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1、,1,2013 年 1 月 12 日GOAL:全球资产投资机会定位证券研究报告风险偏好仍较高，但下调商品配置至标配,宏观前景预测：2013 年全球增长将加速我们预计全球经济增速将从 2012 年的 3.1%升至 2013 年的 3.3%，2014 年将进一步加速至 4.1%。我们认为今年与去年相比在另外三方面也将有所改善：(1)我们的增长时间表显示年内环比增长将加速；(2)在欧洲央行的直接货币交易(OMT)计划推出之后，欧洲风险小于 2012 年；(3)石油供应对全球增长的限制正在放松。在短期内，一季度经济增长可能受到美国债务上限辩论以及增长持续疲软等负面因素的冲击，此后有所加速。我们对各类资
2、产的看法股票：我们维持未来 3 个月和 12 个月的股票高配建议。我们预计回报将受到全球增长反弹、盈利增长加速以及高风险溢价的共同支撑。大宗商品：我们认为目前处于结构性稳定的石油市场，长期价格稳定在 90 美元/桶左右。在这一环境下，具有吸引力的展期收益应会支持商品投资回报。不过，鉴于最近贵金属以外的商品价格上涨，美国风险即将显现，我们将 3 个月和 12 个月商品配置建议均调整至标配。企业债券：由于增长依然疲弱、美国定量放松政策引发市场寻求收益率，我们预计投资级债券息差将进一步趋紧，而在微观基本面（特别是美国）走强的形势下，尾部风险下降。国债：国债的收益率无论就其绝对水平而言还是与宏观基本面
3、相比都非常低。我们预计未来3 个月将小幅上升，未来12 个月将更为显著地上升。回报率预测和配置建议,Anders Nielsen+44(20)7552-3000 高盛国际彼得欧品海默+44(20)7552-5782 高盛国际杰夫可瑞(212)357-6801 高盛集团Francesco Garzarelli+44(20)7774-5078 高盛国际Charles P.Himmelberg(917)343-3218 高盛集团高思庭(212)902-6781 高盛集团Kathy Matsui+81(3)6437-9950 高盛证券株式会社,3MonthsHorizon,NewRecommendat
4、ion,12MonthsHorizon,慕天辉,CFA+852-2978-1328 高盛（亚洲）有限责任公司,AssetClass,Return*Weight,AssetClass,Return*,Weight,EquitiesCommodities5yr.CorporateBonds,1%OW3 N0 N,EquitiesCommodities5yr.CorporateBonds,12%51,OWNN,Thomas Stolper+44(20)7774-5183 高盛国际,Cash,0,N,Cash,0,N,10yr.Gov.Bonds 0*Returnforecastsassumefull
5、currencyhedging,UW,10yr.Gov.Bonds,UW,Aleksandar Timcenko(212)357-7628 高盛集团,资料来源：高盛全球经济、商品和策略研究预测多米尼克威尔逊(212)902-5924 高盛集团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,3,6,7,8,11,14,18,21,27
6、,32,2,2013 年 1 月 12 日Table of ContentsMaintaining our pro-risk stanceOur forecastsKey themes and recommendationsEquities:Overweight over both 3 and 12 monthsThemes and basket implementationsOur sector viewsCommodities:Complacency masks risks to the new equilibriumCredit:The search for yield has less
7、 to findGlobal Bonds:Markets Turning Less DefensiveFX Outlook:A glance at 2013 and beyondHow we construct our asset classesDisclosure Appendix高盛全球经济、商品和策略研究,1234,全球,1,3,2013 年 1 月 12 日,全球,Maintaining our pro-risk stanceOur GOAL Global Opportunity Asset Locator highlights key forecasts andinvestment
8、opportunities across asset classes and regions that we cover.It draws onresearch from across ECS(Economics,Commodities and Strategy)research to focuson key drivers,themes,investable recommendations and how to implement them.An agreement on the fiscal cliff close to our expectationsIn our last GOAL r
9、eport(November 30,2012),we upgraded equities to overweight anddowngraded cash to underweight on a 3-month horizon.Combined with our existing overweight incommodities and underweight in government bonds,this led to a very pro-risk allocation.Whilewe acknowledged that near-term risks remained high,we
10、felt that the most important risks wouldprove short-lived if they were to materialize,and that returns could be front-loaded in the eventthat they did not.The outcome of the fiscal cliff negotiations was close to our central expectations and has,together with the weakening of the yen in relation to
11、the political transition in Japan,been the keyevent in markets.Equities has been the best performing asset class in this environment,returning5.5%(with Japanese equities returning 13.9%),and government bonds the worst performingasset class.This drove strong performance of our recommended allocation,
12、while our overweightin commodities returning 0.2%and our underweight in cash returning 0.0%did not contributemuch.Some near-term hurdles,but we expect growth to improve in 2013While we only expect a moderate improvement in global growth from 3.1%in 2012 to3.3%in 2013,the outlook is likely to be bett
13、er on three other dimensions:(1)the timeprofile of growth shows acceleration through the year;(2)European risks are smallerthan last year following the ECBs OMT programme;and(3)the oil supply constrainton global growth is loosening1.Near-term hurdles in terms of the upcoming debt limitnegotiations a
