JPX日经400指数：推出6个月以来的回顾

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1 : 投资组合策略 JPX 日经 400 指数 : 推出 6 个月以来的回顾 证券研究报告 新指数或将提振净资产回报率 6 个月 体检 结果整体乐观 JPX 日经 400 指数 (JPNK400 指数 ) 的资金流入水平一直较强, 截至 2014 年 6 月 18 日, 投资信托和 ETF 整体投资额已超过 1,133 亿日元 年初至今,JPNK400 指数已跑赢东证指数 70 个基点, 下跌 3.4%, 小于后者 4.1% 的跌幅 ( 截至 6 月 18 日 ) 尽管该指数的市值和流动性与东证 500 指数类似,JPNK400 指数的吸引力在于其净资产回报率更高且估值更低 此外, 它的整体风险水平也低于东证 500 指数 净资产回报率投资的吸引力日益上升 我们认为过去净资产回报率策略表现不理想的原因之一在于净资产回报率高的股票估值过高, 因此这些策略不适用于价值驱动的市场 目前, 随着过高估值差距的收窄, 净资产回报率投资的吸引力正在上升 我们认为对 JPNK400 指数和公司治理的关注度日益上升将进一步支撑净资产回报率策略, 令人们预期净资产回报率投资将和主要海外市场一样有效 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 成分股调整对企业理念的刺激 JPNK400 指数的成份股将每年调整一次 我们认为定期调整对市场参与者和企业来说都意义重大 被纳入指数是一只股票在日本市场颇具吸引力的印证 本报告中我们将仅基于量化评分来筛选将被纳入 / 剔除该指数的个股 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 Summary: JPX-Nikkei Index 400 may boost ROE improvement 3 Six-month check-up of the new index: Strong correlation with TOPIX, but also many differences 4 Knock-on effect: JPNK400 INDEX could boost attractiveness (ROE) of Japanese companies 8 Rebalancing event: Impact of regular index reshuffle on companies 11 Disclosure Appendix 16 Date June 13, 2014 June 11, 2014 June 9, 2014 June 3, 2014 May 30, 2014 May 22, 2014 May 16, 2014 May 6, 2014 April 21, 2014 April 7, 2014 April 4, 2014 March 28, 2014 March 27, 2014 March 20, 2014 March 19, 2014 March 19, 2014 March 15, 2014 March 11, 2014 March 6, 2014 March 3, 2014 February 15, 2014 February 14, 2014 February 13, 2014 February 13, 2014 February 5, 2014 Date June 13, 2014 June 6, 2014 May 30, 2014 May 22, 2014 May 16, 2014 May 9, 2014 May 2, 2014 April 25, 2014 April 18, 2014 April 11, 2014 Recent Reports by the Japan Portfolio Strategy Team Report Title GS Sector Selector: Maintaining a cyclical tilt Japan Stewardship Code: Next Stop Governance Code for Companies (Commentary) JEAPS Review and Rebalance (Quant) Potential for an earlier release of GPIF s new medium-term asset allocation plans (Commentary) Why Good News is Good News Japanese Equity Active Portfolio Strategy (Quant) FY3/14 Japan earnings summary (Japan Strategy Views) Womenomics 4.0: Time to Walk the Talk GS Sector Selector: Positioning for global growth reacceleration Overview and implications of GPIF's domestic equity investment manager selection/reorganization (Commentary) 2Q Outlook: Anticipating the return of fundamental factors (Japan Strategy Views) Share buybacks: 1Q CY14 update (Japan Strategy Views) Profit Margins in Focus Awaiting Catalysts: Near-term headwinds, but medium-term upside intact Reading the flow of funds: What do investors own and what will they buy next? (Quant) Estimate of stock sales driven by return of EPF substitute portion (Commentary) High-dividend screening update (Japan Strategy Views) GS Sector Selector: Focusing on micro fundamentals amid macro headwinds Examining the impact of a corporate tax cut on DTA drawdowns (Japan Strategy Views) Growing focus on cash deployment likely to boost shareholder return Quant Strategy: Roadmap to a value (P/B) comeback (Quant) Global Macro Conference Asia Pacific 2014: Takeaways Looking at the current market environment through a market-implied risk premium standpoint (Quant) 3Q3/14 Japan earnings summary (Commentary) Still expecting a macro-focused market in 1H; stocks are still closely correlated (Quant) Recent Japan Weekly Kickstart (outlook and charts we are watching) New Growth Strategy and corporate tax rate impacts Capital raises remain high Revising our top-down profit forecasts & Shareholder returns forecasts Investment opportunities on the rise in Japanese equities/finding alpha: Present opportunities and trends FY3/14 Japan earnings summary FY3/14 results peak; Womenomics Alpha opportunities part 2 / FY3/14 Japan earnings summary FY2013 full-year earnings preview Revisiting alpha opportunities: Spreads hold the key Share buyback update / Nikkei Div Swaps / Appointment of outside directors Japan Portfolio Strategy Recent Research can be found here: 全球投资研究 2

