高盛中國市場策略：2022市場展望報(bào)告

1、高盛全球投資研究2022市場展望：“不適”的上行空間；離岸市場重回超配高盛中國市場策略投資者不應(yīng)視本報(bào)告為作出投資決策的唯因素。 有關(guān)分析師的申明和其他重要信息，見信息披露附錄，或參閱 Goldman Sachs Global Investment ResearchGlobal Investment Research2六張圖概括2022年中國股票市場主要觀點(diǎn)Source: Goldman Sachs Global Investment ResearchGlobal Investment Research3宏觀周期：我們的經(jīng)濟(jì)研究團(tuán)隊(duì)預(yù)計(jì)2022年中國GDP增長4.8%,這是危機(jī)年份之外的歷史最

2、低增速20196.04.00.70.5-2.720202.31.7-0.9-3.6-0.62021F7.82022F7.02.8-0.112GDPDomestic Demand% yoypp% yoy% yoy% yoypp6.88.311.05.31.1ConsumptionHousehold ConsumptionGross Capital FormationNet ExportsExports of Goods (nominal USD)Imports of Goods (nominal USD)Inflation% yoy% yoy

3、283214CPICore CPIPPI% yoy% yoy% yoy2.91.7--4.5OtherCurrent AccountUSDCNY (eop)OMO 7-Day Repo RateTSF Stock Growth (eop)Augmented Fiscal Deficit% GDPlevel% GDP1.66.962.5010.711.86.532.2013.316.56.352.2010.511.06.202.2010.512.0Source: Goldman Sachs Global Investment

4、 ResearchGlobal Investment Research4宏觀周期：房地產(chǎn)市場構(gòu)成顯著阻力，但是增長動(dòng)能將于2021年四季度開始改善GDP growth10Forecast864206.05.55.05.04.5Real GDP (yoy)Real GDP (qoq, saar)Source: Haver Analytics, Goldman Sachs Global Investment ResearchGlobal Investment Research5盈利周期：由于利潤率假設(shè)較為保守，我們的2022年盈利增長預(yù)期低于市場一致預(yù)期MSCI China earnings gr

5、owth (% yoy, in HKD terms)Sales growth (% yoy)Net margin (%)25%20%15%10%5%35%30%25%14%13%12%11%MXCN Net MarginCons:14%MXCN Sales growthCons:GSe:18%14% 20%15%GSe:9%GSe: 12%10%5%GSe:9%GSe: 7%0%0%GSe:GSe:9.6%GSe:9.5%-5%-10%-15%9.8%10%-5%-10%9%Source: FactSet, I/B/E/S, MSCI, Goldman Sachs Global Investm

6、ent ResearchGlobal Investment Research6盈利周期：房地產(chǎn)市場放緩的程度是我們盈利預(yù)測面臨的主要風(fēng)險(xiǎn)因素2022E earnings impact from property sector slowdownMXCN EPS Revision (Average of 2021/22 EPS) (CNY)25%15%5%New starts: -30%Completion: -10%Sales volume: -10%ASP: -10%Land sales: -30%FCI: +140bpNew starts: -15%Completion: +10%New s

7、tarts: -22.5%Completion: 0%Sales volume: -5% Sales volume: -7.5%ASP: -5%ASP: -7.5%Land sales: -15% Land sales: -22.5%FCI: +35bpFCI: +70bp+2% (11%)-3% (29%)10510095GS 2022EEPSg: 7%-5%(14%)902022E EPSg without property impact: +13%85-5%MXCN80-6%Property-centric ex. EnergyInternet75Financing-10%-34% (2

8、8%)-15%-25%-35%Property constructionRelated consumptionAsset allocation70Non property-centric/internet-17%65-28%Macro impacts on other sectorsScenario 1Scenario 2Scenario 3Note: Numbers in brackets represent 2021-23E EPS CAGR on consensus est.Source: FactSet, CEIC, MSCI, Goldman Sachs Global Investm

9、ent ResearchGlobal Investment Research7盈利周期：我們看好半導(dǎo)體、互聯(lián)網(wǎng)零售以及傳媒娛樂行業(yè)，但對(duì)房地產(chǎn)相關(guān)行業(yè)更加保守MXCN 2022 Earnings Growth Forecasts (HKD)2022E Earnings growth contribution (yoy)MXCNReal Estate -2%TransportationEnergy7%EarningsGrowth -ConsEarnings GS vs ConsEarningsWeightGICS Industry GroupsGrowth -GSEPSintegerChemic

