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1、,高盛国际,2012 年 11 月 9 日 欧洲,策略焦点,证券研究报告,解读微观/宏观数据的不一致 自下而上的盈利预测被下调与宏观指标改善相背离的情况日益受到市场关注。但其实这些差异并非异常现 象。我们建议投资者避免过度解读这些信号。随着夏季以来股市风险溢价下降，市场已经有所上涨，宏观 面的周期性复苏不太可能改变全球经济相对疲弱和欧洲经济增长停滞的趋势。我们建议避免采取明显的周 期性选股策略，并继续关注基于收益和增长的题材投资。,这些差异并非异常现象 近几周微观面自下而上的企业盈利较为疲弱、盈利预测被下调。但同时，多项全 球宏观经济领先指标却开始改善。这些差异并非异常现象。自下而上的市场共识
2、 预测往往滞后于宏观面领先指标，尤其是走势处于拐点之时。 经济增长正在好转，但可能继续疲软 但一些重要因素可能会干扰对当前背离现象的解读。第一，由于起始点非常高， 盈利预测下调周期的规模可能被夸大了。第二，虽然宏观数据正在改善，但未来 经济增速可能仍会低于趋势水平我们的分析表明经济活动的方向和强度对回 报率表现而言都至关重要。第三，由于股市风险溢价下降，市场在宏观数据复苏 之前已有变动。这一因素对板块表现的推动作用大于经济增长预期的影响。第 四，通常受益于宏观数据反弹的许多周期性板块的利润率目前正处于峰值水平 （而过去它们通常应接近谷底水平），而且它们面临的结构性不利因素更为强劲 （如增长趋软
3、以及大宗商品相关资本开支增长放缓），这就弱化了大宗商品相关 板块和部分周期性工业板块增长走强的信号。 避免明显的周期性选股策略并重点关注收益率和增长 总之，我们认为宏观数据好转所产生的影响将超过自下而上盈利数据的不佳表 现。然而，在当前货币政策非常宽松以及经济增速低于趋势水平的情况下，更应 采纳偏重主题而非板块风格的选股策略。我们依然认为低收益率和增长疲软可能,彼得欧品海默 +44(20)7552-5782 Sharon Bell, CFA +44(20)7552-1341 高盛国际 Gerald Moser +44(20)7774-5725 高盛国际 Christian Mueller-Gl
4、issmann, CFA +44(20)7774-1714 christian.mueller- 高盛国际 Anders Nielsen +44(20)7552-3000 高盛国际 Matthieu Walterspiler +44(20)7552-3403 高盛国际,依然是主要推动因素。稳定增长的公司组合 (GSSTGRTH) 以及那些高收益率和 财务实力强劲的公司组合 (GSSTHIDY) 仍应表现良好。 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
5、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,高盛全球经济、商品和策略研究,2,2012 年 11 月 9 日,欧洲,The micro/macro gap In recent days, there has been a great deal of focus on the growing gap between micro and macro indicators. Last week, for example, our Goldman Sachs Analyst Index in the US fel
6、l sharply to 32.9 in October from 44.1 in September. This is the lowest level since the end of the 2008-09 recession, and the underlying components fell broadly as well. The sharp deterioration in the headline and underlying components seems consistent with the predominantly negative sentiment from
7、a relatively weak 3Q earnings season, although in both the US and Europe, the misses have been bigger on the revenue side than on earnings. While our GSAI does not cover Europe, the European earnings season has also been weak overall. So far, 36% of companies reporting have beaten EPS estimates by m
8、ore than 5% (below the average over the past 12 quarters of 43%) and 36% have missed estimates by more than 5% (compared with 37% historically). On an absolute basis, 46% of companies have beaten estimates while 54% have missed. The average equal-weighted EPS surprise has been -1.4%. Results are bet
9、ter on a cap-weighted basis, with only 21% of the reporting market capitalization missing estimates by more than 5% and 41% beating by more than 5%. But generally sales have been weak (30% of companies reporting have beaten estimates by more than 2% and 29% have missed estimates by more than 2%). Th
10、e average sales surprise has been -0.3% and guidance has been lowered for a number of companies. While this micro data has been generally weak, it comes at a time when top-down indicators are improving. In particular, the GLI, Goldman Sachs leading indicator for October, has moved tentatively into t
11、he expansion phase consistent with growth and moderately improving momentum. Last week saw some positive data in China (with the better than expected October PMI), as well as strong Korean exports. Meanwhile, a positive week on the US data front continues the more recent trend, with better than expe
12、cted ISM, Conference Board consumer confidence, consumer spending, and jobs data for October (and positive revisions for August and September). The Senior Loan Officer survey also pointed to a net easing in lending standards, with levels suggesting upside risk in US consumer spending. Of course, we
13、should not overstate the breadth and strength of this recovery; much of it is being driven by the US, while the European data has weakened in recent weeks. Indeed, consensus analyst earnings expectations have been stronger than might have been predicted looking at the domestic European macro indicat
