新指数的超额回报策略：利润率、市盈率是最有效的选股标准

Transcription

1 : 投资组合策略研究 新指数的超额回报策略 : 利润率 市盈率是最有效的选股标准 证券研究报告 JPX 日经 400 指数的有效选股策略 根据市盈率选股是这一高净资产回报率指数的有效策略 本文中, 我们将分析日本交易所集团和日经公司最近宣布即将推出的 JPX 日经 400 指数的有效选股策略 我们构建了一个高盛预估高净资产回报率 (GS PHR) 指数, 这是一个基于公开标准构建的虚拟指数 我们发现市盈率是一个有效的选股指标 利润率是净资产回报率指标表现的推动力 为了分析我们的高净资产回报率指数的领先表现, 我们将净资产回报率分解为利润率 资产周转率和金融杠杆三个组成部分, 以探寻回报的来源 我们发现 2008 年金融危机以来, 利润率一直是最有力的推动因素 金融杠杆和资产周转率有时奏效, 但缺乏连贯性 Tsumugi Akiba +81(3) tsumugi.akiba@gs.com 高盛证券株式会社 Kathy Matsui +81(3) kathy.matsui@gs.com 高盛证券株式会社 Hiromi Suzuki +81(3) hiromi.suzuki@gs.com 高盛证券株式会社 Kazunori Tatebe +81(3) kazunori.tatebe@gs.com 高盛证券株式会社 最小方差策略增强高净资产回报率指数表现 我们用 GS PHR 指数的成分股构建了一个最小方差投资组合, 并发现该组合从 2006 年便领先于 TOPIX 指数和 GS PHR 指数 这表明, 如果 JPX 日经 400 指数被定为基准股指, 最小方差策略可能是一个潜在有效的增强指数表现的策略 市盈率和利润率是有效的选股指标, 两者相结合后依然有效 Cumulative performance (%) /06 1/07 7/07 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 7/12 1/13 7/13 NTM P/E NP Margin Combined factor 资料来源 : Tokyo Keizai Factse IBES consensus 高盛全球投资研究 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 FINRA 的注册 / 合格研究分析师 高盛集团 全球投资研究

2 Table of contents Recent Japan Strategy Reports 2 Overview: New index, ROE, alpha/beta strategies 3 GS Pro-Forma High ROE Index outperformed TOPIX since Stock selection strategy: Low P/E, high profit margin generate alpha 5 Beta strategy: Use minimum variance and ROE weighting to improve performance 10 Disclosure Appendix 15 Recent Japan Strategy Reports Date Recent Japan Strategy Reports November 21, 2013 Stay the course in the year of the horse: Galloping into 2014 November 15, 2013 GS Sector Selector: Domestic demand firm, retaining our domestic/reflation sector bias November 7, 2013 Introducing the New JPX-Nikkei Index 400 October 22, H 3/14 Earnings Preview : 1H results likely to reach consensus, though visibility a concern October 11, Q Focus: Earnings, Policy, and Growth Outperformance October 2, 2013 Earnings prospects point to low P/E strategy for 4Q (Quant) September 25, 2013 GS Sector selector: We prefer domestic reflation-related stocks and selective global cyclicals September 19, 2013 Implications of a potential earlier-than-expected corporate tax rate cut (Commentary) September 4, 2013 Headwinds Reversing August 19, 2013 Corporate Governance Redux August 16, 2013 GS Sector Selector: Amid near-term volatility, prefer sectors with stable and visible earnings growth August 8, 2013 Quant Strategy: Social media and share prices (1) August 5, 2013 Abenomics on Track, Fundamentals Coming Back August 1, Q3/14 earnings summary (Commentary) July 22, 2013 Style strategy for 2H 2013: Profitability and flow value (Quant) July 19, 2013 Cash Deployment FY2013 July 16, 2013 From Elections to Earnings June 28, 2013 Quant Strategy Monthly: Small/mid cap stocks look even more attractive June 28, 2013 GS Sector Selector: Prefer domestic reflation/consumption sectors and selective on exporters June 25, 2013 Fed Tapering, China Risks: Japan Implications June 14, 2013 Abenomics not over yet: Reiterating our positive stance June 6, 2013 Who Will Be the Domestic Buyers? June 1, 2013 Correlation and dispersion: Alpha generation opportunities (Quant) May 27, 2013 Quant Strategy Monthly Factor effect on Korea s equity market May 24, 2013 Japan Consumption Basket (GSJPCNSP) May 20, 2013 Bull Stance Intact: A technical, not fundamental, adjustment May 17, 2013 Weaker Yen, Higher GDP Lift Our Earnings and Targets May 1, 2013 Abe s Third Arrow: Growth Strategy Preview April 24, 2013 FY3/13 Results Preview: Cautious FY3/14 guidance could create near-term headwinds 全球投资研究 2

