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1、高盛国际,杰夫可瑞,高盛国际,1,0,0,3,1,0,2012 年 10 月 20 日GOAL:全球资产投资机会定位证券研究报告,我们的宏观前景预测：增长反弹与财政悬崖的不确定性我们预计未来几个季度欧洲和中国的经济增速将改善，但具体时间仍不明朗。在美国，最近经济数据的改善使得高频数据更符合我们 2%的年内 GDP 增速预测。明年一季度增速可能会被财政悬崖拉低至 1.5%，而后在下半年反弹至 2.5%。在该情景下，来自财政悬崖的风险几乎全部趋于下行，而且欧洲主权债状况可能再次恶化。我们的短期配置建议依然为标配。,Anders Nielsen+44(20)7552-3000 彼得欧品海默+44(2
2、0)7552-5782,高盛国际我们对各类资产的看法大宗商品：我们预计石油市场周期性趋紧但结构性稳定，展期收益率应会带来大,部分回报。在该形势下，我们认为大宗商品将产生良好回报，并仍能对冲供应紧张带来的负面影响。我们维持高配建议。股票：考虑到来自财政悬崖的风险，我们对未来 3 个月持标配建议。我们建议在未来 12 个月中高配股票，因其风险溢价具吸引力，并且我们预计这一期间增长反弹且尾部风险下降。企业信贷：就基本面和流量而言，环境依然有利，但由于 IG spread 趋紧，我们认为息差的进一步缩小将不足以弥补我们预期的国债收益率的上升，因此对企业信贷持标配建议。国债：尽管政府债券的收益率已经上升
3、，但无论其绝对值还是与我们根据当前经济环境计算的合理值相比都较低，我们仍对未来 3 个月和 12 个月持低配建议。回报率预测和配置建议,(212)357-6801 高盛集团Francesco Garzarelli+44(20)7774-5078 Charles P.Himmelberg(917)343-3218 高盛集团,3MonthsHorizonAssetClass Return*Weight AssetClassCommodities 10%OW Equities,NewRecommendation,12MonthsHorizonReturn*13%,WeightOW,高思庭(212)9
4、02-6781 高盛集团,Equities5yr.CorporateBondsCash10yr.Gov.Bonds,4,NNNUW,Commodities5yr.CorporateBondsCash10yr.Gov.Bonds,8,OWNUWUW,Kathy Matsui+81(3)6437-9950 高盛证券株式会社,*Returnforecastsassumefullcurrencyhedging资料来源：高盛全球经济、商品和策略研究预测慕天辉,CFA+852-2978-1328 高盛（亚洲）有限责任公司Thomas Stolper+44(20)7774-5183 高盛国际高盛与其研究报告
5、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 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,3,6,7,11,14,18,22,27,32,2,2012 年 10 月 20 日Table of ContentsBetter US data vs.risks from the fiscal cliffOur forecastsKey themes and recommendationsThem
6、es and basket implementationsOur sector viewsCommodities:Structurally stable,but cyclically tight markets support returnsIndustrial metalsPrecious metalsAgricultureCredit:The search for yield is finding less and lessGlobal Bonds:Macro factors should take centre stage againFX:Key FX risks into early
7、next yearHow we construct our asset classesDisclosure Appendix高盛全球经济、商品和策略研究,1216171734,全球,1,1,3,2012 年 10 月 20 日,全球,Better US data vs.risks from the fiscal cliffOur GOAL Global Opportunity Asset Locator highlights key forecasts andinvestment opportunities across asset classes and regions that we co
8、ver.It draws onresearch from across ECS(Economics,Commodities and Strategy)research to focuson key drivers,themes,investable recommendations and how to implement them.Signs of a pick-up in US growthIn our last GOAL report(published September 21,2012),we recommended a neutral allocationacross most as
9、sets on a 3-month horizon,with the exception of an overweight in commoditiesand an underweight in government bonds as we thought the pricing of these asset classes did notfully reflect the existing economic environment.We were reluctant to take risk in other assetclasses owing to uncertainty about t
10、he timing of a growth rebound,and due to our view that thepricing of a decline in risk premia on the back of central bank action was mostly behind us.Since then,the main event has been the better-than-expected ISM and employment data in theUS.At the same time,the decline in the European risk premium
11、 has come to a halt as concernsabout the timeline for both Spains request for external help and the progress towards bankingunion has grown.The response of assets to these developments has been muted in equities and commoditieswhich are roughly flat,whereas corporate credit has performed well.Our al
12、location has gainedslightly,with our overweight in Commodities returning 0.2%and outperforming the-0.4%return inour underweight in Government bonds.Better US data vs.risks from the fiscal cliffWhile the US data has improved,we do not expect a sustained pick-up in growth inthe near term as the impact
