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1、,高盛国际,150,2012 年 2 月 3 日欧洲,策略焦点,证券研究报告,政策、政治和利润；变与不变我们曾预计因宏观数据欠佳、盈利疲软及主权债市场压力加大，一季度股市将下跌。从截至目前的情况来看，我们的看法是错误的。宏观数据强于预期、市场对长期再融资操作反应积极、美联储的政策信号以及主权债问题的进展为风险资产提供了支撑。我们将在本报告中讨论我们认为哪些因素已经改变及哪些因素未发生变化。我们调整了 2012 年盈利预测及目标点位，但认为市场转换或许过快过大。变动方面,我们曾预计一季度股市将出现疲软，随后在二季度前后经济周期处于最低点时强劲反弹。鉴于情况变化，我们将 2012 年 SXXP 指
2、数的盈利增长预测从-10%上调至-1%，并将未来 3、6 和 12 个月的预测上调至 250、265 和 290 点。不变方面尽管数据、政策及尾部风险相对改善，但基本面的不利状况仍然严重，而且利润和经济活动的最佳状况可能也只是停滞不前。许多坏消息已计入股价，我们仍认为以 12 个月的时间段来看，估值极具吸引力。但短期内我们认为有下跌风险。我们最近几周推荐的投资组合已弱化了防御性特征，而鉴于从防御型向周期型转换强劲其月度势头为 1973 年以来的第四位我们将等待更好的时机进一步加仓周期型股票。市场和周期型股票已迅速计入复苏GSTWEUGR：买入/卖出周期型/防御型股票的投资组合,彼得欧品海默+4
3、4(20)7552-5782 高盛国际Sharon Bell,CFA+44(20)7552-1341 高盛国际Christian Mueller-Glissmann,CFA+44(20)7774-1714 christian.mueller-Gerald Moser+44(20)7774-5725 高盛国际,160,Index,Index,60,Anders Nielsen,+44(20)7552-3000,140130120110100,55504540,高盛国际Matthieu Walterspiler+44(20)7552-3403 高盛国际,9080,GS Wavefront EU G
4、rowth Basket(LHS)STOXX 600(LHS)EUR Manufacturing Flash PMI(RHS),35,70Dec-08,Jun-09,Dec-09,Jun-10,Dec-10,Jun-11,Dec-11,30,资料来源：Haver、Datastream、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 FINRA 的注册/合格研究分析师。,高盛集团,高盛全球
5、经济、商品和策略研究,2,2012 年 2 月 3 日,欧洲,Policy,politics and profits:Whats changed and what hasntOur outlook report in late November 2011 was called Despair into Hope.Our main argumentwas that European equities offered very attractive long-term value,but that near-term risks wouldlikely push equities down in
6、1Q before they recovered sharply around 2Q the worst quarter inthe economic cycle on our forecasts.We have been wrong.The SXXP has bounced 18%from its low and 6%since the start of theyear.What has changed?In our view,there are a number of factors that have contributed to therally.In essence,they boi
7、l down to:a)better macro data than we feared,b)more proactivesupport from the ECB and the Fed,and c)more progress on negotiations over the sovereign debtissues in Europe,reducing perceived tail risks.Whats changed?These three factors are meaningful for the markets.In 4Q last year,investors had start
8、ed to pricea growing probability of a negative spiral for risky assets and equities in particular.Fears grewover a disorderly default in Europe and its potential consequences,deteriorating growth prospectsand a lack of sufficient policy support.In particular:Over recent weeks,the LTRO has been incre
9、asingly seen as a more critical developmentand possibly a game changer,comparable to TARP in the US.The initial reaction to theLTRO announcement was muted in fact the market fell for five days after theannouncement and the banks underperformed.We raised our weighting in banks in Raisingbanks from un
10、derweight to neutral,December 9,2012.Increasingly,investors have becomemore encouraged by the size of the take-up,its possible second round effects,and optimismover the second LTRO later this month.Together with the more proactive ECB stance,the Feds commitment to extraordinary lowinterest rates out
11、 to the end of 2014 has helped boost confidence that policy makers aregetting ahead of the game and providing more support.Financial conditions have generally been easing,particularly in the US.Outside of the US several countries have cut interest rates so far this year,with theprobability that more
12、,particularly in the emerging world,will follow.See Kamakshya TrivedisGlobal Economics Weekly:12/03-A Renewed Bout of Monetary Easing,January 18,2012.The macro data has,broadly,come through better than feared.Our US Economists haverevised up their 1Q forecasts from 0.5%to 2%,and the Eurozone PMIs ha
13、ve pointed togrowth in the region of 0.2%for 1Q.In China,too,data has been stronger where fears of ahard landing in China have faded somewhat.For a discussion of how sensitive markets have been to changing growth expectations and toEuropean risks please see Global Economics Weekly:Navigating Between
