2009年10月23日 欧洲:投资组合策略 股市周期第一部分:确认周 Goldman Sachs 期的阶段 股市周期可以分为四个泾渭分明的阶段 投票市场的走势可以分成不同的周期。为了向投资者提供一个参考框架,我们的 分析表明市场从一个高点走向下一个高点的过程可以分成四个泾渭分明的阶段 我们将这四个阶段分别定义为绝望、希望、增长和乐观。在这个系列研究报告的 第一部分中,我们分析了每个阶段的经济背景和股市回报率的决定因素。在第二 部分中,我们分析了资产、风格和行业表现。我们认为欧洲目前处于希望阶段 并在2010年初期进入增长阶段。 我们分析了何时盈利增长才会带来高回报 在增长阶段发生的大多数盈利增长并不能产生合理的回报,盈利增长只有在希望 阶段被准确预见到时和投资者对乐观阶段的未来增长潜力感到过度乐观时才会带 来高回报。增长阶段的盈利增速最高,但回报率在所有阶段中仅排在倒数第 将股市的不同阶段与经济周期联系在一起 周期的不同阶段与经济周期联系在一起。总的来说,绝望阶段往往伴随着经济衰 退。在希望阶段,产出缺口触底而失业率见顶:在增长阶段,产出缺口和失业率 均有显著改善。投资者要求的实际回报率在绝望和增长阶段上升,在希望和乐观 阶段下降 将回报率分成盈利增长和市盈率扩张 a Real earnings growth(%)E Average P/E multiple expa %)Real price returns(%) 彼得欧品海默 4(20)7552-5782 I peteroppenheimer@gscon 24.2% 高盛国际 Christian Mueller-Glissmann CFA 22.5% +44(20)7774-1714 10.9% 2.3% glissmann@gs.com 19% Gerald Moser +44(20)7774-5725Igeraldmoser@gs.com 高盛国际 33 month 14 months 资料来源: Worldscope, Haver Analytics, Datastream,高盛全球经济、商品和策略研究 +44(20)7552-3000Ianderse.nielsen@gs.com Sharon Bell. CFA +44(20)7552-1341| sharon. be@gscm 高盛集团 高盛全球经济、商品和策略研究
2009 年 10 月 23 日 欧洲：投资组合策略 高盛全球经济、商品和策略研究 1 2009 年 10 月 23 日 欧洲：投资组合策略 股市周期第一部分：确认周 期的阶段 股市周期可以分为四个泾渭分明的阶段 股票市场的走势可以分成不同的周期。为了向投资者提供一个参考框架，我们的 分析表明市场从一个高点走向下一个高点的过程可以分成四个泾渭分明的阶段， 我们将这四个阶段分别定义为绝望、希望、增长和乐观。在这个系列研究报告的 第一部分中，我们分析了每个阶段的经济背景和股市回报率的决定因素。在第二 部分中，我们分析了资产、风格和行业表现。我们认为欧洲目前处于希望阶段， 并在 2010 年初期进入增长阶段。 我们分析了何时盈利增长才会带来高回报 在增长阶段发生的大多数盈利增长并不能产生合理的回报，盈利增长只有在希望 阶段被准确预见到时和投资者对乐观阶段的未来增长潜力感到过度乐观时才会带 来高回报。增长阶段的盈利增速最高，但回报率在所有阶段中仅排在倒数第二 位。 ...将股市的不同阶段与经济周期联系在一起 周期的不同阶段与经济周期联系在一起。总的来说，绝望阶段往往伴随着经济衰 退。在希望阶段，产出缺口触底而失业率见顶；在增长阶段，产出缺口和失业率 均有显著改善。投资者要求的实际回报率在绝望和增长阶段上升，在希望和乐观 阶段下降。 将回报率分成盈利增长和市盈率扩张 -30 -20 -10 0 10 20 30 40 50 60 Real earnings growth (%) Average P/E multiple expansion (%) Real price returns (%) 26 months 10 months 33 months 14 months Despair Hope Growth Optimism -24.9% -7.3% 51.2% 0.7% 10.9% 22.5% 27.1% 24.2% -19% 50.2% -9.5% 2.3% 资料来源：Worldscope、Haver Analytics、Datastream、高盛全球经济、商品和策略研究 彼得·欧品海默 +44(20)7552-5782 | peter.oppenheimer@gs.com 高盛国际 Christian Mueller-Glissmann, CFA +44(20)7774-1714 | christian.muellerglissmann@gs.com 高盛国际 Gerald Moser +44(20)7774-5725 | gerald.moser@gs.com 高盛国际 Anders Nielsen +44(20)7552-3000 | anders.e.nielsen@gs.com 高盛国际 Sharon Bell, CFA +44(20)7552-1341 | sharon.bell@gs.com 高盛集团与本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，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或参 阅 www.gs.com/research/hedge.html。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
October 23 2009 Europe: Portfolio Strategy man The equity cycle part 1: sans Identifying the phases The equity cycle is divided in 4 distinct phases Peter Oppenheimer The equity market moves in cycles. In order to develop a frame of +44(20)7552-5782ipeter.oppenheimer@gs.com reference for investors, we show how the cycle from one peak of the Goldman Sachs Internation market to the next is divided into four distinct phases, which we describe as: Despair, Hope, Growth and Optimism. Here, in Part I of thisChristian Mueller-Glissmann,CFA seriesweanalyzetheeconomiccontextandthedriversofstockmarketglissmann@gs.com returns for each phase. In Part ll, we will analyze asset, style and sector Goldman Sachs International performance. We believe Europe is currently in the Hope phase and will move into the growth phase in the early part of 2010 Gerald I +44(20)7774-5725geraldmoser@gs.com Goldman Sachs International We analyze when earnings growth is paid for Most earnings growth is not paid for when it occurs during the Growth Anders Nielsen +44(20)7552-3000anders.e.nielsen@gs.com phase, but when it is correctly anticipated during the Hope phase, and Goldman Sachs Interna tional when investors get overly optimistic about the future growth potential during the Optimism phase. The Growth phase sees the highest rate of Sharon Bell,CFA earnings growth, but the second lowest rate of return over the cycle Goldman Sachs Internation and tie these patterns to the economic cycle The phases are related to the economy. Generally the Despair phase is associated with a recession. The output gap troughs and the unemployment rate peaks during the Hope phase, while the growth phase sees sharp improvements in both variables. Investors real required return rises during the despair and growth phases and falls during the Hope and Optimism phases Decomposition of returns into earnings growth and P/E expansion Real earnings growth(%) Average P/E multiple expansion (% Real price retums ( 50 24.2% 27.1% 0.9% 2.3% -9.5% 19% 30 Despai 0 months mm→: optimism 14 months Source: Worldscope, Haver Analytics, Datastream, Goldman Sachs Global ECS Research man Sachs G Inm dv hs ve d seen'sicto o tesis sh at ith ua afect h e opered ivititsr heare ports. as a re y registered/qualified as research analysts w Goldman Sachs Global Economics, Commodities and strategy R
