高盛-增长乐观刺激了成长股尽管利率高企 GOAL Kickstart Improving growth optimism boosts growth stocks despite higher rates

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22May2023|7:37PMBST

GOALKickstart

Improvinggrowthoptimismboostsgrowthstocksdespitehigherrates

Lastweekmarketstradedbroadlyrisk-onastheS&P500reachedanewYTDhighandourRiskAppetiteIndicatorturnedpositiveagain,drivenbyarisingPC1“Globalgrowth”factor(Exhibit9).Indeed,underthesurfaceUScyclicalsoutperformeddefensivesandUSBanks(BKX)reboundedfromtheirpost-SVBtrough.Atthesametime,marketshavefadedexpectationsofFedcutsandarenowpricing10bpsofcumulativehikesoverJune/July.Whilethebondsell-offandrisk-onsentimentweighedonGoldlastweek,long-durationTechstocksrallieddespiterisingrates,wideningthegapbetweenNasdaqandUS10Yrates(Exhibit2).OptimismaboutAIandretailspeculativeflowslikelycontributedtothetechrally-Nasdaqcalloptiontradedvolumesreacheda7-yearhighonThursday,pushingthe1-weekNasdaqcallskewaboveits95thpercentile.

Acrossregions,Japanequitiesdeliveredthestrongest

risk-adjustedreturnsonthebackofsupportivedomesticmacro,TSEreformsandforeigninvestorinflows.Ontheotherhand,ChineseAprilactivitydatacameinmuchbelowconsensusexpectations-economicsurprisesdroppedthemostsinceearly2020.WeakergrowthmomentumweighedonChineseequitiesandindustrialmetals-whileglobal

deficitsandChinesestockdrawsstillargueforpositivemid-termreturns,ourcommodityteamloweredtheirmetalstargets(Exhibit3).TheRenminbialsoweakenedasUSD/CNYbrokehigherthrough7.00-ourFXteamforecastsUSD/CNYtoreach7.1/7.0/6.8in3/6/12monthsduetonear-termdepreciationpressures.

Despitetheincreaseininvestors’riskappetite,downsiderisksstilllinger.OureconomistsbelievethatthereareevenoddsthattheUSTreasurywillexhaustitsfundsbyJune8-9-stilltheythinkCongresswillmostlikelyagreeonadealthatsuspendsthedebtlimittoearly2025alongwithspendingcaps(70%chance)eitherthisweekorshortlybeforethedeadline.However,itisstillpossiblethatadealdoesnotcometogetherbythen-theJuneVIXfuturepriceremainselevatedcomparedtonearbymaturities(Exhibit4).

Weremainrelativelyneutralinourassetallocation(OWcash/commodities,Nequity/credit,UWbonds)andstillseemoreupsidefornon-USthanUSequities.Giventheequityvolatilityresetandthestillelevatedrisk,welikeoptionhedges-welikebuyingputspreadstodecreasethecostofequityhedgesandtakeadvantageofthehighskew.

AndreaFerrario

+44(20)7552-4353|

andrea.ferrario@

GoldmanSachsInternational

ChristianMueller-Glissmann,

CFA

+44(20)7774-1714|christian.mueller-

glissmann@

GoldmanSachsInternational

CeciliaMariotti

+44(20)7552-0450|

cecilia.mariotti@

GoldmanSachsInternational

MarcusvonScheele

+44(20)7774-7676|

marcus.vonscheele@

GoldmanSachsInternational

PeterOppenheimer

+44(20)7552-5782|

peter.oppenheimer@

GoldmanSachsInternational

ThisreportisintendedfordistributiontoGSinstitutionalclientsonly.

Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto/research/hedge.html.