14、 Global Growth andEuropean Risks,February 1,2012.What hasnt changedThere are several factors which are likely to remain a constraint for the markets:Fiscal tightening is likely to remain a major headwind to growth,particularly in Europe.Whileactivity may have improved from a cyclical perspective,lev
15、els of growth remain well belowtrend.高盛全球经济、商品和策略研究,-40,3,2012 年 2 月 3 日,欧洲Banks need to further delever which,combined with fiscal tightening,are additionalconstraints on activity.Banks have been reluctant to loosen lending conditions and indeedthe recent ECB lending survey shows a further tighteni
16、ng(Exhibit 1).Exhibit 1:Credit standards being tightened again in 4Q,706050403020100-10-20,%,Standards on loans to householdsStandards on loans to companiesNet tightening,Net easing,-30,03,04,05,06,07,08,09,10,11,12,Source:ECB lending survey.And the most recent lending data from the ECB also shows a
17、 sharp drop in lending tohouseholds at the end of last year.We may be yet to feel the true impact of the sovereigndebt crisis in future activity data,particularly in the periphery.Exhibit 2:Lending to households and non-financial corporationsEUR bn806040200-20,-60,Loans to Non-Financial Corporations
18、,Loans to Households,03,04,05,06,07,08,09,10,11,Source:ECB lending survey.Growth in the developed economies remains below trend with large output gaps.Risks ofpolicy errors are higher in these situations,and domestic demand growth in Europe and theUS remain constrained.In addition some of the recent
19、 improvement in the economic and高盛全球经济、商品和策略研究,4,2012 年 2 月 3 日,欧洲survey data has arguably been a function of the seasonally warm weather at the end of lastyear,and more generous seasonal adjustment factors around the turn of the year(a functionof the timing of when the Lehmans collapse hit the econ
20、omy).In addition now thatexpectations have risen compared to last year the hurdle rate for further upside surprises inthe data has risen.Exhibit 3:European GDP significantly below trendTrend growth rate is 1.9%pa(estimated 1Q 1999 to 1Q 2008),120115110105,2005Q1=100,1.9%,trend-impliedGDPGap=7.1%GS F
21、orecast,level of GDP100,95,05,06,07,08,09,10,11,12,13,Source:Goldman Sachs Global ECS Research.Our expectation that profits would be weak does seem to be coming through;it has been apoor results season in the US with 4Q positive surprises running below average and negativesurprises above average.Als
22、o other recent data from the US has been slightly disappointingincluding housing starts and consumer confidence.What we are changingGiven the changes noted above,we are revising our 2012 earnings forecast from-10%to-1%for 2012.This is still below the bottom-up consensus which is currently 8.3%.Detai
23、lsare discussed below.We are changing our index targets and now have 11.5%upside over 12 months with atarget for the SXXP of 290.Part of this reflects the better economic data and the reductionin the tail risks which reduces where the ERP should be,according to our macrobenchmarked ERP model.But we
24、would caution that in the near term there are downsiderisks:we expect a small pull-back over three months with SXXP targets of 250 and 265 overthe next three and six months.Sectors.Over recent weeks we have moved to reduce the very defensive stance that wehad(see Strategy Matters:Where we stand,Janu
25、ary 8,2012 and Strategy Espresso:Adjusting our sector and trade views,January 17,2012).We took off our shortrecommendation in our recovery basket the group of highly operationally and financiallylevered companies.We reduced food and beverages from neutral to underweight,and raisedautos to an overwei
