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1、,2012 年 12 月 1 日GOAL：最新资产配置建议证券研究报告增加风险敞口：上调股票至高配，下调现金配置,宏观前景：2013 年增长加快，风险下降我们预计全球增长将从 2012 年的 3.0%加速至 2013 年的 3.3%。经济前景还可能受其他三方面因素的推动：(1)增长时间表显示经济在 2013 年将加速扩张；(2)在欧洲央行推出直接货币交易(OMT)计划后，欧洲风险小于去年；(3)石油供应对全球增长的限制正在放松。我们认为风险集中在 2013 年早些时候，财政悬崖、中国政府换届以及西班牙寻求 OMT 计划救助的不确定性是我们的主要担忧。如果这些风险成为现实，我们预计持续时间将较为
2、短暂，如果没有发生，那么回报可能集中在前端。我们对各资产类别所持观点大宗商品：我们预计石油市场周期性趋紧但结构性稳定，展期收益率应会带来大部分回报。在该形势下，我们认为大宗商品将产生良好回报，并仍能对冲供应紧张带来的负面影响。我们维持高配建议。股票：我们对未来 3 个月的配置建议上调至高配，并维持对未来 12 个月的高配建议。我们预计股票回报将受到全球经济增长反弹、盈利增长加速及风险溢价较高三方面因素的共同支撑。企业信贷：由于增长疲弱、QE 引发市场寻求收益率，我们预计 IG spreads 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。政府债券：政府债券的收益率无论就
3、其绝对值而言还是与宏观基本面相比都非常低。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。预期回报和我们的资产配置建议,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,3MonthsHo
4、rizon,NewRecommendation,12MonthsHorizon,慕天辉,CFA+852-2978-1328 高盛（亚洲）有限责任公司,AssetClass,Return*Weight,AssetClass,Return*,Weight,CommoditiesEquities5yr.CorporateBonds,11%OW3 OW0 N,EquitiesCommodities5yr.CorporateBonds,16%71,OWOWN,Thomas Stolper+44(20)7774-5183 高盛国际,Cash10yr.Gov.Bonds,02,UWUW,Cash10yr.G
5、ov.Bonds,04,UWUW,*Returnforecastsassumefullcurrencyhedging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,3,5,6,7,8,9,10,11,12,13,2,2012 年 12 月 1 日Table of ContentsAdding r
6、isk:Upgrading equities to overweight,downgrading cashOur forecastsCharts we are watchingKey themes and recommendationsEquities:Upgrading our 3-month view to overweightGovernment bonds:Negative returns,especially over 12 monthsCorporate credit:Sound fundamentals but limited return potentialCommoditie
7、s:Roll yields to provide a larger part of returnsFX:We expect the euro to strengthen vs.the dollarHow we construct our asset classesDisclosure Appendix高盛全球经济、商品和策略研究,14,全球,1,3,2012 年 12 月 1 日,全球,Adding risk:Upgrading equities to overweight,downgrading cashOur GOAL Update is a monthly condensed updat
8、e of our quarterly GOAL(GlobalOpportunity Asset Locator)product.Like the GOAL,it draws on analysis from acrossECS(Economics,Commodities and Strategy)research to highlight investmentopportunities and key forecasts across the asset classes and regions that we cover.Sizing up the fiscal cliffIn our las
9、t GOAL report(published October 19,2012),we recommended a neutral allocationacross most assets on a 3-month horizon,with the exception of an overweight in commoditiesand an underweight in government bonds as we thought the pricing of these asset classes did notfully reflect the existing economic env
10、ironment.We were reluctant to take risk in other assetclasses in light of uncertainty about the timing of the growth rebound we expected,the fiscal cliffuncertainty,and the strong run-up in risky assets we had seen in the previous months.Since then,we have seen a small round-trip in risky assets,as
11、markets have been sizing up thelikelihood of a resolution to the fiscal cliff.We saw a sell-off following the US presidential electionand a subsequent rebound,as politicians have signaled a higher degree of willingness tocompromise.Returns in most asset classes have been muted,but our allocation has
12、 done poorly.Ouroverweight in commodities was the worst performing asset class returning-1.4%and ourunderweight in government bonds was the best performing asset class,returning 1.8%.A better global outlook for 2013 vs.near-term risksWhile we only expect a moderate improvement in global growth from
13、3.0%in 2012 to3.3%in 2013,the outlook is likely to be better on three other dimensions:1)the timeprofile of growth shows acceleration through the year;2)the European risks aresmaller than last year following the ECBs OMT program;and 3)the oil supplyconstraint on global growth is loosening1.We expect
14、 a slight deceleration in US growth to 1.5%qoq annualized in 1Q of 2013 as parts ofthe fiscal cliff hit the economy,increasing the fiscal drag from 0.75 percentage points this year to1.75 percentage points.From this base,the fiscal drag should decrease as we move through2013 and we expect overall ec
15、onomic growth in the US to reach 2.5%qoq annualized in thesecond half of the year,with further acceleration in 2014.We continue to expect the fiscal cliff negotiations to be difficult,but think that an agreement ismore likely than not to be reached by the end of the year.We believe the most likely o
16、utcome willbe a two-stage process,with an agreement on an immediate round of tax increases and spendingcuts being combined with targets for further spending and tax reforms to be fully detailed at afuture date.In the Euro area,we expect growth momentum to improve,though at a very moderate pace.Weexp