10、als/Other Mat.Metals & MiningTelecomBanksInsurance/Other Fin.Real EstateCapital GoodsEnergyUtilitiesChemicals/Other Mat.TransportationMetals & MiningTelecomCons. Retail & Svcs.Internet/Media & Enter.Tech HardwareStaples27%11%8%5%3%3%2%2%1%0%15%11%3%3%2%2%1%0%8%17%11%12%-5%5%11%-20%6%

11、-15%10%-13%-28%-19%11%32%26%9%-5%-9%-31%-10%-9%SemiconductorsSoftware & Svcs.Tech HardwareUtilities13%9%-8%-24%-26%-36%-7%Capital GoodsHealth Care-14%15%16%29%23%16%22%25%109%7%StaplesAutos-1%Insurance/Other Fin.Banks1%1%+1%-10%-4%-3%-4%Internet/Media & Enter.Cons. Retail & Svcs.2%4%20%1

12、9%105%9%Health CareAutosSemiconductorsSoftware & Svcs.Non-Property8%+6%-1%Property-Centric-1%407%408%MXCN100%30%70%14%24%11%7%27%1%-9%0%New ChinaOld China7%New China0%Old China-10%-5%0%5%10%Note: using 2020 EPS as base.Source: FactSet, MSCI, Goldman Sachs Global Investment ResearchGlobal Investm

13、ent Research8股市和價(jià)格周期：我們認(rèn)為最近市場33%的回調(diào)從歷史來看屬于 “大幅”回調(diào)，但往往隨后會(huì)出現(xiàn)市場的強(qiáng)勁恢復(fù)Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research9股市和價(jià)格周期：隨著2022年的進(jìn)展，我們認(rèn)為中國股市周期可能逐漸進(jìn)入“Hope”階段Average MXCN return (annualized)ReturnPE expansion13 monthsEarnings growth (trailing)Average duration:

14、8 months11 months6 months100%80%60%40%89%70%52%46%24%19%20%13%3%3%0%-4%-20%-40%Note: is calculated asthe averagereturn/volatility, ignoringthe risk-free rate.-45%-46%-60%DespairHopeGrowthOptimismSharpe ratio: -3.7IQR annualized return: 133%213%116%376%Source: MSCI, FactSet, Goldman Sachs Gl

15、obal Investment ResearchGlobal Investment Research10股市和價(jià)格周期：根據(jù)過去十年來的股市周期經(jīng)驗(yàn)，“Hope”階段往往緊隨“Despair”階段Performance decomposition for MXCN (since 2010)Equity cycles: DespairOptimism HopeGrowthDespairGrowth HopeDespairGrowthHope?Hope DespairGrowthHopeDespairOptimism100%80%60%40%20%0%-20%-40%fP/E changesEPS

16、g changesIndex returnSource: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research11政策周期：我們預(yù)測2022年中國政策邊際放松Z-score1.5Z-score1.5China domestic macro policy proxy1.00.51.0ActualProjection*More policystimulus0.50.00.0-0.5-1.0-1.5-2.0-2.5-0.5-1.0-1.5-2.0-2.5Note: Shaded areas

17、refer to periods when ChinaCAI 3mma growth was below 5.5%.*Assume no change in housing stance, a widerfiscal deficit in 2022, no RRR cut or ratechanges, TSF growth of 10.5% yoy in 202220152016201720182019202020212022Source: Goldman Sachs Global Investment ResearchGlobal Investment Research12政策周期：盡管全

18、球大多數(shù)市場將迎來貨幣政策收緊，中國可能小幅放松Monetary policy outlook for US, EU and APAC markets2021Q420222023MarketsUSQ1Q2Q3Q4Q1Q2Q3Q4Tapering+25 bps +25 bps+25 bps+25 bpsEuro areaChinaHK+25 bps +25 bps+25 bps+25 bpsIndia+25 bps +25 bps +25 bps+25 bps +25 bps +25 bpsIndonesiaMalaysiaPhilippinesSingapore*Korea+25 bps +5

