策略焦点解读微观宏观数据的不一致1112

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预测往往滞后于宏观面领先指

2、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（如增长趋软以及大宗商品相关资本开支增长放缓），这就弱化了

3、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-glissmann, cfa+44(20)7774-1714 chris

4、tian.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 f

5、inra 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22012 年 11 月 9 日欧洲the micro/macro gapin recent days, there has been a great deal of focus on the growing gap betweenmicro and macro indicators. last week, for example, our goldman sachs analyst index in theus fell sharply to 32.9 in october from 44.1 in september.

6、this is the lowest level since the endof the 2008-09 recession, and the underlying components fell broadly as well. the sharpdeterioration in the headline and underlying components seems consistent with the predominantlynegative sentiment from a relatively weak 3q earnings season, although in both t

7、he us andeurope, 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 weakoverall. so far, 36% of companies reporting have beaten eps estimates by more than 5% (belowthe average over the past 12 quarters of

8、43%) and 36% have missed estimates by more than 5%(compared with 37% historically). on an absolute basis, 46% of companies have beatenestimates while 54% have missed. the average equal-weighted eps surprise has been -1.4%.results are better on a cap-weighted basis, with only 21% of the reporting mar

9、ket capitalizationmissing estimates by more than 5% and 41% beating by more than 5%. but generally sales havebeen weak (30% of companies reporting have beaten estimates by more than 2% and 29% havemissed estimates by more than 2%). the average sales surprise has been -0.3% and guidancehas been lower

10、ed for a number of companies.while this micro data has been generally weak, it comes at a time when top-down indicators areimproving. in particular, the gli, goldman sachs leading indicator for october, has movedtentatively into the expansion phase consistent with growth and moderately improvingmome

11、ntum. last week saw some positive data in china (with the better than expected octoberpmi), as well as strong korean exports. meanwhile, a positive week on the us data front continuesthe more recent trend, with better than expected ism, conference board consumer confidence,consumer spending, and job

12、s 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 levelssuggesting upside risk in us consumer spending. of course, we should not overstate the breadthand strength of this recovery; much of it is

13、 being driven by the us, while the european data hasweakened in recent weeks. indeed, consensus analyst earnings expectations have been strongerthan might have been predicted looking at the domestic european macro indicators alone (exhibit 1).exhibit 1: earnings estimates and pmi656055504520100-10-2

14、0403530euro manufacturing pmi6m change in earningsestimates (rhs)-30-40-5092 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12source: haver analytics, datastream, goldman sachs global ecs research高盛全球经济、商品和策略研究32012 年 11 月 9 日欧洲furthermore, the market rise in europe has also been stronger

15、than the domestic data haspointed to. both the earnings data and the equity market have benefited from the exposure ofmany european companies to the improving international backdrop, as well as the lowering of theeuropean equity risk premium since the summer of this year.exhibit 2: european equities

16、 and pmithe market has responded to better global data and a lower erp806040stoxx %12m changeeuro area manufacturingpmi (rhs)65605520500-20-40-6045403597989900010203040506070809101112source: haver analytics, datastream, goldman sachs global ecs research.nonetheless, a recovery in the global industri

17、al cycle would normally be positive for risky assets;europe, which is a relatively high beta market, should benefit commensurately despite ongoingdomestic economic stagnation.however, the increase in earnings misses and weaker outlook guidance seems atodds with the momentum of the global macro data,

18、 despite the weak domestic pictureand we have had a number of questions on how we should interpret these conflictingsignals.the first observation we would make is that mismatches between analyst earnings expectationsand top-down leading indicators are not unusual. exhibit 3 shows the relationship be

19、tween thegli and consensus analyst revisions over time (this is not the expected growth rate but rather theratio of upgrades versus downgrades).while there is a reasonable relationship between the two, the gli has tended to lead analystsearnings sentiment at major turning points. the rapid recovery

20、in the gli, for example, came at atime 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42012 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 o

21、f downgradesvs. the total number of estimates.50%europe earnings sentimentgli momentum (rhs)2.0%1.5%30%1.0%10%0.5%0.0%-10%-0.5%-30%-1.0%-1.5%-50%-2.0%-70%-2.5%040506070809101112source: i/b/e/s consensus, factset, goldman sachs global ecs research.part of the reason for this is that consensus analyst

22、 expectations tend to move quite a lot throughthe year and this can be seen particularly clearly over the last few years. exhibit 4 illustrates thispoint, with each line showing the growth rates that consensus expects in european earnings foreach year and how they progress over time. the slopes are

23、particularly steep in years headinginto downturns (such as 2001, 2002, 2003 and 2008), but are also steep in the upward directiongoing into recoveries (such as 2005, 2006 and 2007), as shown in exhibit 4.exhibit 4: earnings revisions ski slopesbig revisions are the norm6040eps (% change)200-20200820