17、ect growth to reaccelerate in Germany from a very weak 4Q,supported by easy financialconditions and export exposure to accelerating global growth.We also expect growth momentumto improve gradually in Italy,as the drag from austerity eases,whereas we believe that growth willdeteriorate further in Spa
18、in in the first half of 2013,as the fiscal adjustment here is lessfrontloaded than in Italy.Tail risks from the European crisis remain,but it is our view that they have substantially declinedthrough the announcement of the ECBs OMT program.We expect the political process toPlease see our November 28
19、 Global Economics Weekly,for a more detailed discussion of our new economic forecasts.高盛全球经济、商品和策略研究,0,1,4,2012 年 12 月 1 日,全球,continue to muddle through towards a build-up of the necessary institutions to contain the crisis.This process is likely to remain very gradual and might require market press
20、ures at times to moveforward.In China,we could see a moderation in sequential growth in the very near term from the verystrong numbers seen in September and October,as exports and government spending might turnless supportive.Uncertainty about reforms and policy direction during the leadership trans
21、itionremains high,and is probably more important from a market perspective.As we move further into2013 and especially as uncertainties surrounding the fiscal cliff in the US are resolved,we expectChinese growth to continue the path toward sequential improvement as global growth strengthensand as we
22、expect a pick-up in local government spending in late 2013.Upgrading equities to overweight,downgrading cashWe maintain our pro-risk 12-month allocations,with an overweight in equities andcommodities and an underweight in government bonds and cash.We see a very clear long-term case for risky assets.
23、Risk premia remain high,we expect continued improvement in globalgrowth over the coming years and the highest-probability risks are going to be very temporary inour view.Beyond these near-term risks,we admit that longer-term tail risks remain elevated asthe room for policy to respond to any addition
24、al shocks is limited.But,enough appears to bepriced in,that we feel comfortable taking those risks.For a long time we have remained closer to neutral in our 3-month allocations,reflecting thedifficulty in assessing near-term political developments and cycles in high-frequency data,whichhave been sho
25、rter and more shallow than usual.We now align our 3-month allocations with our pro-risk 12-month allocations,with anupgrade of equities to overweight and a downgrade of cash to underweight.There is a risk thatour changes are early.A delayed solution to the fiscal cliff,market pressures on Spain earl
26、y nextyear,or the uncertainty around the policy path in China are all factors that could lead to a betterentry point.However,these risks are likely to be temporary issues that we would expect to disappearrelatively quickly.In the case of the first two,a resulting rebound in markets could well be cov
27、eredwithin our 3-month horizon,whereas the uncertainty about China is likely to decline as we headinto 2Q 2013.We want to be sure not to miss what we believe will be a good upsideopportunity if these risks do not materialize,as markets would then be looking ahead to ayear of continued improvements i
28、n the growth outlook.That said,we acknowledge that ourportfolio is likely to perform poorly if the risks mentioned above materialize and prove more long-lasting than we expect.Exhibit 1:Performance since last GOAL and our new recommended allocations,PerformancesincelastGOAL*,NewRecommendation,3Month
29、sRec.,3MonthsHorizon,12MonthsHorizon,AssetClassCommodities,inlastGoalOW,Performance1.4%,AssetClassCommodities,Return*Weight11%OW,AssetClassEquities,Return*16%,WeightOW,Cash5yr.CorporateBondsEquities10yr.Gov.Bonds,NNNUW,0.00.70.51.8,Equities5yr.CorporateBondsCash10yr.Gov.Bonds,302,OWNUWUW,Commodities
30、5yr.CorporateBondsCash10yr.Gov.Bonds,704,OWNUWUW,*Returnforecastsassumefullcurrencyhedging*PerformancesincelastGOALassumingfullcurrencyhedgingSource:Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究,5.0,6,5,4.0,4,3,5,2012 年 12 月 1 日Our forecastsExhibit 2:Past performance and our main forecasts across
31、asset classes,全球,Returnin%overlast,Current,Forecasts,12m,3m,1m,Level,3m,6m,12m,Unit,Equities,S&P500($)StoxxEurope600()MSCIAsiaPacificExJapan($)Topix(),21.224.119.09.4,1.04.07.45.0,0.62.72.75.3,1416276450779,1450280460820,1500290480900,1575310520930,IndexIndexIndexIndex,10YearGovernmentBondYields,USG
32、ermanyUKJapan,6.110.27.44.5,1.10.80.21.1,1.20.90.40.6,1.611.371.760.72,1.901.602.000.70,2.001.702.100.80,2.201.902.251.00,%,5yearIGCredityields*,iBoxxUSDiBoxxEUR,12.115.9,2.32.8,0.10.9,135176,114184,107169,105158,BpBp,Commodities,WTIBrentNymexNat.GasCopperAluminiumGoldWheatSoybeansCorn,16.15.319.05.