19、0 bps +50 bps +25 bps +25 bps +25 bps+25 bps +25 bps +25 bps +25 bps +25 bps+25 bps +25 bps +25 bps +25 bps +25 bps+100 bps+50 bps+25 bps+13 bps+25 bps+25 bps+25 bps+25 bpsTaiwan+12.5 bps+12.5 bps+12.5 bps+12.5 bpsThailandAustralia+25 bps +25 bps +25 bps +25 bps +25 bps+15 bpsTapering*Note: Values r

20、efer to the GS expected increase of the MAS S$NEER slope.Source: Goldman Sachs Global Investment ResearchGlobal Investment Research13政治周期：歷史數(shù)據(jù)表明在換屆前夕，經(jīng)濟(jì)、政策和市場估值指標(biāo)多為積極樂觀Real GDP (yoy, %)Output Gap (Median Est., %)Max/Min bandChina Party Congress(2002, 2007, 2012, 2017)AverageMax/Min bandChina Party C

21、ongress(1997, 2002, 2007, 2012, 2017)Average2.52.01615141312111091.51.00.50.0-0.5-1.0-1.5876-12M-6M0M6M12M-12M-6M0M6M12MDomestic Policy ProxyForward 12M P/E of MSCI China (X)Max/Min bandAverageMax/Min bandChina Party Congress(1997, 2002, 2007, 2012, 2017)Average1.5China Party Congress(2007, 2012, 20

22、17)2520151051.00.50.0-0.5-1.0Macro policytightening-4M-2M0M2M4M-12M-6M0M6M12MSource: Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research14政治周期：在政治意義重要的年份，股票市場亦表現(xiàn)強(qiáng)勁MSCI China Index16014012010080199720022007China Party Congress(1997, 2002, 2007, 2012, 2017)20122017Average604020-12

23、M-6M06M12MSource: FactSet, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research15監(jiān)管周期：我們的私營企業(yè)監(jiān)管指數(shù)表明監(jiān)管趨于緩和Source: Goldman Sachs Global Investment ResearchGlobal Investment Research16監(jiān)管周期：我們預(yù)測，如果監(jiān)管強(qiáng)度常態(tài)化或左尾風(fēng)險(xiǎn)被消除，中國互聯(lián)網(wǎng)行業(yè)將被重估約20%Probability distribution of China Internet fair-values(u

24、nder a normal distribution assumption of ROE and ERP around current values)403530252010%8%6%4%2%0%+26%Fair-valuesdistribution(CurrentExtremeScenariosRemoved(ROE 9.0%removed)level =100)+18%(+60%)(-35%)31-Oct-21fPE to POE Proxy = -1.0(67.5% conf. interval, +/-1)(-55%)(+120%)(95% confidence interval, +

25、/-2)-2.5 -2.0 -1.5 -1.0 -0.50.00.51.01.52.02.520 40 60 80 100 120 140 160 180 200 220 240China Internet fair-value (10 index points per each interval)POE Regulation ProxySource: Factiva, Bloomberg, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research17監(jiān)管周期：我們認(rèn)為監(jiān)管不確定性已經(jīng)被充分反映到市場

26、定價(jià)中Potential 12M Upside for China Internet under differentERP & Earnings/ROE assumptions in a DCF model(Base Case: 30% Internet EPS Growth in 2022)Internets ROE assumptions in the medium-term(Year 3-8 Average) under a DCF ModelConsensus /(China InternetEquity RiskPremium Scenario)Moderate Bearis

27、hScenario: Scenario: Scenario:ExtremeGS Model:17.0% medium-term ROE18.0%16%-8%15%14.0%-42%Current ComparableSOE IERP Level9.4%8.8%8.4%31%55%79%10%30%50%-23%Current IERP Level(+1.1 s.d. above 5yr mean)9%-9%4%-32%-21%Mid-Point b/w Current vs.GS Assumptions26%Past 5-year Avg IERP2021 Trough (Mid-Feb)7.

