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1、,235,215,195,150,130,110,2012 年 2 月 24 日欧洲,策略焦点,证券研究报告,分析油价对股市的影响最近几周大宗商品价格（特别是油价）上涨，但我们认为这对于股市的影响应比较有限。在周期当前阶段，大宗商品价格和股价通常呈正相关性。虽然大宗商品消耗行业可能会受到不利影响，但对大宗商品生产企业的积极影响应会弥补这一点。在本报告中，我们列出了通过股市来对冲油价上涨的三种途径：(1)合并我们的几个子行业股票组合；(2)我们的能源价格敏感型股票组合(GSSTENGY)；(3)国家股指。大宗商品价格上涨：是否会阻碍股市表现？,大宗商品价格和股价表现通常呈正相关性。我们认为，油价
2、上涨可能会影响股市中部分板块的表现，但整体市场应不受影响。虽然我们预计 2012 年企业利润率将会下降，但认为这可能主要来源于经济增长走软。对冲油价上涨的三种途径我们列出了通过股市受益于或对冲油价上涨的三种途径：(1)合并我们的几个子行业股票组合；(2)我们的能源价格敏感型股票组合(GSSTENGY)；(3)国家股指：买入 OBX 和 RDXUSD，卖空 OMX 和 DAX 指数。我们调整了 GSSTENGY 组合由于预计油价上涨，我们自 2012 年 1 月 9 日开始推荐买入 GSSTENGY 组合。虽然其表现落后于最近的油价上涨，但我们维持推荐，不过做出了一些调整：除了分析师认为对油价敏
3、感的股票之外，我们还纳入了回归分析显示对油价变动敏,Sharon Bell,CFA+44(20)7552-1341 高盛国际Gerald Moser+44(20)7774-5725 高盛国际Matthieu Walterspiler+44(20)7552-3403 高盛国际彼得欧品海默+44(20)7552-5782 高盛国际,感的那些股票。GSSTENGY 组合（新成份股的回溯测试表现）New GSSTENGY rel.performanceBrent 1-mth forward(RHS)17515513511595,90705030,Christian Mueller-Glissmann,
4、CFA+44(20)7774-1714 christian.mueller-高盛国际Anders Nielsen+44(20)7552-3000 高盛国际,2007,2008,2009,2010,2011,2012,资料来源：Datastream、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 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,2,2012 年
5、 2 月 24 日,欧洲,Could rising commodities come back to bite?Commodity prices are above the peaks of last year,and oil prices in particular because of bothrising demand and concerns around Iran have moved up sharply in recent weeks.Indeed,therise in oil prices has slightly outpaced the rise in equities y
6、ear-to-date,despite the fall inthe risk premium and the progress made on Greece.Our Commodities team discussed the recent rise and the potential for further gains in CommodityWatch:From value to fundamentals(February 22,2012).They have lowered their 12m returnforecast given the recent sharp moves,bu
7、t still expect 12%returns.In particular,they focus onthe strong fundamental drivers for oil prices,arguing that:“Although oil prices have recentlybroken out to the upside of a prior tight and stable range,we believe that upside price risks arerising as the market finds itself in the unprecedented si
8、tuation in which OPEC spare capacity is ata trough just as a world economic recovery is gaining momentum.”Exhibit 1:The moves in European equities are dwarfed by the rally in commodity prices inthe last 2 years(S&P GSCI Commodity)180,1701601501401301201101009080,Brent Oil EURS&P GSCI Commodityprices
9、STOXX Europe,Jan-10,Apr-10,Jul-10,Oct-10,Jan-11,Apr-11,Jul-11,Oct-11,Jan-12,Source:Datastream.Does this leave equities looking vulnerable given the additional costs and potential for marginpressure implied by higher commodity prices?We typically find that equities and commodities risetogether,as bor
10、ne out by recent performance.The rolling correlation between commodity pricesand equities is shown in Exhibit 2.The current correlation is+40%,based on the last six monthsof weekly returns,and is slightly on the higher side of average.There are times when the correlation turns negative,but these are
11、 generally later in the cycle,asin late 2007/early 2008,when we see equities responding to the slowdown in growth momentumbut commodity prices are still rising as the level of demand relative to supply remains high.高盛全球经济、商品和策略研究,0.8,1,3,2012 年 2 月 24 日,Exhibit 2:Correlation of commodity prices&Euro
12、pean equities is generally positiveS&P GSCI Commodity index vs.STOXX Europe(weekly changes,rolling 6mcorrel.)Average0.60.40.20-0.2-0.4-0.6,欧洲,95,96,97,98,99,00,01,02,03,04,05,06,07,08,09,10,11,12,Source:Datastream,Goldman Sachs Global ECS Research.In addition,the proportion of commodity-related comp
13、anies in the equity market has been rising inrecent years.Taking oil and basic resources only(and arguably there are more as some othersectors,such as chemicals,are commodity-related)the proportion of market cap that directlybenefits as oil or metals prices rise is around 16%.That said,parts of the
