高盛歐尼爾觀點歐元長期趨勢看貶往1.2靠 ~~5/7

不錯了啦,下面是我3/28整理給客戶包含高盛原報告內容沒圖沒真相

,若大大你有更精確訊息可以跟你一起交流嗎?

About ~~ 高盛逆勢看升日圓 ~~ 3/28

• 午安,大陸社保基金不入市讓上證午盤收跌將近3%,下列是高盛昨晚的全球布局,在本波日本央行量化寬鬆日圓大貶後,看貶幅已大,本周加入放空 $/JPY 策略也就是再度看升日圓回升至79,而日圓本就是所謂避險貨幣,近期市場風險是否將上升仍有待後續觀察.

Goldman Sachs Research
Global Markets Daily: The (Global) Growth and European Risk Sensitivities of European Equity Sectors
Published 04:26 AM Tue Mar 27 2012

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Kamakshya Trivedi
+44(20)7051-4005
Stacy Carlson
(212) 855-0684

‧Chairman Bernanke’s remarks on accommodative Fed policy cheered markets overnight.
‧In February, we introduced two simple factors to track global growth and European sovereign risk.
‧In today’s daily we look at the relative sensitivity of the different Pan-European Stoxx 600 sectors to these two factors.
‧Healthcare (SXDP) and Food and Beverages (SX3P) have the lowest sensitivity to the growth or European risk factors.
‧Sectors with significant growth sensitivity but limited European risk sensitivity are Basic Resources (SXPP), Energy (SXEP) and Personal and Household goods (SXQP).
‧Sectors that are relatively more levered to European sovereign risk include Banks (SX7P) and Insurance (SXIP).
‧Among the cyclical sectors, Construction (SXOP) has by far the most European risk sensitivity.
‧Among the defensive sectors, Utilities (SX6P) and Telecoms (SXKP) are relatively more sensitive to European risk.
‧In general, sectors with greater European risk sensitivity have retraced less of their declines since last summer

1. An “Accommodative” Fed Cheers Markets
Federal Reserve Chairman Ben Bernanke spoke before the annual meeting of the National Association for Business Economics (NABE) yesterday. While much of his speech was devoted to an analysis of developments in the labour market, he referred to the fact that faster growth would perhaps be needed to see further declines in unemployment, which “can be supported by continued accommodative policies”. He also argued that because the increase in long-term unemployment was primarily cyclical, “then accommodative policies to support the economic recovery will help address this problem as well”.

As our US economics team pointed out, these statements were not necessarily calls for additional easing. But given the some recent jitters over the future stance of the Fed, markets appear to have interpreted these comments as clearly suggestive that the Fed’s accommodative stance would likely continue. Equity markets rallied sharply higher, the S&P 500 taking out new post-financial crisis highs at 1416, the dollar weakened broadly, and US Treasuries ended the day at their highs after selling off initially. This market reaction fits the classical template of a monetary “easing” shock, with bond markets stuck between an accommodative Fed on the one hand, but lagging the strength in activity visible since the end of last year. Our current tactical trading recommendations reflect aspects of this template: we are long equities (Russell 2000), short the June contract of 10 year bond futures, and short the US Dollar against the Yen.

Yesterday, equity markets finished strongly in Europe as well after gaining through most of the day – partly on the back of stronger survey data out of Germany and Italy. Spanish equities, though, were a notable exception, with the IBEX down -70bp on the day even as other major markets finished between +80bp to +120bp higher. While the slippage on deficit and growth targets in Spain has been the chief market concern in recent weeks, the divergence between the IBEX (down -4% ytd) and other European markets like the DAX (up +20% ytd) or Eurostoxx 50 (up +10% ytd) appears to be reaching pretty stretched levels. The Spanish government will unveil its 2012 budget on Friday.

Today is relatively light on the macro data front. In the US, we are above consensus on both Consumer Confidence for March (we expect 71 (Consensus 70.4) after 70.8 in February) and Case-Shiller Home Price Index for January (we expect +0.2% mom (Consensus -0.3%) after -0.5% in December).

