four regions that we look at. We see the reflation story in Japan as another angle on this theme. In government bond markets we are long Euro area inflation and short 3 year US Treasuries. Exhibit 1: Our recommendations position for a cyclical recovery Cyclical?recoveryUS?companies?with?

22、high?operational?leverage?(GSTHOPHI)?vs.?US?companies?with?low?operational?leverage?(GSTHOUS?stocks?we?expect?to?benefit?from?higher?rates?(GSTHUSTY)?vs.?S&P?500US?companies?with?high?weak?balancesheets?(GSTHWBAL)?vs.?US?companies?with?strong?balance?sheets?(GSTHSBALDAX?vs.?Stoxx?600Operationall

23、y?geared?DM?exposed?European?companies?(GSSTDMGR)?vs.?Stoxx?600European?financially?levered?companies?(GSSTFNLV)?vs.?Stoxx?600FTSE?250?vs.?FTSE?100Asian?global?cyclicals?(GSSZMSGC)?vs.?defensives?(GSSZMSDF)Asia?exJapan?margin?expanders?vs.?margin?contractors?(see?June?30?3Q?views:?Harderearned?retur

24、ns)Japanese?capex?growth?beneficiaries?(GSJPCPEX)Wavefront?US?Consumer?Growth?basket?(GSWBCOGA)?Large?cap?banks?in?the?US,?Europe?and?Japan,?with?Equal?weights?in?BKX,?SX7E?and?TPNBNKLong?Euro?area?3?year?inflation?swap?rates?2year?forwardShort?3?year?US?Treasuries Source: Goldman Sachs Global Inves

25、tment Research. Shareholder return As risk aversion moderates we expect companies to put cash to work. Given regional differences in return policies, we have developed different strategies for the different regions to capture this, but we like the theme in both the US, Europe and Japan. Exhibit 2: .

26、and companies using cash for shareholder returns Shareholder?returnUS?companies?with?high?trailing?buyback?yield?relative?to?their?sector?(GSTHREPO)?vs.?S&P?500.European?companies?with?high?dividend?yields?and?growth?(GSSTHIDY)?vs.?Stoxx?Europe?600Japanese?total?shareholder?yield?stocks Source:

27、Goldman Sachs Global Investment Research. Other strategies We are long the US dollar vs. the Canadian dollar. Exhibit 3: Other trade recommendations Other?tradesS&P?500?Dec?14?Future?funded?out?of?short?AUD/USD?Dec?14?futureJapanese?womenomics?winner?basket?(GSJPWMN2)ShanghaiHong?Kong?stock?conn

28、ect?beneficiaries?(see?June?30?3Q?views:?Harderearned?returns)Long?USDCAD Source: Goldman Sachs Global Investment Research. 全球投资研究 4 GovXEquityEquityEquityFXBondsasset2014年7月26日 全球 Our forecasts Exhibit 4: Our forecasts across asset classes Return?in?%?over?lastCurrentForecasts12?m3?m1?mLvl3?m6?m12?

29、mUnitEquitiesS&P?500?($)1988200020502075IndexStoxx?Europe?600?()344360370385IndexMSCI?AsiaPacific?ExJapan?($)509500520535IndexTopix?(?)1270125013001450Index10?Year?Government?Bond?YieldsUS2.502.753.003.25%Germany1.181.401.601.92%UK1.50.91.

30、02.712.813.003.13%Japan0.560.730.750.88%5?year?credit?spreads*iBoxx?USD78757370BpBAML?HY?Master?Index?II348339332320BpiBoxx?EUR1091029995BpCommoditiesWTI10296.0095.0090.00$/bblBrent7.00.95.6107105.00105.00100.00$/bblNymex?Nat.?Gas5.518.013.53.854.504.254.

31、25$/mmBtuCopper7170660066006200$/mtAluminium0.67.06.62026200020502100$/mtGold1291119511351050$/troy?ozWheat23.425.09.0529610560575Cent/buSoybeans8.410.711.41085140010501050Cent/buCorn23.523.614.7362450400400Cent/buFXEUR/USD1.351.351.341.30USD/JPY102103107110*?We?s

32、how?performance?for?credit?in?total?return?terms,?but?current?level?and?forecasts?are?for?spreads Source: Goldman Sachs Global Investment Research. Exhibit 5: US GDP growth vs. our CAI Exhibit 6: Euro area GDP growth vs. our CAI QoQ?GDP?Growth?Forecasts?(%?Annualised)QoQ?GDP?Growth?Forecasts?(%?Annu

33、alised)Q214Q3?14Q414Q115Q215Q315Q415Q116Q214Q3?14Q414Q115Q215Q315Q415Q11663.03.03.03.03.01.61.855%Annualised QoQ GDP Growth44GS Forecast33CAI221100-1Annualised QoQ GDP Growth-1GS Forecast-2-2CAI-3-3Dec-10Dec-11Dec-12Dec-13Dec-14Dec-10Dec-11Dec-12Dec-13Dec-14 Source: Goldm