14、market are likely to be adversely affected.We would expect commodity-consuming sectors to perform relatively poorly as commodity prices rise.Their margins could besqueezed and demand for their products is likely to fall as consumers experience weaker realincome growth owing to commodity inflation.In
15、 Exhibit 3,we show the sectors most highlypositively correlated in terms of relative performance with commodities,and those mostnegatively correlated with moves in commodity prices,again on a relative basis.Exhibit 3:Sensitivity of sub-sector relative performance to changes in commodity pricesMost&l
16、east correlated sectors with Comm.prices vs.CPI(1990,year on year change in rel price perf.),High positive correlationAlternative EnergyEquity Investment InsElectronic&Electrical Equip.MiningLeisure GoodsOil/Eq Svs/DstTech hardware&equip.Financial ServicesMediaIndustrial Metals&Mines,Correl.0.590.54
17、0.540.500.430.430.390.350.350.34,High negative correlationFood&Drug RetailersGeneral RetailersFood ProducersPharma&Bio-techElectricityBeveragesGas/Water/Multi UtilityTobaccoPersonal GoodsAuto&Parts,Correl.-0.48-0.46-0.39-0.38-0.37-0.30-0.26-0.26-0.20-0.18,Source:Datastream,Goldman Sachs Global ECS R
18、esearch.高盛全球经济、商品和策略研究,4,2012 年 2 月 24 日,欧洲The results are largely intuitive;the sectors that benefit as commodity prices rise are eitherspecifically commodity-related sectors,or are cyclicals that benefit from strong global growth(which tends to be the case when commodity prices are rising).The one
19、s that are negativelycorrelated are predominately consumer cyclicals,which would typically suffer as margins aresqueezed.The top five sectors on the left(the winners as commodity prices rise)are up 21%sincecommodities troughed on October 4,2011,whereas the top five on the right(the relative losers)a
20、re up only 9%.The same table for oil price sensitivity is shown below and the results are similar the sectors negatively affected tend to be defensives and/or consumer-related.Exhibit 4:Sensitivity of sub-sector relative performance to changes in Oil prices(Brent)Most&least correlated sectors with O
21、il vs.CPI(1990,monthly change in rel price perf.),High positive correlationAlternative EnergyElectronic&Electrical Equip.Equity Investment InsMiningTech hardware&equip.MediaLeisure GoodsOil&Gas ProducersIndustrial Metals&MinesGeneral Industrials,Correl.0.630.610.560.550.520.470.400.330.320.29,High n
22、egative correlationFood ProducersElectricityPharma&Bio-techGeneral RetailersFood&Drug RetailersTobaccoAuto&PartsBeveragesGas/Water/Multi UtilityH/hold Gds&Home Construction,Correl.-0.39-0.38-0.35-0.33-0.28-0.26-0.25-0.24-0.21-0.18,Source:Datastream,Goldman Sachs Global ECS Research.Margins:Weak grow
23、th,high commodity costs but wages remainmutedCorporate profit margins are still relatively high although for the majority of sectors they are stillbelow peak and investors worry that higher commodity costs will erode margins through thisyear.We believe this is a valid concern especially given that e
24、conomic growth in Europe is likelyto be weak.But there are other offsetting factors.High unemployment in most of Europe(Germany being thenotable exception)should keep downward pressure on wage growth.Also we find that historically,provided global growth has been strong and it typically is as commodi
25、ty prices rise the gainsto revenues and the operating gearing of high global growth more than counterbalance the impactof higher commodity costs on margins.Margins are sensitive to growth,commodity prices and wage costs.In Exhibit 5 we show thecorrelation between each factor and operating profit mar
