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1、,高盛集团,高盛集团,25,5,2012 年 9 月 4 日美国,美股观点,证券研究报告,决策当局在劳动节后面临艰巨任务在 9 月份欧洲央行和 FOMC 作出重大决策前，市场预期高涨。我们的调研显示，投资者预计欧洲央行将推出关键性举措，如为欧洲主权债设定目标收益率和/或息差水平，并预计 FOMC 也将推出新一轮的资产购买(QE3)。以上情形与我们对这些事件的基本假设相比均更为积极，这表明市场在 6 月份以来的大涨后面临风险。短期期权为市场对未来事件的定价提供了线索。我们建议买入 9 月 14 日到期的标普 500 看跌期权以涵盖关键决策日期。,对 FOMC 和欧洲央行的市场预期高于我们的基本假
2、设对美联储进一步资产购买和欧洲央行推出重大举措的预期已推动风险资产大幅上扬，标普 500 指数自 6 月份以来上涨了 10%。我们预计如果 FOMC 和欧洲央行购买债券的承诺力度下降将令投资者失望，但在 Jackson Hole 的讲话显示这种情形很有可能出现。,Stuart Kaiser,CFA(212)357-6308 高思庭(212)902-6781,高盛集团尽管标普 500 持平，但期权指标显示担忧正在逐步升温,隐含波幅、偏度、看跌/看涨比率均显著低于 6 月份水平。过去一周所有指标均有所上升，但标普 500 表现稳定，且实现波幅极低。我们的预测显示下月股市将面临风险，且实现波幅上升。
3、买入标普 500 指数 9 月 14 日看跌期权以对冲重大事件风险。6 月份市场面临类似事件，但背景有所不同6 月份第二轮扭曲操作推出，且欧洲央行发出强硬表态，我们预计本月将有更多政策细节出台。但由于当时美国经济数据低于预期，标普指数 5 月份下跌 8.5%，,Krag Gregory,Ph.D.(212)357-3770 高盛集团Amanda Sneider,CFA(212)357-9860 高盛集团Jose Gonzalo Rangel(212)357-6538,VIX 指数高于 27，10 年期国债收益率低于 1.5%，而现在以上数据均大幅改善。但主权债收益率（尤其是西班牙）的改善程度稍
4、逊。Ben Snider,尽管实现波幅较低且标普 500 表现稳定，但 VIX 指数上升,(212)357-1744,高盛集团30Peter Lewis(212)902-9693,20,VIX,高盛集团,151021d realized0,Mar-12,Apr-12,May-12,Jun-12,Jun-12,Jul-12,Aug-12,Aug-12,Sep-12,资料来源：CBOE、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
5、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。本报告仅供分发给高盛机构客户。,高盛集团,高盛全球经济、商品和策略研究,nd,CB ct,2,re,2012 年 9 月 4 日,美国,Market expectations are high ahead of a busy Septemmber calendarOur converrsations with clients along with the performance of risk assets suggesthigh expecctations ahead of
6、key policy events in September.Since the start of June theS&P 500 is up 10%,the VIX is down 7 points,and ETF short interest has seen$15 billion ofcovering.We estimate that consensus expectations are for the FOMC to announce a third round,See Action Jackson:Bernanke makes case formore easing,31-Aug f
7、ormore detail.See ECB non-standardmeasures:Likely to becautious in design ofsovereign debtpurchases,22-Aug formore detail.,of asset purcchases(QE3)and the ECB to provide clarity on its plans to purchase sovereignbonds.Our expectations are more conservative,suggesting room for disappointment relative
8、 toconsensus.However,strong comments from Fed Chairman Bernanke have shifted the likelihoodof a QE annoouncement in September to 50/50,according to our Goldmman Sachs economicsresearch colleagues.We expect the FOMC to announce easing but not another roun of QE at theSeptember meeting.Our meetings wi
9、th investors suggest consensu now expects QE3 to beannounced in September but our US Economists expect more measured easing to be announcedin the form of an extension of low interest rate commitment language to 2015.If our outloook proves correct many portfolio managers will likeely be disappointed.
