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1、,高盛国际,高盛国际,2012 年 10 月 23 日围绕资产配置和资金流的问答证券研究报告,问：投资者目前对股票的配置是否偏低？答：是的，我们认为是这样。我们通过央行、基金管理行业、对冲基金业绩以及期权定价等多方数据来衡量投资资金的配置情况。我们发现投资者在过去几个季度中减持了欧洲股票，股票资产配置相对偏低。养老金和保险公司的股票仓位都处于历史低位，欧洲投资基金的股票仓位也已降至雷曼兄弟(Lehman)破产后的水平。,Sharon Bell,CFA+44(20)7552-1341 彼得欧品海默+44(20)7552-5782,高盛国际问：股票投资中有多少是欧洲资产？,答：投资基金不仅削减了投
2、票投资，它们还刻意削减了欧洲资产头寸。自 2009年以来欧元区股票基金累计获得资金注入 2,350 亿欧元，但是几乎全部（2,310亿欧元）都投给了非欧洲股票资产。我们还发现有其它迹象显示欧洲股票的配置仓位很低。与美国相比，欧洲衡量看跌-看涨期权价差的偏度数据仍处在低位，我们认为这是配置不足的表现。此外，我们认为对冲基金的表现也说明对欧洲股票的配置不足，尽管有些许迹象显示近几个月来它们激进的悲观看法略有软化。问：这种配置状况能否/是否将发生改变？答：答案不能一概而论。对养老金和保险公司而言，我们认为它们不太可能将大规模资产重新配置到股票投资之中，不过最猛烈的股票抛盘已经过去。对于其它类型基金而
3、言，我们认为它们的资金流取决于经济环境，因此其股票投资有望增长。我们发现欧元区流入股票的资金规模与消费者信心及 PMI 等调查的变化情况有关，因此，如果这些数据持续好转，那么资金流可能转为正向。此时估值无法为流入股票资产的资金流情况提供短期信号。问：欧元区企业是否会像美国公司那样回购股票？,Gerald Moser+44(20)7774-5725 Christian Mueller-Glissmann,CFA+44(20)7774-1714 christian.mueller-高盛国际Anders Nielsen+44(20)7552-3000 高盛国际Matthieu Walterspile
4、r+44(20)7552-3403 高盛国际,答：是的，这种现象已经出现了。事实上，正是受到股票回购增加的影响，股本基数出现了 2004-2007 年以来的首次萎缩。不过我们认为这种势头不会很猛，因为发行规模的加大应该会抵消这一影响。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 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 10 月 23 日,欧洲,Q&A
5、on positioning and fund flowsWe look at several different data sources,official data from the ECB and BoE,data from the fundmanagement industry,hedge fund performance data,options pricing,new issuance and M&A toget a measure of investors positioning and fund flows.We conclude that investors have red
6、uced allocation in Europe in recent quarters and are stillrelatively under positioned(although there is some evidence that hedge funds have slightly pareddown more aggressive negative views).We doubt that pension and insurance companies willswitch back into equities in any significant way,structural
7、 factors militate against this.However,investment funds in Europe which have shied away from equities could move back in if conditionsare right we find fund flows are related to the change in consumer confidence and surveys suchas the PMIs and if these continue to improve then flows are likely to be
8、come positive.Meanwhilefor the first time in several years European equity supply is shrinking good news as it shouldcounter a lack of demand for equities.Q:Are investors under positioned in equities?A:Yes,we think that they are.Pension and insurance companies combined own about 5%-15%of the Europea
9、n market(depending on which market).We show their positioning in equitiesversus bonds below.There has been a gradual move out of equities over the last ten years.Thecurrent allocation to equities in both the UK and Euro area is at a low.,Exhibit 1:Euro area pension&insurance allocation toequities ha
10、s fallen sharply.,Exhibit 2:.the switch into bonds has been even moredramatic for UK pension&insurance funds,30%25%20%,47%45%43%41%39%,65%60%55%50%45%40%35%,45%40%35%30%25%,15%10%,Direct holdings in equitiesBonds(RHS),37%35%,30%25%20%,Direct holdings in equities,Bonds(RHS),20%15%,Q11999,Q12001,Q1200
11、3,Q12005,Q12007,Q12009,Q12011,Q11990,Q11993,Q11996,Q11999,Q12002,Q12005,Q12008,Q12011,Source:ECB,Goldman Sachs Global ECS Research.,Source:BoE,Goldman Sachs Global ECS Research.,We find a similar trend for other European investment funds.These funds include closed andopen-ended funds(UCITS)as well a
12、s hedge funds and ETFs.There is not a lack of funds,indeedtotal assets in Euro-area funds currently stand at 7 trillion up from just over 4 trillion in 2009(Exhibit 3).But these incremental funds coming in have not been allocated to equities.高盛全球经济、商品和策略研究,3,2012 年 10 月 23 日,Exhibit 3:Assets in Euro
13、-area funds have risen sharply to 7 trillion.Includes closed and open-ended funds(UCITS),hedge funds and ETFs.Last data point August8000,欧洲,70006000500040003000200010000,euro area investment fundsassets(current EUR 7.0 trillion),Jan-09,Jan-10,Jan-11,Jan-12,Source:ECB,Datastream.Exhibit 4 shows the a