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GoldmanSachs

GOALKickstart

Improvinggrowthoptimismboostsgrowthstocksdespitehigherrates

Exhibit1:Japanequities,growthstocksandbankswitnessedthestrongestrisk-adjustedreturnslastweek

Returnin12-monthstandarddeviationterms

ReturnsinceMarch13th

1-weekreturn

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

-2.0

Source:Datastream,HaverAnalytics,GoldmanSachsGlobalInvestmentResearch

Exhibit2:HigherratesdidnotstopUSTechstocks

Exhibit3:ChinaequitieslaggedalongsideaweakerCNY

Exhibit4:VIXfuturebutterflies=priceofthemonthlycontract-averagepriceofthepreviousandnextcontract

Dottedline:VIXinsteadofMaycontract

28

0.7

6.4

2.5

120

115

110

105

100

95

90

85

80

75

70

May-22

14000

Nasdaq100

US10Yyield(RHS,inverted)

HSCEIvs.MSCIACWorld

USD/CNY(RHS,inverted)

0.6

0.5

26

6.6

JuneVIXbutterflyJulyVIXbutterflyVIX(RHS)

3.0

24

13000

0.4

6.8

0.3

22

3.5

12000

0.2

20

7.0

0.1

18

0.0

4.0

11000

7.2

-0.1

16

-0.2

7.4

4.5

10000

14

May-22Aug-22Nov-22Feb-23May-23

Aug-22

Nov-22

Feb-23

May-23

Feb-23Mar-23

Apr-23

May-23

-0.3

Jan-23

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Bloomberg,GoldmanSachsGlobalInvestmentResearch

22May20232

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GoldmanSachs

GOALKickstart

Cross-asset:Forecasts

Exhibit5:GOALassetallocationrecommendationsandGScross-assetforecasts

Forecasts

6m

Indexlevel

4000

470

550

2050

Yield(%)3.902.750.704.00

Spread115390145405456

Spotprice

89

94

9,200

2,050

Spotrate1.051351.210.684.8582.07.00

Spotrate

-

-

ForecastUpside/Downside(%)

12m3m6m12m

TotalReturn

CurrentLevel

4192

469

513

2162

3.65

2.42

0.40

4.00

145

481

184

462

482

72

76

8,201

1,967

1.08

138.5

1.24

0.67

4.99

82.7

7.02

AllocationWeighting

3m

4000

465

530

2000

3.852.750.584.00

116

395

147

410

469

84

89

7,750

2,050

1.05

140

1.22

0.65

4.90

83.0

7.10

12m

3m

Equities

S&P500($)

StoxxEurope600(€)

MSCIAsia-PacificEx-Japan($)Topix(¥)

10YearGovernmentBondsUS

Germany

Japan

UK

CorporateBonds

BloombergBarclaysUSIGBloombergBarclaysUSHYiBoxxEURIG

BAMLEURHY

JPMorganEMBIDiv.

Commodities

WTI($/bbl)

NUWOWOWOW

UWN

N

N

-

N

N

UW

N

UW

N

OW

-4.2-3.7

0.12.0

3.67.4

-7.3-4.8

4000

475

600

2200

3.77

2.55

0.72

3.85

115

390

145

405

430

95

100

10,000

2,050

1.10

125

1.26

0.71

4.80

82.0

6.80

-2.94.917.82.5

2.4

1.6

-2.1

5.7

5.8

7.8

3.4

4.9

9.7

32.8

32.2

21.9

4.2

2.0

-9.8

1.3

6.7

-3.8

-0.8

-3.2

5.003.16

N

UW

OW

OW

OW

TotalReturn

-1.0-0.4

-2.0-1.4

-1.0-2.1

1.42.4

TotalReturn1.92.7

3.74.9

0.81.4

1.52.5

1.33.5

UW

N

N

N

-

N

N

N

N

N

OW

SpotReturn

OW

-

-

-

-

-

-

-

-

17.424.4

17.724.3

-5.512.2

4.24.2

Brent($/bbl)

Copper($/mt)

Gold($/troyoz)

FX

-

-

-

-

-

-

-

-

-

-

SpotReturn

-2.7-2.7

1.1-2.5

-1.9-2.7

-2.42.1

-1.8-2.8

0.4-0.8

1.1-0.3

-

-

-

-

-

-

EUR/USD

USD/JPY

GBP/USD

AUD/USD

USD/BRL

USD/INR

USD/CNY

TotalReturn

OW

OW

Cash

1.322.67

0.731.49

-

-

-

-

-

-

-

-

-

-

US3-monthTbill

Germany3-monthBubills

Source:Bloomberg,Datastream,Bloomberg-Barclays,ICE-BAML,iBoxx,GoldmanSachsGlobalInvestmentResearch