10、Minutes from the July/August FOMC meeting and Chairman Bernankees Jackson Hole speechreinforce tha view as they strongly suggest near-term easing but also highlight the costs andrisks associaated with further large-scale asset purchases.One reason for our forecast is that we estimate that the maturi
11、ty extennsion(“Twist 2”),announcedin June,reprresents a major easing program roughly three-quarters the size of QE2.As a result,afurther progrram announcement so soon after seems less likely,though possible.Even if theFOMC does not commit to QE3 it may speak directly enough about further easing step
12、s in thenear-to meddium-term to reassure the market.Potential EC actions are much harder to predict,but we do not expec the Governing Councilwill provide explicit caps on the bond yields or spreads of peripheral European countries.It may,however,claarify its intent to prevent spikes in short-dated y
13、ields to maintain effective monetarypolicy while also retaining tactical discretion.With expectaations already high it is unclear if that will be enough to support risk sentiment and the,market reacttion will likely be dictated by details,timing,and asset price levels.Regardless,webelieve this will
14、be a market moving event.We also expect Spain to equest support under theterms of the EFSF/ESM but not until mid-September at the earliest,and the ECB to providetargeted suppport to corporate and banks via relaxed collateral standards,lower financing haircuts,and purchasse of bank and corporate debt
15、 if needed.Exhibit 1:Crowded calendar of policy events in September and early OctoberSource:Goldmaan Sachs Global ECS Research.高盛全球经济、商品和策略研究,3,2012 年 9 月 4 日,美国,Crib notes on early September eventsBelow we provide a short summary of key upcoming events,our expectations fortheir outcome,and potentia
16、l market reaction should our views unfold.This is not anexhaustive list and the passage of each event increases the importance of the nextevent in the future so it will evolve over time.In addition,recent comments frompolicy makers suggest interdependence of events(i.e.,ECB actions rely on GermanCou
17、rt rulings).September 6:ECB Governing Council meeting market expectations are wide but seemfocused on the size of potential ECB sovereign bond purchases along with hope that the Bank willset target yields and/or spread levels for peripheral countries bonds.Our European Economistsdo not expect that l
18、evel of commitment or specificity,which may disappoint investors.We expectthe Governing Council to avoid specific caps/targets or mechanical intervention rules andcommitments to intervene at specific rates.Instead they are likely to rely on implicit zones oftolerance for key spread and yields along
19、with a strategic intent on preventing spikes in 2-yeargovernment yields.Recent statements that the ECB will hold back on policy specifics until the German ConstitutionalCourt decision on the ECM program could mute the impact of this meeting.September 11:Commission on Banking Union meeting it is expe
20、cted(and reported inthe press)that the legal framework of a pan-European banking union announced in June will bepresented at this meeting.Once a supervisory mechanism is in place,leaders have affirmed thatthe ESM would have the ability to recapitalize banks directly,subject to appropriate conditiona
21、lity.Uncertainty around the outcome centers on the:the role of the ECB,the number and size of bankssubject to supervision,and the scope of regulatory powers.An important consideration is whetherthe ECB will have the authority to close problem banks and under what circumstances.We expectthe outcome o
22、f the meeting to be a modest positive but it may carry less importance to investorsthan other September events.September 12:German Constitutional Court ruling on ESM we expect the Court touphold the legality of the ESM but also set boundaries for further actions that shift power to theEuropean level
23、.While the courts decision may be more impactful in the short-term,potentialboundaries could limit Germanys ability to increase support in the future if needed.On balancethe Court decision is likely to be a modest positive.September 12-13:FOMC statement and Chairmans press conference we expect the,Q