14、nd the impact of the fiscal tightening imbedded in the fiscal cliffagreement in the US remain.We expect continued sluggish US growth of 1.5%qoq annualized in 1Q2013,as the fiscaltightening imbedded in the fiscal cliff compromise weighs on the economy,increasing the fiscaldrag from 0.75 percentage po
15、ints this year to 1.75 percentage points.From this base,the fiscaldrag should decrease as we move through 2013,and we expect overall economic growth in theUS to reach 2.5%qoq annualized in the second half of the year,with further acceleration in 2014.We see the continued sluggish US growth in 1Q13 a
16、nd the upcoming debt limit negotiations asthe most important near-term risks to the performance of risky assets.While the fiscal cliffcompromise was an important step forward for risky assets,as it significantly reduced theuncertainty surrounding the fiscal stance,it has left the most difficult set
17、of issues,entitlement andtax reforms,for the next round of negotiations.In the Euro area,we expect growth momentum to improve,though at a very moderate pace.Weexpect growth to reaccelerate in Germany from a very weak 4Q12E,supported by easy financialconditions and export exposure to accelerating glo
18、bal growth.We also expect growth momentumto improve gradually in Italy,as the drag from austerity eases.We believe that growth willdeteriorate further in Spain in the first half of 2013,as the fiscal adjustment here is lessfrontloaded than in Italy.Please see our November 28 Global Economics Weekly,
19、for a more detailed discussion of our 2013 economic forecasts.高盛全球经济、商品和策略研究,0,1,0,Equities,4,2013 年 1 月 12 日,全球,Tail risks from the European crisis remain,but it is our view that they have substantially declineddue to the ECBs OMT programme.We expect the political process to continue to muddle thro
20、ughtowards a build-up of the necessary institutions to contain the crisis.However,in 2013 we do notexpect to see sufficient decisive steps towards resolution to restore confidence and normal ratesof growth.We expect Spain to request external support,probably by mid-year.This process mightinvolve ren
21、ewed market pressures,but we believe that Spain would be very responsive if suchpressures were to materialize.In China,we could see a moderation in sequential growth in the very near term,from the verystrong numbers seen in October and November 2012 as exports might turn less supportive in1Q2013 as
22、US growth moderates.Uncertainty about reforms and policy direction during theleadership transition remains high,and is probably more important from a market perspective.Aswe move further into 2013,we expect Chinese growth to continue the path toward sequentialimprovement as global growth strengthens
23、,and as we expect a pick-up in local governmentinfrastructure investment spending in late 2013.Still pro-risk,but downgrading commodities to neutralThough roll yields should continue to support returns in oil,corn and soybeans and,on ourforecasts copper as well later this year,we downgrade commoditi
24、es to neutral over both a 3-and12-month horizon.This is due to broader metal markets looking softer,near-term US growth risks,and the recent commodity price increases outside of precious metals.We balance thisdowngrade with an upgrade of cash to neutral.The still extremely large risk premia in equit
25、ies suggest strong outperformance of equities overgovernment bonds in the long run,and we believe that positioning for some of thisoutperformance to materialize provides the most interesting cross-asset opportunity currently overboth a 3-and a 12-month horizon,and we have therefore positioned our po