26、ght from neutral and industrials to neutral from underweight.We also tooktobacco off our long sub sector recommendation.However,January has been the fourth高盛全球经济、商品和策略研究,5,2012 年 2 月 3 日,biggest month of rotation from defensives into cyclicals since 1973,and may havegone too far in the short term.We
27、 would wait for a setback before adding more tocyclical exposure.Exhibit 4:Our price targets for European indicesPrice targets for STOXX Europe(SXXP),Euro STOXX 50(SX5E)and FTSE 100(UKX),欧洲,SXXP,Price,SX5E,Price,UKX,Price,Old225250270,New250265290,Return4%2%11%,Old205023502600,New235025752800,Return
28、5%4%13%,Old540060006200,New560060006400,Return3%4%10%,Source:Bloomberg,Goldman Sachs Global ECS ResearchThe magic of the illusive risk premiumIn late November in our Outlook report and in our January GOAL publication on asset allocation,we emphasized our low conviction in our three month targets.We
29、felt that so much depended onthe progress(or otherwise)of negotiations over Greece and the fiscal compact,that the outcomewas likely to be binary.Valuations were discounting a great deal of bad news,but an exit from the euro by any membercountry,or a disorderly default,would have resulted in a chaot
30、ic chain of events even worse thanhad been discounted.On the other hand,on any more normalized environment,where major tailrisk events appeared less likely,a fall in the risk premium would generate a sharp recovery evenwithout any major improvements in fundamentals.Given the backdrop of low valuatio
31、ns theoutcome was likely to be binary.It is this shift in tail risks or risk premia that,coupled with the improving macro data,has been sopowerful.While we always thought that the euro would stay together,and that the ECB would do what wasnecessary to avoid a systemic crisis,we argued that a more de
32、cisive resolution to Europesfunding issues would reduce implied tail risks bringing the ERP down by c.100bp as implied byour macro model.Exhibit 5 shows that the implied ERP has started to fall.高盛全球经济、商品和策略研究,Nominalrisk-freerate,6,2012 年 2 月 3 日,Exhibit 5:Implied and macro benchmarked ERP,欧洲,987654
33、3210-1,%,Dec-88,Dec-91,Dec-94,Dec-97,Dec-00,Dec-03,Dec-06,Dec-09,Dec-12,Market Implied ERP,Macro benchmarked ERP,Source:Goldman Sachs Global ECS Research.Exhibit 6 helps to quantify these sensitivities.At current levels,each 1 percentage point movein the ERP assuming no change in earnings or risk-fr
34、ee rate is worth over 20%on themarket.Our DDM model implies that the current ERP in the market is around 7.8%.This compares to ourmacro benchmarked ERP the level implied by our macro estimates,of around 6.8%.If themarket implied ERP converges to the current macro benchmarked level,and bond yields re
35、achedfair value derived from our Sudoku model(around 2.5%for Bunds)then this implies the marketwould reach 295(from 259 currently).Exhibit 6:Sensitivity of the fair-value to different level of ERP and bond yieldTable is centered on our current macro benchmarked ERP and current Sudoku fair value of b
36、ond yieldEquity Risk Premium5.3%5.6%5.9%6.2%6.5%6.8%7.1%7.4%7.7%8.0%8.3%,1.5%1.7%1.9%2.1%2.3%2.5%2.7%2.9%3.1%3.3%3.5%,548517488462438416395377359343328,502475450427405386368351335321307,462438416395377359343328314301289,427405386368351335321307295283272,395377359343328314301289277267257,368351335321
37、307295283272262252243,343328314301289277267257247238230,321307295283272262252243234226218,301289277267257247238230222215208,283272262252243234226218211204198,267257247238230222215208201195189,Source:Goldman Sachs Global ECS Research.More long-term valueThere are many ways to look at valuation,but on
38、 most measures,unless one puts in verygloomy assumptions about future growth,the European equity market looks good value.This latent value in European equities is something we have consistently referred to,andmeans that for investors willing to take a long-term view the risk-reward is attractive.高盛全