3 Summary: JPX-Nikkei Index 400 may boost ROE improvement The JPX-Nikkei Index 400 (JPNK400), a share index launched by Japan Exchange Group (JPX) and Nikkei, has marked its six-month anniversary after launching on January 6, The index has attracted considerable interest from Japanese and overseas institutional investors since before its launch as an undertaking that focuses on different factors compared to conventional share indices. It is a new index composed of companies with high appeal for investors, which meet requirements of global investment standards, such as efficient use of capital and investor-focused management perspectives. 1 The index has garnered even more attention since the Government Pension Investment Fund (GPIF) announced on April 4 that it was adopting the JPNK GPIF s announcement has promoted a following among other institutional investors, as highlighted by the Federation of National Public Service Personnel Mutual Aid Associations announcing it too was adopting the index. Meanwhile, a string of listings by ETFs and launches of investment trusts tracking the index have seen an increase in funds. Moreover, the Osaka Securities Exchange plans to launch a JPNK400 futures market around the end of November It appears the imminent listing of a new futures index is eagerly anticipated by many global investors for hedging and other purposes. Further, the listing of new index futures should increase the liquidity of index constituents, partly because of the entry of investors that engage in arbitrage. We think these flows toward the JPNK400 will gather momentum, fueling further interest in Japanese companies that have strong appeal for investors. We summarize the key sections in this report: Six-month check-up of the new index: Total assets under management of investment trusts tracking the JPNK400 is 44.5 bn. When combined with ETFs, the number rises to over bn, underscoring the strong flow of funds to the new index. The index has outperformed TOPIX by 70 basis points YTD, with the former declining 3.4% against the latter s 4.1% decline (as of June 18). Additionally, while it has similar market capitalization and liquidity to the TPX500, the JPNK400 is attractive because ROE is higher and valuations lower than the TPX500. Also, overall risk of the JPNK400 is low compared to the TPX500. Knock-on effect of JPNK400: We believe one reason past ROE strategies performed poorly is because valuations of high-roe stocks are excessively high, so these strategies were not suited for a value-driven market. However, the narrowing of the excessive valuation gap has boosted the appeal of ROE investment. We see increased attention on the JPNK400 and corporate governance as a further tailwind for ROE strategies, raising expectations that ROE investment will be effective in the same way as in major overseas markets. Rebalancing stimulates corporates: The JPNK400 will be rebalanced once a year based on the selection criteria. We think this will be an important event not only for market participants, but also corporates since inclusion in the index could reinforce the impression that a stock is a highly attractive investment in Japan. In this report we screen for candidates for inclusion in/removal from the index based solely on a quantitative score. 1 Excerpt from TSE website. 2 See April 7, 2014, Overview and implications of GPIF s domestic equity investment manager selection/reorganization (Commentary), for an outline of the announcement. 3 OSE website. 全球投资研究 3

