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1、,Helen Zhu,(%),(%),3.0,87.0,2.0,77.0,1.0,0.0,72.0,-1.0,November 1,2012China A-share StrategyChina A-share Mutual Fund Trend Monitor 3Q12:Moredefensive in 3Q,may partly reverse in 4QPortfolio Strategy Research,Equity position dropped in 3Q12In 3Q12,equity holdings at equity-focused fundsfell 3.2 pp t
2、o 77.8%,the largest drop since 2Q10.Holdings in the property,financials andmachinery sectors fell(though property is stilloverweight(OW)vs.CSI300 index weightings);holdings in the health care,food and beverage,electronics,IT,and media and culture sectorincreased(all were OW).With relatively defensiv
3、eweighting,most equity funds outperformed theCSI300.Equity holdings may edge up in 4Q2012China A-share mutual fund_Equity Position(%)PMI_New order(trend and cycle)changes(3-month leading,RHS)82.0,May move slightly positive in 4QThe leading indicators(changes of PMI neworders trend and cycle)suggest
4、there may beroom for small increases in equity holdings in 4Q.Sector-wise,the food and beverage,health careand electronics sectors could see reduced mutualfund weighting in 4Q due to:1)their high currentweighting vs.history;2)strong results partlyreflected in share prices;3)investors may shifttwd hi
5、gher beta as macro stabilizes;4)higherpressure from shares unlocking.We believe thecement sector(our OW sector)may see increasedholdings due to:1)historically low holdings;2)theinfrastructure investment recovery(inventoriesare low,and oversupply is light in some regions).Five most popular stocks in
6、3Q12Kweichow Moutai,China National Chemical,Wuliangye Yibin,Tasly Pharma,and Shandong,Chenjie Liu+86(10)6627-3324 Beijing Gao Hua Securities Company Limited+852-2978-0048 Goldman Sachs(Asia)L.L.C.Timothy Moe,CFA+852-2978-1328 Goldman Sachs(Asia)L.L.C.Jason Sun+86(10)6627-3187 Beijing Gao Hua Securit
7、ies Company LimitedBen Bei+852-2978-1220 Goldman Sachs(Asia)L.L.C.,67.0,-2.0,Gold Mining registered the largest increases in thenumber of equity-focused mutual funds holding,62.0,Jul-07,Jan-08,Jul-08,Jan-09,Jul-09,Jan-10,Jul-10,Jan-11,Jul-11,Jan-12,Jul-12,-3.0Jan-13,their stock in 3Q12,which was con
8、sistent with,Source:Wind,Gao Hua Securities Research estimates,GS GlobalECS Research.,sector outperformance including food&beverage,health care,and non-ferrous metals.,Goldman Sachs does and seeks to do business with companies covered in its research reports.As a result,investors should be aware tha
9、t the firm may have aconflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment decision.For Reg AC certification and other important disclosures,see the Disclosure Appendix,or go to Analysts employed
10、 by non-USaffiliates are not registered/qualified as research analysts with FINRA in the U.S.,The Goldman Sachs Group,Inc.,Goldman Sachs Global Economics,Commodities and Strategy Research,2,November 1,2012,China,This is the A-share Mutual Fund Trend Monitor for 3Q2012.We launched the China A-share M
11、utual Fund Trend Monitor on June 16,2011.It is published quarterlyand attempts to follow the changes in Chinas domestic mutual funds,the most important institutional investors in the China A-share market based on theirmandatory quarterly disclosures.A brief introduction to this product series can be
12、 found in the first issue of this product(China A-share Mutual Fund TrendMonitor:Lower equity position,net fund outflow,June 16,2011).Mutual funds turned more defensive in 3Q12;may move slightly positive in 4Q12What happened in 3Q12?Equity holdings fell significantly.In 3Q12,equities made up 77.8%of
13、 the holdings of active equity funds(namely,equityfunds excluding indexed and ETF funds),down 3.2 pp from 2Q12s 81.0%the largest drop since 2Q10.Since 2003,equityholdings of actively managed funds have ranged between 53.9%and 95.7%,and averaged 77.9%.Holdings fell in the property,financials and mach