34、an Sachs Global Investment Research. Source: Goldman Sachs Global Investment Research. Exhibit 7: Our forecasts for global economic growth vs. consensus 2014E2015E2016E2017E% yoy20122013GSConsensus*GSGSGSUSA3.0Japan1.5Euro Area-0.6-0.41.01.6China

35、7.4BRICs6.7Advanced 2.5EconomiesWorld3.0* Consensus Economics July 2014 Source: Consensus Economics, Goldman Sachs Global Investment Research. 全球投资研究 5 2014年7月26日 全球 Equities: Downgrade to neutral over 3 months We downgrade equities to n

36、eutral over 3 months but remain overweight over 12. The longer-term case for equities is still strong: we expect sustained economic growth around current levels to drive earnings growth and performance, while the potential for equity risk premia to compress from still very high levels leaves room fo

37、r equities to perform over the longer term despite a rise in bond yields. However in the short term we worry that a rise in bond yields will drive equities lower, and we also expect the general pace of returns to slow compared to what we have seen in the last couple of years. We maintain our regiona

38、l allocation with an underweight in the US over both 3 and 12 months balanced by an overweight in Europe over 3 months and Europe and Japan over 12 months.We downgrade equities to neutral over 3 months as we are This leaves earnings as the key driver of returns in our view. concerned about the poten

39、tial impact of rising rates. We also Whereas earnings were revised down across all markets except think the acceleration in economic growth is largely behind us Japan at the beginning of the year, they have now stabilised in and geopolitical risks are elevated. While these issues weaken all regions

40、except Europe, where the downward revisions have the risk/reward from equities in the near term, they do not continued. This stabilization is supportive of our forecasts for change our view that equities are the most attractive asset class earnings growth which are roughly in line with consensus in

41、all on a 12-month horizon by a wide margin and we remain regions except for Japan where we are more optimistic. We are overweight. concerned about the continued downward revisions in Europe and see this as a key risk to our overweight here. But, we Many investors are concerned about current valuatio

42、n levels, expect both a slight improvement in European economic growth but in our central economic scenario we expect these levels to for the rest of the year as well as the currency depreciation to be sustained. For us the main concern related to valuation is lead to a stabilisation of earnings. Th

43、ough it is early, the 2Q14 that current levels create downside risks if the economic earnings season in Europe has so far been positive, which is environment was to disappoint. encouraging. Whereas absolute valuations are on the high side, relative valuations remain attractive. The gap between divid

44、end yields We continue to see the return of cash to and bond yields shown on Exhibit 10 is still high and oushareholders as a key theme across the US, Europe r and Japan and recommend strategies to capture this estimates of equity risk premia ranges from 5.2% in the US to in all these regions. We al

45、so recommend a number 8.5% in Asia ex-Japan. We expect continued compression of of strategies geared towards capturing the stronger these high premia to offset the rise in bond yields over the environment for economic growth that we have now longer term and therefore think valuations should be relat

46、ively shifted into (see page 4 for a list of these trades). steady even as bond yields rise. Exhibit 3: Dividend yields are high vs. real bond yields Exhibit 4: Earnings revisions have stabilized except in Dividend yields minus 10-year real government bond yields. We Europe use five-year average inf

47、lation as a proxy for inflation Percent change in consensus expectations for the level of 2014 expectations. The distribution uses data from 1990 except for EPS vs. expectations at the beginning of the year. Asia ex-Japan where it is from 1995 4% +/- stdev6.0current2%4.0Average0%2.00.0-2%-2.0-4%-4.0

48、-6%Europe (STOXX 600)-6.0US (S&P 500)-8%Japan (TOPIX)-8.0Asia ex Japan (MSCI Asia ex Japan)-10%EuropeUSAsia Ex-JapanJapanDec-13Jan-14Mar-14Mar-14Apr-14May-14Jun-14 Source: Datastream, Haver Analytics, Goldman Sachs Global Investment Source: Datastream, Goldman Sachs Global Investment Research. R

49、esearch. 全球投资研究 6 2014年7月26日 全球 Our sector weightings also reflect the stronger economic these recommendations, due to our constructive longer-term environment, with overweights in many of the financial sectors, outlook. technology and parts of the industrial space, whereas we We keep our regional a

50、llocation unchanged, with an underweight more defensive sectors including the more underweight in the US over both 3 and 12 months balanced by defensive parts of the consumer space. (See Exhibit 17 for an overweight in Europe over 3 months and Europe and Japan sector details). over 12 months. Our pro-cyclical thematic trades and sector recommendations could suffer under a temporary drawdown. But we have kept Exhibit 8: Global indices price targets and earnings growth All da