22May20233

_

Topix

USD/JPY

S&P500

WTIOil

Bitcoin

GSCITR

Stoxx600

MXAPJ

MSCIEM

RHY

Ethereum

Japan10y

Copper

GBP/USD

USHY

EUR/USD

EURIG

USIG

Bitcoin

German10y

UK10y

EURHY

US10y

Japan10y

Gold

Topix

USD/JPY

S&P500

Stoxx600

RHY

GSCITR

WTIOil

MXAPJ

MSCIEM

Bitcoin

Ethereum

Copper

GBP/USD

Japan10y

EURIG

USHY

USIG

EUR/USD

German10y

UK10y

Gold

US10y

GoldmanSachs

GOALKickstart

Cross-asset:WeeklyandYTDperformance,absoluteandrisk-adjusted

Exhibit7:Localcurrencytotalreturnsinstandarddeviationterms

1-weekperformanceinrolling12mstandarddeviationterms

2.0

1weekperformanceinSDterms1.5

1.0

0.5

0.0

-0.5

-1.0

Exhibit6:Localcurrencytotalreturnsandreturntovolratiosoverthepastweek

Weeklyreturns,returntovolratiosbasedonweeklyvolatility

4.0

3.0

2.0

1.0

0.0

-1.0

-2.0

1weekperformance

1weekreturntovolratio(RHS)

4%

3%

2%

1%

0%

-1%

-2%

-3%

USIG-6.1US10y-5.7

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

Exhibit8:Localcurrencyreturnsandreturntovolratios

YTDreturns

Bitcoin+62%Ethereum+51%

20%

10%

0%

-10%

Ethereum

Topix

Stoxx600

MSCIWorld($)

S&P500

Japan30y

GSCIGold

USHY

-3.0

-1.5

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

MSCIEM($)

US10y

German10y

MXAPJ($)

USIG

USDCash+8.8

1.6

YTDreturninlocalcurrency

YTDreturntovolratioinlocalcurrency(RHS)

0.8

EUR/USD

EURcash

UK10y

German30y

10yInflation

JPY/USD

UK30y

GSCIIndMetals

GSCIEnhanced

Energy-13%

0.0

USDcash

US30y

EURIG

EMCredit($)

GSCIEnergy

-0.8

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

22May20234

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GoldmanSachs

GOALKickstart

Cross-asset:Riskappetiteindicator

Exhibit9:Riskappetiteindicatorlevelandmomentumfactors

SeeJuly2016GOALforconstructiondetails

2

1

0

-1

Exhibit10:Riskappetiteindicatorsfordifferentassetclasses

SeeJuly2016GOALforconstructiondetails

4

2

0

-2

-4

-2

Credit

Bonds

Equities

-6

-3

Equityvolatility

FX

Jul-19Jan-20Jul-20Jan-21Jul-21

Momentum:GSRAIM(3mchangesz-score)

RiskAppetiteIndicator:GSRAII(1yz-score)

-4

-8

Jan-19

Jan-22Jul-22Jan-23

08

20212223

0910111213141516171819

Source:GoldmanSachsGlobalInvestmentResearch

Source:GoldmanSachsGlobalInvestmentResearch

Exhibit11:Cyclicalsvs.defensives1-yearrollingz-scoreacrossregions

SeeJuly2016GOALforconstructiondetails

Exhibit12:Sub-componentsofequityriskappetiteindicator

SeeJuly2016GOALforconstructiondetails

4

3

EMvs.DMSmallvs.LargeMSCIWorldERP

6

Cyclicalsvs.DefensivesUSlowvolstocksvsmarketFinancialsvs.Staples

4

2

1

2

0

0

-1

-2

-2

-4

-3

US

Japan

World

-4

-6

Europe

-5

EM

-8

-6

Jan-19

Jul-21

Jan-22Jul-22Jan-23

Jan-19

Jul-19Jan-20Jul-20Jan-21Jul-21Jan-22Jul-22Jan-23

Jul-19Jan-20Jul-20Jan-21

Source:GoldmanSachsGlobalInvestmentResearchSource:GoldmanSachsGlobalInvestmentResearch