3 Overview: New index, ROE, alpha/beta strategies With the Japan Exchange Group and Nikkei Inc. announcing the forthcoming launch of the new share price index JPX Nikkei Index 400 based on earnings indicators and data such as capital efficiency (e.g. ROE) and profitability 1, we see growing investor interest in ROE-related themes in valuation terms. While some participants in the market (Bloomberg, Nov 21) are expecting the Government Pension Investment Fund (GPIF) to switch its domestic equity benchmark to JPX Nikkei Index 400 from TOPIX, and Institutional Shareholders Services (ISS) 2 to adopt ROE as part of its advisory standards for exercising voting rights for Japanese equities, we believe these prospects are increasing the emphasis on ROE. However, details of the new index are still unclear. 3 We, therefore, retroactively compiled a pro-forma high ROE index (GS-PHR index) using the quantitative criteria that have been already announced. In this report, we use our index to outline strategies for potentially outperforming the new index. Our findings are as follows: P/E an effective stock selection strategy even in the new index universe: We backtested various quant factors on the GS-PHR Index constituents. P/E was an effective factor. While P/B was also effective, returns were mostly driven by short-to-medium-term return reversal effects (1-6 months). Profit margin the driver of ROE: Decomposing ROE into its three components (profit margin, asset turnover, financial leverage) to identify the source of alpha, we find that the profit margin factor has had the strongest explanatory power since the 2008 GFC. Financial leverage and asset turnover have been effective at times, but lack consistency. ROE reverts to industry average over 3-5 years: We find that high ROE (and low ROE) stocks revert to industry averages over three to five years. We believe this is the timeframe the company could maintain above-industry-average ROE. We also think this is an important factor for long-term investors in determining the frequency of portfolio rebalance. The new index adopts 3-year average ROE as one of its quantitative criteria. Minimum variance an effective enhancement strategy for the index: We have constructed a minimum variance portfolio using GS-PHR index constituents as an enhanced strategy. Our back-testing shows this portfolio has outperformed the GS-PHR Index (as well as TOPIX) since We therefore believe a minimum variance strategy would potentially be effective even for the new JPX-Nikkei 400 index. ROE weighting also effective: Our analysis shows the GS-PHR index weighted by ROE has outperformed the GS-PHR index weighted by market cap, suggesting possible implementation as a beta strategy. According to the Japan Exchange Group and Nikkei Inc., new index calculations are scheduled to start on January 6, There will be a significant element of uncertainty until then, but we hope this report will serve as a useful strategy reference. 1 See TSE s November 6, 2013 update: TSE New Index JPX-Nikkei Index 400 ( 2 See Institutional Shareholders Services 2013 Proxy Voting Summary Guidelines. 3 Each stock s previous and current free float ratios are yet to be announced, for example. We also watch for details on freefloat adjusted market cap weighting, as constituent stocks may not exceed 1.5% of the index market cap. 全球投资研究 3

4 GS Pro-Forma High ROE Index outperformed TOPIX since 2007 We have compiled a new index, the GS Pro-Forma High ROE Index (GS-PHR), based on the quantitative criteria used in the new JPX-Nikkei Index 400 announced by the Japan Exchange Group and Nikkei Inc. On back-testing, we note that the GS-PHR has outperformed TOPIX by roughly 10% since 2006 (see Exhibit 1). The annualized return from August 2006 (the start of GS- PHR calculation) to end-october 2013 was -2.4% (standard deviation: 20.1%), which is relatively attractive compared with TOPIX (-3.8%, standard deviation: 20.0%). The annualized return indicated in the JPX report showed -2.5% annualized return between end-august 2006 through August 29, 2013, but had no information on standard deviation. Exhibit 1: GS Pro-Forma High ROE Index significantly outperformed TOPIX Excess returns from GS Pro-Forma High ROE Index (GS-PHR Index) vs. TOPIX Cumulative excess return (%) 14% 12% 10% 8% 6% 4% 2% 0% 2% 4% 8/06 4/07 12/07 8/08 4/09 12/09 8/10 4/11 12/11 8/12 4/13 GS PHR Index vs TPX Source: FactSet, Toyo Keizai, I/B/E/S consensus, Goldman Sachs Global Investment Research. The following summarizes how we compiled the GS Pro-Forma ROE Index Universe calculation: Based on the quantitative criteria used in the new JPX-Nikkei Index 400 announced by the Japan Exchange Group and Nikkei Inc. We did not adopt their qualitative criteria. The selection criteria 4 were based on the following: Screening I (eligibility criteria): Issues (1) listed for less than three years, (2) with liabilities in excess of assets during any of the past three fiscal years, (3) with operating loss booked for three fiscal years, (4) with net loss booked in all of the past three fiscal years, and (5) designated as delisted security, were excluded. Screening II (market liquidity indicator): Excluding the above, top 1000 names were selected based on the following two items: (1) trading value during the last three years and (2) market capitalization as of the base selection date. Scoring based quantitative indicator: The selected 1,000 names were scored based on their rank (1st:1,000pts, 1,000 th:1pt) determined by the total score weighting of the following three items: (1) 3-year average ROE (score weighting 40%), (2) 3-year cumulative operating profit (40%), (3) market capitalization as of the base selection date (20%). 4 See TSE s website (400 for information on JPX-Nikkei Index 全球投资研究 4