26、rtfolio accordingly.Our conviction in this view is much stronger over 12 than over 3 months.Over 12 months,weexpect the improvement in global growth,combined with the high risk premia in equities,tosupport returns.The short-term headwinds from the continued sluggish growth that we expect inthe US in
27、 1Q2013 and the debt limit negotiations,make the case much weaker on a 3-monthhorizon.However,since any downside pressures from these risks are likely to be very short-lived,and we are uncertain about when markets will move to focus fully on the growth recovery later inthe year,we have decided to ma
28、intain a pro-risk allocation over this horizon.Equities are morelikely than commodities to pay early for the improvement in growth as they are not tied down tophysical markets at the front end in the same way as commodities.The gradual supply responsein the commodity space is also likely to serve as
29、 a headwind to commodity returns whilesupporting equity returns by expanding the room for growth.Exhibit 1:Performance since last GOAL and our new recommended allocations,PerformancesincelastGOAL*,NewRecommendation,3MonthsRec.,3MonthsHorizon,12MonthsHorizon,AssetClassCommodities,inlastGoalOW,Perform
30、ance0.2%,AssetClassEquities,Return*Weight1%OW,AssetClassEquities,Return*12%,WeightOW,Equities5yr.CorporateBondsCash10yr.Gov.Bonds,OWNUWUW,5.50.30.01.4,Commodities5yr.CorporateBondsCash10yr.Gov.Bonds,30,NNNUW,Commodities5yr.CorporateBondsCash10yr.Gov.Bonds,501,NNNUW,*Returnforecastsassumefullcurrency
31、hedging*PerformancesincelastGOALassumingfullcurrencyhedgingSource:Goldman Sachs Global ECS Research estimates.We remain overweight equities over both 3 and 12 months.Over 3 months,this is a close call,asdescribed in the previous paragraph.We believe that most of the near-term upside has beenrealised
32、,and that markets might take time before they move decisively higher.We would usesignificant further strength from here to lighten positioning temporarily,and would see a sell-off as高盛全球经济、商品和策略研究,Credit,5,2013 年 1 月 12 日Bonds&Cash,全球an opportunity to scale up positions further,as we continue to see
33、 strong upside over a 12-monthhorizon.Over this horizon,the case for equities remains very solid,and our near-term overweightreflects our wish to be sure to be in the market when this is priced.We expect acceleration inglobal growth in 2013:we expect earnings growth to accelerate in all regions,valu
34、ations remainmoderate on a standalone basis outside the US,and very attractive in all regions when comparedwith other asset classes.Within equity markets,we are overweight Asia ex-Japan andunderweight the US over both 3 and 12 months.Over 3 months we are neutral on Europe andJapan and over 12 months
35、 we are underweight Europe and overweight Japan.Though we see the oil-market as structurally stable,it remains cyclically tight supporting thecurrent high roll yields.High roll yields are also available in corn and soybeans and we expect thisto become the case in copper later this year as well.Commo
36、dity volatility has fallen and in thecase of oil implied volatility is now at levels last seen in the mid 1990s.We think this is overdoneas many risks remain.On the upside for oil,inventory levels are low,OPEC spare capacity islimited and geopolitical risks are likely near an all-time high with a ve
37、ry large number of countriesat risk,including Egypt,Iran,Iraq,Libya,Nigeria,Sudan,Syria and Venezuela.In addition,therecent price stability was achieved during a period of extremely weak global demand growth anda decelerating China,all of which are expected to improve during the latter half of this
38、year.Forall commodity prices on the downside,the improvement in macro and policy risks is still fragile.Europe still faces economic and policy headwinds,China just experienced a significant foodinflation surprise(and the livestock impacts from last years agriculture price spike will only be feltthis