24、092012201120132010-40-60-8088 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12source: datastream, goldman sachs global ecs research.given that the global economy slowed around the spring of this year, reflecting weakness ineurope but also a sharp deceleration in the us and chi

25、na, it is not surprising that expectationshave weakened over the past two quarters. but are there other explanations of why there shouldbe such a clear mismatch?高盛全球经济、商品和策略研究52012 年 11 月 9 日欧洲interpreting the gap between top down and bottom upwhile the european economic stagnation and the risk rall

26、y since the summer explain both theweakness in micro data and the moderate pace of the market rally more recently, there are someother factors that we should consider.1. the optimistic starting pointone factor that should be emphasized is that the bottom-up consensus earnings data has beenslow to re

27、flect the much weaker macro data in 2q and 3q. remember that at 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 raisedour top-down forecasts moder

28、ately to -5%, but the bottom-up consensus has now fallen to -3% for2012, with much of the adjustment happening only recently.exhibit 5: european consensus earnings revisions for 2012 and 20133%-2%-7%-12%-17%-22%20122013feb-11jun-11oct-11feb-12jun-12oct-12source: i/b/e/s consensus, goldman sachs glob

29、al ecs research.2. the pace of recovery mattersas the major savings and investment imbalances around the world gradually unwind, the macrocycles appear to be increasingly short in duration, and the magnitude of the recoveries moremuted. in effect, we are seeing small cycles within what remains a gen

30、erally sub-par period ofeconomic growth. this is clearly the case for europe, where we have already seen the best partof five years of stagnation and where the aggregate prospects remain fairly bleak. but it is true toa large extent of other major regions too. us activity, while clearly pointing upw

31、ards, remains wellbelow trend levels (our economists expect gdp growth of 1.8% in 2013). meanwhile, the impactof weaker growth in the us and europe is taking its toll on many growth markets. china, inparticular, is readjusting to a lower band of growth driven by a gradual shift away from high-volume

32、 export growth towards more of a domestic demand-driven model. on balance, this meansthat 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 thecycle and ho

33、w strong the cycle is. as exhibit 6 shows, using data for the stoxx 600, thewider 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-1062012 年 11 月 9 日欧洲band indicates the expected returns based on a model explained in the app

34、endix. for example,the 2010 recovery was stronger than we have seen to date, and the returns werecommensurately stronger too.exhibit 6: this cycle has been more moderate than the previous one0.3recoveryexpansionexpected nominalmonthly return:0.2oct-11nov-11 aug-10sep-10oct-103 %0.10-0.1jun-12may-12a

35、ug-12jul-12 sep-12oct-12jun-10feb-12dec-11jan-12nov-10dec-102 to 3 %1 to 2%0 to 1%-1 to 0%apr-12contractionmay-10 apr-10mar-21jan-11slowdown-1%-0.2-0.3-0.2-0.100.10.20.30.40.50.60.70.8gli growth (mom, %)source: goldman sachs global ecs research.the strength of the cycle and the impact on returns can

36、 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 returnrecent cycles have been short and s

37、hallow2.0%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 cycle97989900010203040506070809101112source: goldman sachs global ecs research.of course, the current cycle could turn out to be strong, but we gen

38、erally expect growth in mosteconomies to remain well below trend. as a result, the signal in terms of aggregate returns andsector 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5072012 年 11 月 9 日欧洲second, this has important implications for relative thematic and sector pe

39、rformances.growth remains relatively scarce and sustainable growth winners are likely toremain in strong demand (we continue to favour our stable growers basket made upof stocks with high growth and low volatility of growth relative to their sectors,gsstgrth). this is probably clearer at the themati

40、c level than the sector level. we favourcompanies that benefit from structurally stronger growth irrespective of whether they are to befound in highly operational lead sectors (such as autos) or in more stable sectors (such as luxurygoods). we would also continue to avoid companies that are purely d

41、omestic in europeanexposure.3. the market has moved ahead of macro data as erp has fallenas discussed earlier, the decline in the erp since july has been an important driver of the marketand sectors. unlike many other periods when the gli might be pointing to a recovery, the markethas already made s

42、trong progress through this year at a time when leading indicators have beenturning down.this was a point that we demonstrated in strategy matters: the shallow cycle is not drivingreturns: so far its all about risk, october 12, 2012. european equities tend to post flat returns inthe recovery phase,

43、but do well in the expansion period. in the current cycle, the marketperformance has been more extreme than was the case in the historical examples. this is trueboth for the recovery phase, in which the market has performed very well, and for the contractionphase, during which the market performed w

44、orse than in the past.exhibit 8: the gli and the market; this cycle has enjoyed better returns during therecovery as a lower erp drove prices higher50403020100102030currentcycle40medianperformance(databackto1986)60slowdowncontractionrecoveryexpansionsource: datastream, goldman sachs global ecs resea