4 A six-month check-up of the new index: It has a strong correlation with TOPIX, but also many differences As we have reiterated since publishing our November 21, 2013 report, Alpha strategies for new index: Profit margin, P/E most effective, the direction of the JPNK400 is likely to depend on the amount of investment using the index as a benchmark. We think the news that Japan s Government Pension Investment Fund (GPIF) and other public institutions will use the index has encouraged domestic and foreign institutional investors to follow suit. So far in 2014, four ETFs that track the JPNK400 have listed, with combined assets under management (AUM) of more than 68.8 bn as of June 18. Several investment trusts have also been set up since the start of the year, totaling 19 by June 18. The combined AUM of the above ETFs and investment trusts is bn (see Exhibit 1). GPIF, with around 20.4 tn invested in Japanese equities as at end-march 2014, and other funds have not disclosed how much money has shifted to passive investments that use the JPNK400 as a benchmark. However, if we assume that GPIF allocated its passive investments of around 17 tn in proportion to the number of investment managers (three of the ten investment managers (30%) selected by GPIF oversee passive JPNK400 investments), we estimate that around 5 tn has shifted to passive investments tracking the new index. There has been relatively little difference between the JPNK400 and TOPIX so far in The former has outperformed the latter by just 70 bp, falling 3.4% YTD, versus a 4.1% decline by TOPIX (as of June 18; see Exhibit 3). Exhibit 4 shows the tracking error of JPNK400 against other indexes. The new index has correlated closely so far with TOPIX and TPX500, with tracking errors of around 1%. However, there are also several differences between the new index and other indexes. If the new index continues to gain market attention and attract investment, we think it is likely to outperform TOPIX and other indexes. Exhibit 5 compares each index based on market cap, liquidity, ROE, and valuation. The JPNK400 is similar to the TPX500 in terms of market cap and liquidity, but has a higher ROE and lower valuation, which we believe makes it attractive to foreign investors. Low ROE has been a stumbling block for Japanese equities investment in the past, but the new index could help improve this perception. The new index has also shown relatively low total risk YTD compared to TOPIX, which we think is another factor that makes it an attractive benchmark (see Exhibit 6). 全球投资研究 4

5 Exhibit 1: Total AUM up by roughly 50% since end-march Total AUM from ETFs and investment trusts tracking the JPNK400 AUM (bn JPY) /31/2014 6/18/2014 ETF Inv. Trust Source: Bloomberg. Exhibit 2: Performance gap very limited YTD due to strong linkage between the indices YTD performance of TPX and the JPNK400 12,000 11,800 11,600 11,400 11,200 11,000 10,800 10,600 10,400 10,200 10,000 1/6/14 2/6/14 3/6/14 4/6/14 5/6/14 6/6/14 1,350 1,300 1,250 1,200 1,150 1,100 1,050 JPNK400 Index TPX Index (Rhs) Source: Bloomberg. 全球投资研究 5

6 Exhibit 3: JPNK400 down YTD but has outperformed TPX by around 70 basis points As of June 18, % 7% 5% 3% 1% 1% 3% 5% NKY Index TPXC30 Index TPX100 Index TPX500 Index TPX Index TSEMOTHR Index JPNK400 Index TPXL70 Index TPXM400 Index TPXSM Index JSDA Index TSE2 Index TSEREIT Index 7.2% 7.1% 5.4% 4.5% 4.1% 3.5% 3.4% 2.9% 2.5% 0.4% 2.6% 3.1% 4.3% Source: Bloomberg. Exhibit 4: JPNK400 shows strong linkage with TPX and TPX500 Tracking error against each index 0% 5% 10% 15% 20% 25% 30% 35% TPX500 Index TPX Index TPX100 Index TPXL70 Index TPXM400 Index TPXC30 Index NKY Index TPXSM Index TSE2 Index JSDA Index TSEREIT Index TSEMOTHR Index 1.1% 1.1% 2.0% 2.2% 3.1% 4.0% 5.3% 6.5% 13.1% 13.5% 18.2% 31.1% Tracking error (JPNK400 vs) Source: Bloomberg. 全球投资研究 6