24、E3 is not our base-casefor September butchances are up to 50/50after ChairmanBernankes speech atJackson Hole.,Committee to announce further easing measures including an extension of their commitment tokeep rates low into 2015.We do not expect additional asset purchases(QE3)to be announced atthis mee
25、ting but do think it will be undertaken later this year or early in 2013.Equity investors arelikely to be disappointed if QE3 is not announced but that may be mitigated by languagesuggesting further easing in the near-term or discussion of potential additional easing optionssuch as“open ended”QE.,Re
26、lated Research:European Economics Daily:“Back to School”Key policy events to watch in September.https:/Economics Daily:September 12:Yet another important date in the Euro crisis calendar.https:/Views:ECB non-standard measures:Likely to be cautious in design of sovereign debtpurchases.https:/Daily:A
27、Meaty Set of FOMC Minutes.https:/Economics Analyst:Action Jackson:Bernanke makes case for more easing.https:/,4,2012 年 9 月 4 日,美国,June events provide a roadmap for upcoming policy datesThe current situation is quite similar to three months ago when ECB and FOMCmeetings along with related European co
28、nferences were in focus.While theimportance and nature of events is similar there are stark differences in terms ofequity performance,implied volatility,and reported US economic data.Equity markets are higher,volatility is lower,and economic data is stronger relative toMay.Prior to June events the S
29、&P 500 was at 1278(down 8.5%over the previous month),theVIX stood at 24,the ten-year US Treasury yield was 1.5%,and realized volatility was 13%(seeExhibits 2,6-8).In addition,US economic growth was trending at 1.1%as estimated by ourCurrent Activity Index(CAI)and reported data was very disappointing
30、 relative to consensusexpectations based on our US MAP scores(see Exhibits 3 and 4).Exhibit 2:Better returns,lower volatility and strong economic data today vs.May,Risk Metric,31-May,31-Jul,31-Aug,Momentum,May to AugS&P 500,Level1m trailing return(%)1m realized vol(%)VIXCAI(%)MAP(30-day sum)USD/EUR,
31、1310.3(6.3)12.624.11.1(38)1.24,1379.31.313.918.91.5(20)1.23,1406.62.09.017.51.5(9)1.26,PositivePositivePositivePositivePositivePositiveNeutral,Soverign 10-year yield(%),USAGermanyFranceItalySpain,1.60.72.26.06.5,1.50.62.16.16.7,1.60.72.25.86.8,NeutralNeutralNeutralPositiveNegative,Source:Goldman Sac
32、hs Global ECS ResearchFollowing June,when the ECB made strong but somewhat vague commitments to support theEuro and the FOMC announced“Twist 2”,the market is up substantially and implied volatility issharply lower(at least in near-dated options).That rally has persisted despite a lackluster 2QS&P 50
33、0 earnings season and US economic growth remaining at about 2%.This month the S&P 500 index stands at 1407(up 10%since June)with the VIX at 17 andrealized volatility below 10%.A key point of differentiation this time around is that US economicgrowth is both stronger and in-line with market expectati
34、ons compared with June when reporteddata was consistently disappointing.The CAI approximates a growth rate of 1.5%while the USMAP score is slightly negative over the past month but did reach positive territory in August forthe first time since March 15.One area of concern is sovereign bond yields th
35、at remain near Maylevels and are actually higher for Spain.The bar may be set higher for policy action in September given the market rally andqualitative investor expectations.If the June experience repeats,the S&P 500 along with theEnergy and Information Technology sectors should respond most stron
36、gly(see Exhibit 5).Inaddition,investment themes such as Cyclicals and Hedge Fund VIP stocks may also perform well.Our rate sensitive basket(Bloomberg ticker:)was up 4%from the end of Junethrough August 31.The same assets may come under pressure if policy makers disappoint.高盛全球经济、商品和策略研究,Apr-12,May-1