39、 year)and the US still faces risks from the debt ceiling debates,the automatic spending cuts(or“sequestration”)and impending tax increases.Given these risks and the recent priceincreases we prefer to be on the sideline and have downgraded commodities to neutral.We expect already-tight IG corporate c
40、redit spreads to remain roughly flat over the next threemonths.We expect them to tighten further,by 11 bp in the US and 14 bp in Europe over the restof 2013,as still sluggish absolute levels of growth and continued QE feeds the search for yield,while tail risks remain subdued.Our anticipation of a d
41、ecline in spreads has to be judged againstour expectation of a rise in the underlying risk-free rate,which limits total returns and keeps usneutral.Corporate re-leveraging and the European sovereign situation(especially in the longerterm)are key risks to credit quality and the credit risk premium.Wi
42、thin credit,we prefer the USover Europe,reflecting better micro and macro fundamentals in the US,and lingering tail risksfrom the European sovereign situation.We prefer Financials over non-Financials,though this is acloser call in Europe than in the US.Across ratings and maturities,we see BBB-rated
43、bonds inthe 7-10 year bucket in the US market as offering the most attractive risk-reward.High spreadshere likely reflect higher default and liquidity premia,which we expect will be eroded by thesearch for yield.Ten-year yields in the US,Germany and the UK remain below our estimates of fair value gi
44、ven,macro fundamentals,by 58 bp,36 bp and 37 bp,respectively.In our view,this reflects the effectsof QE(which are only partially captured by our models),a flight to the core within Euro area bondmarkets and the fear of long-lasting damage to economic growth from the financial crisis.The fullreversal
45、 of these factors will clearly take time.Over three months we expect only a very modestincrease in yields,given the remaining fiscal issues,but further into 2013 we forecast a gradualmove higher in yields as easy financial conditions gradually lift nominal growth expectations.However,even at the end
46、 of 2013,our yield targets remain below fair value levels.高盛全球经济、商品和策略研究,%,6,%,5,4.0,4,3,6,2013 年 1 月 12 日Our forecastsExhibit 2:Our return forecasts across asset classes,全球,AssetClass,Benchmark 3monthTotalReturnWeight Localcurrency InUSD,12monthTotalReturnLocalcurrency InUSD,Equities,1.1,0.3,11.9,1
47、4.8,S&P500StoxxMXAPJ(inUSD)Topix10yr.GovernmentBondsUSGermany5yr.CorporateBondsUS:iBoxxUSDDom.CorporatesEurope:iBoxxEURCorporatesCommodities(GSCIEnhanced)CashUSGermanyFXEUR/$/YEN,40302010505050505050,0.91.85.31.60.20.40.00.20.40.03.40.10.10.03monthtarget1.2580,0.94.65.39.72.90.46.33.00.46.33.43.10.1
48、6.3ReturnvsUSD6.311.5,9.311.616.014.71.10.81.41.51.31.65.00.40.30.512monthtarget1.4080,9.317.116.027.81.30.83.44.01.36.65.02.90.35.4ReturnvsUSD4.911.5,Source:Goldman Sachs Global ECS Research estimates.,Exhibit 3:US GDP growth vs.our CAI,Exhibit 4:Euro area GDP growth vs.our CAI,5.0,QoQGDPGrowthFore
49、casts(%Annualised),QoQGDPGrowthForecasts(%Annualised),3.02.01.00.0,Q412 Q113 Q213 Q313 Q413 Q114 Q214 Q314 Q4141.7 1.5 2.0 2.5 2.5 3.0 3.0 3.5 3.5Annualised QoQ GDP GrowthGS ForecastCAI,210-1-2-3,Q412 Q113 Q213 Q313 Q413 Q114 Q214 Q314 Q4140.5 0.4 0.1 0.4 0.6 1.1 1.2 1.2 1.1Annualised QoQ GDP Growth
50、GS ForecastCAI,Mar-10,Mar-11,Mar-12,Mar-13,Mar-14,Mar-10,Mar-11,Mar-12,Mar-13,Mar-14,Source:Goldman Sachs Global ECS Research estimates.,Source:Goldman Sachs Global ECS Research estimates.,Exhibit 5:Our forecasts for global economic growth vs.consensus,%yoyUSAJapanEuro AreaUKChinaIndiaBrazilRussiaBR
