《CHINA_A-SHARE_STRATEGY：CHINA_A-SHARE_MUTUAL_FUND_TREND_MONITOR_4Q12：_MORE_POSITIVE_IN_4Q;_REMAIN_OPTIMISTIC_ON_1Q13-2013-01-25.ppt》由会员分享，可在线阅读，更多相关《CHINA_A-SHARE_STRATEGY：CHINA_A-SHARE_MUTUAL_FUND_TREND_MONITOR_4Q12：_MORE_POSITIVE_IN_4Q;_REMAIN_OPTIMISTIC_ON_1Q13-2013-01-25.ppt（21页珍藏版）》请在三一办公上搜索。
1、,Jason Sun,(%),(%),87.0,4.0,3.0,82.0,2.0,72.0,-1.0,-2.0,January 24,2013China A-share StrategyChina A-share Mutual Fund Trend Monitor 4Q12:Morepositive in 4Q;remain optimistic on 1Q13Portfolio Strategy Research,Equity position rose meaningfully in 4Q12In 4Q12,equity holdings at equity-focused fundsro
2、se 2.7pp to 80.5%,the largest quarterly increasesince 3Q10.Holdings in those sectors closelycorrelated to economic fundamentals rose,including financials(still at the low-to-middle endof its historic weighting range),property andbuilding materials;holdings fell in the food andbeverage,IT,health care
3、,retail,mining and mediaand cultural service sectors.Equity holdings may edge up in 1Q2013China A-share mutual fund_Equity Position(%)PMI_New order(trend and cycle)changes(3-month leading,RHS),Retain positive stance for 1Q13The leading indicators(changes of PMI neworders trend and cycle)suggest equi
4、ty holdingsmay have some room to increase further in 1Q13.Sector-wise,the current weightings of theproperty/construction/health care sectors are closeto their highest levels vs.the historical range since2007,while the current weightings of the retail/mining/transportation sectors are close to theirl
5、owest levels since 2007.The weightings of themachinery/financials sectors remain reasonablevs.their historical ranges.Furthermore,webelieve the machinery and financials sectors maysee holdings increase in 1Q13.Mutual funds sawnet subscriptions In 4Q12,but largely from moneymarket funds while in this
6、 period most equity,Chenjie Liu+86(10)6627-3324 Beijing Gao Hua Securities Company Limited+86(10)6627-3187 Beijing Gao Hua Securities Company LimitedHelen Zhu+852-2978-0048 Goldman Sachs(Asia)L.L.C.Timothy Moe,CFA+852-2978-1328 Goldman Sachs(Asia)L.L.C.,77.0,1.0,funds likely missed the year-end surg
7、e.,67.0,0.0,Five most popular stocks in 4Q12Industrial Bank,SPDB,Minsheng Banking,Ben Bei+852-2978-1220 Goldman Sachs(Asia)L.L.C.,62.0,Jul-07,Jan-08,Jul-08,Jan-09,Jul-09,Jan-10,Jul-10,Jan-11,Jul-11,Jan-12,Jul-12,Jan-13,-3.0,China Merchants Bank and China Merchants,Source:Wind,Gao Hua Securities Rese
8、arch estimates,GS GlobalECS Research.,Property registered the largest increases in thenumber of equity-focused mutual funds holding,their stock in 4Q12.Goldman Sachs does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may h
9、ave 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 by non-USaffili
10、ates 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,January 24,2013,China,This is the A-share Mutual Fund Trend Monitor for 4Q2012.We launched the China A-share Mutual Fund Trend
11、 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 found in the fi
12、rst issue of this product(China A-share Mutual Fund TrendMonitor:Lower equity position,net fund outflow,June 16,2011).Mutual funds turned more positive in 4Q12;remain optimistic on 1Q13What happened in 4Q12:confirming our estimates from the 3Q12 Mutual Fund Trend MonitorEquity holdings increased sig
13、nificantly.In 4Q12,equities made up 80.5%of the holdings of active equity funds(namely,equity funds excluding indexed and ETF funds),up 2.7 pp from 3Q12s 77.8%the largest quarterly increase since 3Q10.Since1Q2009,equity holdings of actively managed funds have ranged between 73.7%and 86.2%,and averag