7 Exhibit 5: JPNK400 has good liquidity, and is also an attractive index from ROE and valuation standpoints Average value by index Index Mkt-Cap ( bn) Source: I/B/E/S, FactSet. Liquidity (20D advt, mn) ROE FY1 (%) ROE FY2 (%) FY1 P/E FY2 P/E PBR Div Yield FY1 (%) Div Yield FY2 (%) EV/EBITDA EV/EBITDA FY1 FY2 JPNK , TPX , TPX , TSE2nd JSADAQ MOTHERS Exhibit 6: JPNK400 is relatively low risk compared to TOPIX Calculation based on Axioma s risk model 22.0% 21.5% Total Risk 21.0% 20.5% 20.0% 19.5% 19.0% 18.5% 18.0% 1/14 2/14 3/14 4/14 5/14 6/14 JPNK400 TPX Source: Axioma. 全球投资研究 7

8 Knock-on effect: JPNK400 could boost attractiveness (ROE) of Japanese companies Past ROE investment strategies In our November 2013 report, we compiled a pro-forma JPNK400 and recommended investment strategies for active investors using the index as a benchmark. As we noted in that report, simply using ROE as the basis for an investment strategy for Japanese equities would have resulted in poor performance, mainly from 2000 onwards. In other words, even if an investor had continued to buy high-roe stocks to date, in many cases they would have underperformed low-roe stocks. Compared to other major stock markets, Japan ranks lowest in terms of ROE factor effectiveness (see Exhibit 7). This track record often comes up in our conversations with investors, and the announcement of the JPNK400 generated a high level of interest. However, we do not believe many investors have necessarily started aggressively buying stocks included in the new index and high-roe stocks. One reason past ROE strategies performed poorly is because valuations of high ROE stocks are excessively high. In Exhibit 8, we divide stocks into quintiles based on ROE and calculate the average P/B for each group. The gap between the fifth quintile (low ROE) and third quintile is not noteworthy, but average P/B of the first quintile (high ROE) is remarkably high. Stocks valued at P/B of 3X or close to 4X have been at a disadvantage in Japan s stock market, which has been value-driven for a relatively long period. Exhibit 9 shows a wide gap in performance between the first quintile (high ROE) and other quintiles, but little difference in returns between the third, fourth, and fifth quintiles, which all include low-roe stocks. However, we believe high ROE will become an effective investment strategy and have seen signs of this since the start of Abenomics. Based on cumulative returns, the first quintile (high ROE) has been outperforming other quintiles since 2012 (since the start of Abenomics; see Exhibit 10). The average P/B of the first quintile is currently below the historical average. We believe ROE strategies will become more effective because of two factors: Greater interest in the JPNK400 Increased efforts to improve corporate governance We see the above as inter-linked rather than independent factors. As we mentioned in our earlier report, 4 of the areas that could be included in the government s new growth strategy, due to be announced at the end of June, we would expect corporate governance to have a direct or indirect impact on the JPNK400. According to the Financial Services Agency, 127 domestic and foreign institutional investors have indicated they will adhere to Japan s stewardship code, aimed at increasing the responsibilities of investment managers. By signing the code, these institutions agree to establish clear guidelines on exercising their voting rights, to monitor the companies in which they invest, and to engage in constructive dialogue with companies in which they invest. The introduction of the code could put more pressure on Japanese companies to use their capital more efficiently, for instance by encouraging companies to demonstrate how they plan to use large amounts of surplus cash effectively, to undertake more specific capex plans, to support economic growth by raising wages, and to focus more on shareholder returns by raising dividends and buying back shares. Some companies may not wait to be asked, but take the initiative to introduce bold new strategies, like Amada s decision to return 100% of profits to shareholders. Some companies may take these initiatives with a view to being included in the JPNK400, but we think recent developments could encourage Japanese companies to aim to become more attractive to investors in general. We 4 Japan Portfolio Strategy Research: Why Good News is Good News, May 30, 2014 全球投资研究 8

