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1、,GLIAcceleration(%),高盛国际,高盛国际,2012 年 11 月 13 日欧洲,策略焦点,证券研究报告,CEEMEA 股票市场与宏观经济指标的关系继 6 月份步入复苏阶段之后，我们的全球领先指标(GLI)于 8 月份进一步改善至“扩张阶段”，最新的 10月份数据更是显示出持续的积极势头。此外，在美联储(QE3)和欧洲央行(OMT)的强有力政策推出之后，全球金融状况已经显著放松，这为复苏奠定了良好基础。我们在本报告中探求 CEEMEA 股票市场与全球周期之间的关联。我们发现，俄罗斯是周期性最强的市场，而南非最具防御性。,股市与全球周期之间存在显著关联我们通过 15 年的每日数据
2、分析发现，在扩张阶段股市经风险调整的预期回报往往最为强劲。因此，我们建议投资者今后密切关注 GLI 和宏观经济数据。俄罗斯和捷克市场存在上行空间,Kasper Lund-Jensen+44(20)7552-0159 kasper.lund-彼得欧品海默+44(20)7552-5782,经风险调整的预期回报在各国、各行业以及商业周期的四个阶段都存在很大差异。俄罗斯是周期性最强的市场，而南非最具防御性。Sharon Bell,CFA,但并非所有的全球扩张都具有相同影响 幅度是关键更强劲的上扬往往受到更有力的扩张支撑，反之亦然。因此，预期回报不仅取决于经济是否处于扩张阶段，还取决于扩张幅度。与以往周
3、期相比，当前周期相对较浅，因此对股市的影响程度更小。本报告最初发表于 10 月 31 日的“CEEMEA 经济分析”。幅度是关键：更大幅度的扩张往往带来更高回报,+44(20)7552-1341 高盛国际Gerald Moser+44(20)7774-5725 高盛国际Christian Mueller-Glissmann,CFA+44(20)7774-1714 christian.mueller-,0.2,Recovery,Oct-11,Nov-11,Expansion,Expected RealMonthly Return:,高盛国际,0.10-0.1,Jun-12May-12Contra
4、ction,Jul-12Apr-12,Aug-12,Sep-12Oct-12Feb-12Mar-21,Dec-11Jan-12,ExpectedreturnsincreasesSlowdown,2%1 to 2%0 to 1%-1 to 0%-2 to-1%-2%,Anders Nielsen+44(20)7552-3000 高盛国际Matthieu Walterspiler+44(20)7552-3403 高盛国际,-0.2,-0.3,-0.1,0.1GLI Growth(%mom),0.3,0.5,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
5、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,高盛全球经济、商品和策略研究,GLIAcceleration(%),May11,Jul12,Mar10,Feb12,Oct11,Nov09,Aug10,Jan11,2,2012 年 11 月 13 日,欧洲,The relationship of CEEMEA equity markets with macro indicatorsTh
6、is report was first published in CEEMEA Economics Analyst,October 31.Although global economic activity remains relatively weak,we have recently seen tentative signsof stabilisation and recovery.Our proprietary leading indicator of industrial production,the GlobalLeading Indicator(GLI),moved into rec
7、overy territory in June this year and the final Octoberreading indicates an expansion(Exhibit 1).In addition,global financial conditions have easedsignificantly over the past 12 months,and this provides a solid basis for a recovery(Exhibit 2).In this piece we analyse how a potential global growth re
8、covery would affect CEEMEA equitymarkets.Our main message is that there are strong links between the global business cycle andreturns and risk in equities.More specifically,we show that the risk-return trade-off improvessubstantially when the business cycle moves from a recovery to an expansion.When
9、 the cyclemoves to a slowdown phase,the risk-return trade-off weakens and turns negative during acontraction.At the country level,we find that the Russian equity market tends to be particularly sensitive toshifts in the global cycle and to perform strongly through the expansion phase.That said,theRu
10、ssian equity market is also typically volatile so the implied Sharpe ratio is not always ascompelling.The Czech Republic and Israel could offer a stronger risk-reward trade-off during anexpansion.The South African equity market is the most defensive and tends to experience onlyminor losses when the
11、cycle turns to a contraction.At the sector level,we find that Industrials,Energy and Utilities perform strongly during aneconomic expansion.When the cycle moves into contraction,the defensive sectors(Health Careand Consumer Staples)tend to outperform.We focus on the relationship between the global b
12、usiness cycle and CEEMEA equity marketshere but intend to follow up with an analysis of the role of the domestic business cycle in futureresearch.,Exhibit 1:The GLI moved into recovery territory in Juneand the October reading indicates an expansion,Exhibit 2:Global financial conditions have eased ov
13、er thepast 12 months,0.2,Recovery,Expansion,101,100.3100.2,Oct-11,Nov-11,100,100.1,0.1,Aug-12Jul-12,Sep-12,Dec-11,99,100.099.9,0-0.1,Jun-12May-12Apr-12Contraction,Mar-21,Oct-12Feb-12,Jan-12Slowdown,98979695,Tighter FinancialConditions,Euro FCICEEMEA FCI(right axis),99.899.799.699.599.499.399.2,-0.2,