5 The top 400 names were selected as constituents based on their score level. Since August 2006, constituents were annually reviewed with end-june as the selection base date and end-august as the replacement date. According to the reports released by the Japan Exchange Group and Nikkei Inc., the 3-year average ROE of JPX Nikkei 400 constituents was relatively high (11.1%) compared with TPX (5.7%, GS-PHR Index: 11.6%). While the report does not have details on monthly returns, we believe there is a high correlation between the new index and TOPIX, given the correlation coefficient of 97% between the GS-PHR Index and TPX (see Exhibit 2). Exhibit 2: Strong correlation between GS Pro-Forma High ROE Index and TOPIX GS-PHR Index, TOPIX, 8/2006 = 100 Cumulative performance (%) /06 8/07 8/08 8/09 8/10 8/11 8/12 8/13 TPX GS PHR Index Source: FactSet, Toyo Keizai, I/B/E/S consensus, Goldman Sachs Global Investment Research. Stock selection strategy: Low P/E, high profit margin generate alpha Simple ROE strategy has had a lacklustre record for a long time In the Japanese stock market, the ROE factor performance (simple historical and forward ROE) has not been particularly good (see Exhibit 3). That is, the alpha generated by taking a long position in high ROE stocks and a short (or underweight) position in low ROE stocks has been low. Notably, ROE based on the consensus forecast has performed worse than historical ROE. Compared with other major stock markets, ROE strategy effects in the Japanese market have been weak for a long time (see Exhibit 4). We can think of several reasons for this. One is that low ROE stocks have frequently outperformed in the Japanese market, cancelling out the performance of high ROE stocks. Many low ROE stocks also have low P/Bs, and in the Japanese market low P/B stocks have outperformed over a relatively long period of time. However, assuming the announcement of the JPX-Nikkei 400 index prompts the GPIF and domestic and overseas investors to adopt new stock selection criteria, we believe demand for high ROE stocks would potentially increase, thereby improving ROE factor returns. 全球投资研究 5

6 Exhibit 3: ROE factor effects (historical and forward) have been low since 2000 Cumulative data coefficient, January 2002:-1.0, current FYE= I/B/E/S consensus, Universe: TPX Cumulative IC /92 1/94 1/96 1/98 1/00 1/02 1/04 1/06 1/08 1/10 1/12 FY1 ROE FY0 ROE Source: FactSet, Toyo Keizai, I/B/E/S consensus, Goldman Sachs Global Investment Research. Exhibit 4: In Europe and the US, ROE factor returns are high and stable Cumulative data coefficient, January 2002:-1.0, current FYE= I/B/E/S consensus Universe: JPN = TPX 500, US = SP 500, EU = Euro Stoxx Cumulative IC (FY1 ROE) /02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 DM EU FY1 ROE US FY1 ROE JPN FY1 ROE Source: FactSet, I/B/E/S consensus, Goldman Sachs Global Investment Research. 全球投资研究 6

7 What factors will work for the new index? We have analysed the performance of major quant factors for the GS-PHR Index as an exercise to find what might be an effective stock selection strategy for the JPX-Nikkei 400 index. The results are outlined below. P/E an effective factor: P/B outperforms P/E on a cumulative (long-term) basis, but this is because the source of the P/B factor returns is short-to-medium term (1-month to 6-month) return reversal. Looking at performance adjusted for return reversal effects, P/E is an effective factor. Profit margin the driver of ROE: Decomposing ROE into its three components (profit margin, asset turnover, financial leverage) to identify the source of alpha, we find that the profit margin factor has had the strongest explanatory power since the 2008 GFC. Financial leverage and asset turnover have been effective at times, but lack consistency High profit margins and low P/E the most effective overall selection strategy: We believe an effective stock selection strategy for the JPX-Nikkei 400 is to incorporate relative profit margins (higher the better) and relative P/Es (lower the better). Exhibit 5: Value factors generally effective as a stock selection strategy Universe, GS-PHR Index, factor performance Annualized Sharpe StdDev return Ratio FY1 P/E P/B FY1 Div Yield FY1 Sales growth FY1 OP growth FY1 EPS growth FY1 EPS revision Net Cash/Market Cap M return M return M return M return Source: FactSet, Toyo Keizai, I/B/E/S consensus, Goldman Sachs Global Investment Research. Our back-testing of P/E and P/B factor performance, adjusted for 6-month return reversal effects, shows that P/E has performed consistently and P/B effects have weakened (see Exhibit 6). This indicates that 6-month return reversal has been the source of P/B effects. 全球投资研究 7