37、2,Feb-12,Dec-11,Jan-12,Mar-12,Jun-12,Jul-12,Aug-12,Apr-11,Jul-11,Jan-11,Oct-11,Apr-12,Returnsince31-May(%),Feb-12,Apr-12,May-12,Dec-11,Jan-12,Jun-12,Jul-12,Aug-12,Aug-12,Financials,S&P500,Con.,Discretionary,InfoTech,Con.Staples,Materials,Telecom,Svcs,HealthCare,Industrials,Utilities,Energy,Feb-12,Ap
38、r-12,May-12,Jan-12,Jun-12,Jul-12,Dec-11,Aug-12,Mar-12,Mar-12,Feb-12,Apr-12,May-12,Jan-12,Dec-11,Jan-12,Mar-12,Jun-12,Jul-12,Jul-12,5,2012 年 9 月 4 日Exhibit 3:Economic data no longer disappointing30-day cumulative US MAP score of economic surprise,Exhibit 4:Economic activity has improved someCurrent A
39、ctivity Indicator of US growth,美国,10080,4.54.0,4.1,6040,3.53.0,2.8,3.2,2.8,2.9,3.2,2.5,20,2.5,0(20),(9),2.01.5,1.9,1.7,1.4,1.7,1.2,1.7 1.7,1.5,1.7,1.1,1.5,(40),1.0,(60)(80),(68),0.50.0,0.4,Source:Goldman Sachs Global ECS ResearchExhibit 5:Two sectors drove performance since MaySector performance May
40、 31 to Aug 31,Source:Goldman Sachs Global ECS ResearchExhibit 6:The VIX was down nearly half but up last weekCBOE volatility index(level),1412,12.0,3028,1086,8.9,8.3,8.1,7.4,7.3,5.7,5.5,5.4,5.0,26242220,4,18,20Source:FactSet,Goldman Sachs Global ECS ResearchExhibit 7:The S&P 500 is up 10%from its Ju
41、ne lowS&P 500 price index(level)145014001350130012501200Source:FactSet,Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究,1.3,16141210Source:CBOE,Goldman Sachs Global ECS ResearchExhibit 8:UST yields are higher but have eased lately10-year US Treasury benchmark yield(%)2.62.42.22.01.81.61.41.21.0Source
42、:FactSet,Goldman Sachs Global ECS Research,Impliedvolatility(%),13w,17w,21w,25w,29w,33w,37w,41w,45w,1w,5w,9w,49w,22,14,6,2012 年 9 月 4 日,美国,Options market shows low,but rising,focus on upcoming eventsThe options market shows less alarm about near-term events than in late June butalso an increase in r
43、isk premium over the past week that is not reflected in S&P 500performance.Implied volatility,skew,and the put/call ratio are all up notably from lowlevels while the S&P remains above 1400 with very low realized volatility.Our outlooksuggests downside risk to stocks and higher realized volatility.Bu
44、y S&P 500 putsexpiring Friday,September 14 for less than 1%of spot($7.80,0.55%).Near-term events do not carry the premium in the option market that we would expect.The volatility term structure shows a muted risk environment.In times of market stress short-dated option prices react quickly and often
45、 carry a premium to longer terms.Today the termstructure of volatility is smoothly upward sloping without the“checkmark”pattern from late Juneand July ahead of upcoming events(see Exhibit 9).In previous months 1 and 2 week impliedvolatility was on par with options expiring 3-6 months in the future d
46、ue to concern about near-termevents.Currently the options market is not assigning a premium to those options.Implied volatility is 6-8 points lower for options expiring during the next month than in June.That,Buy S&P 500 1375 putsexpiring 14-Sep to hedgeupcoming policy events.See US OptionsResearch:
47、The Buzz formore detail.,large drop is driven mainly by the strong equity market rally but is also evidence that the markethas not yet shifted its attention to important September events.We view events during the week of September 14(German Constitutional Courtsimpact on ECB implementation and FOMC
48、press conference)as the highest priorityand recommend buying S&P 500 1375 puts expiring 14-Sep to hedge those events.Modest skew,the level of implied volatility and the slope of the term structure makes these themost cost-effective options(at about 0.60%of notional)to hedge risks around that cluster
49、 ofevents.Put buyers risk loss of premium paid(see US Options Research:The Buzz for details).Exhibit 9:Option prices attach less premium to short-dated options than in June24,June 25-,options pricing highnear-term event risk,201816no premium on earlyAugust 31-September events12Weeks to expirationSou
50、rce:CBOE,Goldman Sachs Global ECS ResearchOption flows show a bullish bias in much of August but demand for puts in the mostrecent week.Call option flows exploded after June with the put/call ratio at its lowest point sinceMarch 2009,as measured on a 21-day moving average.Typically,demand for hedge