14、ed 81.0%.Holdings rose in the financials,property and building materials sectors;holdings fell in the food and beverage,IT,health care,retail,mining and media and cultural service sectors(see Exhibit 17).In 4Q,most mutual funds increased theirholdings in sectors with high macro sensitivity like fina
15、ncials,property,building materials and machinery.In particular,financials holdings increased 3.3 pptheir largest single-quarter increase since 2Q09to 14.6%(still below themarket average financials sector weighting,and at the low-to-medium end of the historic range).We believe:1)Economic fundamentals
16、 bottomed out in 4Q and began to recover,and a new group of leaders increased determinationtoward reform,which calmed market worries about the financials sector and drove a recovery in valuations;2)Overseas investor funds(QFII and RQFII)increased their investments in the A-share market,favoring larg
17、e-cap blue chipsectors like financials,which may have contributed slightly to outperformance in that sector.Sectors with high macro sensitivity like property,construction,machinery and building materials saw holdings increase1.5%/0.8%/1.5%/0.5%in 4Q12,in line with improving economic fundamentals(GDP
18、 growth rose to 7.9%in 4Q,up from 7.4%in3Q).By contrast,sectors with relatively low macro correlation like food and beverage,IT,health care,retail and media and culturalservice saw holdings decrease in 4Q.In particular,food and beverage holdings fell 3.6 ppthe largest drop since record-keeping began
19、 in 1Q03which was causedto some extent by an increase in concerns over quality in the baijiu industry,stronger anti-corruption measures from thecentral government,and requirements for improved working style by officials.Sector holdings vs.CSI 300 Index weightings/historical range.Compared with CSI 3
20、00 index weighting and in spite of the4Q12 shifts,the equity-focused mutual funds remain overweight the health care/property/food&beverage/electronics and ITsectors,and underweight the financials/oil&gas/smelting&processing/transportation/machinery sectors(see Exhibit 18).The current weightings of t
21、he construction/property/electronics/health care sectors are close to their highest levels vs.thehistorical range since 2007,while the current weightings of the retail/mining/transportation sectors are close to their lowestGoldman Sachs Global Economics,Commodities and Strategy Research,3,January 24
22、,2013,China,levels since 2007(see Exhibit 20).Furthermore,the weightings of the financials/machinery sectors remain reasonable vs.theirhistorical ranges.In particular,the property holdings(QoQ change+1.5%)rose to 9.5%vs.historical highest level 10.8%,whilefinancials/machinery sectors rose to 14.6%/1
23、3%,far from their historical highest level 27.6%/18.5%respectively.Mutual funds saw net subscriptions overall,but largely from money market funds.In 4Q12,net subscriptions in themutual fund industry totaled 86.4 bn units,with total subscriptions of 1170.5 bn units and total redemptions of 1084.1 bn
24、units.Net redemptions appeared in equity/mixed/bond/other funds,while money market funds saw net subscriptions of 163.5 bnunits,creating net subscriptions for the mutual fund industry as a whole.This shows that strong equity market performancehas not significantly increased the publics interest in p