8 Exhibit 6: P/E effects consistent, P/B effects dependant on return reversal Performance adjusted for 6-month return reversal effects (8/2006 = 100) /06 4/07 12/07 8/08 4/09 12/09 8/10 4/11 12/11 8/12 4/13 E/P Q1 Q5 6M Neutral B/P Q1 Q5 6M Neutral Source: FactSet, Toyo Keizai, I/B/E/S consensus, Goldman Sachs Global Investment Research. Profit margin the main driver of an ROE strategy We have constructed quintile portfolios using the GS-PHR and back-tested their performance. The result indicated that the Quintile 2 portfolio had the best performance until 1H2012. Since then, the Q-1 portfolio outperformed the rest (see Exhibit 7). To determine the driver of ROE factor, we decomposed ROE and measured the performance of individual components (profit margin, asset turnover, financial leverage, see Exhibit 8). Back-testing indicated that financial leverage was effective until the financial crisis in Since then, the market rewarded high profit margin and asset turn factors. In recent years, the effects of the three ROE components have diverged. However, profit margin and financial leverage factors are supporting the ROE factor, and the overall ROE factor performance remains intact. 全球投资研究 8

9 Exhibit 7: ROE stock selection effects low for a high ROE index ROE quintile portfolio performance (Universe: GS-PHR, 8/2006 = 100) Cumulative return (%) /06 2/07 9/07 4/08 11/08 6/09 1/10 8/10 3/11 10/11 5/12 12/12 7/13 Q1 Q2 Q3 Q4 Q5 Source: FactSet, Toyo Keizai, Goldman Sachs Global Investment Research. Exhibit 8: Profit margin the main driver of ROE performance Cumulative performance of three ROE components (Universe: GS-PHR, 8/2006 = 100) Cumulative performance (%) /06 3/07 11/07 7/08 3/09 11/09 7/10 3/11 11/11 7/12 3/13 Leverage NPMargin Asset Turnover Source: Tokyo Keizai, Goldman Sachs Global Investment Research. 全球投资研究 9

10 Combining P/E and profit margin factors Based on our findings on P/E and profit margin as effective stock selection factors, we created a composite factor consisting P/E and profit margin. We applied a risk parity method to determine the factor weights. Our analysis suggests the composite factor is also an effective stock selection strategy. The performance since 2011 has been stable. Exhibit 9: P/E, profit margin and the composite factor are all effective for stock selection Universe: GS-PHR, 8/2006 = 100 Cumulative performance (%) /06 1/07 7/07 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 7/12 1/13 7/13 NTM P/E NP Margin Combined factor Source: Tokyo Keizai, Factset, IBES consensus, Goldman Sachs Global Investment Research Beta strategy: Use minimum variance and ROE weighting to improve performance Enhanced strategies for the JPX-Nikkei 400: Minimum variance and ROE weighting Market cap and liquidity are among the criteria used for inclusion in the JPX-Nikkei 400 index, which will be weighted by market cap. Based on the new index rule, the free-float adjusted market cap of a constituent stock may not exceed 1.5% of the index. We believe there are only seven stocks that could be potentially excluded by this rule (see Exhibit 10). Even with the 1.5% weight cap, the correlation between the JPX-Nikkei 400 index and TOPIX will likely be high. Given both indices use market-cap weight, the difference between TOPIX and JPX-Nikkei 400 returns may not be that large, and the extent to which the JPX-Nikkei 400 is adopted as a benchmark index has become a discussion topic among investors. Media reports 5 that the GPIF may adopt the JPX-Nikkei 400 as a new benchmark for its domestic equity portfolio. 5 On November 21, Bloomberg reported on a November 20 Public Pension (GPIF) reform panel memo. 全球投资研究 10

11 We believe the following two strategies will potentially enhance returns using the JPX-Nikkei 400 as an investment universe. Minimum variance: We have constructed a minimum variance portfolio using GS-PHR Index constituents. Back-testing shows this portfolio has outperformed the GS-PHR Index (as well as TOPIX) since If the JPX-Nikkei 400 is adopted as a benchmark index, we believe a minimum variance strategy would be effective. ROE weighting: Our analysis shows the GS-PHR Index weighted by ROE has outperformed the GS-PHR Index weighted by market cap. Exhibit 10: Stocks that we believe could be excluded from the JPX-Nikkei 400 because of the 1.5% market-cap limit Estimates of free-float adjusted market cap weightings Ticker Name Assumed weights (%) 7203 Toyota Motor Corporation Mitsubishi Ufj Financial Group,Inc Sumitomo Mitsui Financial Group,Inc Softbank Corp Honda Motor Co.,Ltd Mizuho Financial Group,Inc Japan Tobacco Inc. 1.6 Source: Tokyo Stock Exchange, Goldman Sachs Global Investment Research. The discussion as to why minimum variance portfolios outperform the market is ongoing. Here we simply report the results of our testing of minimum variance as an investment strategy. Even using the GS-PHR Index, we found a minimum variance portfolio had lower risk and a higher return. While the stocks to be included in the JPX-Nikkei 400 are relatively stable, we believe minimum variance strategies have remained effective since the 2008 GFC against the backdrop of poor macro visibility in Japan and overseas, and rapid changes in the market environment. ROE weighted investment belongs to the family of beta strategies that have attracted increasing interest over the long term. Weightings are determined strategically. These types of strategies have increased investor focus on ROE, and ROE factor performance should improve the more they gain traction, in our view. 全球投资研究 11

