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1、,Dec-08,Sep-09,Dec-09,Sep-10,Dec-10,Sep-11,Dec-11,Sep-12,Dec-12,Sep-13,Dec-13,Jun-09,Jun-10,Jun-11,Jun-12,Jun-13,Mar-09,Mar-10,Mar-11,Mar-12,Mar-13,Mar-14,Jun-14,高思庭,2012 年 10 月 5 日美国,美股观点,证券研究报告,标普 500 面临短期政策风险，但具有长期政策支持股票对长期投资者具有吸引力但面临短期风险。基于我们最新的 2014 年每股盈利预测 114 美元和预期合理市盈率 13.9 倍，我们预测标普 500 将在 2
2、013 年底达到 1,575 点。FOMC 的开放式放松措施令投资者将目光从当前停滞的经济增长转移至企业基本面。截至目前，定量放松减少了股票的风险溢价但尚未改善增长预期。然而，我们基于财政政策的不确定性将在近期内采取估值折让。我们 2012 年底的目标价格仍为1,250。截至年末的下行风险将来自财政悬崖的不确定性,投资者对美国国会将会在 11 月 6 日的选举和 2013 年 1 月 1 日 5,760 亿美元财政紧缩开始之时之间的六周内就税务与支出分歧达成共识过于乐观。新定量放松政策支持 2014 年每股盈利上升、股市将随即上升尽管可能遇到阻力，我们预计其将在 2013 年初将达成延迟财政悬
3、崖全面影响的共识。开放式定量放松已经令金融环境有所放松并将继续支持 GDP 增长。我们将 2013 年标普 500 每股盈利预测上调至 107 美元并推出 2014 年的新预测 114美元。标普 500 将在 2013 年底前达到 1,575 的新峰值我们预计标普 500 将在 2013 年底前达到 1,575，较目前水平高 9%，较 2007 年的峰值高 1%。一旦政策风险明朗化、投资者便可以关注每股盈利增长的轨迹、高净资产回报率和估值指标。我们的标普 500 目标价格反映短期内有下行风险但 2013 年有望复苏1800,(212)902-6781 高盛集团Stuart Kaiser,CFA
4、(212)357-6308 高盛集团Amanda Sneider,CFA(212)357-9860 高盛集团Ben Snider(212)357-1744 高盛集团Peter Lewis(212)902-9693 高盛集团,16001400,S&P 500 Forecasts,1451,155014506-Month,15752013Year-End(9%),Rima Reddy(801)884-4794 高盛集团,(0%),12001000,12502012Year-End(-14%),800600资料来源：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
5、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,高盛全球经济、商品和策略研究,2,2012 年 10 月 5 日,美国,Near-term policy risks but open-ended QE a bridge to higher P/EWe apply a valuation discount to S and political and policy uncertainty
6、 remains high in Europe along with risk to Euroarea growth.The major near-term policy risk relates to possible 1Q 2013 fiscal consolidation ofroughly 4%of GDP under a worst case outcome.Our S&P 500 EPS,revenue and ROE estimates remain largely unchanged as QE wasalready an element of our US GDP forec
7、asts.We expect S&P 500 will earn$100 per sharein 2012,$107 in 2013 and$114 in 2014,with revenue growth of approximately 5%in each year.Our ROE forecasts remain 17.5%for 2012 and 17.3%for 2013 for the S&P 500 due to weakFinancials ROE but 19.7%and 20.7%on an ex-Financials basis.Slow growth,low inflat
8、ion and high unemployment justify additional easing.GoldmanSachs US Economics forecasts real US GDP growth of 2.2%in 2012 and 1.9%in 2013.Theyforecast benign core PCE inflation below 2%and expect the US unemployment rate will remainabove 8%.Our forecasts are modestly more conservative than the FOMC
9、central tendencyoutlook as well as consensus expectations.We assume GDP growth of 2.5%in 2014 as an inputin our top-down sales,margin,and EPS models.高盛全球经济、商品和策略研究,2011,3,2012 年 10 月 5 日,美国,Raising 2013 earnings forecast and extending estimates to 2014We revise our 2013 S&P 500 earnings estimate to$
10、107(from$106)and introduce a2014 EPS forecast of$114 per share.Our new estimates imply EPS growth of 4%in 2012,7%in 2013,and 6%in 2014.Our EPS estimates are below current bottom-up consensus EPSestimates in 2012,2013 and 2014 of$102,$115 and$128,respectively(see Exhibit 1).Our regression-based model
11、 of sales and net margins for each sector drives ourearnings forecasts for individual sectors and for the overall S&P 500.Variables includedin our sales and margin models encompass US GDP growth,world GDP growth,2-year and 10-year US Treasury rates,Brent crude oil,core inflation,and the trade-weight