2. Growth and European Risk factor redux
Back in early February we introduced two asset market-based factors for global growth and European risks in order to monitor how the market’s view of these risks was evolving (Global Economics Weekly : 12/05 - Navigating Between Global Growth and European Risks). For some time now, global asset markets have been driven by the interplay between these two forces. As we said at that time, these two factors are clearly linked – a growing economy makes both ongoing deficit and legacy debt burdens appear more manageable; hence, markets have tended to reflect more concern about European risks when growth is visibly slowing. And financial risks have been most intense when there are genuine concerns that those risks will spill over into the real economy.

As a reminder, we take the first principal component of a set of four assets for each driver. For growth, we use four cyclical assets from different asset classes: the 10s-2s yield curve slope for US Treasuries; our Wavefront US growth basket; 3-month copper futures; and the trade-weighted AUD. For European financial risk, we use a set of measures that capture the main aspects of the financial, sovereign and funding stresses: an index of European bank equity (SX7E); the iTraxx senior financial 5-year CDS; an index of Euro area sovereign CDS; and the cross-currency basis for EUR/$. While the exact choice of assets will determine the precise form of the proxies we create, we believe that we are capturing a simple measure of each driver that is not overly dependent on any single asset market.

Since late November, and in particular since the end of 2011 till mid-Feb, both these risk factors improved together as the market upgraded its growth views even as it relaxed about sovereign tensions in the Euro area following the 3 year LTRO operations. Since early- to mid- Feb however, the improvement in the growth factor has stalled, and even reversed somewhat, against a backdrop of rising oil prices, concerns about slowing activity in China and a data picture in the US, which is somewhat more mixed than previous months. By contrast, the market has continued to relax about European risks despite the occasional setback. To be clear, the divergence is not major but it is a development that is worth monitoring since it has implications for assets that are relatively more leveraged to growth versus European risks.

3. Decomposing European Equity Sectors along the Growth and European risk Dimensions
In the Global Weekly, we regressed weekly returns in different assets on weekly changes on the Growth and European risk factor to estimate their sensitivity to these risks. In equity markets, we focused on the major DM and EM equity indices, and we have now run the same exercise on European Stoxx 600 sectors. The results are both intuitive and insightful.

‧Healthcare (SXDP) and Food and Beverages (SX3P) have the lowest sensitivity to growth or European risk factors. This testifies to their “defensive” characteristics.
‧Sectors with very significant growth sensitivity but very limited European risk sensitivity are Basic Resources (SXPP), Energy (SXEP), Personal and Household goods (SXQP) and Travel and Leisure (SXTP) – listed in descending order of their growth sensitivity.
‧At the other extreme, it is harder to identify sectors that have significant European risk sensitivity, but no growth sensitivity. In reality, most equities are a mix of both European and growth risks. But sectors that are relatively most European risk levered are Banks (SX7P) and Insurance (SXIP) (along with the Eurostoxx 50 index (SX5E)). While there is a small element of circularity linked to the use of the bank equity index in the construction of the European factor, it is less concerning since it is one of four inputs.
‧Among the cyclical sectors – or sectors with high growth sensitivity – Construction (SXOP) has by far the most European risk, followed a fair way behind by Industrials (SXNP), Autos (SXAP), Chemicals (SX4P) and Tech (SX8P).
‧Among the defensive sectors – or sectors with relatively low growth sensitivity – Utilities (SX6P) and Telecoms (SXKP) are relatively more sensitive to European risk, with the other defensives mentioned above (Healthcare and Food and Beverages) having little or no sensitivity.
It is important to note that our two proxy risk factors are correlated about half the time, so even when sectors are relatively less affected by one or the other risk factors, they are not completely unaffected in a strict statistical sense. It also goes without saying that this analysis does not take into account a wide range of other macro, sector- and stock-specific considerations that affect these equity sectors. So this simple two factor decomposition clearly abstracts from a much richer reality, but it does show neatly how European equity sectors combine different mixes of (global) growth and European sovereign risk, and this can help market participants invest and hedge risks in these markets.

4. Sectors with Greater European Risk Sensitivity have Retraced less of their declines since last summer
Ranking European equity sectors by the degree to which they have retraced their summer declines suggests that sectors with relatively greater sensitivity to European sovereign and financial risks have lagged the broader retracement in the markets. At the one end, Food and Beverages (SX3P), Personal and Household Goods (SXQP), Energy (SXEP), and Healthcare (SXDP) are all more than 20% above their pre-July 2011 levels, and these are all sectors – defensive and cyclical – that are estimated to have very little European sovereign risk sensitivity. At the other end, Utilities (SX6P), Banks (SX7P), Financial Services (SXFP) and Telecoms (SXKP) are among the bottom five in terms of retracing their summer 2011 declines, each between 30% to 40% away from their pre-July 2011 levels.