12 Exhibit 11: Both minimum variance and ROE weighted portfolios outperform our GS PHR index Cumulative performance of various indices, 8/2006 = 100 Cumulative performance (%) /06 4/07 12/07 8/08 4/09 12/09 8/10 4/11 12/11 8/12 4/13 GS PHR ROE weighted Index GS PHR Index TPX GS PHR MinVar Index Source: Tokyo Stock Exchange, Axioma, Goldman Sachs Global Investment Research. Speed with which ROE reverts to the industry average a factor in decisions about rebalancing timing How often should portfolios based on ROE strategies, including ROE weighting, be rebalanced? This is an important question. We have measured how quickly high ROE (and low ROE) stocks revert to industry averages (Exhibit 12). To do this, we divided industry ROEs into quintiles and then calculated the changes in ROE. According to our analysis, high ROE (and low ROE) stocks tend to revert to the industry average over three to five years. While the convergence speed differs by industry, we believe many stocks that are in the 1st (or 5th quintile) ROE quintile for more than four straight years are likely to revert to the industry average, and that this creates an opportunity for replacement with other stocks. Getting rebalancing timing right is important to strengthen the effectiveness of ROE strategies, and to this end we believe investors should closely monitor what ROE quintile stocks belong to and for how long. As a buffer rule for the JPX- Nikkei 400, we believe stocks included in the index in the previous fiscal year should be given priority in stock selection decisions, but at the same time we believe ROE convergence speed should be considered as a rebalancing factor. 全球投资研究 12

13 Exhibit 12: Strong tendency for ROE to revert to the industry average over three to five years ROE trends by quintile, Universe: TOPIX Average ROE by quintile (%) Yr 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Q1 Q2 Q3 Q4 Q5 Source: FactSet, Toyo Keizai, Goldman Sachs Global Investment Research. Based on our analysis and back-testing, we believe P/E (based on 12-month forward EPS) and profit margins will be the most effective alpha generation factors for stocks to be included in the JPX-Nikkei 400 index released by the TSE, and we have screened on this basis (see Exhibit 13). P/E (on a 12-month forward EPS basis): top three sector stocks Actual profit margin: top three sector stocks 全球投资研究 13

14 Exhibit 13: Screening for high profit margins and low P/E JPX-Nikkei 400 constituents (as of November 19, 2013) Ticker Name Mkt-Cap ( bn) Liquidity (20D advt, mn) NTM P/E Net Profit Margin PB FY0 Source: Tokyo Stock Exchange, FactSet, Toyo Keizai, Goldman Sachs Global Investment Research. Div Yield FY1 (%) 3yr Avg ROE 8604 Nomura Holdings Securities & Commodity Futures 8766 Tokio Marine Hldg Insurance 9022 Central Japan Rlwy Land Transportation 1605 Inpex Corporation Mining 8053 Sumitomo Corp Wholesale Trade 5411 Jfe Holdings Inc Iron & Steel 5020 Jx Holdings Inc Oil & Coal Products 9531 Tokyo Gas Co Electric Power & Gas 8308 Resona Holdings Banks 7741 Hoya Corp Precision Instruments 3402 Toray Inds Inc Textiles & Apparels 8795 T&D Holdings Inc Insurance 9532 Osaka Gas Co Electric Power & Gas 8729 Sony Financial Hol Insurance 5713 Sumitomo Metal Mng Nonferrous Metals 9202 Ana Holdings Inc Air Transportation 5486 Hitachi Metals Iron & Steel 5334 Ngk Spark Plug Co Glass & Ceramics Products 9513 Elec Power Dev Electric Power & Gas 3861 Oji Hldgs Corp Pulp & Paper 8304 Aozora Bank Banks 7832 Namco Bandai Hldgs Other Products 5110 Sumitomo Rubber Rubber Products 7936 Asics Corp Other Products 5101 Yokohama Rubber Co Rubber Products 2875 Toyo Suisan Kaisha Foods 2432 Dena Co Ltd Services 5991 Nhk Spring Co Ltd Metal Products 9364 Kamigumi Co Ltd Warehousing & Harbor Transportation 8508 J Trust Co. Ltd Other Financing Business 6425 Universal Ent Corp Machinery 3941 Rengo Co Pulp & Paper 9375 Kintetsu World Exp Warehousing & Harbor Transportation 5393 Nichias Corp Glass & Ceramics Products 7729 Tokyo Seimitsu Co Precision Instruments 5970 G-Tekt Corporation Metal Products 5857 Asahi Holdings Inc Nonferrous Metals 9204 Skymark Airlines Air Transportation Sector 全球投资研究 14