12、ed US Dollar(seeAppendix A for our macroeconomic assumptions).The level of sales is highly correlated with nominal economic growth.We assume thenominal size of the US economy will grow by 3.7%in 2013 and by 4.6%in 2014.Given more than30%of aggregate revenues of S&P 500 companies take place outside o
13、f the US,our modelforecasts S&P 500 sales will rise by 4.4%in 2013 and 4.7%in 2014,respectively.Our revenuegrowth forecast is in-line with consensus expectations.We forecast trailing four quarter net margins will return to the previous peak of 8.9%by 2013 before rising to a new peak of 9.0%in 2014.H
14、igher labor costs and deceleratingmargin expansion in the Information Technology sector are headwinds to further marginexpansion at the index-level(see Exhibit 4).Consensus expects aggressive margin expansion of60bp in both 2013 and 2014.Bottom-up consensus forecasts S&P 500 margins will reach newpe
15、ak levels by 1Q 2013.Exhibit 1:S&P 500 sales,earnings,and margin forecasts,2011A-2014Eas of October 3,2012,S&P 500 ex-Financials and Utilities,Top-downGS Forecast2012E 2013E 2014E,Bottom-UpConsensus2012E 2013E 2014E,Sales Per ShareY/Y growth,$877,$9093.7%,$9494.4%,$9944.7%,$9103.8%,$954$1,0014.8%4.9
16、%,Y/Y growth ex-Energy,4.5,4.9,4.7,3.9,5.0,5.4,Profit MarginEPSY/Y growthUtilities EPSFinancials EPSS&P 500 EPSY/Y growth,8.8%$78$316$96,8.8%$803.2%$317$1003.9%,8.9%$856.1%$319$1076.7%,9.0%$895.4%$321$1146.3%,8.9%$814.6%$317$1025.4%,9.6%$9213.2%$320$11513.4%,10.2%$10211.6%$422$12811.2%,Source:Compus
17、tat,FirstCall,I/B/E/S,and Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,S&P500LTMEPS,2004,2005,2006,2007,2008,2009,2010,2011,2012,2013,2014,2015,2012USGDP,(3)%(2)%(1)%,1%,2%,4,2012 年 10 月 5 日,Exhibit 2:Goldman Sachs and consensus estimates for S&P 500 EPSas of October 3,2012140,美国,120,S&P 500 EPS
18、,Bottom-upConsensus,$115,$128,$102,$114,10080,$99$1002012,$1072013,2014,Goldman SachsTop-Down604020Source:Compustat,FirstCall,and Goldman Sachs Global ECS Research.Domestic real GDP growth is the most important macro input in our earnings model.We expect US GDP to grow at a quarterly average annuali
19、zed rate of 1.9%in 2013,in line withthe Goldman Sachs Economics forecast.We assume 2.5%GDP growth in 2014.Exhibit 3 shows the sensitivity of our EPS model to various US GDP growth rateassumptions.A 100 bp shift in 2013 GDP growth translates into a$5 per share shift in EPS.The sensitivity of our 2014
20、 EPS estimates to GDP growth rate assumptions is similar.Exhibit 3:Sensitivity of 2013 S&P 500 EPS to average annual US GDP growth rateas of October 3,2012Sensitivity of 2013 EPS forecast toUS GDP growth(100bp$5)2013 US GDP(1.1)%(0.1)%0.9%1.9%2.9%3.9%0%,3.7%3.22.72.21.71.20.7,95939291898886,10199989
21、6949391,1061051031011009896,112111109107105103101,118116114112110108106,124122120118116114111,Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,Dec-06,Dec-07,Dec-08,Dec-09,Dec-10,Dec-11,Dec-12,Dec-13,Dec-14,Dec-15,Dec-79,Dec-84,Dec-89,Dec-94,Dec-99,Dec-04,Dec-09,2013SalesGrowth,Dec-14,2012E,8.