The distinction within the defensive sectors is especially stark – the most European risk sensitive defensives (Utilities and Telecoms) have lagged the most and the least European risk sensitive defensives (Food and Beverage and Healthcare) are at the forefront of the sector moves since last summer. Within cyclical sectors – the ones relatively more sensitive to growth risk – the distinction is less clear cut. Whereas Energy (SXEP), Chemicals (SX4P) and Tech (SX8P) are all in the top half of sector performance since last summer, Basic resources (SXPP) is an important exception. It has retraced less of its summer declines even relative to banks (SX7P), and it is likely that concerns about slowing growth in China have been an important concern for the stocks in this sector.

The fact that sectors more linked to European risk have lagged, even as the European risk factor itself has continued to stabilize and improve, suggests that there may be some scope for better performance here – and Peter Oppenheimer and team have recently upgraded the Banks and Utility sectors (which are relatively more sensitive to European risk on our analysis) to overweight, while downgrading Telecoms to underweight. Euro area sovereign risks have not disappeared even though the funding situation for both banks and sovereigns has improved significantly. Progress still needs to be made on aspects of ‘debt mutualization’, and the combination of fiscal austerity and low growth in the peripheral economies is likely to make for a noisy political environment for some time to come. Besides, as the example of the Basic Resource sector above shows, it is important to consider more than just the sensitivities to (global) growth and European sovereign risk in determining specific sector views. That said, understanding the sensitivity of different sectors to these two key macro risks should help and inform that process.

5. Recommended Tactical Trading Views
The following trading ideas from the Global Markets Group reflect shorter-term views, which may differ from the longer-term ‘structural’ positions included in our ‘Top Trades’ list further below.

On FX:

1.Stay short $/JPY opened at 82.80 on 22 March 2012 with a target of 79.0 and a stop on a close above 84.50, now at 82.92
2.Stay short TRY/BRL opened at 1.00 on 19 March 2012 with a target of 0.90 and a stop on a close above 1.03, now at 1.018
On Rates:

1.Stay long 5-yr Italy vs. short 5-yr Spain opened at -6 bp on 14 March 2012 with a target of -50bp and a stop on a close above 25 bp, now at 9.7bp.
2.Stay short 10-yr UST futures (TYM2) opened at 129-17 on 14 March 2012 with a target of 126-00 and a stop on a close above 131-16, now at 129-2.
3.Pay KRW 5-yr swap rates opened at 3.67% on 15 March 2012 with a target of 4.0% and a stop on a close below 3.35%, now at 3.68%.
On Equities:

1.Stay long the Russell 2000 opened at 825.9 on 15 March 2012, with a target of 870 and a stop on a close below 800, now at 846.1.
6. Recommended Top Trades for 2012
Longer-term structural views are expressed in our Top Trade recommendations. These are typically managed with a wide stop, and assessed on the basis of whether the fundamentals continue to support the medium-term investment theme. The recommendations were opened on 30 November 2011 unless stated.

1.Close protection on the iTraxx Europe Xover Index, opened at 759bp, for a potential loss of 3.4%.
2.Close short 10-yr German Bunds, opened at 2.28%, for a potential loss of 3.5%.
3.Stay long EUR/CHF, opened at 1.226, with a target of 1.35 and a stop below 1.20, now at 1.2063.
4.Stay long Canadian Equities (S&P TSX) vs. Japanese Equities (Nikkei), FX unhedged, opened at 100, with a target of 120 and a stop below 90, now at 94.09.
5.Stay long a Global Rebalancing Basket (CNY, MYR vs. GBP, USD), opened at 100, with a target of 107 and a stop below 98, now at 100.9.
6.Close long July 2012 ICE Brent Crude Oil Futures, opened at 107.8, with potential gain of 11.6%.

Equity Basket Disclosure

The Securities Division of the firm may have been consulted as to the various components of the baskets of securities discussed in this report prior to their launch; however, none of this research, the conclusions expressed herein, nor the timing of this report was shared with the Securities Division.

Note: The ability to trade this basket will depend upon market conditions, including liquidity and borrow constraints at the time of trade.