October 23, 2009 Europe: Portfolio Strategy Goldman Sachs Global Economics, Commodities and Strategy Research 1 Europe: Portfolio Strategy The equity cycle part 1: Identifying the phases The equity cycle is divided in 4 distinct phases The equity market moves in cycles. In order to develop a frame of reference for investors, we show how the cycle from one peak of the market to the next is divided into four distinct phases, which we describe as: Despair, Hope, Growth and Optimism. Here, in Part I of this series, we analyze the economic context and the drivers of stock market returns for each phase. In Part II, we will analyze asset, style and sector performance. We believe Europe is currently in the Hope phase and will move into the Growth phase in the early part of 2010. We analyze when earnings growth is paid for Most earnings growth is not paid for when it occurs during the Growth phase, but when it is correctly anticipated during the Hope phase, and when investors get overly optimistic about the future growth potential during the Optimism phase. The Growth phase sees the highest rate of earnings growth, but the second lowest rate of return over the cycle. …and tie these patterns to the economic cycle The phases are related to the economy. Generally, the Despair phase is associated with a recession. The output gap troughs and the unemployment rate peaks during the Hope phase, while the Growth phase sees sharp improvements in both variables. Investors’ real required return rises during the Despair and Growth phases and falls during the Hope and Optimism phases. Decomposition of returns into earnings growth and P/E expansion -30 -20 -10 0 10 20 30 40 50 60 Real earnings growth (%) Average P/E multiple expansion (%) Real price returns (%) 26 months 10 months 33 months 14 months Despair Hope Growth Optimism -24.9% -7.3% 51.2% 0.7% 10.9% 22.5% 27.1% 24.2% -19% 50.2% -9.5% 2.3% Source: Worldscope, Haver Analytics, Datastream, Goldman Sachs Global ECS Research. Peter Oppenheimer +44(20)7552-5782 | peter.oppenheimer@gs.com Goldman Sachs International Christian Mueller-Glissmann, CFA +44(20)7774-1714 | christian.muellerglissmann@gs.com Goldman Sachs International Gerald Moser +44(20)7774-5725 | gerald.moser@gs.com Goldman Sachs International Anders Nielsen +44(20)7552-3000 | anders.e.nielsen@gs.com Goldman Sachs International Sharon Bell, CFA +44(20)7552-1341 | sharon.bell@gs.com Goldman Sachs International The Goldman Sachs Group, Inc. does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict 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, see the end of the text. Other important disclosures follow the Reg AC certification, or go to www.gs.com/research/hedge.html. Analysts employed by non-US affiliates 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
October 23 2009 Europe: Portfolio Strategy The four phases of the equity market cycle The equity market moves in cycles. as the market moves away from the trough in March, it becomes increasingly important for investors to identify alternative points of reference, against which to think about potential investment strategies. Here, we develop a framework of such reference points through out the cycle. We show how each of the five cycles from one peak of the market to the next since 1973 can be divided into four distinct phases, each with its own economic context, drivers of stock market returns and investment strategies Our analysis comes in two parts. In this report, Part I of the series, we identify the phases, discuss their relationship to the economic cycle, and most importantly show that earnings growth is only to a very limited extend paid for when it occurs. In Part l of the series we will show the systematic historical patterns of asset classes, styles and sector performance for each of the phases The division of the cycle into phases is illustrated in Exhibit 1. We identify the phases by determining the extent to which the index price performance is driven by actual profit growth and by expectations, measured as changes in the P/E multiple. The four phases we define are: 1. The Despair phase is defined as the period where the market moves from its peak to its trough. This correction is mainly driven by P/E-multiple contraction as the market anticipates and reacts to a deteriorating macroeconomic environment and its implications in terms of lower future earnings Exhibit 1: The equity market moves in cycles Cycle of the Equity Market for Europe ex UK all growth rates are annualized averages) market moves from peak to trough xpectations are disappoi Poor earnings growth, -7.3% Weak eamings growth, 2.3% Poor earnings growth, 0.7%