22、9%,8.9%,8.8,5,2012 年 10 月 5 日Exhibit 4:S&P 500 net margin,1979-2014Eas of October 3,2012,美国,11%10%9%8%,Bottom-up ConsensusForecastS&P 500 Net Profit Margin,11%10%9%,Bottom-up Consensus Forecast2013E9.6%3Q 20118.9%2Q 20118.9%1Q 2011 8.8%,2014E10.2%9.0%,7%,8%,8.7%,4Q 2011-2Q 2012,Goldman Sachs,8.8%,Fo
23、recast,6%5%,5.9Goldman Sachs,7%,4%,4.7,Portfolio StrategyForecast,6%,S&P 500 Net Profit Margin(trailing four quarters),3.9,3%,5%,Source:Compustat,FirstCall,I/B/E/S,and Goldman Sachs Global ECS Research.Exhibit 5 shows the sensitivity of our 2013 EPS forecast to various marginassumptions.For example,
24、our 2013 EPS estimate of$107 per share corresponds with a 8.9%net margin.A 50 bp shift in 2013 margins represents roughly$5 in EPS.The sensitivity of our2014 EPS estimate to shifts in margins is of a similar magnitude.The roughly 70 bp gap betweenour margin forecast and consensus estimates explains
25、more than 80%of the difference betweenour 2013 EPS forecast of$107 and bottom-up expectation of$115.Exhibit 5:Sensitivity of 2013 S&P 500 EPS to sales growth and marginas of October 3,2012Sensitivity of 2013 EPS forecast tosales growth and margin(50bp$5)2013 Profit Margin,7.9%,8.4%,8.9%,9.4%,9.9%,6.
26、4%5.44.43.42.4,9998979796,104103102101101,109108107106105,113113112111110,118117116116115,Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,Dec-74,Dec-76,Dec-78,Dec-80,Dec-82,Dec-84,Dec-86,Dec-88,Dec-90,Dec-92,Dec-94,Dec-96,Dec-98,Dec-00,Dec-02,Dec-04,Dec-06,Dec-08,Dec-10,Dec-12,Dec-14,6,2012
27、年 10 月 5 日,美国,Exhibit 6 compares our sector earnings forecasts with the bottom-up consensusestimates.The largest gaps between our top-down sector earnings forecasts and bottom-upconsensus occur in Information Technology,Financials and Consumer Discretionary.As part of our revision,we adjusted the se
28、ctor composition of our 2012 and 2013 EPSforecasts.In both years,Industrials and Consumer Discretionary earnings increased while ourEnergy earnings estimates declined.Exhibit 6:Goldman Sachs top-down and consensus bottom-up S&P 500 EPS forecasts,2011A-2014Eas of October 3,2012,Contribution to EPS,An
29、nual earnings growth rates,GS Top-Down EPS,Bottom-up,GS Top-Down,Bottom-Up,2011A,2012E,2013E,2014E,2012E,2013E,2014E,2012E,2013E,2014E,2012E,2013E,2014E,Information TechnologyEnergyHealth CareIndustrialsConsumer StaplesConsumer DiscretionaryMaterialsUtilitiesTelecom ServicesS&P 500 ex-FinancialsFina
30、ncialsS&P 500 Operating EPS,$18141210993328116$96,$20141211993328317$100,$2214131110104338819$107,$2315141210104339321$114,$21141211993328417$102,$2414141210114339520$115,$27161513111354310622$128,9%(5)3112(0)(7)(1)4394%,9%37425194166107%,7%564346195116%,13%(5)51003(0)(0)54115%,18%712109152951713161
31、3%,12%891291614424111111%,Source:Compustat,FirstCall,and Goldman Sachs Global ECS Research,Exhibit 7:Sector contribution to S&P 500 earnings,1974-2014Eas of October 3,2012,100%,Goldman Sachs Forecast,90%80%70%60%50%40%30%20%10%,EnergyBubble26%,TechBubble16%,FinancialsBubble31%,Financials 21%Health C
32、are 14%Info Tech 23%Consumer Staples 10%Consumer Discretionary 10%Industrials 12%Telecom Services 3%Utilities 3%Materials 4%Energy 15%,0%Source:Compustat and Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,Oct-11,Feb-11,Feb-12,Jun-11,Dec-10,Dec-11,Jun-12,Oct-12,Apr-11,Apr-12,Dec-12,Aug-11,Aug-12,S&
33、P500Level,P/ERatio,7,2012 年 10 月 5 日,美国,Valuation and pathAnother year of stagnating economic growth,stable margins,and declining riskpremium suggest equity prices will rise over the medium-term.We expect 7%EPSgrowth,a narrowing US output gap,muted inflation,and strong ROE will support higher equity
34、prices.We introduce a year-end 2013 price target of 1575 and expect strong gains once fiscalpolicy risks are resolved early next year.S&P 500s rally in 2012 has been driven entirely by a lower risk premium(or P/Emultiple expansion).A muted economic growth outlook means the burden for additional upsi
35、dewill depend on improving profitability and valuation.We believe both will occur in 2013 once fiscalpolicy uncertainty is resolved in late 2012/early 2013.Our expectation that S&P 500 valuation would remain flat during 2012 in the face ofstagnating economic and earnings growth is proving incorrect.