22May20235

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GoldmanSachs

GOALKickstart

Cross-asset:RiskAppetiteprincipalcomponentanalysis

Exhibit14:PC1:Globalgrowthfactorvs.GlobalMAPScore

Exhibit13:GSRAIprincipalcomponent

SeeApril2019GOALforconstructiondetails

10

5

0

-5

-10

-15

-20

-25

Jan-19

PC1:Globalgrowth

PC2:Monetarypolicy

PC3:Dollar

PC4:Euroarearisk

Jul-19Jan-20Jul-20Jan-21Jul-21Jan-22Jul-22Jan-23

10

5

0

-5

-10

-15

10

PC1:GlobalgrowthGlobalMAPScore(RHS)

11121314151617

8

6

4

2

0

-2

-4

-6

-8

-10

-12

181920212223

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit15:PC2:Monetarypolicyfactorvs.US10-yearTIPSyield

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit16:PC3:Dollarfactorvs.USDTWI

8

6

8

6

PC3:Dollar

USDTWI(inverted)

4

4

2

2

0

0

-2

-2

-4

-4

-6

-6

-8

PC2:Monetarypolicy

US10-yrTIPSyield(inverted)

11121314151617181920

-8

-10

10

10

212223

11121314151617181920212223

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

22May20239

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GoldmanSachs

GOALKickstart

Cross-asset:Balancedportfoliosanddynamicallocationstrategiesperformance

Exhibit17:60/40equity/bondportfolioperformanceacrossregionslast12m

Relativetotalreturnperformanceindexedto10012mago

115

110

105

100

95

90

Japan

US

Europe

Exhibit18:Riskparityportfolioperformanceacrossregionslast12m

Weightedinverselyby3mrealisedvolatilityofequityand10ybonds

Japan

110

US

Europe

105

100

95

90

8585

May-22Aug-22Nov-22Feb-23May-23May-22Aug-22Nov-22Feb-23May-23

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit19:60/40portfoliowithvolatilitytargetstrategiesoverlayvs.US60/40portfolio

60%S&P500,40%US10ybond;basedon1mrealisedS&P500volatility

106

Target:12(Cap150%)

Target:15(Cap115%)

Target:10(NoCap)

104

102

100

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit20:60/40portfoliowithvolatilitytargetstrategiesandmomentumoverlayvs.US60/40

60%S&P500,40%US10ybond;Strategymethodologysee:GOAL:TheBalancedBear-Part2

Momentum+Voltarget12Momentum+Voltarget15Momentum(High120%/Low60%)

108

106

104

102

100

9898

May-22Aug-22Nov-22Feb-23May-23May-22Aug-22Nov-22Feb-23May-23

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

22May20237

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GoldmanSachs

GOALKickstart

Cross-asset:Equityvs.creditmonitor

Exhibit22:USDsyntheticcreditvs.USequity

Syntheticcreditexcessreturns(beta-adjusted)vs.S&P500totalreturns

Exhibit23:EURcashcreditvs.Europeanequity

Cashcreditexcessreturns(beta-adjusted)vs.MSCIEuropetotalreturns

Exhibit21:USDcashcreditvs.USequity

Cashcreditexcessreturns(beta-adjusted)vs.S&P500total

returns

20%

15%

10%

5%

0%

-5%

20%

15%

S&P500

CDXIG(beta-adj.)CDXHY(beta-adj.)

MSCIEurope

EURIGER(beta-adj.)

EURHYER(beta-adj.)

S&P500

USDIGER(beta-adj.)

USDHYER(beta-adj.)

15%

10%

10%

5%

5%

0%

0%

-5%

-5%

-10%-10%-10%

May-22Jul-22Sep-22Nov-22Jan-23Mar-23May-23May-22Jul-22Sep-22Nov-22Jan-23Mar-23May-23May-22Jul-22Sep-22Nov-22Jan-23Mar-23May-23

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit24:EURsyntheticcreditvs.Europeanequity

Syntheticcreditexcessreturns(beta-adjusted)vs.MSCIEuropetotalreturns

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit25:EMcashcreditvs.EMequity

Cashcreditexcessreturns(beta-adjusted)vs.MSCIEMtotalreturns

Source:Datastream,GoldmanSachsGlobalInvestmentResearch

Exhibit26:EMsyntheticcreditvs.EMequity

Syntheticcreditexcessreturns(beta-adjusted)vs.MSCIEMtotalreturns

10%

5%

15%

15%

MSCIEurope

10%

ItraxxEurope(beta-adj.)