15 信息披露附录 分析师申明 本人,Tsumugi Akiba, 在此申明, 本报告所表述的所有观点准确反映了本人对上述公司或其证券的个人看法 此外, 本人薪金的任何部分不曾与, 不与, 也将不会与本报告中的具体推荐意见或观点直接或间接相关 高盛信息披露 评级分布 / 投资银行关系 高盛投资研究部的全球研究覆盖范围 评级分布 投资银行关系 买入 持有 卖出 买入 持有 卖出 全球 31% 54% 15% 50% 42% 37% 截至 2013 年 10 月 1 日, 高盛全球投资研究部对 3,570 种股票评定了投资评级 高盛给予股票在各种地区投资名单中的买入和卖出评级 ; 未给予这些评级的股票被视为中性评级, 根据纳斯达克 / 纽约证券交易所的披露要求, 这些评级分别对应买入, 持有及卖出 详情见以下 公司评级, 研究行业及评级和相关定义 部分 美国法定披露 任何本报告中研究企业所需的特定公司法定披露见上文 : 包括即将进行交易的承销商或副承销商,1% 或其他股权, 特定服务的补偿, 客户关系种类, 之前担任承销商或副承销商的公开发行, 担任董事, 担任股票做市及 / 或专家的角色 高盛通常担任本报告中涉及的固定收益证券的做市商, 并常作为这些证券的交易对手 以下为额外要求的披露 : 股权及重大利益冲突 : 高盛的政策为禁止其分析师 分析师属下专业人员及其家庭成员持有分析师负责研究的任何公司的证券 分析师薪酬 : 分析师薪酬部分取决于高盛的盈利, 其中包括投资银行的收入 分析师担任高级职员或董事 : 高盛的政策为禁止其分析师 分析师属下人员及其家庭成员担任分析师负责研究的任何公司的高级职员 董事 顾问委员会成员或雇员 非美国分析师 : 非美国分析师可能与高盛无关联, 因此可以不受纳斯达克 2711 条 / 纽约证券交易所 472 条对于与所研究公司的交流 公开露面及持有交易证券的限制 美国以外司法管辖区规定的额外披露 以下为除了根据美国法律法规规定作出的上述信息披露之外其他司法管辖区法律所要求的披露 澳大利亚 : Goldman Sachs Australia Pty Ltd 及其相关机构不是澳大利亚经授权的存款机构 (1959 年 银行法 所定义 ), 因此不在澳大利亚境内提供银行服务, 也不经营银行业务 本研究报告或本报告的其他形式内容只可分发予根据澳大利亚公司法定义的 " 批发客户 ", 在事先获得高盛许可的情况下可以有例外 巴西 : 与 CVM Instruction 483 相关的信息披露请参阅 根据 CVM Instruction 483 第 16 条, 在适用的情况下, 对本研究报告内容负主要责任的巴西注册分析师为本报告开头部分标明的第一作者, 除非报告末另有说明 加拿大 : 如果本报告与加拿大股票发行人有关, 高盛集团已批准本报告, 并同意承担有关责任 分析师可进行实地考察, 但不可收受公司对此等差旅支付的任何款项或偿付 香港 : 可从高盛 ( 亚洲 ) 有限责任公司获取有关本报告中所研究公司的证券的额外资料 印度 : 有关本研究报告中的研究对象或所提及的公司的进一步信息可能来自高盛 ( 印度 ) 证券私人有限公司 日本 : 见下文 韩国 : 可从高盛 ( 亚洲 ) 有限责任公司首尔分公司获取有关本报告所研究公司的证券的额外资料 新西兰 : Goldman Sachs New Zealand Limited 及其关联机构并非 1989 年新西兰储备银行法定义的 注册银行 或 存款机构 本研究报告以及本报告的其他形式内容只可分发给 2008 年财务顾问法案定义的 " 批发客户 ", 在事先获得高盛许可的情况下可以有例外 俄罗斯 : 在俄罗斯联邦分发的研究报告并非俄罗斯法律所定义的广告, 而是不以产品推广为主要目的的信息和分析, 也不属于俄罗斯法律所界定的评估行为 新加坡 : 可从高盛 ( 新加坡 ) 私人公司 ( 公司编号 : W) 获取有关本报告中所研究公司的证券的额外资料 台湾 : 本信息仅供参考, 未经允许不得翻印 投资者应当谨慎考虑他们自身的投资风险, 投资结果由投资者自行负责 英国 : 在英国根据金融市场行为监管局的定义可被分类为私人客户的人士参阅本报告的同时应当参阅高盛以往对本报告研究企业的研究报告, 并应当参考高盛国际已经发给这些客户的风险警告资料 该风险警告资料复本, 以及本报告中采用部分金融辞汇的解释可向高盛国际索取 欧盟 : 与欧盟指令 2003/126/EC 第四章 (1)(d) 和第六章 (2) 有关的披露信息可参见 其中列明了欧洲在管理投资研究方面利益冲突的政策 日本 : 高盛证券株式会社是依据 金融工具与交易法 在关东财务局注册 ( 注册号 :No. 69) 的金融工具交易商, 同时也是日本证券业协会和日本金融期货业协会的成员 股票买卖需要缴纳与客户事先约定的佣金及消费税 关于日本证券交易所 日本证券交易商协会或日本证券金融公司所要求的适用的信息披露, 请参见与公司有关的法定披露部分 公司评级 研究行业及评级和相关定义 买入 中性 卖出 : 分析师建议将评为买入或卖出的股票纳入地区投资名单 一只股票在投资名单中评为买入或卖出由其相对于所属研究行业的潜在回报决定 任何未获得买入或卖出评级的股票均被视为中性评级 每个地区投资评估委员会根据 25-35% 的股票评级为买入 10-15% 的股票评级为卖出的全球指导原则来管理该地区的投资名单 ; 但是, 在某一特定行业买入和卖出评级的分布可能根据地区投资评估委员会的决定而有所不同 地区强力买入或卖出名单是以潜在回报规模或实现回报的可能性为主要依据的投资建议 潜在回报 : 代表当前股价与一定时间范围内预测目标价格之差 分析师被要求对研究范围内的所有股票给出目标价格 潜在回报 目标价格及相关时间范围在每份加入投资名单或重申维持在投资名单的研究报告中都有注明 研究行业及评级 : 每个行业研究的所有股票名单可登陆 通过主要分析师 股票和行业进行查询 分析师给出下列评级中的其中一项代表其根据行业历史基本面及 / 或估值对研究对象的投资前景的看法 具吸引力 (A): 未来 12 个月内投资前景优于研究范围的历史基本面及 / 或估值 中性 (N): 未来 12 个月内投资前景相对研究范围的历史基本面及 / 或估值持平 谨慎 (C): 未来 12 个月内投资前景劣于研究范围的历史基本面及 / 或估值 暂无评级 (NR): 在高盛于涉及该公司的一项合并交易或战略性交易中担任咨询顾问时并在某些其他情况下, 投资评级和目标价格已经根据高盛的政策予以除去 暂停评级 (RS): 由于缺乏足够的基础去确定投资评级或价格目标, 或在发表报告方面存在法律 监管或政策的限制, 我们已经暂停对这种股票给予投资评级和价 全球投资研究 15