45、rch.it appears that a change in the equity risk premium and the pricing of tail risks have been themain drivers behind the equity markets performance over the past 12-18 months. this has beentrue at the sector level too. exhibit 9 shows how the sectors with the highest positive correlationwith the e

46、rp (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mediaretailtravel&utilities363082012 年 11 月 9 日欧洲trough in the market, whereas the performance leaders are the ones with a negative correlation tothe erp (in other words, ones that tend to do better wh

47、en the risk premium falls). the sectorsthat have performed best since july in particular financials have done so largely as a result ofthe fall in the erp, not as a result of stronger growth expectations.exhibit 9: erp has led sector performance since junex-axis: correlation of erp monthly change an

48、d sectors relative performance since 2009/08; y-axis:sectors relative performance since the trough in the market (june 4)15129banksinsurance6financialsvschemicalstechnologyrealestateindustrialautosconstruc&matleisuregds&svspersonalhealthcarefood&bevbasicresourcescare&oil&gas91215

49、telecom0.40.30.20.100.10.20.30.4source: datastream, goldman sachs global ecs research.4. many cyclical sectors are at peak, not trough marginsin a typical recovery, cyclical sectors and resources tend to be among the best performers(exhibit 10 shows the pattern using the us ism as a benchmark). this

50、 time around, we would bemore selective in cyclical sectors. this is both because we expect the cycle to be weaker, butalso because some of the cyclical sectors are facing more challenging structural trends.高盛全球经济、商品和策略研究892012 年 11 月 9 日exhibit 10: ism and average relative sector returnscyclicals a

51、nd commodity sectors typically perform best in recovery欧洲down cycleup cyclepeak to 5050 to troughtrough to 5050 to peakoil & gasautos & partsmediachemicalstravel & leisurebasic resourcesind goods & svcsretailfood & bevtechconstr & matfinancial svcsutilitieshealth caretelecomr

52、eal estatepers & hh goodsinsurancebanksmarketmarket (from 1997)2.0%-9.7%-5.5%-4.7%5.5%-10.6%0.0%-2.0%2.6%6.8%-3.4%3.9%-6.0%2.2%0.0%2.3%3.6%4.2%-2.5%6.8%7.6%2.5%-3.8%6.0%4.2%-9.0%-19.6%-3.2%1.9%2.5%-0.9%-3.8%-12.2%-2.7%11.0%1.7%-14.3%2.7%7.9%1.8%2.0%-12.7%-5.4%0.0%0.0%0.0%0.0%16.3%0.0%7.3%-3.6%10

53、.4%7.1%0.0%-14.4%1.1%-17.2%0.0%0.0%-1.4%3.7%28.4%30.0%12.4%5.2%4.8%4.3%3.8%3.0%0.7%0.6%0.0%-0.3%-0.4%-1.7%-1.8%-2.1%-3.1%-3.4%-4.0%-5.6%-7.1%16.4%14.9%source: datastream, goldman sachs global ecs research.furthermore, some of the traditional cyclical sectors that typically perform best as the econom

54、yexpands enjoy much higher margins currently than, for example, in 2008 as the gli started toimprove. this is not the case for energy and basic resources, but these are facing lower returnsgiven the significant increase in capex that they have put in place over recent years. if cyclicalsectors are c

55、loser to peak margins than trough, the recovery potential into a cyclical improvement ingrowth is likely to be weaker. while there are some cyclical sectors we like out of this group notably media and autos (both of which have prospects for higher returns and margins in ouranalysts view) we do not t

56、hink that there is likely to be such a clear and homogenousoutperformance across all of the more commodity-related and economically sensitive sectors thistime around, and selectivity will be more important.exhibit 11: many cyclicals are at peak marginsreducing the scope for recovery with the macro c

57、ycle9%7654321001/03/2009currentoil and gasbasicresourcesautos andpartsmediachemicalstravel andlesiureindustrialgoods andservicessource: datastream, goldman sachs global ecs research高盛全球经济、商品和策略研究102012 年 11 月 9 日欧洲as exhibit 11 shows, oil and gas typically performs relatively well at this early expa

58、nsion phaseof the cycle. nonetheless, we recently downgraded basic resources to neutral and chemicalsand oil and gas to underweight (see strategy espresso: reducing commodities and materials infavour of food and media, october 25, 2012). our oil equity analysts have also lowered theircoverage view t

59、o cautious (see energy: oil - integrated, the end of free cash flow, october 17,2012). oil companies have experienced falling returns and deteriorating cash flows in anenvironment where oil prices were rising. as our commodity analysts expect the oil price to fall inthe next few years on the back of

60、 increased non-opec supply led by shale oil, our oil analyststhink that this deterioration is likely to accelerate. with future growth in china also more likely toemphasize domestic consumption rather than infrastructure, the trend demand for mining andbasic resources may also be lower.to conclude, we think that the slowdown in analysts expectat