ItraxxEuropeXover(beta-adj.)

10%

5%

0%

5%

0%

-5%

-5%

0%

-10%

-10%

-5%

MSCIEM

-15%

-20%May-22

MSCIEM

EMBIER(beta-adj.)

Jul-22Sep-22

-15%

CDXEM(beta-adj.)

-10%May-22

Jan-23

Mar-23

May-23

Nov-22

Jul-22Sep-22

Nov-22

Jan-23

Mar-23

May-23

Jul-22Sep-22Nov-22

May-23

Mar-23

Jan-23

-20%

May-22

Source:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

22May20238

_

USDHY

RHY

USDIG

EURIG

EM($)

GoldmanSachs

GOALKickstart

Cross-asset:Valuationandriskpremia

Exhibit27:Cross-assetvaluationtable

Ahigherpercentilemeansmoreexpensiverelativeto10yhistory

EquityGovernmentbonds

S&PStoxxMSCIGermanJapan

500600EM10y10y

Valuationmetric12mforwardP/EratioYield

MXAPJTopixUS10yUK10yUSIGUSHY

Current:18.4x12.7x13.1x13.7x11.8x3.7%2.4%0.4%4.0%160bp469bp

Expensiveness(last

10ypercentile):

77%13%52%48%48%3%1%21%1%23%32%

3Mchange:0.2x-0.3x-0.2x1.0x-0.2x-0.1%0.0%-0.1%0.5%18bp31bp

Average:17.5x14.5x13.1x13.9x11.9x2.2%0.5%0.2%1.6%145bp447bp

95th:22.1x17.4x16.2x17.3x14.8x3.5%2.1%0.7%3.3%192bp693bp

5th:14.5x12.0x11.4x12.0x10.1x0.7%-0.5%-0.1%0.3%102bp324bp

Note:GSDEERisourfairvaluemacromodelforexchangerates.USIGspreadisfromiBoxx.EM($)isJPMEMBI.

Source:Datastream,I/B/E/S,iBoxx,GoldmanSachsGlobalInvestmentResearch

CreditFX

EURIGEURHYEM($)EUR/USDUSD/JPY

SpreadActual-GSfairvalue

184bp465bp482bp-0.12€/$43.5$/¥

9%26%9%56%2%

23bp53bp28bp0.03€/$4.6$/¥

134bp404bp-14bp-0.11€/$16.1$/¥

203bp583bp509bp0.12€/$38.2$/¥

96bp279bp282bp-0.22€/$-0.2$/¥

Exhibit28:Creditspreadminusequityriskpremiumestimatesacrossmarkets

Equityriskpremiabasedon1-stageDDMusinglocal10-yearyieldsandLTGDPconsensusestimates.Usingpast10yearsofdata.

4

+/-1Stdev.Current

2.66AverageHigh/low

2

0.88

0

-0.03

-0.36

-2

-1.91

-4

-6

Exhibit29:Equityvs.creditrelativevaluation

USDividendYieldminusCreditspreads

3

4

USDYminusUSDIGCreditSpreads

USDYminusUSDHYCreditSpreads(RHS)

2

0

1

-4

0

-8

-1

-12

-2

-16

-3

-4-20

199019941998200220062010201420182022

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearchSource:Datastream,GoldmanSachsGlobalInvestmentResearch

22May20239

_

US10y

UK10y

USIG

EURIG

EMDebt($)

UK30y

US30y

German10y

German30y

USHY

Japan10y

Japan30y

MSCIEM($)

MXAPJ($)

K

UK10y

EMDebt($)

German30y

US30y

USIG

Japan10y

EURIG

MXAPJ($)