16 格目标 此前对这种股票作出的投资评级和价格目标 ( 如有的话 ) 将不再有效, 因此投资者不应依赖该等资料 暂停研究 (CS): 我们已经暂停对该公司的研究 没有研究 (NC): 我们没有对该公司进行研究 不存在或不适用 (NA): 此资料不存在或不适用 无意义 (NM): 此资料无意义, 因此不包括在报告内 全球产品 ; 分发机构 高盛全球投资研究部在全球范围内为高盛的客户制作并分发研究产品 高盛分布在其全球各办事处的分析师提供行业和公司的股票研究, 以及宏观经济 货币 商品及投资组合策略的研究 本研究报告在澳大利亚由 Goldman Sachs Australia Pty Ltd(ABN ) 分发 ; 在巴西由 Goldman Sachs do Brasil Corretora de Títulos e Valores Mobiliários S.A. 分发 ; 股票及其他研究在加拿大由高盛集团分发 ; 在香港由高盛 ( 亚洲 ) 有限责任公司分发 ; 在印度由高盛 ( 印度 ) 证券私人有限公司分发 ; 在日本由高盛证券株式会社分发 ; 在韩国由高盛 ( 亚洲 ) 有限责任公司首尔分公司分发 ; 在新西兰由 Goldman Sachs New Zealand Limited 分发 ; 在俄罗斯由高盛 OOO 分发 ; 在新加坡由高盛 ( 新加坡 ) 私人公司 ( 公司号 : W) 分发 ; 在美国由高盛集团分发 高盛国际已批准本研究报告在英国和欧盟分发 欧盟 : 高盛国际 ( 由审慎监管局授权并接受金融市场行为监管局和审慎监管局的监管 ) 已批准本研究报告在英国和欧盟分发 ;Goldman Sachs AG 和 Goldman Sachs International Zweigniederlassung Frankfurt( 由联邦金融监管局监管 ) 可能也会在德国分发 一般性披露 本研究报告仅供我们的客户使用 除了与高盛相关的披露, 本研究报告是基于我们认为可靠的目前已公开的信息, 但我们不保证该信息的准确性和完整性, 客户也不应该依赖该信息是准确和完整的 我们会适时地更新我们的研究, 但各种规定可能会阻止我们这样做 除了一些定期出版的行业报告之外, 绝大多数报告是在分析师认为适当的时候不定期地出版 高盛是一家集投资银行 投资管理和证券经纪业务于一身的全球性综合服务公司 高盛全球投资研究部所研究的大部分公司与我们保持着投资银行业务和其它业务关系 美国证券经纪交易商高盛是 SIPC 的成员 ( 我们的销售人员 交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略 我们的资产管理部门 自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策 本报告中署名的分析师可能已经与包括高盛销售人员和交易员在内的我们的客户讨论, 或在本报告中讨论交易策略, 其中提及可能会对本报告讨论的证券市场价格产生短期影响的推动因素或事件, 该影响在方向上可能与分析师发布的股票目标价格相反 任何此类交易策略都区别于且不影响分析师对于该股的基本评级, 此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力 我们以及我们的关联机构 高级职员 董事和雇员, 不包括股票分析师和信贷分析师, 将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸, 担任上述证券或衍生工具的交易对手, 或买卖上述证券或衍生工具 在任何要约出售股票或征求购买股票要约的行为为非法的司法管辖区内, 本报告不构成该等出售要约或征求购买要约 本报告不构成个人投资建议, 也没有考虑到个别客户特殊的投资目标 财务状况或需求 客户应考虑本报告中的任何意见或建议是否符合其特定状况, 以及 ( 若有必要 ) 寻求专家的意见, 包括税务意见 本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动 过去的表现并不代表未来的表现, 未来的回报也无法保证, 投资者可能会损失本金 外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响 