25、articipating in equity funds(see Exhibits 8,9 and 10).Although the market environment improved in 4Q12,most equity funds underperformed the CSI 300 index.Returns forequity funds in 4Q12 ranged from-11.6%to 25.6%,with a mean of 4.8%and a median of 4.5%,while 4Q12 CSI 300 returnswere 10.0%(see Exhibit
26、 3).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 4Q12,the five stocks added by the most mutual funds
27、 were Industrial Bank,Shanghai Pudong Development Bank,Minsheng Banking,China Merchants Bank and China Merchants Property;this is in line with outperformance in the financialsand property sectors.Kweichow Moutai,Wuliangye Yibin,Kangmei Pharmaceutical,Ping An Insurance Group and JiangsuYanghe were th
28、e five stocks with the largest decrease in the number of equity-focused mutual funds holding the stocks,whichreflects the weakness of the food and beverage sector.What could happen in 1Q13?We believe equity holdings could increase further,but only to a limited extent.Equity-focused fund equity posit
29、ion movebasically in line with the CSI 300 index(see Exhibit 1),and both have begun to recover since the end of November.Our analysisshows that changes in PMI new orders(trend and cycle)lead equity fund holdings(monthly average)by approximately 3-4months.Given the most recent cyclical changes in PMI
30、 new orders(trend and cycle)(still improving but at slower pace,seeExhibit 2),we estimate that equity funds could increase equity holdings in 1Q13,but only to a limited extent.Sectors:We believe the machinery and financials sectors may see holdings further increase.1)holdings are currently at histor
31、ically low-to-medium levels;2)the financials sector is likely to benefit from economic recovery(our economists estimate increasing macro fundamentalsgrowth,with GDP growth estimated to reach 8.1%in 1Q13 vs.7.9%in 4Q12)and increased valuations due to higher confidencein economic and social reforms;3)
32、valuations in the machinery sector are relatively low,while recent sales data has begun to show improvement;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,
33、June 16,2011).Goldman Sachs Global Economics,Commodities and Strategy Research,210,(%),(%),4,January 24,2013,Exhibit 1:Estimates by WIND indicate that equity mutual fund positions have increased since early December,China,90,(%),230,85,China A-share mutual fund_Equity Position(%),CSI300(RHS),80,Inde
34、xed Apr 2,2007=100,190170,15075130,70,110,906570,60,50,2007-04-02,2007-11-12,2008-06-24,2009-02-06,2009-09-10,2010-04-27,2010-12-09,2011-7-19,2012-3-2,2012-10-15,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research.Exhibit 2:Leading indicator(changes of PMI new order(trend and cy
35、cle)indicated that equity mutual fund positions(monthlyaverage)may rise gradually in the next few months,but the range would be limited,China A-share mutual fund_Equity Position(%),PMI_New order(trend and cycle)changes(3-month leading,RHS),4.087.03.0,82.0,2.0,1.077.00.072.0-1.067.0-2.0,62.0,-3.0,Aug
36、-07,Feb-08,Aug-08,Feb-09,Aug-09,Feb-10,Aug-10,Feb-11,Aug-11,Feb-12,Aug-12,Feb-13,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,60,5,January 24,2013,Exhibit 3:Median return of equity-focused mutual funds in 4Q
37、2012 was 4.48%,underperforming CSI 300s 10.02%in 4QExcess return of equity focused mutual funds(Median)vs.CSI300,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