13、 of and risks around the fiscal cliff are coming closer.Outside of the US we are still waiting for more convincing signs of the improvementin growth we expect over the next quarters.The US data surprises have brought our current activity indicator(CAI)for the US economy from0.3%growth in August to 2
14、.8%in September,and it is now somewhat stronger than our forecastof 2%qoq annualized growth in 3Q12 and 4Q12.Next year,we expect growth to slow to 1.5%qoq annualized in 1Q13 as fiscal tightening becomes more severe,before a reacceleration to2.5%in the second half of the year.Risks from the fiscal cl
15、iff to our growth forecast for 1Q13 arealmost exclusively to the downside.Our base-case scenario is for the fiscal cliff to be resolved by year end,with a temporaryextension of the 2001 and 2003 tax cuts,a continued phase down of Emergency UnemploymentCompensation and a temporary delay of the spendi
16、ng cuts under sequestration.This wouldincrease the fiscal drag on GDP growth from 0.75 percentage points this year to 1.5 percentagepoints early next year.However,the risks that the upper income portions of the tax cuts as well asthe Emergency Unemployment Compensation are allowed to expire have ris
17、en in recent months.This would increase the fiscal drag to nearly 2 percentage points and GDP growth could slow to1%or below.In the low probability event where no agreement is reached for an extended period,we estimate the direct fiscal impact alone implies a drag on GDP growth of around 4%in thebeg
18、inning of 2013 and likely a recession.In the Euro area,we continue to expect 3Q12 to be the weakest quarter,with-1.0%qoqannualized real GDP growth;however,our forecast for 4Q12 is weak as well,at-0.6%,and veryPlease see our October 5,2012 US Economics Analyst for more details on the fiscal cliff.高盛全
19、球经济、商品和策略研究,2,1.,0,1,2,4,2012 年 10 月 20 日PerformancesincelastGOAL*,全球close to the-0.7%achieved in 2Q12.Moving into next year,we expect more of an improvement,with 0.5%growth in 1Q13,rising to 1.1%by 4Q13.We expect resilient domestic demand inGermany and a gradual decline in the negative effect of fi
20、nancing conditions on growth in theperiphery to contribute to this improvement.But,in Europe,we believe the risks are also mainly tothe downside of our growth expectations.In China we expect growth to improve from 7.6%this year to 8.0%next year driven by animprovement in exports and business investm
21、ent.We are cautious in our projections of policyeasing.The upcoming policy transition and implementation lags could delay new spending plansin the near term,and concerns about investment efficiency are likely to make policy makers morecautious on using large scale infrastructure spending as a counte
22、rcyclical tool.The Septemberactivity data showed a genuine rebound,but uncertainty about the magnitude and sustainabilityremains.Focus on valuation gaps in the near term;longer term pro-riskGiven the strong rally in risky assets,the expected growth impact and risks from the fiscal cliffand the remai
23、ning uncertainty about the rebound in growth,we maintain a relatively neutralposition on a 3-month horizon.This is despite the tailwinds from central bank easing and ourcentral expectation that growth will improve outside of the US.We remain underweightgovernment bonds and overweight commodities,whe
24、re we think prices will go higher near term,and the roll yield will contribute to a good return longer term.We are more positive on the early part of the 3-month horizon than the latter.Early on webelieve that investors are likely to focus more on the improving data and drive risky assetshigher,but
25、we are concerned that at some point on the other side of the election the fiscalcliff issue will become more prominent leading to a poor risk/reward environment.Over 12 months we are much more pro-risk and overweight commodities and equities,andunderweight cash and,with the greatest conviction,gover