October 23, 2009 Europe: Portfolio Strategy Goldman Sachs Global Economics, Commodities and Strategy Research 2 The four phases of the equity market cycle The equity market moves in cycles. As the market moves away from the trough in March, it becomes increasingly important for investors to identify alternative points of reference, against which to think about potential investment strategies.1 Here, we develop a framework of such reference points through out the cycle. We show how each of the five cycles from one peak of the market to the next since 1973 can be divided into four distinct phases, each with its own economic context, drivers of stock market returns and investment strategies. Our analysis comes in two parts. In this report, Part I of the series, we identify the phases, discuss their relationship to the economic cycle, and most importantly show that earnings growth is only to a very limited extend paid for when it occurs. In Part II of the series we will show the systematic historical patterns of asset classes, styles and sector performance for each of the phases. The division of the cycle into phases is illustrated in Exhibit 1. We identify the phases by determining the extent to which the index price performance is driven by actual profit growth and by “expectations”, measured as changes in the P/E multiple. The four phases we define are: 1. The Despair phase is defined as the period where the market moves from its peak to its trough. This correction is mainly driven by P/E-multiple contraction as the market anticipates and reacts to a deteriorating macroeconomic environment and its implications in terms of lower future earnings. Exhibit 1: The equity market moves in cycles 4. Optimism P/E multiple grows faster than earnings - Expectation extrapolated - Second best return, 27.1% - Weak earnings growth, 2.3% 1. Despair Market moves from peak to trough - Expectations are disappointed - Worst return, -24.9% - Poor earnings growth, -7.3% 3. Growth Earnings grow faster than the P/E multiple - Reality catches up to expectations - Second lowest return, 10.9% - HIghest earnings growth, 22.5% Cycle of the Equity Market for Europe ex. UK (all growth rates are annualized averages) Volatility increases Volatility decreases 2. Hope P/E multiple expands - Expectation of a better future - Highest return, 51.2% - Poor earnings growth, 0.7% Source: Goldman Sachs Global ECS Research. 1 We would like to thank Hanyi Lim for her contributions to this report
October 23 2009 pe: Portfolio Strategy 2. The Hope phase is typically a short period (on average 10 months), where the market rebounds from its trough through multiple expansion. this occurs in anticipation of a forthcoming trough in the economic cycle as well as future profit growth and is leading to a local peak in the trailing P/E multiple. We define the end of the Hope phase as this local peak of the trailing P/E multiple 3. The growth phase is a typically longer period(on average 33 months), where arnings growth drives returns We define the end of this period to be when multiple expansion again starts to provide a larger proportion of the returns than earnings growth 4. The Optimism phase is the final part of the cycle, where returns driven by P/E- multiple expansion outpace earnings growth, thereby setting the stage for the next market correction The framework demonstrates that the relationship between earnings growth and price performance changes systematically over the cycle. While earnings growth is what fuels equity market performance over the very long run, most of the earnings growth is not paid for when it occurs but rather when it is correctly anticipated by investors in the Hope phase and when investors get overly optimistic about the