28、9%7.6%108%128%74%91%46%60%21%33%-9%-1%(Current Market Priced / (More bearish scenarios/ assumptions ifImplied Assumptions) markets expect negative returns in 12M)Source: FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research18估值周期：中國市場估值處于近年來的歷史低位，“中國折價(jià)”接近歷史高點(diǎn)12m forward P/E (X)

29、20Premium/discount of 12m fPE80%18.6x17.1xMXCN vs S&P500 (sector neutral)MXCN vs MSCI ACWICSI300 12mfPE: 13.5x,0.4 s.d.1816141210860%40%20%0%China Internet vs US Internet-18% (-1.3sd)MXCN 12m fPE:12.7x, -0.5 s.d.-20%-40%-60%10.6x-28% (-0.9sd)-42% (-1.8sd)10.6x9.4xSource: MSCI, FactSet, Goldman S

30、achs Global Investment ResearchGlobal Investment Research19估值周期：隨著政策放松和監(jiān)管可見性提高，我們預(yù)測市場估值有可能在2022年迎來修復(fù)/擴(kuò)張MXCN 12m fPE (x)2022E GSforecastsModel variablesChina growthGlobal growthUS liquidity3530252015105Internet32.0 x(+0.8sd)US-China RelationsRegulation24.6xAggregateSouthboundmacro modelflowsforecastM

31、XCN14.5x(+0.5sd)12.7xChina growthGlobal growthNon-Internet10.5xChina domestic policy(+0.6sd)9.8xRegulationNote:andindicates macro variables;indicates other factors.Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research20倉位/資金流周期：全球共同基金對(duì)中國股票的配置接近低谷China allocations

32、in active funds globally (OW/UW)(includes GEM, AEJ, Global & Global ex-US funds, AUM: US$1.2tn)Positioning of EM/Asia funds in Chinese equities(OW/UW vs MXCN index wgt, bps)bp-2502001001st tranche ofChina ADRinclusionAs of Sep 30, 2021-300-350-400-450-500-550-60023844A sharesADRs-13-350-100-200-

33、300-400-500-600-700-800-77-108-120-145Avg. -410Latest:-470(-421)(ex Alibaba)H shares(-442)-528(-464)-584(-445)Trough:-518(-499)-4822nd tranche of ChinaADR inclusion-603-684Dec19Jun20Dec20Jun21Sep21Source: EPFR, MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research21倉位/資金流

34、周期：我們預(yù)計(jì)2022年互聯(lián)互通資金流強(qiáng)勁、資金重新配置情況更加明顯Cumulative net buying of Southbound/Northbound Connect since inception(RMBtn)12(RMBtn)Potential allocation in equities and mutual funds - RHSHousehold investable capital (annual)(US$bn)GSe: +753.53.02.52.0MSCI AshareInclusion35030025020015010050Southbound flowNorthb

35、ound flowytd: +53Note: Household investable capital is estimated as thehousehold disposable income + net change in consumercredit - household expenditure - property downpayment -interest payment.108+87+31GSe:+756ytd:+513tn+501.51.00.50.0+11+45+44+32+94+15+18+322+3000Source: Wind, CEIC, Bloomberg, Go

36、ldman Sachs Global Investment ResearchGlobal Investment Research22股票策略：年初至今中國市場主要有兩次“成長-價(jià)值”輪動(dòng)，觸發(fā)因素首先是對(duì)于美債利率上行的擔(dān)憂，然后是監(jiān)管不確定性的加劇Growth vs. Value rotation, since 201030%20%10%0%35030025020015010050Growth vs. Value (3m rolling return)Growth vs. Value rel. performance - RHS-10%-20%-30%-18% -18%(202d) (125

37、d)-20% -18%(147d)(49d)-19%(109d)-23% -18%(84d) (69d)Note: Style rotation defined as 10% correction of Growth vs. Value relative performance and 10%loss measured by 3m rolling return. Duration and return of rotations based on starting peaks andending troughs. As of Nov 5, 2021.Source: MSCI, FactSet,

38、Goldman Sachs Global Investment ResearchGlobal Investment Research23股票策略：我們認(rèn)為增長放緩但更寬松的政策環(huán)境應(yīng)會(huì)促進(jìn)“增長溢價(jià)”擴(kuò)張PE premium (New vs. Old China)22Actual18.0 xModel-fitted(+1.2s.d.)1814106Current:13.8xVariablesGS China CAIDomestic macro policy proxyGS Global ex China CAISource: MSCI, FactSet, Goldman Sachs Globa

39、l Investment ResearchGlobal Investment Research24投資標(biāo)的(1)：政策驅(qū)動(dòng)增長：尋找通向“富?！钡摹肮餐甭窂絊ource: FactSet, IBES, Goldman Sachs Global Investment ResearchGlobal Investment Research25投資標(biāo)的(2)：在“失寵”的互聯(lián)網(wǎng)行業(yè)尋找增長機(jī)會(huì)Forward P/E (X)Forward PEG (X) Total Listed Mkt Cap for Chinese Internet/Tech (USD tn)1.5 3.0Feb 17:2.99t