26、nment bonds.This horizon bridges the weaker patch of growth we expect in the US around 1Q13 next year andallows time to capture the rebound in growth we expect elsewhere.We are also more concernedabout the risks around the negotiations on the fiscal cliff issue than the final outcome.We see aone in
27、three chance that congress fails to reach an agreement by year-end but only a lowprobability of no agreement for an extended period.Similarly,in Europe we expect that the trendof the sovereign situation will be towards improvement over time,even though there is likely to bevolatility around this pat
28、h,as market pressures are needed from time to time to move the processforward.Finally,risk premia remain high,and a 12-month horizon is long enough to matter morefor returns,in our view.Performance since last GOAL and our new recommendedNewRecommendation,3MonthsRec.,3MonthsHorizon,12MonthsHorizon,As
29、setClassCommodities,inlastGoalOW,Performance0.2%,AssetClassCommodities,Return*Weight10%OW,AssetClassEquities,Return*13%,WeightOW,Cash5yr.CorporateBondsEquities10yr.Gov.Bonds,NNNUW,0.01.30.50.4,Equities5yr.CorporateBondsCash10yr.Gov.Bonds,401,NNNUW,Commodities5yr.CorporateBondsCash10yr.Gov.Bonds,803,
30、OWNUWUW,*Returnforecastsassumefullcurrencyhedging*PerformancesincelastGOALassumingfullcurrencyhedgingSource:Goldman Sachs Global ECS Research estimates.Please see our October 9,2012,Global Market Views for a further discussion of the near term dynamics.高盛全球经济、商品和策略研究,Equities,Credit,5,2012 年 10 月 20
31、 日CommoditiesBonds&Cash,全球Looking at the individual asset classes,we forecast a-4%return for equities on a 3-monthhorizon.The risks around this forecast are wide:A sustained growth rebound would supportsignificant upside,whereas the fiscal cliff represents significant downside risk.On a 12-monthhori
32、zon our conviction is much greater and we expect a 13%return as growth improves and near-term risks fade.The most interesting aspect of our forecast is the large underperformance weexpect for the US equity market relative to other markets over a 12-month horizon.Given itsstrong recovery since the fi
33、nancial crisis and our below trend US economic growth expectations,the US market has neither the significant catch-up left to do from the crisis that Europe and Japanhave,nor the pace of earnings growth in Asia ex-Japan.These dynamics are also visible invaluations that are not particularly compellin
34、g in the US but attractive elsewhere.This week we downgraded our 12-month target for Brent oil from$129/bbl to$105/bbl.We nowsee the crude oil market as structurally stable but cyclically tight,and continue to expect thatOECD inventories will fall below 2011 levels in 4Q12.Reflecting this tightness
35、we maintain ournear-term target of$120/bbl.We have also lowered our 12-month copper target from$9,000/t to$8,000/t.We are concerned that current strong Chinese copper demand growth from constructioneventually will decline as the wave of projects initiated under the large stimulus in the aftermath of
36、the financial crisis comes to completion.Despite the downgrades we believe commodities willremain an attractive investment as roll yields should support returns.Also,we believecommodities remain a hedge against the risk of supply disruptions in currently tight marketsleading to higher commodity pric
37、es with a negative impact on economic growth and other assetclasses.In corporate credit we are neutral on spreads since valuations are tight and the risk overhangfrom the European sovereign situation remains elevated.Over a 12-month horizon we expectspreads to remain stable,consistent with strong cr