14、-0.4,-0.2,0GLI Growth(%mom),0.2,0.4,Source:Goldman Sachs Global ECS Research,Note that the level of the two FCIs are not comparable.,Source:Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究,1.,2.,3.,4.,Contraction,Recovery,-0.005,-0.015,-0.01,-0.02,-1.5%,-2.0%,-2.5%,-3.0%,3,2012 年 11 月 13 日,欧洲Tracking
15、 the global business cycle based on the GLIWe start by defining the business cycle and its different phases.We use the GLI to track theglobal business cycle,following the methodology of Aleksandar Timcenko and NoahWeisbergers recent Global Economics Paper(Acceleration Matters:Asset Returns and theBu
16、siness Cycle,May 16,2012).More specifically,we use the relationship between GLI growth(month-on-month)and acceleration(change in growth)to define four phases of the businesscycle:Expansion:Positive month-on-month growth in the GLI and positive acceleration.Slowdown:Positive month-on-month growth and
17、 negative acceleration.Contraction:Negative month-on-month growth and negative acceleration.Recovery:Negative month-on-month growth and negative acceleration.There are relatively few episodes where GLI growth has been negative and the business cyclehas therefore been in either an expansion or a slow
18、down phase for approximately three quartersof the period.More specifically,the relative frequency of the four business cycle phases is as follows:expansion(30%),slowdown(44%),contraction(15%)and recovery(10%).(Exhibit 3 illustrates thestylised relationship between the GLI and the business cycle and
19、the historical relationship duringthe past 15 years is depicted in Exhibit 4.)A word of caution is needed.The GLI is a filtered time series and this implies that past data arerevised each month.Therefore,what we observe in retrospect is not always the same as whatwas released at the time.In other wo
20、rds,there is more uncertainty associated with the currentbusiness cycle phase.,Exhibit 3:Tracking the global business cycle based onthe GLI,Exhibit 4:Historical relationship between the GLI and thefour phases of the global business cycle,0.020.0150.01,GLI Growth(mom)Expansion:Positive Growth&Positiv
21、e Acceleration,Recovery:Negative Growth&Positive Acceleration,2.0%1.5%1.0%0.5%,GLI Growth(mom),0.0050Slowdown:Positive Growth&Negative AccelerationExpansionSlowdownContraction:Negative Growth&Negative AcceleratonSource:Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究,0.0%-0.5%-1.0%Expansion(30%)Slowd
22、own(44%)Contraction(15%)Recovery(10%)GLI(mom growth)97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12Source:Goldman Sachs Global ECS Research,2,1,5,6,4,4,5,7,4,2012 年 11 月 13 日,欧洲Measuring risk in equity markets based on high frequency dataWe use price volatility as a rough measure of risk.Since the v
23、olatility of an asset is generally notobservable,we use a high frequency econometric approach(described in the Appendix)to obtainvolatility estimates based on daily data.We then compare the(realised)volatility estimates withthe expected return estimates in order to evaluate the relative risk-return
24、trade-off over thebusiness cycle and across our region.The estimation results are based on daily data fromOctober 1,1997 to October 26,2012 for total return indices.The choice of data sample is basedon data availability.Ideally,it would have been preferable to use data back to the 1980s such thatwe
25、could increase the number of business cycles in the sample.In order to control for variation ininflation rates across the CEEMEA region,we deflated all the total return indices by the countryCPI index.CEEMEA equity markets are strongly related to the global businesscycleWe find that there are strong