9 also expect Japanese companies to become more aware of stronger corporate governance as a means to gaining a more favorable reputation on the stock market and enhancing enterprise value. Exhibit 7: ROE factor effectiveness varies significantly in different markets ROE factor cumulative information coefficient (IC) 600% 500% 400% Cumulative IC 300% 200% 100% 0% 100% 200% 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09 1/10 1/11 1/12 1/13 1/14 Note: The universe we use for Japan is TOPIX 500, and for Europe, US and AeJ is top 500 stocks by market cap in each region. Source: Goldman Sachs Global Investment Research. Japan Europe US AeJ 全球投资研究 9

10 Exhibit 8: P/B is notably high in the first quintile (high ROE) Average P/B per quintile P/B (x) /99 12/01 12/03 12/05 12/07 12/09 12/11 12/13 Note: The universe we use for Japan is TOPIX 500, and for Europe, US and AeJ is top 500 stocks by market cap in each region. Source: Goldman Sachs Global Investment Research. Q1 Q3 Q5 Exhibit 9: First quintile has clearly underperformed other quintiles Cumulative performance of each quintile Cumulative Return (%) /99 12/01 12/03 12/05 12/07 12/09 12/11 12/13 Note: The universe we use for Japan is TOPIX 500, and for Europe, US and AeJ is top 500 stocks by market cap in each region. Source: Goldman Sachs Global Investment Research. Q1 Q2 Q3 Q4 Q5 全球投资研究 10

11 Exhibit 10: High-ROE stocks began to outperform other quintiles in FY2012 Cumulative performance of each quintile Cumulative Return (%) /11 4/11 7/11 10/11 1/12 4/12 7/12 10/12 1/13 4/13 7/13 10/13 1/14 4/14 Q1 Q2 Q3 Q4 Q5 Note: The universe we use for Japan is TOPIX 500, and for Europe, US and AeJ is top 500 stocks by market cap in each region. Source: Goldman Sachs Global Investment Research. Rebalancing event: Impact of regular index reshuffle on companies The JPNK400 constituents will be reshuffled once a year, based on the criteria used to select companies, which could result in stocks being added to or removed from the index. We think this regular reshuffle will become an increasingly significant event, both for market participants and companies. The market impact of adding and excluding stocks is likely to increase, particularly as the index is used as a benchmark for an increasing amount of passive investment. We expect the market impact to be felt by a wide range of market participants, from long-term investors to eventdriven funds. The implication for Japanese companies if the new index gains greater attention is that stocks included in the index could be perceived to be among Japan s most attractive investments. Given the market view that Amada s announcement of major changes to its capital policy was prompted by its exclusion from the new index, we think the launch of the index is likely to trigger a shift in the mindset of Japanese companies. Below we have used the criteria for regularly reshuffling the index to determine which stocks, based on quantitative scores alone, could be added to or removed from the index. The reshuffle is due to be announced in August. 全球投资研究 11