14、inery sectors,but increased in the health care,food and beverage,electronics,IT,and media and cultural services sectors(see Exhibit 17).In 3Q,most mutual funds decreased their holdingsin sectors with high macro sensitivity like property,financials,and machinery.This was the first time property holdi
15、ngs werelowered since 3Q11,and was a relatively large decline(-1.7 pp to 8.0%,though this is still well above the market averageproperty sector weighting of 4.2%and still near historical peak OW levels).We believe this reflects investor attitudes given:arecovery in property trading volume and slight
16、 price increases;worries about further policy tightening(including potentialexpanded property tax pilot,or even stricter purchase limits).GDP growth fell to 7.4%in 3Q12 from 7.6%the previous quarter,and the weak fundamentals caused investors to reduce holdings of macro-sensitive sectors.By contrast,
17、the relative lack ofmacroeconomic sensitivity and stable earnings of the food and beverage,electronics,IT,and media and cultural servicessectors attracted mutual funds in 3Q12.Sector holdings vs.CSI 300 Index weightings/historical range.Compared with CSI300 index weighting,the equity-focusedmutual f
18、unds overweight the health care/food&beverage/electronics/property and IT sectors,and underweight thefinancials/oil&gas/smelting and processing/transportation/machinery sectors(see Exhibit 18).Furthermore,the currentweightings of the food&beverage/health care/electronics sectors are at their highest
19、 levels vs.the historical range since 2007,while the current weightings of the cement/oil&gas/chemicals/retailing/machinery sectors are close to their lowest levels since2007(see Exhibit 20).All types of funds saw net redemptions.In 3Q12,net redemptions in the mutual fund industry totaled 99.3 bn un
20、its,withtotal subscriptions of 930.8 bn units and total redemptions of 1030.1 bn units.Net redemptions were 6.6 bn units for equityfunds,8.2 bn units for mixed funds,and 3.4 bn units for other funds.Net redemptions for money market and fixed incomefunds amounted to 45.7 bn units and 35.4 bn units,re
21、spectively,making up the majority of net redemptions.We believe thiswas largely due to the weak bond market in 3Q12(see Exhibits 8-10).Despite the difficult market in 3Q12,most equity funds outperformed the CSI300 index.Returns for equity funds in 3Q12ranged from-12.1%to 6.4%,with a mean of-4.19%and
22、 a median of-4.18%,while 3Q12 CSI300 returns were-6.85%.Ofapproximately 390 equity funds,330 outperformed the CSI300 in 3Q12(average outperformance was 2.7%),largely due tofunds becoming increasingly defensive(see Exhibit 3).Goldman Sachs Global Economics,Commodities and Strategy Research,3,November
23、 1,2012,China,Stocks where mutual funds changed positions:Panels A and B in Exhibit 21 are based on stocks where equity-focusedmutual funds added exposure.Panels C and D in Exhibit 22 are based on stocks where equity-focused mutual funds decreasedexposure.In 3Q12,the five stocks added by the most mu
24、tual funds were Kweichow Moutai,China National Chemical,Wuliangye Yibin,Tasly Pharma and Shandong Gold Mining;this is in line with the excellent results shown by the food andbeverage,medical and non-ferrous metals sectors.Poly,Gemdale,Vanke,Ping An and Zoomlion were the five stocks with thelargest d
25、ecrease in the number of equity-focused mutual funds holding the stocks,which reflects the weakness of the propertyand machinery sectors.What could happen in 4Q12?We believe equity holdings could increase,but only to a limited extent.Equity-focused fund equity holdings movebasically in line with the
26、 CSI300 index(see Exhibit 1)and both have stabilized somewhat since the beginning of October.Ouranalysis shows that changes in PMI new orders(trend and cycle)lead equity fund holdings(monthly average)byapproximately 3-4 months.Changes in PMI new orders(trend and cycle)have recovered slightly since J