33、53.10.230.934.235.1,9.00.411.44.28.23.93.017.44.9,2.32.17.22.58.61.12.45.32.9,881113.657900206417278861408752,111.00115.004.008000200018409501650825,106.00110.004.259000215019409501550825,99.50105.004.508000220019408001350650,$/bbl$/bbl$/mmBtu$/mt$/mt$/troyozCent/buCent/buCent/bu,FX,EUR/USDUSD/JPY,2
34、.95.4,3.34.2,0.42.8,1.3079,1.2580,1.3380,1.4080,*Weshowperformanceforcreditintotalreturnterms,butcurrentlevelandforecastsareforspreadsCurrent levels as at November 29,2012;Source:Goldman Sachs Global ECS Research.,Exhibit 3:US GDP growth vs.our CAI,Exhibit 4:Euro area GDP growth vs.our CAI,3.02.01.0
35、,QoQGDPGrowthForecasts(%Annualised)%Q412 Q113 Q213 Q313 Q413 Q114 Q214 Q314 Q4141.6 1.5 2.0 2.5 2.5 3.0 3.0 3.5 3.5Annualised QoQ GDP GrowthGS ForecastCAI,210-1,%Q4120.5,QoQGDPGrowthForecasts(%Annualised)Q113 Q213 Q313 Q413 Q114 Q214 Q314 Q4140.4 0.1 0.4 0.6 1.1 1.2 1.2 1.1Annualised QoQ GDP GrowthG
36、S ForecastCAI,0.0Mar-10,Mar-11,Mar-12,Mar-13,Mar-14,-2Mar-10,Mar-11,Mar-12,Mar-13,Mar-14,Source:Goldman Sachs Global ECS Research.,Source:Goldman Sachs Global ECS Research.,Exhibit 5:Our forecasts for global economic growth vs.consensus,%yoyUSAJapanEuro AreaUKChinaIndiaBrazilRussiaBRICsAdvancedEcono
37、miesWorld,20111.8-0.81.50.99.37.52.74.37.61.63.8,2012GS2.21.7-0.40.07.65.41.53.76.11.23.0,GS1.90.3-0.21.48.16.53.83.86.81.23.3,2013,Consensus*1.90.80.11.38.16.63.83.56.81.43.3,2014GS2.91.10.92.08.47.24.34.77.42.14.1,*Consensus Economics November 2012Source:Consensus Economics,Goldman Sachs Global EC
38、S Research estimates.高盛全球经济、商品和策略研究,6,2012 年 12 月 1 日,全球,Charts we are watchingOur US economists forecast that the fiscal effect from the fiscal cliff will be 1.4%of GDP.This assumes expiration of thepayroll tax cut,upper income tax cut and continued phase-down of jobless benefits,extension of low/m
39、iddle income taxcuts and delay of the sequester through 2013.The forecast assumes that bonus depreciation expiration,other taxextenders,and Medicare payment changes have little direct effect on activity.We forecast the fiscal drag will intensity in the US and stay roughly constant in Europe in 2013
40、and then moderate fromthere.We forecast continued very easy monetary policy for years.The US equity market has recovered much better from the financial crisis than other major equity markets.,Exhibit 6:Our assumptions about the fiscal cliff,Exhibit 7:An increase in fiscal drag,then relief,Policies S
41、cheduled to TakeEffect or Expire in 2013Payroll Tax CutEmergency Unemployment CompensationAffordable Care Act Personal Taxes2001/2003 Tax Cut(Upper Income),2013 CurrentLaw($bn,yoy)-126-40-24-56,2013 GSAssumption*-126-12-24-56,4.03.02.01.0,%GDP,Fiscal ImpulseUSEuro-4(Germany,France,Italy,Spain)Foreca