14、ors alone (Exhibit 1). Exhibit 1: Earnings estimates and PMI,65 60 55 50 45,20 10 0 -10 -20,40 35 30,Euro manufacturing PMI 6m change in earnings estimates (RHS),-30 -40 -50,92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 Source: Haver Analytics, Datastream, Goldman Sachs Global ECS R
15、esearch 高盛全球经济、商品和策略研究,3,2012 年 11 月 9 日,欧洲 Furthermore, the market rise in Europe has also been stronger than the domestic data has pointed to. Both the earnings data and the equity market have benefited from the exposure of many European companies to the improving international backdrop, as well a
16、s the lowering of the European equity risk premium since the summer of this year. Exhibit 2: European equities and PMI The market has responded to better global data and a lower ERP,80 60 40,STOXX %12m change Euro area Manufacturing PMI (RHS),65 60 55,20 50 0,-20 -40 -60,45 40 35,97,98,99,00,01,02,0
17、3,04,05,06,07,08,09,10,11,12,Source: Haver Analytics, Datastream, Goldman Sachs Global ECS Research. Nonetheless, a recovery in the global industrial cycle would normally be positive for risky assets; Europe, which is a relatively high beta market, should benefit commensurately despite ongoing domes
18、tic economic stagnation. However, the increase in earnings misses and weaker outlook guidance seems at odds with the momentum of the global macro data, despite the weak domestic picture and we have had a number of questions on how we should interpret these conflicting signals. The first observation
19、we would make is that mismatches between analyst earnings expectations and top-down leading indicators are not unusual. Exhibit 3 shows the relationship between the GLI and consensus analyst revisions over time (this is not the expected growth rate but rather the ratio of upgrades versus downgrades)
20、. While there is a reasonable relationship between the two, the GLI has tended to lead analysts earnings sentiment at major turning points. The rapid recovery in the GLI, for example, came at a time when earnings revisions continued to weaken in 2008, when a similar lag occurred. 高盛全球经济、商品和策略研究,4,20
21、12 年 11 月 9 日,欧洲 Exhibit 3: Ratio of earnings upgrades to downgrades and the GLI .the GLI often leads; earnings sentiment is the number of upgrades minus the number of downgrades vs. the total number of estimates.,50%,Europe Earnings Sentiment,GLI Momentum (RHS),2.0%,1.5% 30% 1.0%,10%,0.5%,0.0% -10%
22、 -0.5%,-30%,-1.0%,-1.5% -50% -2.0%,-70%,-2.5%,04,05,06,07,08,09,10,11,12,Source: I/B/E/S consensus, FactSet, Goldman Sachs Global ECS Research. Part of the reason for this is that consensus analyst expectations tend to move quite a lot through the year and this can be seen particularly clearly over
23、the last few years. Exhibit 4 illustrates this point, with each line showing the growth rates that consensus expects in European earnings for each year and how they progress over time. The slopes are particularly steep in years heading into downturns (such as 2001, 2002, 2003 and 2008), but are also
24、 steep in the upward direction going into recoveries (such as 2005, 2006 and 2007), as shown in Exhibit 4. Exhibit 4: Earnings revisions ski slopes Big revisions are the norm,60 40,EPS (% change),20 0 -20,2008 2009,2012 2011,2013,2010 -40 -60 -80 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05
25、 06 07 08 09 10 11 12 Source: Datastream, Goldman Sachs Global ECS Research. Given that the global economy slowed around the spring of this year, reflecting weakness in Europe but also a sharp deceleration in the US and China, it is not surprising that expectations have weakened over the past two qu