12 Exhibit 11: The selection process for JPNK400 is skewed toward quantitative factors and transparency is generally high JPNK400 computation 1 Universe (TSE 1st 2nd JASDAQ MOTHERS) Approx.3,400 stocks 2 Initial Selection Criteria Exclude stocks with 1)Excess Liabilities, 2) Operating deficit, 3) Net Profit Deficit, 4)going concern/watch list 3 Liquidity (3yrs) and Market Cap criteria (Select top 1,000 stocks) Buffer rule: A preferential rule for the existing constituents. 4 Quantitative weighted scores (3-yr avg. ROE:40%, 3-yr cumulative OP:40%, Mkt Cap:20%) Final score =Quant score + Qualitative score* 400 stocks *Qualitative scores: 2 or more outside directors, Adoption of IFRS, English disclosure. Difference should be at most around 10 stocks compared with Quant score only Source: JPNK400. Rebalancing will be based on the final business day of June (June 30 in 2014). The list of stocks to be added/removed will be announced on the fifth business day of August (August 7) and the rebalanced index will be calculated on the final business day of August (August 29). Selection of 1,000 companies as shown in section 3 of Exhibit 11 is based on scores (rankings) for the following three factors. An overall score is calculated from these. (a) 3-year average ROE (1 st awarded 1,000 points, 1,000 th awarded 1 point) (b) 3-year cumulative operating profits (similar point system as above) (c) Market capitalization on the base date (similar point system as above) Quantitative weighted score = 0.4 (a) 3-year average ROE ranking score (b) 3-year cumulative operating profit ranking score (c) base-date market cap ranking score 全球投资研究 12

13 The calculation of (a), three-year average ROE is shown below. The three-year average is used as scores may be affected strongly by net profit increases (declines) for a single year. Similarly, annual volatility is a concern for (b), 3-year cumulative operating profits, as this is a simple aggregate. This item favors companies with comparatively large operating profits. We noted in our report on alpha strategies for the index (November 21, 2013) that companies tend to revert to their industry ROE average over three to five years. Three years may therefore have been chosen for the selection criterion on the view that appropriate rebalancing occurs in this timeframe. 3-year average ROE = A A 100 For companies that use IFRS, net profits of parent company holder is used in place of net income and total equity (of parent company holders) is used in place of aggregate capital. For companies using US GAAP, net income of shareholders is used in place of net income and shareholders equity is used in place of capital. 3-year cumulative operating profit = Aggregate operating profit for the most recent 3 years For companies that do not disclose operating profits, either ordinary profits or income before taxes is used (in that order). Qualitative scores for the companies referred to in section 3 of Exhibit 11 are calculated based on the following three factors: The appointment of independent external directors Adoption of IFRS English-language disclosure of earnings information However, the score is determined so that at most around 10 companies are different from those selected by quantitative score only in section 4 of Exhibit 11. The items used for determining qualitative scores may be changed in future depending on factors such as the situation in regard to fulfilment of the criteria. The final score is calculated as follows: Final score = Quantitative weighted score + qualitative score According to our calculations on June 13, 2014 using the quantitative score and excluding the qualitative score, the stocks shown in Exhibits 12 and 13 are potential candidates for addition to or removal from the index. Since these candidates are based only on quantitative scores, there may be differences from the ultimate list. However, we hope we have provided some reference for assessing based on the quantitative process and current scores (1) future improvement in ROE and operating profit score driven by changes in terms of earnings, and (2) the scope for ROE improvement driven by improvement in capital efficiency. 全球投资研究 13