27、uly 2012(see Exhibit 2),and in line with the rule that it leads by 3-4 months,equity holdings have increased slightly since October but to adisproportionately low extent vs.the changes of PMI new orders(trend and cycle).Sectors:The food and beverage,health care and electronics sectors may see holdin
28、gs reduced in 4Q12;thecement sector may see holdings increased.Relevant to the food and beverage,medical and electronics sectors,ourresearch has found that:1)holdings in these sectors are at their highest levels since 2007(see Exhibit 20);2)these sectors have strong results reflected in share prices
29、,and relatively high valuations;and3)against a backdrop of small improvements in macroeconomic fundamentals in 4Q12 and the QE3 round of overseasquantitative easing,the market may start to rotate towards higher beta sectors;4)relatively higher pressure from shares unlocking in 4Q2012 in these sector
30、s.For all these reasons,we believe mutual fund weightings in these sectors may decrease slightly in 4Q12.As for the cement sector:1)holdings are currently at historically low levels;and2)the infrastructure investment recovery could be beneficial to the sector(inventories are low,and oversupply is li
31、ght in someregions).Please refer to the first issue of this product for a detailed discussion on the limitations of our analysis here(China A-share MutualFund Trend Monitor:Lower equity position,net fund outflow,June 16,2011).Goldman Sachs Global Economics,Commodities and Strategy Research,(%),(%),(
32、%),4,November 1,2012,Exhibit 1:Estimates by WIND indicate that equity mutual fund positions have edged up since early Oct,China,90,China A-share mutual fund_Equity Position(%),CSI300(RHS),230,Indexed Apr 2,2007=100,210,85190,80,170,15075130,70,110,906570,60,50,2007-04-02,2007-11-12,2008-06-24,2009-0
33、2-06,2009-09-10,2010-04-27,2010-12-09,2011-7-19,2012-3-2,2012-10-15,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research.Exhibit 2:Leading indicator(changes of PMI new order(trend and cycle)indicated that equity mutual fund positions(monthlyaverage)may rise gradually in next few
34、months,but range would be limited,China A-share mutual fund_Equity Position(%),PMI_New order(trend and cycle)changes(3-month leading,RHS),3.087.02.082.01.077.00.0,72.067.062.0,-1.0-2.0-3.0,Jul-07,Jan-08,Jul-08,Jan-09,Jul-09,Jan-10,Jul-10,Jan-11,Jul-11,Jan-12,Jul-12,Jan-13,Source:Wind,Gao Hua Securit
35、ies Research estimates,GS Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,60,5,November 1,2012,Exhibit 3:Median return of equity-focused mutual funds in 3Q2012 was-4.18%,outperforming CSI300s-6.85%in 3QExcess return of equity focused mutual funds(Median)vs.CSI300
36、,China,50403020100-10-20-30-40,(%),MedianCSI300 return,Mar-03,Mar-04,Mar-05,Mar-06,Mar-07,Mar-08,Mar-09,Mar-10,Mar-11,Mar-12,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,-3.0-4.1,-22.3,-3.4,-5.2,-5.9,-3.8,-9
37、.9,6,November 1,2012Exhibit 4:Mutual funds equity positions declined slightly in 3Q2012100%,ChinaExhibit 5:Total AUM increased to Rmb2.48tn in 2Q2012 from Rmb2.29tn in1Q20123,500,90%80%70%,3,0002,500,(Rmb bn),60%50%40%30%20%,OthersCashWarrantFundBondEquity,2,0001,5001,000,OthersCashWarrantFundBondEq
38、uity,10%0%Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 6:Equity position of equity-focused mutual funds*,5000Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 7:Aggregate AUM of all equity-focused mutual funds investing indomestic mark
39、ets,100%90%,8.1,10.1,2,500,(Rmb bn),AUM of equity focused mutual funds118.4,Change in AUM(RHS),(%),140120,80%,70%,81.0,77.8,2,000,100,60%50%,CashOthersWarrant,1,500,60.9,85.479.178.6 80.6,8060,40%,Fund,30%20%,BondEquity,1,000,40.536.7,41.7,23.1,20.921.7,4020,10%0%,500,2.7,11.2,8.60.6-0.7-9.9,2.8-23.