26、 links between the risk-return trade-off in CEEMEA equity marketsand the phase of the global business cycle.More specifically,we find that the risk-return trade-offtends to deteriorate when the business cycle moves from an expansion to a slowdown period.Onaverage,the expected return decreases from 3
27、.0%to 0.7%(per month),while the volatilityincreases slightly from 7.5%to 7.6%.When the cycle turns into a contraction phase,the risk-return trade-off deteriorates even furtheras expected returns turn negative(-6.2%)and volatility picks up(11.3%).This is clearly illustratedin Exhibit 5.In a recovery
28、phase,expected returns increase on average from-6.2%to 0.3%but volatilityremains generally at a high level(from 11.3%to 10.9%on average).Finally,as the globalbusiness cycle moves from a recovery to an expansion phase the risk-reward trade-off improvessubstantially.Expected monthly returns increase o
29、n average from 0.3%to 3.0%and volatilitydecreases from 10.9%to 7.5%.This dynamic is depicted in Exhibit 6.,Exhibit 5:The risk-reward trade-off weakens as the globalcycle moves from expansion to contractionExpected return and volatility(risk)during the four phases,Exhibit 6:but it improves as the cyc
30、le moves torecovery and then back to expansionExpected return and volatility(risk)during the four phases,Contraction1,Volatility20%,Contraction1,Volatility20%,Recovery1,-12%,2ExpansionSlowdownContractionCEEMEA Average-9%-6%,36,7-3%,16%12%8%4%0%,Slowdown Expansion1233 547 670%3%6%,2ExpansionContracti
31、onRecoveryCEEMEA Average,36,45,16%12%358%44%0%,27 67,36,Expansion2 154,Expected Real Monthly Return,-12%,-9%,-6%,-3%,0%,3%,6%,Expected Real Monthly Return,1.RUB,2.TRY,3.HUF,4.CZK,5.PLN,6.ILS and 7.ZARSource:Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究,1.RUB,2.TRY,3.HUF,4.CZK,5.PLN,6.ILS and 7.ZAR
32、Source:Goldman Sachs Global ECS Research,GLIAcceleration(%),5,2012 年 11 月 13 日,欧洲But not all global expansions are equal:Magnitude mattersThe business cycle shift from recovery to expansion in Exhibit 6 is particularly interesting as theGLI recently moved into the expansion phase.Our analysis here s
33、uggests that CEEMEA equitymarkets are likely to deliver a strong risk-return trade-off while the GLI is in the expansion territory.However,the recovering momentum remains weak and we believe that this could be a drag onequity markets.The main problem here is that a potential future expansion period
34、is likely to besmaller in magnitude relative to previous expansions,as the global macroeconomic outlookremains relatively weak.Moreover,GLI momentum is also weak,as illustrated in Exhibit 4.Exhibit 7:Magnitude matters:Expected returns are higher during a strong expansion,0.20.1,Recovery,Jul-12,Aug-1
35、2,Oct-11,Nov-11Sep-12,Dec-11,Expansion,Expected RealMonthly Return:2%1 to 2%,0-0.1,Jun-12May-12Contraction,Apr-12,Mar-21,Oct-12Feb-12,Jan-12,ExpectedreturnsincreasesSlowdown,0 to 1%-1 to 0%-2 to-1%-2%,-0.2,-0.3,-0.1,0.1GLI Growth(%mom),0.3,0.5,The estimated expected returns are based on the panel da
36、ta specification in Exhibit 17 in the appendix.Source:Goldman Sachs Global ECS ResearchThe analysis in Exhibit 6 does not take this issue into account as it is based on the assumptionthat all expansions are equal in the sense that they have the same impact on expected returns.For example,a strong ex
37、pansion with 1.0%GLI month-on-month growth or a weak expansionwith 0.1%GLI month-on-month growth is assumed to have a similar impact on expected returns.In order to control for this potential problem,we have also estimated a model where we allow theexpected equity returns in the next month to depend
38、 on the magnitude of the GLI-Growth andGLI-Acceleration in the current month(see the Appendix for details on the difference between thetwo model specifications).The results,which are presented in Exhibit 17 in the Appendix,areintuitive and fairly homogeneous across all seven CEEMEA countries.They su