38、edit fundamentals.In the US,microfundamentals have deteriorated a bit in recent quarters but remain close to the best levels wehave seen for the last 25 years.Even though fundamentals are likely to continue to deterioratesomewhat from here,we think they will remain robust.In Europe,the starting poin
39、t is weaker,which combined with the depth and duration of the recession leaves fundamentals more exposedand us more cautious.Given the uncertainty about the strength of recovery and the risk fromrates,we keep corporate credit as a neutral on both our 3-and 12-month horizons.We prefer UScredit over E
40、uropean.Within credit we prefer financials over non-financials in the US,but holdthe opposite preference in Europe.Within the US rating spectrum we see the best value in BBand B rated credit.This summer we recorded the lowest levels of 10-year bond yields in the more than 300 years of,history we hav
41、e for the UK(at 1.45%),the 140 years of history we have for the US(at 1.43%)andthe 40 years of history we have for Germany(at 1.17%).Though yields have risen since then,they remain close to these lows(1.92 for the UK,1.82 for the US and 1.63 for Germany),andremain below the levels that we think are
42、justified by current macro factors.We believe the gap toa large extent is driven by the effects of QE,reallocation of bond portfolios away from theEuropean periphery and concerns about a sustained weak growth environment.While theseeffects and therefore the valuation gap are likely to take time to f
43、ully mean revert,we believe theymake the risk/reward at current yield levels favour an underweight position in bonds.We prefercash to government bonds,but would underweight both on a 12-month horizon.高盛全球经济、商品和策略研究,6,5,4,%,5,4,3,%,6,2012 年 10 月 20 日Our forecastsExhibit 1:Past performance and our mai
44、n forecasts across asset classes,全球,Returnin%overlast,Current,Forecasts,12m,3m,1m,Level,3m,6m,12m,Unit,Equities,S&P500($)StoxxEurope600()MSCIAsiaPacificExJapan($)Topix(),21.622.216.42.6,6.87.211.52.7,0.01.02.10.2,1457276448752,1250280455775,1450290470800,1550310500860,IndexIndexIndexIndex,10YearGove
45、rnmentBondYields,USGermanyUKJapan,5.86.18.13.5,1.62.61.50.0,0.10.20.20.2,1.821.631.920.79,2.001.752.001.00,2.101.902.251.10,2.302.102.501.20,%,5yearIGCredityields*,iBoxxUSDiBoxxEUR,12.211.8,2.72.8,2.01.1,119182,117184,108196,103180,BpBp,Commodities,WTIBrentNymexNat.GasCopperAluminiumGoldWheatSoybean
46、sCorn,0.17.217.310.413.94.719.128.325.1,1.68.913.77.64.310.85.34.63.5,3.60.918.71.16.71.50.65.81.5,92.1112.423.598220201517458691546761,108.00115.003.7580002000184010251875900,106.00110.004.009000215019409501725825,100.50105.004.258000220019408001350650,$/bbl$/bbl$/mmBtu$/mt$/mt$/troyozCent/buCent/b
47、uCent/bu,FX,EUR/USDUSD/JPY,4.43.2,6.90.6,0.40.8,1.3079,1.2577,1.3376,1.4074,*Weshowperformanceforcreditintotalreturnterms,butcurrentlevelandforecastsareforspreadsSource:Goldman Sachs Global ECS Research estimates.,Exhibit 2:US GDP growth vs.our CAIQoQGDPGrowthForecasts(%Annualised)Q312 Q412 Q113 Q21
48、3 Q313 Q4132.0 2.0 1.5 2.0 2.5 2.5Annualised QoQGDP GrowthGS Forecast,Exhibit 3:Euro area GDP growth vs.our CAIQoQGDPGrowthForecasts(%Annualised)Q312 Q412 Q113 Q213 Q313 Q4131.0 0.6 0.5 0.6 0.7 1.1Annualised QoQGDP GrowthGS Forecast,3,CAI,2,CAI,1,21,0-1,0Dec-09,Dec-10,Dec-11,Dec-12,Dec-13,-2Dec-09,D
49、ec-10,Dec-11,Dec-12,Dec-13,Source:Goldman Sachs Global ECS Research estimates.,Source:Goldman Sachs Global ECS Research estimates.,Exhibit 4:Our forecasts for global economic growth vs.consensus,%yoyUSAJapanEuro AreaUKChinaIndiaBrazilRussiaBRICsAdvancedEconomiesWorld,20102.44.52.01.810.48.47.54.08.9
50、3.05.0,20111.8-0.81.50.99.36.52.74.37.41.63.8,GS2.22.4-0.50.17.65.71.63.86.11.43.1,2012,Consensus*2.12.3-0.5-0.27.75.81.63.76.21.33.1,GS1.91.10.11.98.07.04.04.36.91.53.6,2013,Consensus*2.01.30.21.28.16.83.93.66.81.53.5,*Consensus Economics Oct.2012Source:Consensus Economics,Goldman Sachs Global ECS