某些交易, 包括牵涉期货 期权和其它衍生工具的交易, 有很大的风险, 因此并不适合所有投资者 投资者可以向高盛销售代表取得或通过 取得当前的期权披露文件 对于包含多重期权买卖的期权策略结构产品, 例如, 期权差价结构产品, 其交易成本可能较高 与交易相关的文件将根据要求提供 在撰写研究报告期间,Goldman Sachs Australia 全球投资研究部的职员可能参与本研究报告中所讨论证券的发行人组织的现场调研或会议 在某些情况下, 如果视具体情形 Goldman Sachs Australia 认为恰当或合理, 此类调研或会议的成本可能部分或全部由该证券发行人承担 所有研究报告均以电子出版物的形式刊登在我们的内部客户网上并向所有客户同步提供 并非所有研究内容都转发给我们的客户或者向第三方整合者提供, 高盛也并不对由第三方整合者转发的我们研究报告承担任何责任 有关某只证券的所有研究报告或数据, 请联络您的销售代表或登陆 披露信息可以查阅 或向研究合规部索取, 地址是 200 West Street,New York,NY 高盛版权所有 2013 年未经高盛集团公司事先书面同意, 本材料的任何部分均不得 (i) 以任何方式制作任何形式的拷贝 复印件或复制品, 或 (ii) 再次分发 高华证券信息披露 一般披露 本报告在中国由高华证券分发 高华证券具备证券投资咨询业务资格 本研究报告仅供我们的客户使用 本研究报告是基于我们认为可靠的目前已公开的信息, 但我们不保证该信息的准确性和完整性, 客户也不应该依赖该信息是准确和完整的 我们会适时地更新我们的研究, 但各种规定可能会阻止我们这样做 除了一些定期出版的行业报告之外, 绝大多数报告是在分析师认为适当的时候不定期地出版 高盛高华为高华证券的关联机构, 从事投资银行业务 高华证券 高盛高华及它们的关联机构与本报告中涉及的大部分公司保持着投资银行业务和其它业务关系 我们的销售人员 交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略 我们的自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策 本报告中署名的分析师可能已经与包括高华证券销售人员和交易员在内的我们的客户讨论, 或在本报告中讨论交易策略, 其中提及可能会对本报告讨论的证券市场价格产生短期影响的推动因素或事件, 该影响在方向上可能与分析师发布的股票目标价格相反 任何此类交易策略都区别于且不影响分析师对于该股的基本评级, 此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力 高华证券及其关联机构 高级职员 董事和雇员, 不包括股票分析师和信贷分析师, 将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸, 担任上述证券或衍生工具的交易对手, 或买卖上述证券或衍生工具 在任何要约出售股票或征求购买股票要约的行为为非法的地区, 本报告不构成该等出售要约或征求购买要约 本报告不构成个人投资建议, 也没有考虑到个别客户特殊的投资目标 财务状况或需求 客户应考虑本报告中的任何意见或建议是否符合其特定状况, 以及 ( 若有必要 ) 寻求专家的意见, 包括税务意见 本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动 过去的表现并不代表未来的表现, 未来的回报也无法保证, 投资者可能会损失本金 外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响 全球投资研究 16

17 某些交易, 包括牵涉期货 期权和其它衍生工具的交易, 有很大的风险, 因此并不适合所有投资者 投资者可以向高华销售代表取得或通过 取得当前的期权披露文件 对于包含多重期权买卖的期权策略结构产品, 例如, 期权差价结构产品, 其交易成本可能较高 与交易相关的文件将根据要求提供 北京高华证券有限责任公司版权所有 2013 年未经北京高华证券有限责任公司事先书面同意, 本材料的任何部分均不得 (i) 以任何方式制作任何形式的拷贝 复印件或复制品, 或 (ii) 再次分发 全球投资研究 17