40、n403530252015China Internet(Offshore)ForwardJul 1:2.42tn12M P/ENov 12:1.91tn1.82tn2.01.51.00.925.7X(-1.2s.d.)0.8 0.5Forward12M PEG RHS0.9X(-0.6s.d.)0.70.00.6Note: including all stocks. excluding stocks listed after Feb 17.US$5bn US$5mnB/B*Potentialupside ifCNRG revertsto 50Listed M

41、ktCap(US$bn)GSe 22-24EEPS CAGR(%)Price vsYTD peakQuotedPriceQuotedCurrencyADVT(US$mn)GSe 22EP/E (X)GSe 22EP/B (X)GSe 22EPEG (X)GSRatingsTickerNameSectorBuy rated offshore Internet companies700 HKTencentAlibabaMeituan DianpingPDDJD.comNetEaseBaiduComm SvcsCons DiscCons DiscCons DiscCons DiscComm Svcs

42、Comm SvcsCons DiscCons Disc15%18%40%30%21%23%26%18%27%25%-37%-41%-39%-59%-28%-24%-52%-32%-55%464.0160.2270.483.277.2100.8161.630.421.0-HKDUSDHKDUSDUSDUSDUSDUSDUSD-571.5434.3189.4104.3103.269.745.819.45.01,6693,7288587777683157391502717.624.2695.658.172.914.624.359.2205.5130.220.913.92074.159.547.320

43、.015.025.983.03.72.313.00.20.7B*B*BBB*BBBBBABA UN3690 HKPDD UWJD UWNTES UWBIDU UWTCOM UW TDADA UW Dada NexusAverage1.16.4156.694235.76.0-Note: Prices as of Nov 9, 2021; Valuation items are estimates by GS equity analysts, except for I/B/E/S consensus. Current CNR

44、G = 77 as of Nov 5, 2021; upside calculated based on past 52-week absolute returnsensitivity to CNRG.Source: FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research26投資標(biāo)的(3)：行業(yè)策略：相對(duì)價(jià)值而言，更偏好成長性機(jī)會(huì)21-23EEPSCAGR22EP/E(X)22EP/B(X)MXCN industry Weight in Past 1M22EPEGAllocationgroupsMX

45、CNperfAutosConsumer DurablesOverweight MediaRetailing6.92.917.76.08.33.0%7.6%-1.7%-3.5%8.2%34%21%22%32%24%11%65%11%-4%22%19%14%36%14%-13%11%7%31.625.823.325.522.05.458.514.81.3

46、-1.51.1-SemisCapital GoodsConsumer SvcsDiv FinancialsEnergy4.5%-9.9%-4.4%-11.9%-1.0%-13.1%-5.7%-4.8%-0.7%-6.5%-2.2%-3.0%-7.1%-4.3%-2.1%Food BevMarketweight HC Equip & SvcsInsurancePharma BiotechTech HardwareTransportationUtilities0.51.2BanksM

47、aterialsReal Estate8%10%15%8.74.816.5UnderweightTelecomSource: MSCI, FactSet, Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research27什么可能出錯(cuò)？中國房地產(chǎn)：60萬億美元的困局Percent pointPercent point3.03.0Impact of property sector slowdown on China GDP level in 2022MXCN 12m fPE (x)New starts: -15%C

48、ompletion: +10%Sales volume: -5%ASP: -5%Land sales: -15%FCI: +35bpNew starts: -22.5%Completion: 0%Sales volume: -7.5%ASP: -7.5%Land sales: -22.5%FCI: +70bpNew starts: -30%Completion: -10%Sales volume: -10%ASP: -10%Land sales: -30%FCI: +140bp2.01.02.01.00.0-1.0-2.017161514131211Note: Numbers in brack

49、et indicate 2022Ereal GDP growth assumptions.14.5x(GDP=4.8%)14.0 x (4.2%)0.0-1.0-2.0-3.012.7x12.0 x (3.0%)11.0 x (1.5%)-3.0 10-4.0Direct effectsIndirect effects-4.0-5.0Financial conditions tightening-5.0Scenario 1Scenario 2Scenario 3Source: Wind, Haver Analytics, World Input-Output Database (2015), MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research28什么可能出錯(cuò)？中國（房地產(chǎn)）債市：仍在探底Avg