potential for future growth during the Optimism phase Exhibit 2 illustrates this for Europe ex UK. For each phase, it indicates the average length of the phase the average annualized price return and how that is distributed between ltiple expansion and earnings growth. While the growth phase sees most of the growth in earnings, the price return mainly occurs in the Hope and Optimism phases Exhibit 2: Decomposition of returns into earnings growth and multiple expansion Annualized contributions to real price returns from real 60 1-Real earnings grow th( %)Average P/E multiple expansion(%) Real price returns (%) 73 -24.9% -30 oPtimism Source: Worldscope, Haver Analytics, Datastream, Goldman Sachs Global ECS Research
October 23, 2009 Europe: Portfolio Strategy Goldman Sachs Global Economics, Commodities and Strategy Research 3 2. The Hope phase is typically a short period (on average 10 months), where the market rebounds from its trough through multiple expansion. This occurs in anticipation of a forthcoming trough in the economic cycle as well as future profit growth and is leading to a local peak in the trailing P/E multiple. We define the end of the Hope phase as this local peak of the trailing P/E multiple. 3. The Growth phase is a typically longer period (on average 33 months), where earnings growth drives returns. We define the end of this period to be when multiple expansion again starts to provide a larger proportion of the returns than earnings growth. 4. The Optimism phase is the final part of the cycle, where returns driven by P/Emultiple expansion outpace earnings growth, thereby setting the stage for the next market correction. The framework demonstrates that the relationship between earnings growth and price performance changes systematically over the cycle. While earnings growth is what fuels equity market performance over the very long run, most of the earnings growth is not paid for when it occurs but rather when it is correctly anticipated by investors in the Hope phase and when investors get overly optimistic about the potential for future growth during the Optimism phase. Exhibit 2 illustrates this for Europe ex. UK. For each phase, it indicates the average length of the phase, the average annualized price return and how that is distributed between multiple expansion and earnings growth. While the Growth phase sees most of the growth in earnings, the price return mainly occurs in the Hope and Optimism phases. Exhibit 2: Decomposition of returns into earnings growth and multiple expansion Annualized contributions to real price returns from real earnings growth and P/E expansion -30 -20 -10 0 10 20 30 40 50 60 Real earnings grow th (%) Average P/E multiple expansion (%) Real price returns (%) 26 months 10 months 33 months 14 months Despair Hope Grow th Optimism -24.9% -7.3% 51.2% 0.7% 10.9% 22.5% 27.1% 24.2% -19% 50.2% -9.5% 2.3% Source: Worldscope, Haver Analytics, Datastream, Goldman Sachs Global ECS Research
October 23 2009 pe: Portfolio Strategy On our way from Hope to Growth The European market is currently in the Hope phase this phase typically lasts 10 months from the trough, seeing expansion of the multiple while LTM earnings are still declining. The range has been from 4 months in the short cycle in the late 1980s to 18 months in the cycle in the early 1980s. We expect earnings to decline 16% in 2009, yet the market is up 25% YTD and we expect the market to rise another 5% from here to our year- We expect the market to switch into the growth phase in the early part of 2010, as earnings growth picks up while our return target of 275 on a 12 month basis indicates only a modest rise in the index of 6% from our 260 year-end 2009 target Our prediction of the timing of the switch from Hope to growth comes with significant uncertainty. On one hand, valuation at the trough of the market was very attractive. This could give room for a longer period of multiple expansion before the switch to the growth phase occurs, consistent with the cycle in the early 1980s. On the other hand given the concerns in the market about final demand recovery in developed economies, we could switch into the"show me the money"environment of the growth phase relatively early Our forecast of the timing of the switch from Hope to growth is based on the economic environment. There is no one economic indicator that precisely determines when the switch occurs, but the PMi and the unemployment rate have historically been useful indicators the switch fror time when the Pmi passed 50. this is consistent with the US experience, where our data goes further back. Here a sustained switch into the ISM being above 50 has coincided with the switch to the growth phase in 3 out of 5 cycles. The European PM is currently at 49. 