S&P500

RHY

Topix

Japan30y

Topix

Stoxx600

S&P500

EURHY

GoldmanSachs

GOALKickstart

Cross-asset:Yields

Exhibit30:Currentyieldsacrossassetsandtheirpercentiletothepast10years

S&P500

Stoxx

600

Equity

MXAPJ

($)

Topix

MSCIEM

($)

US10y

Governmentbonds

UK10y

USIG

Credit

EURIGUSHY

Yield

Japan10y

German

10y

ValuationmetricDividendYield(NTM)

Yield

8.8%

94%

6.7%

8.9%

4.7%

5.3%

76%

1.65

Current:Percentile(-10y):Average:

95th:

5th:

3mreal.ret.vol:Percentile(-10y):Yield/volratio

1.7%

16%

2.0%

2.3%

1.5%

14.9%

58%

0.11

3.6%

40%

3.6%

4.0%

3.0%

13.3%

50%

0.27

3.1%46%3.1%3.5%2.4%14.2%

30%0.22

2.5%

73%

2.3%

2.7%

1.9%

13.3%

50%

0.19

3.2%83%3.0%3.4%2.5%

12.5%32%0.26

4.3%98%1.3%3.9%0.3%5.2%89%0.82

3.7%98%2.2%3.5%0.8%

11.2%96%0.33

5.1%96%2.9%4.8%1.3%7.8%86%0.65

2.4%

0.4%

81%

0.2%

0.7%

-0.1%

4.1%

95%

0.10

4.0%

100%

99%

0.5%

2.0%

-0.5%

11.9%

94%

0.20

1.6%

3.2%

0.2%

9.6%

88%

0.41

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

Exhibit32:YTDchangeinyieldsacrossassets

0.5%

Exhibit31:Pastweekchangeinyieldsacrossassets

0.3%

1weekchange

0.4%

0.3%

0.2%

0.2%

0.1%

0.1%

0.0%

-0.1%

0.0%

-0.2%

YTDchange

-0.3%

-0.1%

-0.4%

US10y

Stoxx600

German10y

MSCIEM($)

USHY

EURHY

7.4%

95%

4.5%

7.4%

3.0%

3.4%

70%

2.16

EMDebt

($)

8.5%

97%

5.9%

8.5%

4.8%

5.4%

71%

1.57

Source:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearchSource:Datastream,iBoxx,GoldmanSachsGlobalInvestmentResearch

22May202310

_

GoldmanSachs

GOALKickstart

Cross-asset:SentimentandPositioning

Exhibit34:Averagepercentileofsentimentindicators

Datasince2007

Exhibit33:Percentileofsentimentindicators

Datasince2007

RISK-OFF

Current

Average

EquityRiskParityAllocation

JPY&GoldCFTCfuturepos.

CTABetatoEquity(3m)

GSRAI(GSRAII)

VIX

USCall/PutVolumeRatio

GlobalEquityFlow(12m)

Inv.IntelligenceBullv.Bear(US)

GSRAIMomentum(GSRAIM)

USEquityCFTCfuturepos.

RiskyBondsFlows(3m)

AAIIBullv.Bear(US)

GlobalEquityFlow(3m)

SafeBondsFlows(12m)

RiskyBondsFlows(12m)

SafeBondsFlows(3m)

0%

20%

-1m

40%

-3m

60%

RISK-ON

17

15

13

11

9

7

5

3

1

80%

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

07

AveragePercentileofSentimentIndicators

08091011121314151617181920212223

Source:Datastream,HaverAnalytics,EPFR,GoldmanSachsGlobalInvestmentResearch

Exhibit35:Cumulativefundflowsacrossassets

Monthlyflows($bn).MTDsumofweeklyflowswhenmonthlynotyetavailable

Source:Datastream,HaverAnalytics,EPFR,GoldmanSachsGlobalInvestmentResearch

Exhibit36:Riskyvs.safeassetsfundflows

4weeksrollingflows,USDbn

3000

2700

300

Equity

CorporateBondsGovernmentBonds

MoneyMarket

Riskyvs.SafeAssetsfundflows(4w,$bn.)

200

2400

2100

100

1800

0

1500

1200

-100

900

-200

600

300

-300

0

-400

-300

-600

-500

2223

1920212223

18

101112131415161718192021

Source:Datast