36、Although the USeconomy is on track to expand by 2.2%and EPS will rise by just 4%from 2011 levels,the indexhas soared 15%YTD as the forward P/E has expanded to 13.4x from 11.7x at the start of theyear.Recent economic data momentum is also mixed.Our Macro data Assessment Platform(“US-MAP”)score is fir
37、mly negative,meaning actual macro data has been below consensus forthe past month.Moreover,revisions to consensus sales and EPS estimates have been negativeacross nearly all sectors of the S&P 500 over the past quarter and YTD.S&P 500 performance in 2012 has been a P/E multiple expansion story as a
38、series ofcentral bank policy actions reduced risk premium.The markets initial response to the mid-September FOMC statement suggested investors were surprised by the forcefulness of the Fedactions after equity prices rallied sharply following Chairman Bernankes Jackson Hole speechoutlining the ration
39、ale for additional monetary easing.Many investors view higher home andshare prices as the primary targets of open-ended QE.Policy statements and actions by the ECBalso helped reduce global equity risk premiums.However,until key policy risks are addressed we assign a discount to fundamentally-based f
40、air value estimates of the S&P 500.During the next few months the prospect forfiscal constraint in 2013 represents a clear risk to US equities due to its impact on economicgrowth,after tax returns and risk premium.In fact,our uncertainty P/E estimate is notably belowour other valuation models.The pa
41、th of our price targets and ERP reflect those risks and arguefor portfolio risk reduction through year-end.Exhibit 8:S&P 500 performance in 2012 has been driven by risk-on/risk-off sentimentas of October 3,2012,1500,14.0 x,145014001350,S&P 500 Level(LHS),13.4x,13.5 x13.0 x12.5 x,130012.0 x1250,高盛全球经
42、济、商品和策略研究,1200115011001050Source:FirstCall and Goldman Sachs Global ECS Research.,Forward P/E(RHS)2012 Correlation(Daily Changes).88,11.5 x11.0 x10.5 x10.0 x,8,2012 年 10 月 5 日,美国We employ a variety of approaches to estimate S&P 500 fair value including corporatefundamentals,dividend cash flows,macro
43、economic conditions,yield and uncertaintymetrics.Our macroeconomic and discounted cash flow models currently provide the bestestimate for equity valuation,in our view,and imply 9%upside over the next 15 months fromcurrent levels.We estimate a fair value P/E ratio of 13.9X for the S&P 500 based on ou
44、r variousvaluation approaches,implying a year-end 2013 index value of 1575.At the high end theFed model implies 22%upside to US equities while our uncertainty-based model suggests 14%downside(based on risk metrics as of today).We believe both measures somewhat overstate theextremes as bond yields ar
45、e well-below our estimate of fair value and rising inflation expectationshave recently pushed our uncertainty P/E lower.Exhibit 9:Six approaches to estimating a year-end 2013 S&P 500 fair value P/E multipleas of October 3,2012Implied Year-End 2013 Fair Value,P/E,Price,MethodologyFed ModelROE and Pri
46、ce/Book RelationshipUS Portfolio Strategy DDMMacroeconomic RegressionCyclically Adjusted P/EUncertainty-Based P/ESix Approach Average,Multiple15.5X15.013.913.712.811.1,Level1775170015751550145012501550,Upside22%1797(0)(14)7%,Source:Goldman Sachs Global ECS Research.Our macroeconomic model combines e
47、xpectations of a persistent but narrowingoutput gap and below-trend inflation and points to an S&P 500 P/E ratio of 13.7X.Ourmacroeconomic equity valuation model relies on the US GDP output gap(the degree to whichactual GDP is above/below potential GDP)and inflation.Our macroeconomic regression mode
48、lsuggests the S&P 500 currently trades at about a 7%discount to its fair value forecast for the endof 2013(for a discussion of the model,see US Equity Views:The Multiple Mystery:At what P/Eshould the market trade?,October 1,2009).Analysis of data since 1976 indicates that when actual GDP is below po
49、tential or year/year coreCPI inflation is elevated,the market should trade at a lower multiple.Both the FOMC andGoldman Sachs Economics forecast positive US GDP growth and stable inflation,both of whichsupport a higher equity valuation.高盛全球经济、商品和策略研究,P/ERatio,1975,1977,1979,1981,1983,1985,1987,1989,
50、1991,1993,1995,1997,1999,2001,2003,2005,2007,2009,2011,2013,2015,9,2012 年 10 月 5 日,Exhibit 10:Macro regression suggests year-end 2013 P/E of 13.7Xas of October 3,2012302520,美国,15105,Predicted P/EActual P/E,2013E13.7XR2=0.65,0Source:Compustat,I/B/E/S,and Goldman Sachs Global ECS Research.The Dividend