3, so we are around that level Unemployment: In the cycles in the 1970s and early 1980s the unemployment rate peaked in the Us before the market switched into the growth phase. this relationshi hanged in the last two jobless recoveries, where the switch from Hope to growth ccurred at or slightly before the peak in the unemployment rate. In Europe the same picture emerges for the last two cycles where we have data On our economists forecasts the unemployment rate for Euroland will peak in the third quarter of 2010 at 10.5%, but reach 10.4% in the second quarter of 2010 In sum the PMi would suggest that the switch is likely to occur relatively soon whereas the unemployment forecast would suggest the timing to be around the middle of the next year this range is consistent with our forecasts for earnings and DJ Stoxx index returns. We believe the switch is most likely to occur in the first half of the range, which would give a slightly longer Hope phase than the historical average oldman Sachs Global Economics, Commodities and strategy Research
October 23, 2009 Europe: Portfolio Strategy Goldman Sachs Global Economics, Commodities and Strategy Research 4 On our way from Hope to Growth The European market is currently in the Hope phase. This phase typically lasts 10 months from the trough, seeing expansion of the multiple while LTM earnings are still declining. The range has been from 4 months in the short cycle in the late 1980s to 18 months in the cycle in the early 1980s. We expect earnings to decline 16% in 2009, yet the market is up 25% YTD and we expect the market to rise another 5% from here to our yearend target of 260. We expect the market to switch into the Growth phase in the early part of 2010, as earnings growth picks up while our return target of 275 on a 12 month basis indicates only a modest rise in the index of 6% from our 260 year-end 2009 target. Our prediction of the timing of the switch from Hope to Growth comes with significant uncertainty. On one hand, valuation at the trough of the market was very attractive. This could give room for a longer period of multiple expansion before the switch to the Growth phase occurs, consistent with the cycle in the early 1980s. On the other hand, given the concerns in the market about final demand recovery in developed economies, we could switch into the “show me the money” environment of the Growth phase relatively early. Our forecast of the timing of the switch from Hope to Growth is based on the economic environment. There is no one economic indicator that precisely determines when the switch occurs, but the PMI and the unemployment rate have historically been useful indicators. • PMI: In the last cycle the switch from Hope to Growth in Europe occurred around the time when the PMI passed 50. This is consistent with the US experience, where our data goes further back. Here a sustained switch into the ISM being above 50 has coincided with the switch to the growth phase in 3 out of 5 cycles. The European PMI is currently at 49.3, so we are around that level. • Unemployment: In the cycles in the 1970s and early 1980s the unemployment rate peaked in the US before the market switched into the Growth phase. This relationship changed in the last two jobless recoveries, where the switch from Hope to Growth occurred at or slightly before the peak in the unemployment rate. In Europe the same picture emerges for the last two cycles where we have data. On our economists’ forecasts the unemployment rate for Euroland will peak in the third quarter of 2010 at 10.5%, but reach 10.4% in the second quarter of 2010. In sum, the PMI would suggest that the switch is likely to occur relatively soon, whereas the unemployment forecast would suggest the timing to be around the middle of the next year. This range is consistent with our forecasts for earnings and DJ Stoxx index returns. We believe the switch is most likely to occur in the first half of the range, which would give a slightly longer Hope phase than the historical average