14、sset split of these investment funds.Equities have fallen to 26%ofholdings versus bonds,which have risen to 36%with the most dramatic move inallocation taking place over the period since the middle of 2011 which coincided withthe rise in fears over the Euro area and sovereign indebtedness.These fund
15、s are not(generally)constrained in the same way as pension and insurance funds byasset-liability matching rules or by other regulations such as risk-weighting equities so theirdecisions should be based on a purer view of risk versus return and they have clearly felt thatequities represent a poor pro
16、file.We do not have a long time history of comparable data on theseallocations but the only time these funds had such a low allocation to equities was during theLehman crisis period at the end of 2008.Exhibit 4:.but allocations to equities have been falling over the last 2 yearsEuropean Investment f
17、und allocations:last data point August40%,35%30%,36%,Bond,高盛全球经济、商品和策略研究,25%20%15%10%5%0%Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12Source:ECB,Datastream,Goldman Sachs Global ECS Research.,26%,EquityMixedOtherReal estateHedge,40,30,-26.9,-30,4,2012 年 10 月 23 日,欧洲The most recent data publ
18、ished by our financials analysts also shows continued flows into bondfunds:“European investors appetite for fixed income funds shows little sign of abating,withanother strong week of flows.Based on EPFR and EFAMA data,we estimate a weekly net inflowof 8 bn into fixed income funds.Only three weeks in
19、to 4Q12 and European investors havealready allocated an incremental 1.2%into bond funds qtd.”See European Flow Monitor:Bondflows and fund performance grow the industry+13%ytd,October 19,2012.Q:And within equities how are they positioned in Europe?A:Not only have investment funds been reducing equiti
20、es they have also reducedEuropean specific exposure.Perhaps the only surprising thing is the aggressiveness of thismove with net selling of European equities of around 4-9 bn every quarter for the last fivequarters(Exhibit 5).Exhibit 5:European investment funds have been big sellers of equityInclude
21、s closed and open-ended funds(UCITS),hedge funds and ETFs.Last data point 2Q 2012,50,41.4,Euro area fund flows into European Equities(EUR bn),2010,2.8,14.4,10.8,6.6,12.0,0,-10,-0.1,-1.3,-8.9,-9.5,-4.2,-8.6,-20-24.5Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22009 2009 2009 2009 2010 2010 2010 2010 2011
22、2011 2011 2011 2012 2012Source:ECB,Datastream.Putting this into context since the beginning of 2009 Euro area based equityinvestment funds have received inflows worth 235 bn in total but nearly all of that,231 bn,has been allocated to equity investments outside of Europe(Exhibit 6).高盛全球经济、商品和策略研究,56
23、.8,70,60,10,5,2012 年 10 月 23 日,欧洲Exhibit 6:Since 2009 almost all inflows to European investment funds have been allocatedoutside of EuropeIncludes closed and open-ended funds(UCITS),hedge funds and ETFs.Last data point 2Q 2012,250200150,Eur bn,European investment funds:,100500,2314Net inflowsPurchas
24、es of Eurozone equities,Net inflows into Eurozone equityinvestment funds 1Q 2009-2Q 2012Purchases of RoW equities,Source:ECB,Datastream,Goldman Sachs Global ECS Research.This buying of overseas equities has reduced weights in Europe dramatically.At the end of 2008European equity investment funds wer
25、e roughly 50/50 allocated to Europe and the rest of theWorld.This has shifted so they are now only slightly over a third in Europe.The money has gonealmost entirely to either the US(where weights have increased from 15%to 22%of equity funds)and Emerging markets(where weights have risen from 19%to 30