14 Exhibit 12: Potential candidates for JPNK400 inclusion based solely on our quantitative score calculations Based on ranking 350 or below companies as of June 13, 2014 Points (Max 1000) Ticker Name Sector 3-yr avg 3yr Agg. Latest ROE OP Mkt Cap Ranking 8382.T Chugoku Bank, Limited Banks T NOF Corporation Chemicals T Hazama Ando Corp. Construction T Nippo Corporation Construction T OKI Electric Industry Company, Limited Electric Appliances T Seiko Epson Corp. Electric Appliances T Hitachi Kokusai Electric Inc. Electric Appliances T Enplas Corporation Electric Appliances T Minebea Co., Ltd. Electric Appliances T Yokogawa Electric Corp. Electric Appliances T Shindengen Electric Manufacturing Co., Ltd. Electric Appliances T Japan Aviation Electronics Industry, Limited Electric Appliances T Calbee, Inc. Foods T Tadano Ltd. Machinery T Takuma Co., Ltd. Machinery T OSJB Holdings Corporation Metal Products T Aiful Corporation Other Financing Business T ACOM Co., Ltd. Other Financing Business T Hitachi Capital Corp. Other Financing Business T Otsuka Holdings Co., Ltd. Pharmaceutical T Leopalace21 Corporation Real Estate T Daiwa Securities Group Inc. Securities & Commodity Futures T Matsui Securities Co., Ltd. Securities & Commodity Futures T Tokai Tokyo Financial Holdings, Inc. Securities & Commodity Futures T Okasan Securities Group Inc. Securities & Commodity Futures T Jafco Co., Ltd. Securities & Commodity Futures T Temp Holdings Co., Ltd. Services T Hakuhodo Dy Holdings Incorporated Services T Mitsui Engineering & Shipbuilding Co.,Ltd Transportation Equipment T Namura Shipbuilding Co., Ltd. Co., Ltd. Transportation Equipment T Nippon Seiki Co., Ltd. Transportation Equipment T Mazda Motor Corp. Transportation Equipment T Alfresa Holdings Corporation Wholesale Trade T Medipal Holdings Corporation Wholesale Trade T Yellow Hat Ltd. Wholesale Trade Note: Any stocks within top 400 can be candidates, but we chose 350 to include stocks that rank higher than the cutoff. Source: FactSet, Goldman Sachs Global Investment Research. 全球投资研究 14

15 Exhibit 13: Potential candidates for JPNK400 removal based solely on our quantitative score calculations Based on ranking 500 or worse companies as of June 13, 2014 Points (Max 1000) Ticker Name Sector 3-yr avg 3yr Agg. Latest ROE OP Mkt Cap Ranking 9204.T Skymark Airlines Inc. Air Transportation T Tomony Holdings, Inc. Banks T Shiseido Company,Limited Chemicals T Mirait Holdings Corporation Construction T Sony Corporation Electric Appliances T TDK Corporation Electric Appliances T Fujitsu Limited Electric Appliances T Tokyo Electron Ltd. Electric Appliances T Megmilk Snow Brand Co., Ltd. Foods T Nippon Electric Glass Co., Ltd. Glass & Ceramics Products T Capcom Co., Ltd. Information & Communication T Hitachi Zosen Corporation Machinery T Nippon Coke & Engineering Company, Limited Oil & Coal Products T Nichi-Iko Pharmaceutical Co., Ltd. Pharmaceutical T Rengo Co., Ltd. Pulp & Paper T Watami Co., Ltd. Retail Trade T Adastria Holdings Co., Ltd. Retail Trade T Zensho Holdings Co., Ltd. Retail Trade T Kohnan Shoji Co., Ltd. Retail Trade T Saizeriya Co., Ltd. Retail Trade T BIC Cameras Inc. Retail Trade T Tokai Holdings Corporation Wholesale Trade T Sojitz Corp. Wholesale Trade Note: The cut off is 400, but due to a buffer rule, we used 500 as the cutoff. Source: FactSet, Goldman Sachs Global Investment Research. 全球投资研究 15

16 信息披露附录 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 32% 53% 15% 53% 47% 40% 截至 2014 年 4 月 1 日, 高盛全球投资研究部对 3,662 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 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 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 : Goldman Sachs Canada Inc. 是高盛集团的关联机构, 因此被包含在高盛相关的特定公司信息披露中 ( 定义见上文 ) 如果 Goldman Sachs Canada Inc. 向其客户分发该研究报告, 则 Goldman Sachs Canada Inc. 已批准本报告, 并同意承担有关责任 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 全球投资研究 16

17 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 ; 在加拿大由 Goldman Sachs Canada Inc 或高盛集团分发 ; 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 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 有关某特定证券的研究报告 模型或其它数据, 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 2014 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 全球投资研究 17

18 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 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 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 所有研究报告均以电子出版物的形式刊登在高华客户网上并向所有客户同步提供 高华未授权任何第三方整合者转发其研究报告 有关某特定证券的研究报告 模型或其它数据, 请联络您的销售代表 北京高华证券有限责任公司版权所有 2014 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 18