26、arters. But are there other explanations of why there should be such a clear mismatch? 高盛全球经济、商品和策略研究,5,2012 年 11 月 9 日,欧洲,Interpreting the gap between top down and bottom up While the European economic stagnation and the risk rally since the summer explain both the weakness in micro data and the mo
27、derate pace of the market rally more recently, there are some other factors that we should consider. 1. The optimistic starting point One factor that should be emphasized is that the bottom-up consensus earnings data has been slow to reflect the much weaker macro data in 2Q and 3Q. Remember that at
28、the start of this year, the bottom-up consensus for European earnings was around 12% growth. At the time, our top- down model was pointing to a decline of around 10%. Over the course of the year, we have raised our top-down forecasts moderately to -5%, but the bottom-up consensus has now fallen to -
29、3% for 2012, with much of the adjustment happening only recently. Exhibit 5: European consensus earnings revisions for 2012 and 2013,3% -2% -7% -12% -17% -22%,2012,2013,Feb-11,Jun-11,Oct-11,Feb-12,Jun-12,Oct-12,Source: I/B/E/S consensus, Goldman Sachs Global ECS Research. 2. The pace of recovery mat
30、ters As the major savings and investment imbalances around the world gradually unwind, the macro cycles appear to be increasingly short in duration, and the magnitude of the recoveries more muted. In effect, we are seeing small cycles within what remains a generally sub-par period of economic growth
31、. This is clearly the case for Europe, where we have already seen the best part of five years of stagnation and where the aggregate prospects remain fairly bleak. But it is true to a large extent of other major regions too. US activity, while clearly pointing upwards, remains well below trend levels
32、 (our economists expect GDP growth of 1.8% in 2013). Meanwhile, the impact of weaker growth in the US and Europe is taking its toll on many growth markets. China, in particular, is readjusting to a lower band of growth driven by a gradual shift away from high- volume export growth towards more of a
33、domestic demand-driven model. On balance, this means that while growth is accelerating, the pace of any recovery is likely to be more muted. This is important for two reasons: First, the strength of markets seems to vary both according to where we are in the cycle and how strong the cycle is. As Exh
34、ibit 6 shows, using data for the Stoxx 600, the wider the cycle, the bigger the returns on average during the recovery and expansion phase. The 高盛全球经济、商品和策略研究,GLIAcceleration(%),Jul-10,6,2012 年 11 月 9 日,欧洲 band indicates the expected returns based on a model explained in the Appendix. For example, t
35、he 2010 recovery was stronger than we have seen to date, and the returns were commensurately stronger too. Exhibit 6: This cycle has been more moderate than the previous one,0.3,Recovery,Expansion,Expected Nominal Monthly Return:,0.2,Oct-11,Nov-11 Aug-10,Sep-10,Oct-10,3 %,0.1 0 -0.1,Jun-12 May-12,Au
36、g-12 Jul-12 Sep-12 Oct-12 Jun-10 Feb-12,Dec-11 Jan-12,Nov-10 Dec-10,2 to 3 % 1 to 2% 0 to 1% -1 to 0%,Apr-12 Contraction,May-10 Apr-10 Mar-21,Jan-11 Slowdown,-1%,-0.2,-0.3,-0.2,-0.1,0,0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,GLI Growth (mom, %) Source: Goldman Sachs Global ECS Research. The strength of the c
37、ycle and the impact on returns can also be seen over time in Exhibit 7. Stronger cycles, particularly in the 1990s and 2000s, were associated with stronger returns, whereas the muted and shorter cycles since 2009 have seen more moderate returns. Exhibit 7: The stronger the cycle, the bigger the retu
38、rn Recent cycles have been short and shallow,2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0% -1.5% -2.0% -2.5% -3.0%,GLI Growth (mom),Expansion (30%) Slowdown (44%) Contraction (15%) Recovery (10%) GLI (mom growth),2010 Cycle,97,98,99,00,01,02,03,04,05,06,07,08,09,10,11,12,Source: Goldman Sachs Global ECS Rese