26、%of funds).Exhibit 7:.this has dramatically shifted weights away from European equitiesIncludes closed and open-ended funds(UCITS),hedge funds and ETFs.Last data point 2Q 2012,%49.7,European investment funds:58.753.0 54.6 54.8,60.9 60.3 62.2 60.3 60.5 62.2,63.3 63.5 64.9,50,4030,50.3,47.0 45.4 45.2,
27、43.2,41.3,39.1 39.7 37.8 39.7 39.5 37.8,36.7 36.5 35.1,%in Eurozone equities20%in rest of world equities0Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22008 2009 2009 2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012 2012Source:ECB,Datastream,Goldman Sachs Global ECS Research.Hugo Scott-Gall discu
28、ssed this shift into EM assets in,Fortnightly Thoughts:The business ofmanaging the worlds savings,September 7,2012.He commented that money is consistentlymigrating from DM assets to the EMs and this is happening across pretty much all asset classes.The drivers are the poor performance of developed m
29、arkets,and of course this is especially true高盛全球经济、商品和策略研究,6,2012 年 10 月 23 日,欧洲in Europe,and the search for growth,again Europes lack of growth prospects given deleveragingand fiscal austerity are a particular worry.There is also evidence of this shift in the UK mutual fund data from the IMA.This i
30、ncludes fundsfrom both institutional and retail investors;they have been divesting heavily of both European andUK equities and investing more in and global equities and in other asset classes especially credit.Exhibit 8 shows the equity flows.Exhibit 8:UK-based mutual funds have moved out of UK/Euro
31、pe equities12 month fund flows,mn,8,0006,0004,0002,0000-2,000-4,000-6,000-8,000,Europe equitiesUK equitiesGlobal equities,92,94,96,98,00,02,04,06,08,10,12,Source:IMA,Goldman Sachs Global ECS Research.We find a similar shift in Euro area-based hedge funds allocations.The data is collated by theECB an
32、d covers 170 bn of hedge fund assets based in the Euro area(the majority of thesefunds are registered in Ireland,the Netherlands,Luxembourg and Italy).As for the investmentfunds above,we see a sharp decline in the allocation to Europe.Exhibit 9 shows the percent ofassets allocated to Europe by these
33、 hedge funds fell over the summer to the pre-LTRO lowsexperienced at the end of 2011,the latest data point for August shows a very slight up-tick inallocation to Europe.高盛全球经济、商品和策略研究,7,2012 年 10 月 23 日,Exhibit 9:Euro area hedge funds are investing less of their assets in Europe.Last data point Augu
34、st44%42%40%38%36%,欧洲,34%32%30%,Euro area hedge fund assets invested inEurope as a%of total assets,Feb-09,Aug-09,Feb-10,Aug-10,Feb-11,Aug-11,Feb-12,Aug-12,Source:ECB,Datastream,Goldman Sachs Global ECS Research.Within equities funds have been increasing allocations outside of Europe;for example thepe
35、rcentage allocation to the US by these Euro-area-based hedge funds has risen to 25%from 8-10%in late 2009.Exhibit 10:.And an increasing proportion of equities in US30%,25%20%,%of Euro area hedge fund equities in USequities21%21%21%21%21%19%17%16%,24%,23%,21%,25%,15%,10%,10%10%,8%,5%0%Q4 Q1 Q2 Q3 Q4
36、Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q22008 2009 2009 2009 2009 2010 2010 2010 2010 2011 2011 2011 2011 2012 2012Source:ECB,Datastream,Goldman Sachs Global ECS Research.The lack of positioning in Europe may also account for the relatively low level of skewin Europe.As Exhibit 11 shows skew the cost of an out-
37、of-the-money Put relative to a Call anda measure we view as indicative of investors desire to hedge positions moved similarly for theUS and Europe up until late last year.Since then skew on the S&P 500 has stayed relatively highwhereas skew for the Euro STOXX 50 has fallen much more sharply.It could