38、 Research.Goldman Sachs Global Economics,Commodities and Strategy Research,0.6-0.7,-23.9,3.6,0,-3.4,-3.8,-9.9,6,January 24,2013Exhibit 4:Mutual funds equity positions in 4Q12100%,ChinaExhibit 5:Total AUM increased to Rmb2.83 tn in 4Q12 from 2.47 tn in 3Q123,500,90%80%70%,3,0002,500,(Rmb bn),60%50%40
39、%30%20%,OthersCashWarrantFundBondEquity,2,0001,5001,000,OthersCashWarrantFundBondEquity,10%0%Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 6:Equity positions of equity-focused mutual funds*,5000Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research
40、Exhibit 7:Aggregate AUM of all equity-focused mutual funds investing indomestic markets,100%90%80%70%60%50%,10.177.8,9.480.5,CashOthersWarrant,2,5002,0001,500,(Rmb bn),AUM of equity focused mutual funds118.485.479.178.6 80.660.9,Change in AUM(RHS),(%),1401201008060,40%,Fund,30%20%,BondEquity,1,000,4
41、0.536.7,41.7,23.1,20.921.7,4020,10%0%,500,2.7,11.2,-3.0-4.1,8.6,-9.9,2.8,-12.4-16.2-22.3,13.8 13.6-5.9-5.2-13.7,0.4,-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
42、,Mar-09,Mar-10,Mar-11,Mar-12,-40,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchGoldman Sachs Global Economics,Commodities and Strategy Research,Source:Wind,Gao Hua Securities Research estimates,GS Global ECS Research,-39.4,-20.3,-39.4,11.8,-28.5,-90.1,-145.0,100,7,January 2
43、4,2013Exhibit 8:The whole mutual fund industry saw net subscription of 86.4 bnfund units in 4Q2012,ChinaExhibit 9:Total subscription was 1170.5 bn fund units while total redemptionwas 1084.1 bn fund units in 4Q2012 for all mutual funds,6,0005,000,521.8,Fund unit net purchases(RHS),CSI300 Index,(bn u
44、nits),600500,1,4001,200,(bn shares),521.8,Total new subscriptionTotal redemption,600500,400,Fund unit net purchases(RHS),400,4,000,319.9,300,1,000,319.9,300,3,0002,0001,000,-32.2-174.8,-2.4,97.6,171.2,9.8,206.811.8-55.2,23.1-111.3-111.0-129.1-145.0,-73.0-90.1,143.7-28.5-52.8-56.2,28.0,86.4-99.3,2001
45、000-100-200,800600400200,-32.2-174.8,-2.4,97.6,171.29.8,206.823.1-111.3-111.0-129.1-272.6,-20.3-73.0,-55.2-52.8-56.2,143.7,28.0,20086.40-100-99.3-200-300,0Mar-06,Mar-07,Mar-08,-272.6Mar-09,Mar-10,Mar-11,Mar-12,-300,0,06-03,07-03,08-03,09-03,10-03,11-03,12-03,-400,Source:Wind,Gao Hua Securities Resea
46、rch estimates,GS Global ECS ResearchExhibit 10:Net subscriptions by fund category in 4Q2012(equity,mixed,fixed income,money market and others),Source:Wind,Gao Hua Securities Research estimates,GS Global ECS ResearchExhibit 11:Fund size distribution:around 80%mutual funds have a size lowerthan Rmb3 b
47、n,600,OthersMixed Funds,Monetary market fundsEquity funds,Fixed income funds,600,(Units),Mutual fund distribution by size,4002000-200,(bn units),500400300200100,492,167 177,82,62,-400,28,22,20,15,13,6,24,3,1,0,-600,0.5,1,2,3,4,5,6,7,8,9,=30,06-03,07-03,08-03,09-03,10-03,11-03,12-03,(Rmb bn),Source:W
48、ind,Gao Hua Securities Research estimates,GS Global ECS ResearchGoldman 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,
49、1H2011,2H2011,1H2012,160,0,8,January 24,2013Exhibit 12:Mutual funds AUM by category,Exhibit 13:Distribution of equity focused mutual funds return in 4Q2012,China,3,5003,000,(Rmb,OthersFixed income mutual fundEquity mutual fund,Monetary market mutual fundMixed mutual fund,140,Distribution of return(e
50、quity focused mutual funds,September 30 2012 toDecember 31 2012)(Units)139,2,5002,0001,500,12010080,100,64601,00040,500,29,20,17,(%),0,0,1,0,5,8,2,0,1,Mar-03,Mar-04,Mar-05,Mar-06,Mar-07,Mar-08,Mar-09,Mar-10,Mar-11,Mar-12,-12,-8.9,-5.8,-2.7,0.4,3.5,6.6,-0.8,0.8,15.9,19,22.1,25.2,Source:Wind,Gao Hua S