42、sts,2001/2003 Tax Cut(Low/Middle Income),-136,0,Alternative Minimum TaxAutomatic Spending Cuts(aka sequestration)Total Fiscal Effect,New Spending Cuts&Expiring PoliciesTotal Fiscal Effect(%of GDP),-103-78-563-3.5,0-15-233-1.4,0.0-1.0,-2.0,2008,2009,2010,2011,2012,2013,2014,2015,Source:US Congression
43、al Budget Office,US Office of Management andBudget,Goldman Sachs Global ECS Research estimatesExhibit 8:A long period of low rates still ahead,Source:IMF,Goldman Sachs Global ECS Research estimatesExhibit 9:The US market is much closer to its pre-crisispeak than the other marketsPrice return indexed
44、 at 100 at the pre-crisis peak in local currency(except Asia ex-Japan which is in US dollars),7,Policy rates(%),USA,110,Europe,US,6,Euro area,100,Japan,Asia,-9.5%,5,Japan,90,4,UK,80,-23.5%,70,321,Forecast,605040,-30.9%-56.5%,0,07,08,09,10,11,12,13,14,15,16,30,07,08,09,10,11,12,Source:Goldman Sachs G
45、lobal ECS Research estimates高盛全球经济、商品和策略研究,Source:Datastream,Goldman Sachs Global ECS Research,Eq,Eq,Eq,Co,Co,7,2012 年 12 月 1 日Key themes and recommendationsExhibit 10:Key themes and recommendations across asset classes,全球,L,/,S,Themes,Target Now Open Stop,Unit,ExposuretoEmergingmarketsgrowth,Eq/EqE
46、q/EqEq/EqEq/EqEq/Eq,EuropeancompanieswithhighsalesexposuretotheBRICsconsumer(GSSTBRCC)vs.StoxxEurope60050developedmarketcompanieswithhighsalestotheBRICs(GSSTDM50)vsMSCIBRIC50EmergingMarketcompanieswhicharewellpositionedtobenefitfromEMGrowth(GGSTEM50)vs.MSCIWorldUScompanieswiththehighestBRICssalesexp
47、osure(GSTHBRIC)vs.themostdomesticfacingfirms(GSTHAINT)CyclicalrecoveryUScompanieswiththehighest2013expectedsalesgrowth(GSTHREVG)(sectorneutral)vs.1.2*S&P500,Eq,/,Eq,USstockswithattractiveriskrewardifactivitynormalizes(GSTHCARR)vs.S&P500,Eq,/,Eq,WavefrontGDPGrowthbasket,88.0,80.1,80.2,76.6,Index,EqEq
48、,/,EqEq,Asiancompanieswhichmightbenefitfrombettergrowth(GSSZGWRE)vs.MXAPJAsianglobalcyclicals(GSSZMSGC)vs.Asiandefensives(GSSZMSDS),Highyieldstrategies,Eq/EqEq/EqEq/EqEq/Eq,Europeancompanieswithhighdividendyieldsandgrowth(GSSTHIDY)vs.StoxxEurope600SeekingstabilityinanuncertainenvironmentUSfirmswitht
49、hehighestcombinedearningsandpriceSharperatios(GSTHEPSR)vs.S&P500Europeanstablegrowers(GSSTGRTH)vs.StoxxEurope600CompaniesinAsiaexJapanwhichhaveconsistentlygrownssalesandearningshistorically(GSSZGWDE)vs.MXAPJTradesaroundtheEuroAreasituation,Fx/Fx,LongEUR/CAD,1.37,1.29,1.30,1.26,GB/GB,5yearSpanishvs.5
50、yearItaliangovernmentbonds,40,77,99,130,Bp,GB,Short5yrFrenchGovernmentbonds,1.50,0.74,0.96,0.70 Yield(%),Othertrades,Eq/EqEq/EqEq/Eq,Indiavs.MalaysiaAsiaexJapanTopDownStockPicks(GSSZTDSP)vs.MXAPJHSCEI11000/12000/13000appearingcallspreadsScreenofJapaneseexportcompaniesTheJapanesebanksectorEuropeancom