26、gins.Global growth and labour costs arethe most highly correlated factors and these should both be supportive.高盛全球经济、商品和策略研究,5,2012 年 2 月 24 日,Exhibit 5:Correlation between changes in operating profit margins and various factorsAnnual data to 198960%,欧洲,40%,47%,44%,20%,17%,15%,3%0%,-20%-40%-60%,-8%,
27、-52%,World GDP Inds.Metals,Comm,Energy,PPI vs.CPI,Agri.,Labourcosts,Source:Datastream,Haver,Goldman Sachs Global ECS Research.Indeed margins usually rise as commodity prices rise;this might seem counterintuitive,but it isbecause rising commodity prices are normally associated with reasonable economi
28、c growth.Exhibit 6 shows the years in which commodity prices have risen sharply,the growth environmentat the time and the change in companies operating margins versus the previous year.Exhibit 6:Commodity prices,GDP growth and marginsYears when commodity prices rose sharply(on average vs.the previou
29、s year),All figures percentage other than change in margins,Year1989199620002004200520062008201020112012,Commodityprices20.416.761.414.729.118.622.634.021.5c.15-20,World GDPgrowth3.83.74.74.64.45.02.55.13.83.4,Euro area GDP growth4.11.53.92.01.83.40.31.81.6-0.4,Europe:Change in EBITmargin(bp)9915631
30、9218157-506248-3?,Labour cost growth-1.51.20.91.10.63.8-0.70.8?,Source:Datastream,Haver,Goldman Sachs Global ECS Research.2008 was an especially poor year for margins;global growth was weak,commodity priceswere high and unit labour costs grew by almost 4%.It was a“perfect storm”for marginsand they f
31、ell by 500 bp.Contrast this with 2010 when,again,commodity prices rose sharply but this time global andEuropean growth were strong and labour costs were falling,margins rose by 250 bp.2011 probably provides the best template for what might happen this year,and it is neithervery good nor very bad for
32、 margins.Labour costs are unlikely to rise much outside高盛全球经济、商品和策略研究,6,2012 年 2 月 24 日,欧洲Germany given the high rates of unemployment but Euro area growth is likely to be weakerthan 2011 on our forecasts.Exhibit 7 shows unit labour costs and the flattening out in the lastfew years as the peripheral
33、 economies in Europe start to regain competitiveness globally.Largely as a result of the weaker Euro area growth that we forecast,we expect margins to fallmodestly in 2012 from 7.6%net income margin to 7.1%for the market ex-financials.Exhibit 7:Wage growth is likely to remain muted1991=100155,145135
34、12511510595,Unit Labour costs,Q11991,Q11993,Q11995,Q11997,Q11999,Q12001,Q12003,Q12005,Q12007,Q12009,Q12011,Source:Haver.Three ways to gain exposure or hedge high oil pricesThere are several ways to gain exposure to or hedge rising oil prices via a basket of energy-related stocks,sub-sector baskets o
35、r country indices.We describe these alternatives below.Inparticular,we recommend our sub-sector basket pairs(which have tracked oil prices well)and ourEnergy exposure basket(GSSTENGY).We find the country approach works less well andinvolves a number of non-oil-related risks,which are difficult to fa
36、ctor out.1.Sub-sector basketsOur sub-sector baskets offer a way to hedge rising oil prices.On an equally weighted basis,along in oil services(GSSBOILS),oil E&P(GSSBOILE),oil integrated(GSSBOILI)andrenewables(GSSBRNEW)against a short in general retail(GSSBGERE),food retail(GSSBFORE),transportation ai
37、rlines(GSSBTRAA),building materials(GSSBBUIL)andtransportation road&rail(GSSBTRAR)trade closely with the oil price.Using the sub-sectorreduces the idiosyncratic risk as all our sub-sector baskets are equally weighted.There is a liquidity constraint with the renewable and the oil E&P sub-sector baske
38、ts.In Exhibit 8,we show the performance of our sub-sector baskets combination both with and without E&P andrenewables.高盛全球经济、商品和策略研究,7,2012 年 2 月 24 日,Exhibit 8:Our sub-sector baskets can be used to hedge oil prices movesThe sub-sector baskets are equally-weighted,欧洲,200180160,Sub-Sector StrategySub