39、arch. Of course, the current cycle could turn out to be strong, but we generally expect growth in most economies to remain well below trend. As a result, the signal in terms of aggregate returns and sector rotation may be weaker than we have seen in some past cycles. 高盛全球经济、商品和策略研究,50,7,2012 年 11 月
40、9 日,欧洲 Second, this has important implications for relative thematic and sector performances. Growth remains relatively scarce and sustainable growth winners are likely to remain in strong demand (we continue to favour our stable growers basket made up of stocks with high growth and low volatility o
41、f growth relative to their sectors, GSSTGRTH). This is probably clearer at the thematic level than the sector level. We favour companies that benefit from structurally stronger growth irrespective of whether they are to be found in highly operational lead sectors (such as autos) or in more stable se
42、ctors (such as luxury goods). We would also continue to avoid companies that are purely domestic in European exposure. 3. The market has moved ahead of macro data as ERP has fallen As discussed earlier, the decline in the ERP since July has been an important driver of the market and sectors. Unlike
43、many other periods when the GLI might be pointing to a recovery, the market has already made strong progress through this year at a time when leading indicators have been turning down. This was a point that we demonstrated in Strategy Matters: The shallow cycle is not driving returns: So far its all
44、 about risk, October 12, 2012. European equities tend to post flat returns in the recovery phase, but do well in the expansion period. In the current cycle, the market performance has been more extreme than was the case in the historical examples. This is true both for the recovery phase, in which t
45、he market has performed very well, and for the contraction phase, during which the market performed worse than in the past. Exhibit 8: The GLI and the market; this cycle has enjoyed better returns during the recovery as a lower ERP drove prices higher 50 40 30 20 10 0 10 20,30,Current cycle,40 Media
46、nperformance (databack to1986) 60,Slowdown,Contraction,Recovery,Expansion,Source: Datastream, Goldman Sachs Global ECS Research. It appears that a change in the equity risk premium and the pricing of tail risks have been the main drivers behind the equity markets performance over the past 12-18 mont
47、hs. This has been true at the sector level too. Exhibit 9 shows how the sectors with the highest positive correlation with the ERP (on the x axis) have tended to underperform on a relative basis since the June 高盛全球经济、商品和策略研究,Media,Retail,Travel y-axis: Sectors relative performance since the trough i
48、n the market (June 4),15 12 9,Banks,Insurance,6 Financialsvs Chemicals Technology RealEstate Industrial Autos Construc finding strong balance sheet companies that can maintain dividends, and premium, low volatility growth companies that have a relatively low valuation premium, as a result of the hig
49、her than average equity risk premium. 高盛全球经济、商品和策略研究,11,2012 年 11 月 9 日,欧洲,Appendix: The pace of recovery matters The GLI moved into recovery territory in June this year and the October reading is in expansion. However, recovering momentum remains weak and it is likely that this expansion period wil
50、l be weaker relative to past expansions. Here we show that the expected return on the STOXX Europe 600 Index depends not only on whether the global cycle is in an expansion phase or not but also on the magnitude of the expansion. The return on an asset can quite generally be written as: rt+1 = Ert+1