38、 be that investors donot feel the need to hedge positions in the Euro STOXX 50,but that seems unlikely given theproblems Europe has encountered,another explanation is that investors are not positioned to thelong side in Europe and hence have no need to hedge.高盛全球经济、商品和策略研究,1,8,2012 年 10 月 23 日,欧洲Exh
39、ibit 11:Significant divergence in 12-month normalised skew between US and Europe12m normalised skew=(12m 25 delta put12m 25 delta call)/12m 50 delta call,0.55,EURO STOXX 50,S&P 5000.500.450.400.350.300.25,Jan-09,Jul-09,Jan-10,Jul-10,Jan-11,Jul-11,Jan-12,Jul-12,Source:Goldman Sachs Global ECS Researc
40、h.And we find that in the last two years the performance of hedge funds is alsoindicative of a lack of weighting or exposure in Europe.The rolling 2-year correlation ofhedge fund returns on a monthly basis versus the relative performance of European equities isshown in Exhibit 12.For the last few ye
41、ars this correlation has been negative suggesting thathedge funds perform better,all other things equal,when European equities are underperforming.The latest data points suggest a modest change in this relationship with hedge fundperformance slightly less negatively correlated to European equities,e
42、specially formacro hedge funds.Exhibit 12:Hedge fund performance has been negatively correlated with European equitiesrelative performance.but is becoming less soRolling 2-year correl.of monthly hedge fund performance&Europe vs.world equity performance,Equity Hedge funds,Macro hedge funds,0.80.60.40
43、.20-0.2-0.4-0.6-0.893 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12Source:HFR,Datastream,Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,9,2012 年 10 月 23 日,欧洲,The caveat to this data is that it is based on correlating performance,rather than on actualpositioning,and the relationship ther
44、efore may be indicative of other factors especially in a worldwhere correlations across many asset classes are high.For example,if European equities arehigh beta and hedge funds are positioned to be low beta(because say they are worried aboutChina growth)then the negative relationship may be a funct
45、ion of this beta-position rather than aspecific view/position in Europe.Also macro hedge funds could hold other positions correlatedwith European equities such as peripheral Euro area sovereign debt.Nonetheless given that European risks are an important factor at the moment and the negativerelations
46、hip between hedge fund performance and European equities has been persistent wethink there is good evidence to suggest a negative view on Europe albeit one that may besoftening in recent months.This softening is perhaps a function of the LTRO announcement atthe end of last year and the more recent E
47、CB statements on supporting peripheral sovereigns.Inaddition growth risks in China and the US have recently risen with the weak economic data fromChina and the dangers of the looming fiscal cliff in the US.Q:Can/will this positioning change?A:The answer here is more mixed.For pension and insurance c
48、ompanies we doubt that anyreallocation into equities is likely,although some of the worst of the selling may be behind us.Forother funds we find that their flows depend on the economic environment and hence could pick-up.Firstly on insurance companies,our analysts argue that it is unlikely that the
49、insurers willraise weights in equities.At best they may keep them constant.There are three main reasonsfor this:Potentially the biggest impact on insurers asset allocation has been the plannedintroduction of Solvency II.Under the trial run of Solvency II,a capital charge ofbetween 39%and 49%has been
50、 set for any investment in equities,which is very highrelative to a zero charge for European government bonds.This charge has not beenextensively challenged and is expected to be part of the final framework,implemented atthe start of 2014.In essence equities are too volatile to back constant liabili