40、9,-12.4-16.2,13.8 13.6,-13.7,0.4 0,-1.31.8-5.4-7.4,-20,*We include only those actively managed equity mutual funds in the calculation(thus excluding indexedfunds and ETFs,etc).,0Mar-03,Mar-04,Mar-05,Mar-06,Mar-07,Mar-08,Mar-09,Mar-10,Mar-11,Mar-12,-40,Source:Wind,Gao Hua Securities Research estimate
41、s,GS Global ECS ResearchGoldman Sachs Global Economics,Commodities and Strategy Research,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research,-32.2,-28.5,-39.4,23.1,-28.5,-73.0,-129.1,7,November 1,2012Exhibit 8:The whole mutual fund industry saw net subscription of-99.3 bnfund un
42、its in 3Q2012,ChinaExhibit 9:Total subscription was 930.8bn units while total redemption was1030.1bn units in 3Q2012 for all mutual funds,6,000,Fund unit net purchases(RHS),CSI300 Index,(bn units),600,1,200,(bn shares),Total new subscription,600,5,000,521.8,500,1,000,521.8,Total redemptionFund unit
43、net purchases(RHS),500,400,400,4,000,319.9,300,800,319.9,300,3,0002,0001,000,-39.4-174.8,-2.4,97.6,171.2,9.8,206.811.8-55.2,23.1-20.3-73.0-90.1-111.3-111.0-129.1-145.0,-52.8-56.2,143.7,28.0,-99.3,2001000-100-200,600400200,-32.2-174.8,-2.4,97.6,171.29.8,206.811.8-272.6,-111.3-111.0,-20.3-145.0,-90.1,
44、-55.2-52.8-56.2,143.7,28.0,2001000-100-99.3-200-300,0,-272.6,-300,0,-400,Mar-06,Mar-07,Mar-08,Mar-09,Mar-10,Mar-11,Mar-12,06-03,07-03,08-03,09-03,10-03,11-03,12-03,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 10:All categories of funds including equity,mixed,fixed
45、income,monetary market funds and others,saw net redemption in 3Q2012,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 11:Fund size distribution:around 80%mutual funds have a size lowerthan Rmb3 bn,600,OthersMixed Funds,Monetary market fundsEquity funds,Fixed income fun
46、ds,450,422(Units),Mutual fund distribution by size,(bn units),400,400350,2000,300250200,148 150150-200,100,75,57,-400,50,34,25,16,21,12,6,18,3,0,0,0.5 1,2,3,4,5,6,7,8,9,=30,-600,06-03,07-03,08-03,09-03,10-03,11-03,12-03,(Rmb bn),Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Researc
47、hGoldman Sachs Global Economics,Commodities and Strategy Research,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research,1H2004,2H2004,1H2005,2H2005,1H2006,2H2006,1H2007,2H2007,1H2008,2H2008,1H2009,2H2009,1H2010,2H2010,1H2011,2H2011,1H2012,100,8,November 1,2012Exhibit 12:Mutual fun
48、ds AUM by category,Exhibit 13:Distribution of equity focused mutual funds return in 3Q2012,China,3,5003,000,(Rmb,OthersFixed income mutual fundEquity mutual fund,Monetary market mutual fundMixed mutual fund,90,Distribution of return(equity focused mutual funds,June 30 2012 to September 302012)9292(U
49、nits),802,50070,2,000,6050,57,47,1,5004030,1,000,3020,25,500,10,8,10,(%),1,3,1,0,1,0,0,Mar-03,Mar-04,Mar-05,Mar-06,Mar-07,Mar-08,Mar-09,Mar-10,Mar-11,Mar-12,-12,-10.4,-8.8,-7.2,-5.6,-4,-2.4,-0.8,0.8,2.4,4,5.6,7.2,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research.,Source:Wind,G
50、ao Hua Securities Research estimates,GS Global ECS Research.,Exhibit 14:A-share mutual funds equity holding only accounted for a small portion of the total market capA share market investor distribution100%,90%80%70%60%50%40%30%20%10%0%Source:Wind,Gao Hua Securities Research estimates,GS Global ECS