39、球经济、商品和策略研究,-4,7,2012 年 2 月 3 日,欧洲Exhibit 7 shows that future implied earnings growth in current market prices is lower than in 2009.To calculate this we hold the ERP at 3.5%;while this is almost certainly too low for the currentenvironment,the general shape,and the history-relative cheapness of Eur
40、ope today wouldremain unchanged even if we raised the ERP assumptions(it would mostly shift the line up).Exhibit 7:Implied real earnings growthAssuming a 3.5%ERP,10,%,86420-2STOXX Implied earnings growth(assuming 3.5%ERP)-6,1990,1992,1994,1996,1998,2000,2002,2004,2006,2008,2010,Source:Goldman Sachs
41、Global ECS Research.Another way of looking at valuation,and one that does not rely on risk premia or bond marketcomparisons,is simply to take the ROE and compare it with price to book value as we have donein Exhibit 8.Here again relatively negative assumptions about the future path of ROE have to be
42、made to justify the current low valuations;the chart below is for the whole market but it worksequally well taking out financials.Exhibit 8:ROE and P/BVSTOXX Europe 600,3.532.521.5,P/BV,18%16%14%12%10%8%6%,10.5,ROE(RHS),4%2%,93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12Source:Worldscop
43、e,Datastream,Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,8,2012 年 2 月 3 日,欧洲Revising our earnings forecastsWe also revise our earnings growth forecasts for the European market to-1%for 2012(previously-10%)and+12%for 2013(previously+14%).This reflects the recent upgrade ourEconomists made to US
44、GDP growth,the boost to financials earnings from the lower fundingcosts provided by the LTRO,as well as the improvement in the current run-rate of Europeangrowth as illustrated by the latest leading indicators.We now expect sales to expand slightly by0.7%and margins to contract by only 6%in 2012.For
45、 2013,we expect a more muted reboundthan we were forecasting before with 12%earnings growth as our projected 2012 base EPS isnow higher and there is less room for margin expansion driven by operating leverage.Exhibit 9:We forecast-1%earnings growth for 2012Growth rates(%),2010,2011E,2012E,2013E,Actu
46、al/Model results(all pre excep.):,SalesNet income margin(level,%)Change in net income margin(%)Net income ex financialsNet income financials pre-exception.Weight of financials pre-except.Net income pre-exceptionals STOXX 600Level of EPS for the STOXX Europe 600,14.58.14729.24022.9,8.27.6-7.01-7.825%
47、-222.6,0.77.1-6.0-514.023%-122.4,4.17.66.41114.027%1225.0,Source:Goldman Sachs Global ECS Research.These forecasts are consistent with a very mild profit downturn by historical standards:as Exhibit10 shows,during typical profit downturns earnings have fallen by 30%to 50%while we expectearnings to re
48、main broadly flat for two years.This reflect the facts that margins are still belowtheir previous cycle peak and that we do not expect a global recession.Exhibit 10:We forecast a relatively mild profit downturn by historical standards,90,%Year on yearEarningsgrowth,70503010,1,Ourearningsgrowthforeca
49、sts4721 2212,3,33,24,54,31,30,18,6,40,12,-10,-4,-11-14,-4,-6,-2-1,-30-50,89,-29%cumulative92 95,98,-23-35-50%cumulative01 04,07,-32-45%cumulative10,13,Source:Worldscope,Goldman Sachs Global ECS Research.This revised forecast remains well below consensus which,although it has came down,stillshows a r
50、ise in profits of 8.3%in 2012.Therefore our 2012 earnings forecast implies significant高盛全球经济、商品和策略研究,9,2012 年 2 月 3 日,欧洲,negative earnings revisions.We think the 4Q European earnings season will prove to be weakcompared to consensus expectations(see:Strategy Matters Weak macro and flat revisionsimpl