39、ggest that both GLIgrowth and GLI acceleration have a highly significant impact on expected equity returns.Thisimplies that all expansions are not exactly equal:a relatively weak expansion,in terms of GLIgrowth,will have a relatively smaller positive impact on expected equity.This point is illustrat
40、ed inExhibit 7,which depicts this models more continuous relationship between expected returns andthe state of the business cycle.Exhibit 8 illustrates how expected returns have changed over thecycle in the past 13 months.Interestingly,expected returns have increased since June 2012.Thatsaid,the GLI
41、 still needs to improve substantially in order to predict significantly higher expectedreturns in the future.高盛全球经济、商品和策略研究,3%,2%,Jul 12,6%,4%,6,2012 年 11 月 13 日,欧洲Exhibit 8:Expected returns in CEEMEA have increased as the global cycle has stabilisedExpected Real Monthly Returns,1%0%-1%,November 201
42、1(based on GLI Oct-11),November 2012(based on GLI Oct-12),-2%-3%-4%,PolandCzech RepublicHungaryRussiaTurkeyIsrael,South Africa-5%,Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12,Aug 12 Sep 12 Oct 12 Nov 12,Source:Goldman Sachs Global ECS ResearchCross-country variation and opportunities acro
43、ss the global cycleThe main message from Exhibits 5 and 6 is that the risk-return trade-off in CEEMEA equitymarkets is closely related to the phase of the global business cycle.However,there is a fairamount of cross-country variation within each phase.For example,Russia and Turkey tend toreact stron
44、gly if the global business cycle turns into an expansion phase or if it enters into acontraction(see Exhibit 9).Therefore,there is potentially a large upside in these markets if theglobal cycle turns towards an expansion.However,although these equity markets tend togenerate higher expected returns d
45、uring an economic expansion,there are also more risksassociated with investing in these markets.This point is clearly illustrated in Exhibit 11,whichshows both the expected returns and the risk-adjusted expected returns during the four phases.,Exhibit 9:Russia is the most cyclical market and SouthAf
46、rica is the most defensiveExpected real monthly returns2%0%-2%,Exhibit 10:CZK,ILS and RUB tend to generate thestrongest risk-reward trade-off during an expansionOutperforming equity markets during the four phasesExpansion:Czech RepublicIsraelRussia,-4%-6%-8%,Recovery:IsraelRussiaSouth Africa,Slowdow
47、n:HungaryIsraelTurkey,-10%-12%,ExpansionContraction,SlowdownRecovery,Contraction:(South Africa)(Poland),-14%,Russia,Turkey Hungary Czech IsraelRepublic,Poland,SouthAfrica,(Israel),Source:Goldman Sachs Global ECS Research,Based on risk-adjusted expected returns,Source:Goldman Sachs Global ECS Researc
48、h高盛全球经济、商品和策略研究,7,2012 年 11 月 13 日,Exhibit 11:Risk-reward trade-off in CEEMEA over the business cycle,欧洲,Expected Real Monthly Return,Expected Real Monthly Return/Volatility,Expansion,Slowdown,Contraction,Recovery,Expansion,Slowdown,Contraction Recovery,Czech RepublicPolandHungaryRussiaTurkeyIsraelS
49、outh AfricaCEEMEA Average,3.1%3.1%2.8%4.7%3.1%2.8%1.2%3.0%,0.6%0.2%0.9%0.9%1.2%0.7%0.2%0.7%,-5.2%-4.3%-5.6%-11.8%-7.8%-4.9%-3.8%-6.2%,-0.9%-1.0%-0.7%2.9%-0.2%1.8%0.3%0.3%,54.5%42.9%38.4%44.7%28.6%46.4%24.1%39.5%,9.9%2.6%11.5%8.2%11.3%13.1%2.9%8.8%,-52.4%-53.0%-52.4%-61.2%-48.4%-65.1%-48.5%-54.6%,-11
50、.3%-10.8%-6.2%16.4%-1.7%22.9%4.0%2.9%,Blue shading for top 3 performers;Negative risk-adjusted expected returns are ignored.Source:Goldman Sachs Global ECS ResearchOn a risk-adjusted basis,i.e.when adjusting for price volatility,the Czech Republic and Israeltend to outperform Russia,and particularly