39、sector strategy without E&P andRenewablesBrent Nearby Future(RHS),160140120,10014080,12010080,604020,Jan-07,Jan-08,Jan-09,Jan-10,Jan-11,Jan-12,Source:Bloomberg,Datastream,Goldman Sachs Global ECS Research.In the table below,we summarize our sub-sector mix to gain exposure to the oil price.Exhibit 9:
40、Sub-sector strategy composition(Bloomberg tickers in brackets)Composition of our hedging sub-sector strategy,LongOilServices(GSSBOILS)IntergratedOil&Gas(GSSBOILI)OilExploration&Production(GSSBOILE)Renewables(GSSBRNEW),ShortGeneralRetail(GSSBGERE)FoodRetail(GSSBFORE)TransportationAirlines(GSSBTRAA)Tr
41、ansportationRoad&Rail(GSSBTRAR),Buildingmaterials(GSSBBUIL)Source:Goldman Sachs Global ECS Research.2.Our energy sensitive basket(Bloomberg ticker:GSSTENGY)We have been recommending a long in our Energy basket(GSSTENGY)since the beginning ofthe year.The basket was relatively narrow in terms of the n
42、umber of companies;hence,we arerebalancing and expanding the basket.We combine the input from our analysts on companiesthat benefit the most from rising oil prices with a regression analysis to identify which companiesare the more impacted by oil prices moves.More precisely,we run a regression on we
43、eklyreturns in each stock in the Stoxx 600 against weekly returns in oil prices,metal prices andmarket return.We then select companies that are the most sensitive to oil.As a result,we expandthe basket from 21 constituents to 42.The basket remains skewed towards the oil&gas sector,as one would expec
44、t,but we also find other sectors such as utilities,industrial goods&servicesor basic resources.This basket tracks well the move in oil prices as can be seen from Exhibit 10.高盛全球经济、商品和策略研究,150,8,2012 年 2 月 24 日,Exhibit 10:Performance of the new GSSTENGYBacktested performance with current constituents
45、New GSSTENGY rel.performance,欧洲,235,Brent 1-mth forward(RHS),130215,19517515513511595,11090705030,2007,2008,2009,2010,2011,2012,Source:Datastream,Goldman Sachs Global ECS Research.Although oil&gas makes up almost 50%of the basket,the oil&gas companies included inGSSTENGY represent only 30%of the oil
46、&gas sector.The basket follows more closely the oilprice than a straight long position in SXEP.In Exhibit 12,we show the weekly rolling correlationbetween the one-month forward Brent and both SXEP and our new GSSTENGY.The backtestedperformance of our revamped GSSTENGY basket has consistently exhibit
47、ed a higher correlationwith the oil price than the oil&gas sector has.The constituents and valuations are shown in Exhibit 13.We recommend this basket as a longversus the market given our view that over the medium term oil prices will continue to rise.Alternatively this basket can be used to hedge o
48、il exposure.,Exhibit 11:New GSSTENGY sector weights,Exhibit 12:GSSTENGY is a better proxy for oil price thanSXEP6-month weekly rolling correlation,Construction,100%,Correlation between SXEP rel.perf and 1-mth fwd brent,Chemical,5%,2%,80%,Correlation between GSSTENGY rel.perf.and 1-mth fwd brent,Util
49、ities,12%60%,Basicresources,Oil&gas,48%,40%,14%20%,Industrials,0%,19%-20%,2007,2008,2009,2010,2011,Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,Source:Datastream,Goldman Sachs Global ECS Research.,9,2012 年 2 月 24 日Exhibit 13:GSSTENGY constituents,欧洲,Companyname,Basketweight,Marketcapitali
50、zation(EURbn),P/E2012E,EPSgrowth2012E,BasicResources,14.3%,ErametRandgoldResourcesRioTintoVedantaResourcesKazakhmysTenaris,2.4%2.4%2.4%2.4%2.4%2.4%,3.27.961.54.87.218.5,14.417.37.38.06.114.5,13.160.42.246.71.926.5,Chemicals,2.4%,YaraInternational,2.4%,10.5,9.0,13.7,Construction&Materials,4.8%,Tecnic
